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Fidelity Global Bond Fund

Annual Financial StatementsMarch 31, 2020

Annual Financial Statements


Financial Statements

The accompanying notes are integral to these fnancial statements. See Note 1 for the Fund’s reporting periods.The accompanying notes are integral to these fnancial statements. See Note 1 for the Fund’s reporting periods.

Statements of Financial Position

Amounts in thousands of Canadian Dollars (except per security amounts)

As atMarch 31,

2020March 31,

2019

Current assets (Note 3)Investments at fair value through proft or loss (Note 8) $ 214,793 $ 217,371Cash 3,292 753Cash collateral 784 –Receivable for investments sold 4,031 166Unrealized appreciation on forward foreign currency contracts 4,706 790Accrued interest and dividends receivable 1,737 1,991Subscriptions receivable 453 391

229,796 221,462

Current liabilities (Note 3)Payable for investments purchased 5,661 4,764Redemptions payable 225 170Distributions payable (Note 5) 52 –Management and advisory fees payable (Note 4) 81 63Other payables to affliates (Note 4) 11 9Payable for daily variation margin for derivative instruments 121 29Bi-Lateral OTC Swaps, at value 45 52Unrealized depreciation on forward foreign currency contracts 3,775 261Other payables and accrued expenses (Notes 4 and 5) 94 117

10,065 5,465Net assets attributable to securityholders (Notes 3 and 6) $ 219,731 $ 215,997

Net assets attributable to securityholders per Series and per security (Note 6)Series A: ($16,669 and $19,571, respectively) $ 12.05 $ 11.83

Series B: ($28,294 and $21,197, respectively) $ 12.17 $ 11.93

Series F: ($26,607 and $16,742, respectively) $ 12.30 $ 12.04

Series O: ($120,412 and $145,318, respectively) $ 12.44 $ 12.21

Series E1: ($11,674 and $4,532, respectively) $ 9.99 $ 9.79

Series E2: ($1,240 and $296, respectively) $ 9.99 $ 9.79

Series E3: ($1 and $1, respectively) $ 10.02 $ 9.81

Series P1: ($8,960 and $3,733, respectively) $ 10.51 $ 10.29




Series P5: ($1 and $1, respectively) $ 10.89 $ 10.66

2



The accompanying notes are integral to these fnancial statements. See Note 1 for the Fund’s reporting periods.

Financial Statements – continued

Statements of Comprehensive Income

Amounts in thousands of Canadian Dollars (except per security amounts)For the periods ended March 31, 2020 2019

Investment income (Note 3)Interest $ 4,606 $ 4,674Dividends 1,178 1,299Income distributions from Fidelity managed underlying funds 168 40Capital gain distributions from Fidelity managed underlying funds 20 –

Net gain (loss) on investments Net realized gain (loss) on investments 9,979 (1,533)Change in net unrealized appreciation (depreciation) on investments (6,373) 298

3,606 (1,235)Net gain (loss) on foreign currencies

Net realized gain (loss) on foreign currency transactions (781) 166Change in net unrealized appreciation (depreciation) on other net assets in foreign currencies 269 186

(512) 352Net gain (loss) on derivatives

Net realized gain (loss) on derivatives 3,631 2,359Change in net unrealized appreciation (depreciation) on derivatives 1,108 514

4,739 2,873Total investment income (loss) 13,805 8,003

Operating expenses (Note 4)Management and advisory fees 807 701Administration fees 112 103Independent Review Committee fees – –Commissions and other portfolio costs – 1Foreign taxes withheld (Note 5) 24 109Sales tax 108 97

Total operating expenses 1,051 1,011Expenses waived (Note 4) (14) (18)

Net operating expenses 1,037 993Net increase (decrease) in net assets attributable to securityholders from operations $ 12,768 $ 7,010

Increase (decrease) in net assets attributable to securityholders from operations per Series (Note 3)Series A $ 776 $ 269

Series B $ 1,128 $ 441

Series F $ 860 $ 475

Series O $ 8,999 $ 5,491

Series E1 $ 336 $ 95

Series E2 $ 39 $ 10

Series E3 $ – $ –

Series P1 $ 358 $ 97

Series P2 $ 89 $ 49

Series P3 $ 120 $ 50

Series P4 $ 63 $ 33

Series P5 $ – $ –

Increase (decrease) in net assets attributable to securityholders from operations per Series per security (Notes 3 and 6)Series A $ .56 $ .15

Series B $ .59 $ .27

Series F $ .60 $ .37

Series O $ .82 $ .46

3





Statements of Comprehensive Income – continued

Amounts in thousands of Canadian Dollars (except per security amounts)For the periods ended March 31, 2020 2019

Series E1 $ .43 $ .27

Series E2 $ .50 $ .41

Series E3 $ .56 $ .24

Series P1 $ .61 $ .25

Series P2 $ .46 $ .43

Series P3 $ .68 $ 1.94

Series P4 $ .61 $ .33

Series P5 $ .66 $ .35

4





Statements of Changes in Net Assets Attributable to Securityholders

Amounts in thousands of Canadian DollarsFor the period ended March 31, 2020 Total Series A Series B Series F Series O Series E1Net assets attributable to securityholders, beginning of period $ 215,997 $ 19,571 $ 21,197 $ 16,742 $ 145,318 $ 4,532Increase (decrease) in net assets attributable to securityholders from operations 12,768 776 1,128 860 8,999 336

Distributions to securityholders (Note 5)From net investment income (7,614) (407) (636) (570) (5,366) (230)From net realized gain (1,769) (114) (184) (140) (1,164) (65)Management fee reduction (1) – (1) – – –

(9,384) (521) (821) (710) (6,530) (295)

Security transactions (Note 6)Proceeds from sale of securities 91,480 6,554 21,956 22,246 17,498 11,031Reinvestment of distributions 9,100 509 792 564 6,530 278Amounts paid upon redemption of securities (100,230) (10,220) (15,958) (13,095) (51,403) (4,208)

350 (3,157) 6,790 9,715 (27,375) 7,101Net assets attributable to securityholders, end of period $ 219,731 $ 16,669 $ 28,294 $ 26,607 $ 120,412 $ 11,674

For the period ended March 31, 2020 Series E2 Series E3 Series P1 Series P2 Series P3Net assets attributable to securityholders, beginning of period $ 296 $ 1 $ 3,733 $ 1,882 $ 1,652Increase (decrease) in net assets attributable to securityholders from operations 39 – 358 89 120

Distributions to securityholders (Note 5)From net investment income (26) – (212) (67) (61)From net realized gain (6) – (53) (18) (16)Management fee reduction – – – – –

(32) – (265) (85) (77)

Security transactions (Note 6)Proceeds from sale of securities 1,233 – 8,163 2,029 420Reinvestment of distributions 32 – 217 53 76Amounts paid upon redemption of securities (328) – (3,246) (1,489) (283)

937 – 5,134 593 213Net assets attributable to securityholders, end of period $ 1,240 $ 1 $ 8,960 $ 2,479 $ 1,908

For the period ended March 31, 2020 Series P4 Series P5Net assets attributable to securityholders, beginning of period $ 1,072 $ 1Increase (decrease) in net assets attributable to securityholders from operations 63 –

Distributions to securityholders (Note 5)From net investment income (39) –From net realized gain (9) –Management fee reduction – –

(48) –

Security transactions (Note 6)Proceeds from sale of securities 350 –Reinvestment of distributions 49 –Amounts paid upon redemption of securities – –

399 –Net assets attributable to securityholders, end of period $ 1,486 $ 1

5





Statements of Changes in Net Assets Attributable to Securityholders – continued

For the period ended March 31, 2019 Total Series A Series B Series F Series O Series E1Net assets attributable to securityholders, beginning of period $ 194,333 $ 22,319 $ 19,132 $ 13,721 $ 130,009 $ 3,035Increase (decrease) in net assets attributable to securityholders from operations 7,010 269 441 475 5,491 95

Distributions to securityholders (Note 5)From net investment income (4,689) (313) (305) (279) (3,608) (56)Management fee reduction (1) – (1) – – –

(4,690) (313) (306) (279) (3,608) (56)

Security transactions (Note 6)Proceeds from sale of securities 66,769 4,104 9,749 11,767 33,784 2,382Reinvestment of distributions 4,529 305 291 190 3,607 51Amounts paid upon redemption of securities (51,954) (7,113) (8,110) (9,132) (23,965) (975)

19,344 (2,704) 1,930 2,825 13,426 1,458Net assets attributable to securityholders, end of period $ 215,997 $ 19,571 $ 21,197 $ 16,742 $ 145,318 $ 4,532

For the period ended March 31, 2019 Series E2 Series E3 Series P1 Series P2 Series P3Net assets attributable to securityholders, beginning of period $ 112 $ 1 $ 3,866 $ 1,099 $ 1Increase (decrease) in net assets attributable to securityholders from operations 10 – 97 49 50

Distributions to securityholders (Note 5)From net investment income (3) – (82) (22) –Management fee reduction – – – – –

(3) – (82) (22) –

Security transactions (Note 6)Proceeds from sale of securities 174 – 2,289 919 1,601Reinvestment of distributions 3 – 50 11 –Amounts paid upon redemption of securities – – (2,487) (174) –

177 – (148) 756 1,601Net assets attributable to securityholders, end of period $ 296 $ 1 $ 3,733 $ 1,882 $ 1,652

For the period ended March 31, 2019 Series P4 Series P5Net assets attributable to securityholders, beginning of period $ 1,037 $ 1Increase (decrease) in net assets attributable to securityholders from operations 33 –

Distributions to securityholders (Note 5)From net investment income (21) –Management fee reduction – –

(21) –

Security transactions (Note 6)Proceeds from sale of securities – –Reinvestment of distributions 21 –Amounts paid upon redemption of securities 2 –

23 –Net assets attributable to securityholders, end of period $ 1,072 $ 1

6





Statements of Cash Flows

Amounts in thousands of Canadian DollarsFor the periods ended March 31, 2020 2019Cash fows from (used in) operating activities: (Note 3)

Purchases of investments and derivatives $ (323,893) $ (280,529)Proceeds from sale and maturity of investments and derivatives 330,633 260,103Cash (deposited) returned for collateral (784) –Cash receipts from dividend income 1,117 1,376Cash receipts from interest income 5,447 4,997Cash paid for operating expenses (993) (1,296)

Net cash from (used in) operating activities 11,527 (15,349)Cash fows from (used in) fnancing activities: (Note 3)

Distributions to securityholders net of reinvestments (232) (161)Proceeds from sales of securities 64,976 57,257Amounts paid upon redemption of securities (73,733) (42,864)

Net cash from (used in) fnancing activities (8,989) 14,232Net change in cash 2,538 (1,117)Foreign exchange gain (loss) on cash 1 7Cash, beginning of period 753 1,863Cash, end of period $ 3,292 $ 753

7




Schedule of Investments March 31, 2020Showing Percentage of Net Assets Attributable to Securityholders (Net Assets)

Bonds – 73.0%Principal Amount (000s)

Cost (000s)

Market Value (000s)

Domestic Bonds – 5.0%Corporate – 3.2%Bank of Montreal 2.1% 10/6/20 $ 4,685 $ 4,689 $ 4,682Bank of Nova Scotia:

2.09% 9/9/20 1,200 1,201 1,2003.27% 1/11/21 1,000 1,010 1,008

The Toronto-Dominion Bank 3.625% 9/15/31 (a) 67 USD 85 946,985 6,984

Federal – 1.8%Canada Housing Trust No. 1 2.9% 6/15/24 (b) 1,160 1,186 1,246Canadian Government:

4% 6/1/41 290 373 4375% 6/1/37 1,165 1,662 1,8635.75% 6/1/33 225 341 358

3,562 3,904Provincial – 0.0%Ontario Province 3.15% 6/2/22 63 63 66

TOTAL DOMESTIC BONDS 10,610 10,954

Foreign Bonds – 68.0%ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S) 650 EUR 944 706AerCap Ireland Capital Ltd./AerCap Global Aviation Trust

4.45% 10/1/25 150 USD 194 186Aeroports de Paris SA 2.75% 4/2/30 (Reg. S) 200 EUR 305 313AFLAC, Inc. 3.6% 4/1/30 63 USD 89 90AIA Group Ltd. 3.375% 4/7/30 (b) 200 USD 281 281Air Lease Corp.:

4.25% 2/1/24 169 USD 223 2074.25% 9/15/24 39 USD 43 49

Allied Irish Banks PLC 4.125% 11/26/25 (Reg. S) (a) 624 EUR 891 955Alpha Bank AE 4.25% 2/13/30 (Reg. S) (a) 400 EUR 584 391American International Group, Inc. 5.75% 4/1/48 (a) 150 USD 196 185Anglo American Capital PLC 3.625% 9/11/24 (b) 200 USD 254 265Apollo Aviation Securitization Trust Series 2017-1A Class

A, 3.967% 5/16/42 (b) 147 USD 189 163Asian Development Bank 2.35% 6/21/27 80,000 JPY 933 1,234Australian Commonwealth:

2.25% 5/21/28 (Reg. S) 390 AUD 384 3802.5% 5/21/30 (Reg. S) 100 AUD 97 1012.75% 6/21/35 (Reg. S) 420 AUD 420 4453.25% 4/21/25 (Reg. S) 580 AUD 576 5733.75% 4/21/37 (Reg. S) 100 AUD 121 1184.25% 4/21/26 485 AUD 520 514

AutoZone, Inc. 4% 4/15/30 146 USD 206 210Banco Central de Chile 6% 3/1/23 5,000 CLP 11 9Banco Espirito Santo SA 4% 12/31/49 (Reg. S) (c) 100 EUR 158 25Bank Ireland Group PLC:

2.375% 10/14/29 (Reg. S) (a) 600 EUR 876 8613.125% 9/19/27 (Reg. S) (a) 450 GBP 740 764

Bank of America Corp.:3.5% 4/19/26 101 USD 135 1513.875% 8/1/25 68 USD 90 1033.95% 4/21/25 111 USD 135 164

Principal Amount (000s)

Cost (000s)

Market Value (000s)

4.25% 10/22/26 49 USD $ 55 $ 74Barclays PLC:

2% 2/7/28 (Reg. S) (a) 450 EUR 654 6393.932% 5/7/25 (a) 555 USD 750 750

Bayer AG 2.375% 4/2/75 (Reg. S) (a) 2,720 EUR 4,013 3,936Berkshire Hathaway Energy Co.:

3.7% 7/15/30 (b) 28 USD 40 424.25% 10/15/50 (b) 16 USD 23 26

Blackbird Capital Aircraft Series 2016-1A Class A, 4.213% 12/16/41 (b) 201 USD 269 206

Blackstone Property Partners Europe LP 1.75% 3/12/29 (Reg. S) 900 EUR 1,312 1,257

Boston Properties, Inc. 4.5% 12/1/28 112 USD 148 173Brandywine Operating Partnership LP 4.1% 10/1/24 47 USD 51 66Brixmor Operating Partnership LP 4.125% 6/15/26 46 USD 60 68Buoni del Tesoro Poliennali:

1.35% 4/1/30 (Reg. S) 1,305 EUR 1,912 1,9942.2% 6/1/27 150 EUR 237 2492.5% 11/15/25 330 EUR 504 5533.75% 9/1/24 10 EUR 16 17

BX Trust foater Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 3.3296% 9/15/37 (a) (b) (d) 54 USD 69 53

CBRE Group, Inc. 4.875% 3/1/26 162 USD 211 243CCO Holdings LLC/CCO Holdings Capital Corp. 5%

2/1/28 (b) 550 USD 755 777CEMEX Finance LLC 4.625% 6/15/24 100 EUR 146 148CEMEX S.A.B. de CV 3.125% 3/19/26 (Reg. S) 200 EUR 302 275Centene Corp.:

3.375% 2/15/30 (b) 135 USD 179 1774.25% 12/15/27 (b) 150 USD 198 2114.75% 1/15/25 (b) 120 USD 164 171

Chesapeake Energy Corp.:4.875% 4/15/22 242 USD 312 345.375% 6/15/21 420 USD 548 906.625% 8/15/20 267 USD 356 109

Chicago Board of Ed. Series 2010 C, 6.319% 11/1/29 310 USD 410 438CIT Group, Inc. 6.125% 3/9/28 45 USD 58 60Citigroup, Inc.:

4.3% 11/20/26 49 USD 64 734.412% 3/31/31 (a) 190 USD 275 294

Citizens Financial Group, Inc. 4.3% 12/3/25 52 USD 69 77Columbia Pipeline Group, Inc. 4.5% 6/1/25 16 USD 20 22Comcast Corp. 3.75% 4/1/40 16 USD 23 25Corporate Offce Properties LP 5% 7/1/25 27 USD 33 40Credit Suisse Group AG:

2.593% 9/11/25 (a) (b) 250 USD 331 3343.25% 4/2/26 (Reg. S) (a) 170 EUR 263 2724.194% 4/1/31 (a) (b) 255 USD 357 3686.5% 8/8/23 (Reg. S) 200 USD 301 286

CSMC Trust Series 2017-PFHP Class D, 1 month U.S. LIBOR + 2.250% 2.9546% 12/15/30 (a) (b) (d) 66 USD 85 72

CVS Health Corp.:4.1% 3/25/25 76 USD 97 1134.3% 3/25/28 80 USD 102 120

8




Schedule of Investments – continued

Bonds – continuedPrincipal Amount (000s)

Cost (000s)

Market Value (000s)

Foreign Bonds – continuedCzech Republic:

1% 6/26/26 1,860 CZK $ 106 $ 1032.4% 9/17/25 1,630 CZK 99 984.2% 12/4/36 140 CZK 10 11

Danish Kingdom:0.5% 11/15/27 1,100 DKK 223 2430.5% 11/15/29(Reg. S) (b) 200 DKK 43 441.5% 11/15/23 1,076 DKK 218 2404.5% 11/15/39 67 DKK 20 267% 11/10/24 240 DKK 65 67

Danske Bank A/S:0.5% 8/27/25 (Reg. S) (a) 430 EUR 632 6102.25% 1/14/28 (Reg. S) (a) 205 GBP 349 3313.244% 12/20/25 (a) (b) 500 USD 662 6545% 1/12/22 (b) 450 USD 596 6485.375% 1/12/24 (Reg. S) 864 USD 1,215 1,247

DCP Midstream LLC 5.85% 5/21/43 (a) (b) 450 USD 542 304DCP Midstream Operating LP 4.95% 4/1/22 100 USD 103 115Deere & Co.:

3.1% 4/15/30 22 USD 31 333.75% 4/15/50 21 USD 30 34

Demeter Investments BV 5.75% 8/15/50 (Reg. S) (a) 200 USD 282 281Deutsche Annington Finance BV 5% 10/2/23 (b) 311 USD 400 473Deutsche Bank AG:

1.625% 2/12/21 (Reg. S) 300 EUR 448 4571.625% 1/20/27 (Reg. S) 1,500 EUR 2,170 1,9574.5% 4/1/25 200 USD 260 243

Digital Realty Trust LP 3.95% 7/1/22 41 USD 50 59Discover Financial Services 3.95% 11/6/24 32 USD 36 46Dolphin Subsidiary II, Inc. 7.25% 10/15/21 346 USD 456 480Dominican Republic:

5.5% 1/27/25 (b) 355 USD 497 4785.95% 1/25/27 (b) 240 USD 347 316

Duquesne Light Holdings, Inc. 5.9% 12/1/21 (b) 20 USD 20 30Energias de Portugal SA 1.7% 7/20/80 (Reg. S) (a) 800 EUR 1,155 1,102Exelon Corp.:

4.05% 4/15/30 46 USD 65 644.7% 4/15/50 21 USD 30 31

Experian Finance PLC 3.25% 4/7/32 (Reg. S) 100 GBP 174 174FirstEnergy Corp. 7.375% 11/15/31 317 USD 475 600Ford Motor Credit Co. LLC:

1.514% 2/17/23 1,600 EUR 2,379 2,0623.087% 1/9/23 320 USD 415 4054.535% 3/6/25 300 GBP 550 418

Fox Corp. 4.03% 1/25/24 37 USD 49 54Freeport-McMoRan, Inc. 3.55% 3/1/22 11 USD 14 15French Government 1.5% 5/25/31(Reg. S) 9 EUR 14 16General Motors Financial Co., Inc. 4.25% 5/15/23 9 USD 10 11German Federal Republic:

0% 2/15/30 (Reg. S) 2,577 EUR 3,947 4,1880% 8/15/50 120 EUR 184 1852.5% 7/4/44 2,680 EUR 6,447 6,7636.5% 7/4/27 670 EUR 1,490 1,587


Cost (000s)

Market Value (000s)

Goldman Sachs Group, Inc.:3.8% 3/15/30 180 USD $ 254 $ 2644.25% 1/29/26 190 GBP 362 341

Heineken NV 2.25% 3/30/30 (Reg. S) 225 EUR 346 367Hungarian Republic:

3% 6/26/24 18,900 HUF 89 866.75% 10/22/28 8,000 HUF 49 45

Iliad SA 0.625% 11/25/21 (Reg. S) 1,100 EUR 1,708 1,678Indonesian Republic:

6.125% 5/15/28 700,000 IDR 62 546.625% 5/15/33 2,212,000 IDR 183 1657% 5/15/27 500,000 IDR 44 417.375% 5/15/48 76,000 IDR 7 68.75% 5/15/31 1,385,000 IDR 141 1248.75% 2/15/44 50,000 IDR 5 410.5% 7/15/38 400,000 IDR 47 40

IPALCO Enterprises, Inc. 3.45% 7/15/20 92 USD 113 129Irish Republic 2% 2/18/45 (Reg.S) 35 EUR 49 70Israeli State:

1.75% 8/31/25 60 ILS 22 252.25% 9/28/28 150 ILS 57 653.75% 3/31/24 243 ILS 90 1095.5% 1/31/42 78 ILS 39 50

Japan Government:0.2% 6/20/36 875,350 JPY 10,020 11,2910.3% 6/20/39 54,200 JPY 667 7080.3% 12/20/39 77,000 JPY 1,009 1,0060.4% 3/20/39 26,850 JPY 338 3570.4% 12/20/49 63,000 JPY 817 8220.5% 3/20/38 19,800 JPY 249 2680.5% 6/20/38 28,000 JPY 352 3781% 12/20/35 278,950 JPY 3,482 4,049

John Deere Cash Management SA 2.2% 4/2/32 (Reg. S) 130 EUR 201 203

John Lewis PLC 6.125% 1/21/25 1,266 GBP 2,444 2,117JPMorgan Chase & Co.:

2.95% 10/1/26 45 USD 58 653.875% 9/10/24 53 USD 58 794.125% 12/15/26 79 USD 90 122

Kimberly-Clark Corp. 3.1% 3/26/30 12 USD 17 18Kingdom of Thailand:

2.875% 6/17/46 2,080 THB 76 963.65% 6/20/31 3,800 THB 203 1943.775% 6/25/32 5,950 THB 297 3104.675% 6/29/44 95 THB 4 6

Korean Republic:1.125% 9/10/39 100,000 KRW 105 1051.375% 12/10/29 490,000 KRW 538 5562.25% 9/10/37 350,000 KRW 388 4402.375% 12/10/28 408,850 KRW 493 5032.625% 6/10/28 304,030 KRW 369 3813% 12/10/42 66,330 KRW 82 955.5% 12/10/29 30,000 KRW 46 47

9






Cost (000s)

Market Value (000s)

Foreign Bonds – continuedLagardere S.C.A.:

1.625% 6/21/24 (Reg. S) 1,100 EUR $ 1,626 $ 1,5072.125% 10/16/26 (Reg. S) 1,900 EUR 2,770 2,491

Lennar Corp. 4.75% 11/29/27 210 USD 273 295Logicor Financing SARL 1.625% 7/15/27 (Reg. S) 970 EUR 1,426 1,390Lowe’s Companies, Inc.:

4.5% 4/15/30 109 USD 159 1695% 4/15/40 68 USD 102 1085.125% 4/15/50 83 USD 126 141

Luminor Bank A/S Estonia 1.375% 10/21/22 (Reg. S) 110 EUR 165 173Malaysian Government:

3.48% 3/15/23 902 MYR 284 3003.844% 4/15/33 150 MYR 44 493.892% 3/15/27 52 MYR 18 184.048% 9/30/21 10 MYR 3 34.127% 4/15/32 391 MYR 124 1324.232% 6/30/31 344 MYR 109 1184.935% 9/30/43 36 MYR 13 13

Marks & Spencer PLC 3.25% 7/10/27 (Reg. S) 150 GBP 245 225MasterCard, Inc.:

3.3% 3/26/27 20 USD 29 313.85% 3/26/50 24 USD 35 41

Millicom International Cellular SA 6.625% 10/15/26 (b) 265 USD 379 351

Ministry of Finance of the Russian Federation:6.9% 5/23/29 900 RUB 16 167% 8/16/23 10,475 RUB 196 1908.15% 2/3/27 3,081 RUB 67 608.5% 9/17/31 2,405 RUB 52 49

Morgan Stanley:4.1% 5/22/23 168 USD 219 2454.875% 11/1/22 38 USD 42 565% 11/24/25 82 USD 93 128

MPLX LP 4.8% 2/15/29 33 USD 43 41MSCG Trust Series 2016-SNR:

Class A, 3.348% 11/15/34 (a) (b) 10 USD 14 14Class B, 4.181% 11/15/34 (b) 37 USD 49 49Class C, 5.205% 11/15/34 (b) 26 USD 34 35

Mylan NV 3.95% 6/15/26 59 USD 78 83New Zealand Government:

2.75% 4/15/25 192 NZD 179 1774.5% 4/15/27 60 NZD 62 63

Norway Government Bond 2% 4/26/28 (Reg. S) (b) 850 NOK 129 126O’Reilly Automotive, Inc. 4.2% 4/1/30 34 USD 48 50Occidental Petroleum Corp. 6.45% 9/15/36 100 USD 159 67Omega Healthcare Investors, Inc.:

4.375% 8/1/23 140 USD 181 1964.5% 1/15/25 15 USD 16 205.25% 1/15/26 84 USD 110 118

Peoples Republic of China:3.13% 11/21/29 1,100 CNY 232 2283.25% 6/6/26 11,000 CNY 2,072 2,2593.29% 5/23/29 8,850 CNY 1,695 1,840


Cost (000s)

Market Value (000s)

3.86% 7/22/49 5,630 CNY $ 1,103 $ 1,237Petrobras Global Finance BV 5.093% 1/15/30 (Reg. S) 125 USD 170 159Petroleos Mexicanos:

2.5% 8/21/21 (Reg. S) 2,048 EUR 3,080 2,8092.5% 11/24/22 (Reg. S) 138 EUR 209 1753.625% 11/24/25 (Reg. S) 200 EUR 301 2313.75% 2/21/24 (Reg. S) 1,480 EUR 2,313 1,8365.125% 3/15/23 (Reg. S) 730 EUR 1,177 972

Polish Government:2.5% 7/25/26 50 PLN 17 183.25% 7/25/25 919 PLN 329 3455.75% 4/25/29 17 PLN 7 8

Pricoa Global Funding I 5.375% 5/15/45 (a) 57 USD 68 77Procter & Gamble Co. 3.6% 3/25/50 40 USD 58 69Puget Energy, Inc.:

5.625% 7/15/22 88 USD 92 1246% 9/1/21 10 USD 11 146.5% 12/15/20 16 USD 17 23

Republic of Singapore:2.75% 4/1/42 33 SGD 31 392.875% 9/1/30 115 SGD 116 1303% 9/1/24 150 SGD 152 1613.375% 9/1/33 16 SGD 15 19

Retail Opportunity Investments Partnership LP 4% 12/15/24 10 USD 11 14

Reynolds American, Inc. 4.45% 6/12/25 1,086 USD 1,468 1,556Rolls-Royce PLC 3.375% 6/18/26 200 GBP 372 333Samhallsbyggnadsbolaget I Norden AB 1.75% 1/14/25

(Reg. S) 200 EUR 301 304Samvardhana Motherson Automotive Systems Group BV

1.8% 7/6/24 (Reg. S) 318 EUR 471 387SITE Centers Corp. 3.625% 2/1/25 18 USD 21 26Sweden Kingdom:

0.75% 5/12/28 470 SEK 72 720.75% 11/12/29 (b) 1,965 SEK 291 3042.25% 6/1/32 30 SEK 5 52.5% 5/12/25 135 SEK 22 223.5% 3/30/39 20 SEK 4 5

Switzerland Confederation:0% 6/26/34 (Reg. S) 140 CHF 199 2102.25% 6/22/31(Reg. S) 120 CHF 222 2273.5% 4/8/33 200 CHF 384 436

Synchrony Financial:3.75% 8/15/21 25 USD 27 353.95% 12/1/27 68 USD 80 854.25% 8/15/24 25 USD 27 344.375% 3/19/24 68 USD 90 945.15% 3/19/29 198 USD 264 269

Tanger Properties LP 3.75% 12/1/24 31 USD 35 45Teva Pharmaceutical Finance Netherlands III BV:

0.375% 7/25/20 (Reg. S) 491 EUR 755 7472.8% 7/21/23 270 USD 331 3473.25% 4/15/22 230 EUR 368 340

The AES Corp. 4.875% 5/15/23 90 USD 93 122

10






Cost (000s)

Market Value (000s)

Foreign Bonds – continuedThe Williams Companies, Inc.:

3.7% 1/15/23 155 USD $ 197 $ 2024.55% 6/24/24 23 USD 26 29

TJX Companies, Inc.:3.5% 4/15/25 50 USD 71 723.75% 4/15/27 115 USD 164 1663.875% 4/15/30 150 USD 215 218

Toledo Hospital:5.325% 11/15/28 62 USD 81 926.015% 11/15/48 175 USD 229 269

Toll Brothers Finance Corp.:4.35% 2/15/28 150 USD 186 1925.625% 1/15/24 126 USD 171 170

Travis Perkins PLC:4.375% 9/15/21 (Reg. S) 700 GBP 1,233 1,1334.5% 9/7/23 (Reg. S) 337 GBP 562 502

Tullow Oil PLC 6.25% 4/15/22 (Reg. S) 455 USD 552 144Turkiye Garanti Bankasi A/S 6.25% 4/20/21 (Reg. S) 480 USD 640 665U.S. Treasury Bonds:

2.25% 8/15/46 (e) 1,253 USD 1,521 2,1232.5% 2/15/45 397 USD 525 6982.5% 2/15/46 70 USD 83 1242.75% 8/15/42 765 USD 1,054 1,3903.125% 11/15/41 50 USD 79 963.125% 2/15/42 70 USD 107 1353.5% 2/15/39 190 USD 319 3814.375% 2/15/38 395 USD 616 8674.5% 2/15/36 122 USD 196 2644.75% 2/15/37 70 USD 120 157

U.S. Treasury Notes:1.125% 2/28/27 3,014 USD 4,389 4,4091.5% 2/15/30 2,900 USD 4,352 4,4001.625% 8/15/29 4,960 USD 6,463 7,579

UBS AG 4.75% 2/12/26 (Reg. S) (a) 1,401 EUR 2,220 2,131UniCredit SpA:

2.731% 1/15/32 (Reg. S) (a) 1,100 EUR 1,593 1,3586.572% 1/14/22 (b) 1,100 USD 1,461 1,577

United Kingdom, Great Britain and Northern Ireland:1.75% 9/7/37 (Reg. S) 691 GBP 1,202 1,4081.75% 1/22/49(Reg. S) 100 GBP 208 2174.25% 6/7/32 70 GBP 171 1764.25% 12/7/46 100 GBP 284 3184.25% 12/7/49 (Reg. S) 850 GBP 2,343 2,832

United Mexican States:3.625% 4/9/29 100 EUR 151 1677.75% 11/13/42 100 MXN 6 68% 12/7/23 3,300 MXN 227 2068% 11/7/47 380 MXN 22 238.5% 5/31/29 1,016 MXN 93 668.5% 11/18/38 309 MXN 20 1910% 11/20/36 1,698 MXN 133 123

Ventas Realty LP:3% 1/15/30 126 USD 166 158


Cost (000s)

Market Value (000s)

4.125% 1/15/26 19 USD $ 24 $ 27Visa, Inc.:

1.9% 4/15/27 63 USD 88 882.05% 4/15/30 300 USD 422 4222.7% 4/15/40 182 USD 254 254

Vodafone Group PLC 6.25% 10/3/78 (Reg. S) (a) 200 USD 294 276Volkswagen Financial Services AG 3% 4/6/25 (Reg. S) 210 EUR 327 325Wells Fargo & Co. 2.164% 2/11/26 (a) 1,656 USD 2,199 2,273Western Gas Partners LP 5.375% 6/1/21 51 USD 66 58WP Carey, Inc. 4% 2/1/25 51 USD 63 74YPF SA 8.5% 3/23/21 (Reg. S) 800 USD 1,048 748

TOTAL FOREIGN BONDS 146,876 149,494TOTAL BONDS 157,486 160,448

Preferred Securities – 19.7%

COMMUNICATION SERVICES – 1.1%Telefonica Europe BV:

2.502% (Reg. S) (a) (f) 900 EUR 1,308 1,2042.625% (Reg. S) (a) (f) 800 EUR 1,199 1,186

TOTAL COMMUNICATION SERVICES 2,507 2,390

CONSUMER DISCRETIONARY – 3.5%Volkswagen International Finance NV:

2.5%(Reg. S) (a) (f) 1,249 EUR 1,831 1,8232.7%(Reg. S) (a) (f) 3,700 EUR 5,573 5,3643.75% (a) (f) 300 EUR 462 450

TOTAL CONSUMER DISCRETIONARY 7,866 7,637

CONSUMER STAPLES – 0.3%Danone SA 1.75% (Reg. S) (a) (f) 500 EUR 745 756

FINANCIALS – 8.2%AIB Group PLC 5.25% (Reg. S) (a) (f) 500 EUR 730 622Allied Irish Banks PLC 7.375% (Reg. S) (a) (f) 850 EUR 1,367 1,307Assicurazioni Generali SpA 6.416% (a) (f) 200 GBP 365 137Aviva PLC 6.125% (a) (f) 1,180 GBP 2,162 2,073AXA SA 6.6862% (a) (f) 50 GBP 104 98Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (a) (f) 400 EUR 606 525Bank of Nova Scotia 4.65% (a) (f) 820 USD 1,001 905Barclays Bank PLC 7.625% 11/21/22 1,836 USD 2,409 2,711Barclays PLC 7.875% (Reg. S) (a) (f) 289 GBP 547 439Credit Suisse Group AG 7.5% (Reg. S) (a) (f) 2,605 USD 3,859 3,600Danske Bank A/S 6.125% (Reg. S) (a) (f) 220 USD 260 256Generali Finance BV 4.596% (Reg. S) (a) (f) 260 EUR 411 402HSBC Holdings PLC 5.25% (a) (f) 264 EUR 420 363Lloyds Banking Group PLC 5.125% (a) (f) 540 GBP 947 703QBE Insurance Group Ltd. 5.25% (Reg. S) (a) (f) 1,250 USD 1,574 1,529Skandinaviska Enskilda Banken AB 5.75% (Reg. S) (a) (f) 310 USD 414 443

11





Preferred Securities – continuedPrincipal Amount (000s)

Cost (000s)

Market Value (000s)

FINANCIALS – continuedStichting AK Rabobank Certifcaten 6.5% (Reg. S) (f) 612 EUR $ 1,015 $ 856UBS Group AG 7% (Reg. S) (a) (f) 700 USD 1,053 957

TOTAL FINANCIALS 19,244 17,926

HEALTH CARE – 2.4%Bayer AG 2.375% 11/12/79 (Reg. S) (a) 2,500 EUR 3,617 3,453Eurofns Scientifc SA 2.875% (Reg. S) (a) (f) 1,220 EUR 1,759 1,781

TOTAL HEALTH CARE 5,376 5,234

INDUSTRIALS – 0.1%AerCap Holdings NV 5.875% 10/10/79 (a) 300 USD 410 302

REAL ESTATE – 3.6%CPI Property Group SA 4.375% (Reg. S) (a) (f) 729 EUR 1,064 1,071Deutsche Annington Finance BV 4% (Reg. S) (a) (f) 300 EUR 473 466Grand City Properties SA 3.75% (a) (f) 100 EUR 159 148Heimstaden Bostad AB 3.248% (Reg. S) (a) (f) 1,500 EUR 2,231 1,888Samhallsbyggnadsbolaget I Norden AB:

2.624% (Reg. S) (a) (f) 900 EUR 1,307 1,2114.625% (Reg. S) (a) (f) 426 EUR 641 658

TLG Finance SARL 3.375% (Reg. S) (a) (f) 1,700 EUR 2,485 2,485

TOTAL REAL ESTATE 8,360 7,927

UTILITIES – 0.5%EDF SA 5.25% (Reg. S) (a) (f) 800 USD 1,124 1,096TOTAL PREFERRED SECURITIES 45,632 43,268

Underlying Funds – 5.1%Shares / Units

(000s)

Fidelity American High Yield Fund - Series O 224 2,062 1,865Fidelity Canadian Money Market Investment Trust - Series O 119 1,185 1,185Fidelity Floating Rate High Income Multi-Asset Base Fund - Series

O 18 210 198Fidelity U.S. Money Market Investment Trust - Series O 556 7,888 7,829TOTAL UNDERLYING FUNDS 11,345 11,077TOTAL INVESTMENT IN SECURITIES – 97.8% $214,463 214,793

NET OTHER ASSETS (LIABILITIES) – 2.2% 4,938NET ASSETS – 100% $ 219,731

12





Futures ContractsNumber

of contractsExpiration

DateNotional Amount (000s)

Value (000s)

Unrealized Appreciation/ (Depreciation)

(000s)

PurchasedTreasury ContractsCBOT Long Term U.S. Treasury Bond Contracts (United States) 8 June 2020 $ 2,016 $ 172 $ 172CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 22 June 2020 6,869 777 777TOTAL PURCHASED 949

SoldBond Index ContractsEurex Euro-Bobl Contracts (Germany) 21 June 2020 4,407 29 29Eurex Euro-Schatz Contracts (Germany) 38 June 2020 6,617 15 15TOTAL SOLD 44

TOTAL FUTURES CONTRACTS $ 993

The notional amount of futures purchased as a percentage of Net Assets is 4.0%.

The notional amount of futures sold as a percentage of Net Assets is 5.0%.

Forward Foreign Currency ContractsAmounts in thousands Settlement Date Value (000’s) Appreciation/

(Depreciation) (000’s)

Contracts to Sell358 AUD May 2020 $ 310 $ (7)4,357 CNY May 2020 866 (4)1,400 CNY May 2020 278 8335 CZK May 2020 19 (1)613 DKK May 2020 128 (8)2,432 EUR May 2020 3,779 (29)18,801 EUR May 2020 29,217 (2,129)422 EUR May 2020 656 (47)4,281 GBP May 2020 7,486 (73)339 GBP May 2020 593 (16)182,341 HUF May 2020 785 11261,550 JPY May 2020 3,429 (87)60,250 JPY May 2020 790 7119,400 KRW May 2020 138 (4)80,000 KRW May 2020 92 (1)90,000 KRW May 2020 104 0262 SEK May 2020 37 0432 USD May 2020 607 (37)10,111 USD May 2020 14,223 (1,135)1,427 USD May 2020 2,008 1714,581 USD May 2020 6,444 (18)

TOTAL CONTRACTS TO SELL 71,989 (3,399)

Contracts to Buy633 AUD May 2020 548 (8)261 CHF May 2020 382 2515,513 CNY May 2020 3,083 1467,369 CNY May 2020 1,464 1921 EUR May 2020 33 0

Amounts in thousands Settlement Date Value (000’s) Appreciation/

(Depreciation) (000’s)

121 EUR May 2020 $ 188 $ 935 EUR May 2020 54 (8)2,686 EUR May 2020 4,174 (103)540 GBP May 2020 944 24367 GBP May 2020 642 11103 GBP May 2020 180 3561 GBP May 2020 981 29187,469 HUF May 2020 807 52,298,300 IDR May 2020 197 (21)45 ILS May 2020 18 01,056,750 JPY May 2020 13,853 1,0299,950 JPY May 2020 130 9284,400 JPY May 2020 3,728 4026,450 JPY May 2020 347 16583,100 KRW May 2020 674 321,992 MXN May 2020 117 (20)820 NOK May 2020 111 (6)350 PLN May 2020 119 (4)3,640 SEK May 2020 518 18128 SGD May 2020 127 13,834 THB May 2020 164 (9)593 USD May 2020 834 3827,150 USD May 2020 38,191 2,2362,226 USD May 2020 3,131 1754,093 USD May 2020 5,757 644

TOTAL CONTRACTS TO BUY 81,496 4,330TOTAL FORWARD FOREIGN CURRENCY CONTRACTS $ 931

The value of contracts to buy as a percentage of Net Assets is 37.1%.

The value of contracts to sell as a percentage of Net Assets is 32.8%.

13





Swaps

Credit Default SwapsUnderlying Reference Rating Maturity Date Clearinghouse

/ Counterparty

Fixed Payment Received/(Paid)

Payment Frequency

Notional Amount (000s)(1)

Value (000s)

Upfront Premium

Received/(Paid) (000s)

Unrealized Appreciation/ (Depreciation)

(000s)

Buy ProtectionGas Natural Capital Markets SA Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 1,550 $ (45) $ 52 $ 7

(1) Notional amount is stated in Canadian dollars unless otherwise noted.

Currency AbbreviationsAUD – Australian dollar

CHF – Swiss franc

CNY – Chinese yuan

CZK – Czech koruna

DKK – Danish krone

EUR – European Monetary Unit

GBP – British pound

HUF – Hungarian forint

IDR – Indonesian rupiah

ILS – Israeli shekel

JPY – Japanese yen

KRW – Korean won

MXN – Mexican peso

NOK – Norwegian krone

PLN – Polish zloty (new)

SEK – Swedish krona

SGD – Singapore dollar

THB – Thai baht

USD – U.S. dollar

Presentation Notes Cost amount includes broker commissions and other trading expenses, if any.

Principal Amount is stated in Canadian dollars unless otherwise noted.

Legend(a) Coupon rates for foating and adjustable rate securities refect the rates in effect at period end.

(b) Security exempt from registration under Rule 144A of the U.S. Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualifed institutional buyers. At the end of the period, the value of these securities amounted to $9,795,000 or 4.5% of Net Assets.

(c) Non-income producing – Security is in default.

(d) Coupon is indexed to a foating interest rate which may be multiplied by a specifed factor and/or subject to caps or foors.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $610,000.

(f) Security is perpetual in nature with no stated maturity date.

14



Fund Specifc Notes to Financial StatementsFor the periods ended March 31, 2020 and 2019(Amounts in thousands of Canadian dollars/thousands of securities unless otherwise stated)

Formation of the Fund (Note 1)

The inception date of Fidelity Global Bond Fund (Fund) was March 13, 2007 and the Fund commenced offering its Series of securities for sale on the following dates:

Series Commencement of Operations

A April 13, 2007

B April 13, 2007

F April 13, 2007

O April 13, 2007

E1 February 5, 2016

E2 February 5, 2016

Series Commencement of Operations

E3 February 5, 2016

P1 December 4, 2015

P2 December 4, 2015

P3 September 22, 2017



The Fund aims to provide a steady fow of income and the potential for capital gains by investing primarily in foreign fxed income securities including government and non-government bonds and corporate bonds. The Fund’s benchmark is the Bloomberg Barclays Global Aggregate Bond Index.

Investment and Derivative Valuation (Note 3)

The Fund categorizes the inputs to valuation techniques used to fair value its investments and derivatives into a disclosure hierarchy consisting of three levels as shown below. In addition, transfers between Level 1 and Level 2, if applicable, are presented for the periods indicated. For any investments identifed as using Level 3 inputs at either the beginning or the end of the current fscal period, reconciliations are presented for any activity which occurred in the periods indicated below.

Valuation Inputs at March 31, 2020:Description Total Level 1 Level 2 Level 3(Amounts in thousands)Investments in Securities:Bonds $ 160,448 $ — $ 160,448 $ —Preferred Securities 43,268 — 43,268 —Underlying Funds 11,077 11,077 — —Total Investments in Securities: $ 214,793 $ 11,077 $ 203,716 $ —

Derivative Instruments:Assets

Forward Foreign Currency Contracts $ 4,706 $ — $ 4,706 $ —Futures Contracts 993 993 — —

Total Assets $ 5,699 $ 993 $ 4,706 $ —Liabilities

Forward Foreign Currency Contracts $ (3,775) $ — $ (3,775) $ —Swaps (45) — (45) —

Total Liabilities $ (3,820) $ — $ (3,820) $ —Total Derivative Instruments: $ 1,879 $ 993 $ 886 $ —

Valuation Inputs at March 31, 2019:Description Total Level 1 Level 2 Level 3(Amounts in thousands)Investments in Securities:Equities $ 1,056 $ — $ 1,056 $ —Bonds 189,732 — 189,732 —Preferred Securities 21,114 — 21,114 —Underlying Funds 5,455 5,455 — —Purchased Swaptions 14 — 14 —Total Investments in Securities: $ 217,371 $ 5,455 $ 211,916 $ —

Derivative Instruments:Assets

Forward Foreign Currency Contracts $ 790 $ — $ 790 $ —Futures Contracts 333 333 — —

Total Assets $ 1,123 $ 333 $ 790 $ —Liabilities

Forward Foreign Currency Contracts $ (261) $ — $ (261) $ —Futures Contracts (42) (42) — —

15


Fidelity Global Bond FundFund Specifc Notes to Financial Statements – continuedFor the periods ended March 31, 2020 and 2019(Amounts in thousands of Canadian dollars/thousands of securities unless otherwise stated)

Valuation Inputs at March 31, 2019:Description Total Level 1 Level 2 Level 3(Amounts in thousands)

Swaps $ (52) $ — $ (52) $ —Total Liabilities $ (355) $ (42) $ (313) $ —Total Derivative Instruments: $ 768 $ 291 $ 477 $ —

Transfers from Level 1 to Level 2 and from Level 2 to Level 1 were $- and $-, respectively, during the period ($- and $-, respectively, in the prior period).

The Fund did not hold any signifcant positions of Level 3 investments at the beginning of, or end of, the period.

Offsetting of Financial Instruments (Note 3)

The Fund’s derivatives noted below are subject to enforceable master netting arrangements (MNA) in the form of ISDA agreements and central clearing arrangements. The normal business terms of foreign exchange transactions under ISDA agreements call for net settlement when contracts of the same currency mature simultaneously. In the event of default or bankruptcy net settlement of contracts would be enforced. The following tables summarize fnancial instruments that are offset in the Statements of Financial Position, or are subject to enforceable MNA or other similar agreements or collateral, but are not offset:

As at March 31, 2020 Gross ($) Amounts offset ($) Net ($) MNA* ($) Collateral* ($) Net* ($)AssetsForward foreign currency contracts 5,570 (864) 4,706 (3,699) — 1,007

LiabilitiesForward foreign currency contracts (4,639) 864 (3,775) 3,699 76 —Payable for daily variation margin: Futures Contracts (121) — (121) — 121 —Bi-lateral OTC swaps (45) — (45) — 45 —TOTAL (4,805) 864 (3,941) 3,699 242 -

As at March 31, 2019 Gross ($) Amounts offset ($) Net ($) MNA* ($) Collateral* ($) Net* ($)AssetsForward foreign currency contracts 879 (89) 790 (309) — 481

LiabilitiesForward foreign currency contracts (350) 89 (261) 257 — (4)Payable for daily variation margin: Futures Contracts (29) — (29) — 29 —Bi-lateral OTC swaps (52) — (52) 52 — —TOTAL (431) 89 (342) 309 29 (4)

*These amounts are not offset in the Statements of Financial Position.

Forward Foreign Currency Contracts (Note 3)

The Fund pledged $784 (March 31, 2019: $-) as cash collateral, which is included in “Cash collateral” in the Statements of Financial Position.

Management and Advisory Fee (Note 4)

Fidelity has entered into sub-advisory agreements with a number of entities, including Fidelity Management & Research Company LLC and FMR Investment Management (UK) Limited, to provide investment advice with respect to all or a portion of the investments of the Fund. The sub-advisors arrange for acquisition and disposition of portfolio investments, including all necessary brokerage arrangements. The annual management fee rates for each Series were as follows:

Rate (%)Series A 1.450Series B 1.200Series F .700Series E1 1.125Series E2 1.075Series E3 1.050

Rate (%)Series P1 .625Series P2 .575Series P3 .550Series P4 .525Series P5 .500

16



Administration Fee (Note 4)

The annual rate of the administration fee will fall under one of three tiers, depending on the net asset value of the Fund: Under $100 Million (Tier 1), $100 Million to $1 Billion (Tier 2) and Over $1 Billion (Tier 3). The administration fee of each Series is as follows:

Tier 1 (%) Tier 2 (%) Tier 3 (%)Series A 0.200 0.190 0.180Series B 0.175 0.165 0.155Series F 0.125 0.115 0.105Series E1 0.150 0.140 0.130Series E2 0.150 0.140 0.130Series E3 0.125 0.115 0.105

Tier 1 (%) Tier 2 (%) Tier 3 (%)Series P1 0.100 0.090 0.080Series P2 0.100 0.090 0.080Series P3 0.075 0.065 0.055Series P4 0.075 0.065 0.055Series P5 0.075 0.065 0.055

Prior to November 1, 2018, the administration fee was as follows (some or all Series’ administration fees may not have changed):

Tier 1 (%) Tier 2 (%) Tier 3 (%)Series A 0.230 0.220 0.210Series B 0.180 0.170 0.160Series F 0.135 0.125 0.115Series E1 0.155 0.145 0.135Series E2 0.155 0.145 0.135Series E3 0.130 0.120 0.110

Tier 1 (%) Tier 2 (%) Tier 3 (%)Series P1 0.110 0.100 0.090Series P2 0.110 0.100 0.090Series P3 0.085 0.075 0.065Series P4 0.085 0.075 0.065Series P5 0.085 0.075 0.065

Commissions and Other Portfolio Costs (Note 4)

The Fund paid commissions and other portfolio costs of $- (March 31, 2019: $-) to brokerage frms that are affliates of Fidelity. In addition, the Fund paid $- (March 31, 2019: $-) for research.

Taxation and Distributions (Note 5)

The Fund qualifes as a mutual fund trust under the provisions of the Income Tax Act (Canada).

As at the last taxation year-end, the Fund had no capital losses and no non-capital losses available to be carried forward.

Security Transactions and Affliated Ownership (Notes 3 and 6)

Security Transactions - Security transactions and weighted average securities for each Series were as follows:

Securities Outstanding, Beginning of Period Issued Reinvested Redeemed

Securities Outstanding, End of Period Weighted Average Securities

Period ended March 31, 2020Series A 1,654 538 42 (850) 1,384 1,378Series B 1,776 1,793 65 (1,309) 2,325 1,927Series F 1,390 1,792 46 (1,065) 2,163 1,441Series O 11,905 1,414 527 (4,167) 9,679 10,963Series E1 463 1,101 28 (423) 1,169 787Series E2 30 124 3 (33) 124 79Series E3 – – – – – –Series P1 363 775 21 (306) 853 584Series P2 183 190 5 (142) 236 196Series P3 155 40 7 (26) 176 176Series P4 101 32 4 – 137 105Series P5 – – – – – –Period ended March 31, 2019Series A 1,897 356 27 (626) 1,654 1,771Series B 1,615 839 26 (704) 1,776 1,618Series F 1,152 1,006 17 (785) 1,390 1,288Series O 10,768 2,877 311 (2,051) 11,905 11,922Series E1 313 249 5 (104) 463 356Series E2 12 18 – – 30 21Series E3 – – – – – –Series P1 380 231 5 (253) 363 391Series P2 108 92 1 (18) 183 117

17



Securities Outstanding, Beginning of Period Issued Reinvested Redeemed

Securities Outstanding, End of Period Weighted Average Securities

Series P3 – 155 – – 155 26Series P4 99 – 2 – 101 100Series P5 – – – – – –

Affliated Ownership - As at March 31, 2020, Fidelity and its affliates held approximately 55% of the Fund. As at March 31, 2019, Fidelity and its affliates held approximately 67% of the Fund.

Financial Instrument Risk (Note 7)

Credit Risk – Refer to the Quality Diversifcation tables in the “Summary of Investment Portfolio” of the Fund’s Annual Management Report of Fund Performance as at March 31, 2020, which summarize the credit risk that is relevant for the Fund.

Other than outlined above and in Note 3 in the Notes to Financial Statements, there were no signifcant concentrations of credit risk to counterparties as at each reporting period end.

Concentration Risk – Refer to the Derivative Exposure, Geographic Mix, Sector Mix, Asset Mix and Market Capitalization tables, as applicable, in the “Summary of Investment Portfolio” of the Fund’s Annual Management Report of Fund Performance as at March 31, 2020, which summarize the investment concentration risks that are relevant for the Fund.

Other Price Risk – If the benchmark had increased or decreased by 15% on March 31, 2020 and 5% on March 31, 2019, with all other variables held constant, the net assets attributable to securityholders of the Fund would have increased or decreased by approximately $27,438 (March 31, 2019: $10,125). This change is estimated using the Fund’s beta which is calculated based on the historical correlation between the return of the Fund as compared to the return of the benchmark. In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material. Benchmark sensitivity as at March 31, 2020 has been adjusted to refect current market conditions.

Interest Rate Risk – Refer to the Maturity Diversifcation tables in the “Summary of Investment Portfolio” of the Fund’s Annual Management Report of Fund Performance as at March 31, 2020, which summarize the Fund’s exposure to interest-bearing fnancial instruments at period end categorized by the earlier of contractual interest rate reset or maturity dates.

The Fund invests directly and/or indirectly in high yield fxed income securities, which carry greater default risk than interest rate risk.

As at March 31, 2020 and March 31, 2019, had prevailing interest rates raised or lowered by 25 basis points, with all other variables remaining constant, net assets attributable to securityhold-ers would have decreased or increased by approximately $3,879 (March 31, 2019: $3,868). In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material.

Currency Risk – The tables below indicate the currencies to which the Fund’s fnancial instruments have signifcant exposure as at period end.

As at March 31, 2020 As at March 31, 2019Currency Net Exposure ($) As a % of net assets Net Exposure ($) As a % of net assetsU.S. dollar 98,530 44.8 98,447 45.6European Monetary Unit 50,340 22.9 51,107 23.7Japanese yen 33,977 15.5 35,222 16.3British pound 9,955 4.5 9,349 4.3Other foreign currencies 21,606 9.8 14,987 6.9

As at March 31, 2020 and March 31, 2019, had the Canadian dollar strengthened or weakened by 5% in relation to all currencies, with all other variables held constant, net assets attributable to securityholders would have decreased or increased by approximately $10,713 (March 31, 2019: $10,456). In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material.

Investment in Structured Entities (Note 8)

The following tables present additional information that is relevant to the Fund’s investment in Fidelity managed underlying funds.

March 31, 2020 Total Net Assets ($) Fair Value of Investment ($)Fidelity American High Yield Fund 2,587,168 1,865Fidelity Canadian Money Market Investment Trust 1,316,119 1,185Fidelity Floating Rate High Income Multi-Asset Base Fund 822,432 198Fidelity U.S. Money Market Investment Trust 2,254,348 7,829

March 31, 2019 Total Net Assets ($) Fair Value of Investment ($)Fidelity American High Yield Fund 2,736,900 1,309Fidelity Canadian Money Market Investment Trust 3,862,122 1,946Fidelity U.S. Money Market Investment Trust 3,124,846 2,200

Names presented in the tables refect names in effect as at the dates shown.

18


Notes to Financial StatementsFor the periods ended March 31, 2020 and 2019(Amounts in thousands of Canadian dollars unless otherwise stated)

1. Formation of the Funds

The Fidelity Funds (collectively the Funds), are open end investment trusts formed under the laws of Ontario and governed by a Master Declaration of Trust, as amended from time to time. The Funds are authorized to issue an unlimited number of securities. Fidelity Investments Canada ULC (Fidelity), as manager and trustee of the Funds (Manager), is responsible for the day-to-day operations and provides all general management and administrative services. Fidelity, as also the investment advisor, is responsible for the investment management of the Funds’ portfolios. The registered offce of the Funds is located at 483 Bay Street, Suite 300, Toronto, Ontario, M5G 2N7.

Currently, Fidelity mutual funds are offered in the following Series:

Series A, C, T5 and T8 securities are available to all investors in a deferred sales charge (DSC) option. Series A, T5 and T8 securities will be converted to lower management and advisory fee Series B, S5 and S8 securities, respectively, one year after completion of their redemption schedule. Series B, D, S5 and S8 securities are available to all investors in an initial sales charge (ISC) option. Series C and D securities are available to investors who have enrolled in the rebalancing service. Series F, F5 and F8 securities are usually only available to investors who have fee–based accounts with dealers who have signed an eligibility agreement with Fidelity. Series E1, E1T5, E2, E2T5, E3, E3T5, E4, E4T5, E5 and E5T5 (collectively “Series E”) securities are available only to investors who initially hold Series B and/or S5 securities and then become eligible to hold certain Series E securities. Series P1, P1T5, P2, P2T5, P3, P3T5, P4, P4T5, P5 and P5T5 (collectively “Series P”) securities are available only to investors who initially hold Series F and/or F5 securities and then become eligible to hold certain Series P securities. Series O securities are only available to other funds and accounts managed or advised by Fidelity and are not available for public purchase. Series Q securities are only available to dealers that, on behalf of their clients who have granted them discretionary investment authority, use proprietary model portfolios or similar investment products. Dealers that want to purchase Series Q for their clients must enter into an appropriate eligibility agreement with Fidelity. Series I, I5 and I8 securities are available to all investors who have entered into a Series I Agreement with Fidelity and are available to all investors in an initial sales charge (ISC) option.

In addition, Series F5, F8, I5, I8, T5, T8, S5, S8, E1T5, E2T5, E3T5, E4T5, E5T5, P1T5, P2T5, P3T5, P4T5 and P5T5 securities distribute an amount comprised of net income and/or return of capital monthly, if available.

Each Fund meets the defnition of an investment entity as its purpose is to invest its net assets for capital growth and/or investment income for the beneft of its securityholders, and its invest-ment performance is measured on a fair value basis.

The Statements of Financial Position are as at March 31, 2020 and March 31, 2019, as applicable, and the Statements of Comprehensive Income, Changes in Net Assets Attributable to Securityholders and Cash Flows are for the years or periods ended March 31, 2020 and March 31, 2019, as applicable. For newly created Funds in either the current or prior period, the informa-tion presented is for the period from the Fund’s inception date to March 31, 2020 or March 31, 2019, as applicable. Each Fund’s inception date is disclosed in the Fund Specifc Notes to Financial Statements. The Schedule of Investments for each of the Funds is as at March 31, 2020. Throughout this document, reference to the periods refers to the reporting periods described above.

Effective November 1, 2019, the following Funds had name changes:

Fund Name prior to November 1, 2019 Fund Name effective November 1, 2019Fidelity Canadian Focused Equity Investment Trust Fidelity Canadian Focused Equity Multi-Asset Base FundFidelity Emerging Markets Debt Investment Trust Fidelity Emerging Markets Debt Multi-Asset Base FundFidelity Emerging Markets Equity Investment Trust Fidelity Emerging Markets Equity Multi-Asset Base FundFidelity Emerging Markets Local Currency Debt Investment Trust Fidelity Emerging Markets Local Currency Debt Multi-Asset Base FundFidelity Global Bond Currency Neutral Investment Trust Fidelity Global Bond Currency Neutral Multi-Asset Base FundFidelity Global Bond Investment Trust Fidelity Global Bond Multi-Asset Base FundFidelity Global High Yield Investment Trust Fidelity Global High Yield Multi-Asset Base FundFidelity Global Real Estate Investment Trust Fidelity Global Real Estate Multi-Asset Base FundFidelity International Growth Investment Trust Fidelity International Growth Multi-Asset Base Fund

2. Basis of Accounting

Statement of Compliance – These fnancial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as issued by the International Accounting Standards Board (IASB). The accounting policies set out below have been applied consistently unless otherwise stated.

The fnancial statements were authorized for issue by Fidelity’s board of directors on June 11, 2020.

Functional and Presentation Currency – These fnancial statements are presented in Canadian dollars, which is each Fund’s functional currency.

Fund Specifc Notes to Financial Statements – Each Fund presents fnancial disclosure information that is relevant to its fnancial statements in its Fund Specifc Notes to Financial Statements. These disclosures can be found immediately following a Fund’s Schedule of Investments and are to be read in conjunction with these Notes to Financial Statements.

3. Summary of Signifcant Accounting Policies

Basis of Measurement – These fnancial 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.

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Notes to Financial Statements – continuedFor the periods ended March 31, 2020 and 2019(Amounts in thousands of Canadian dollars unless otherwise stated)

Use of Estimates and Judgments – Under IFRS, management is required to make certain estimates and judgments at the date of the fnancial statements. The principal fnancial statement components subject to signifcant accounting estimates and judgments include:

Fair value measurements – A Fund may invest in fnancial 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 specifc events, changes in interest rates and credit quality. Fair value models use observable data, to the extent practical; however, the Manager is required from time to time to make estimates and assumptions that are based on the best information available at that particular time. Changes in these estimates could impact the fair values of the fnancial instruments, and the impact could be material.

Classifcation and measurement of fnancial instruments – Fidelity has made signifcant judgments when determining the classifcation and measurement of a Fund’s fnancial instruments under IFRS 9 – Financial Instruments (IFRS 9). These judgments centre upon a cash fow characteristic and business model analysis. This analysis results in a Fund’s fnancial assets being measured at fair value through proft or loss due to factors including performance evaluation and management of a Fund on a fair value basis.

Presentation of fnancial instruments – Fidelity has made signifcant judgments when determining the classifcation of a Fund’s redeemable securities as fnancial liabilities in accordance with IAS 32 – Financial Instruments – Presentation (IAS 32).

These judgments centre upon the determination that a Fund’s redeemable securities do not have identical features where they are offered in multiple series, and their entitlements include a contractual obligation to distribute any net income and net realized capital gains at least annually in cash (at the request of the securityholder). Therefore, the ongoing redemption feature is not the securities’ only contractual obligation.

Determination of Relationship with Fidelity Managed Underlying Funds – Fidelity has made signifcant judgments when determining the ability of a Fund to control or signifcantly infuence a Fidelity managed underlying fund in accordance with IFRS 10 – Consolidated fnancial statements (IFRS 10) and IAS 28 – Investment in associates and joint ventures (IAS 28). In both determi-nations, Fidelity looks at the relevant activities such as voting rights, participation in policy choices and material cash fows such as subscription and redemption proceeds. Fidelity has determined that a Fund does not have the ability to control nor exercise signifcant infuence on any Fidelity managed underlying fund due to the Fund’s inability to exercise its voting rights and direct or participate in the fnancial and operating policy decisions.

Investment and Derivative Valuation – Investments, including derivatives, are categorized at fair value through proft or loss in accordance with IFRS 9 and measured at fair value.

Each Fund categorizes the inputs to valuation techniques used to fair value its investments and derivatives into a disclosure hierarchy consisting of three levels as shown below:

Level 1 – quoted prices in active markets for identical investments

Level 2 – other signifcant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 – unobservable inputs (including the Fund’s own assumptions based on the best information available)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Transfers between any levels are assumed to have occurred at the beginning of the period. Transfers between Level 1 and Level 2 are primarily attributable to the valuation technique used for foreign equity securities. Transfers into Level 3 are attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 are attributable to observable market data becoming available for those securities.

Valuation techniques used to value a Fund’s investments and derivatives by major category are as follows:

Equity securities, including restricted equity securities and Exchange-traded funds (ETFs) for which market quotations are readily available, are valued at the last sales price or offcial closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event that the last sales price or offcial closing price is not readily available, or is outside the bid-ask spread, the point within the bid–ask spread that is most representative of fair value based on specifc facts and circumstances will be used. For foreign equity securities, when signifcant market or security specifc events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted equity securities, where observable inputs are limited, assumptions about market activity and risk are used and these securi-ties may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted debt securities, are valued based on prices received from independent pricing services or from dealers who make markets in such securities. Pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type, prepayment speed assumptions, attributes of the collateral as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy, but may be categorized as Level 3.

Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (deprecia-tion). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. Independent prices obtained from a single source or broker are evaluated by management and may be categorized as Level 3 in the hierarchy.

The Canadian dollar value of forward foreign currency contracts is determined using the closing foreign currency exchange rates and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Exchange-traded options are

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valued using the last sales price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using dealer-supplied valuations and are categorized as Level 2 in the hierarchy.

Fidelity managed underlying funds, excluding Fidelity managed ETFs, are valued at their closing net asset value per security (NAVPS) each business day and are categorized as Level 1 in the hier-archy. Fidelity managed ETFs are valued at mid pricing: average of last bid/ask price as reported by an independent pricing service based on a consolidated exchange. The consolidated exchange includes all exchanges in which the Fidelity managed ETF may be traded; in which there are available daily market quotations of bid or ask. Fidelity managed ETFs are categorized as Level 1 in the hierarchy.

Short-term securities for which quotations are not readily available are valued at amortized cost, which approximates fair value and are categorized as Level 2 in the hierarchy.

Securities pledged as collateral or deposited to meet margin requirements follow the fair value policies outlined above and are identifed in the Schedule of Investments. In addition, these securi-ties are included in “Investments at fair value through proft or loss” in the Statements of Financial Position.

Cash – Cash, including foreign currency, is comprised of cash on deposit with the custodian.

Cash Collateral – Cash collateral is comprised of cash deposited to meet margin requirements or posted as collateral for open derivative contracts.

Impairment of Financial Assets - At each reporting date, each Fund measures the loss allowance for fnancial assets carried at amortized cost. If, at the reporting date, the credit risk has increased signifcantly since initial recognition, each Fund shall measure the loss allowance at an amount equal to the lifetime expected credit losses. If, at the reporting date, the credit risk has not increased signifcantly since initial recognition, each Fund shall measure the loss allowance at an amount equal to 12 – month expected credit losses. Signifcant fnancial diffculties and probability that the counterparty may default in payments are considered indicators that a loss allowance may be required. If the credit risk increases to the point that it is considered to be credit impaired, interest income will be calculated based on the gross carrying amount adjusted for the loss allowance.

Other Assets and Liabilities – Other assets and liabilities may include amounts due to or from the custodian, affliates or other counterparties for accrued income, investment transactions, a Fund’s security transactions, accrued expenses and other unsettled transactions at period end. These amounts 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 is 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.

Loans and Other Direct Debt Instruments – A Fund may invest in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby fnancing commitments that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans. A Fund may also invest in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Schedule of Investments.

Measurement of redeemable securities issued by the Funds – A Fund’s obligation for net assets attributable to securityholders is recorded at the redemption amount. As at March 31, 2020 and March 31, 2019, a Fund’s NAVPS may differ by less than $0.01 from its net assets attributable to securityholders per Series per security calculated in accordance with IFRS as a result of normal reporting period end procedures to close off the books and records. Any differences between NAVPS and net assets attributable to securityholders of $0.01 or more will be detailed in each fund’s Fund Specifc Notes to Financial Statements.

Investment Transactions, Income Recognition and Transaction Costs – Regular way purchases and sales of fnancial assets are recognized at their trade date. The cost of investments is determined on an average cost basis, excluding commissions and other portfolio transaction costs. Net realized gains and losses from the sale of investments (which may include proceeds received from litigation) and change in net unrealized appreciation (depreciation) on investments are calculated with reference to average cost of the related investment securities.

Interest income includes coupon interest and accretion of discount and amortization of premium on debt securities using the effective interest rate. This is the rate that exactly discounts the estimated future cash receipts through the expected life of the relevant debt securities, to their net carrying amounts. The principal value on infation-indexed securities is periodically adjusted to the rate of infation and interest is accrued based on the principal value. The adjustments to principal due to infation are refected as increases or decreases to interest income even though the principal is not received until maturity. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. Dividend income, including income received from ETFs, is recognized on the ex-dividend date except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the ex-dividend date is known to Fidelity. Distributions received from investment trusts, including Fidelity managed underlying funds, are recorded as income, capital gains or a return of capital based on the best information available. Due to the nature of these investments, actual allocations could vary from this information. Distributions from investment trusts treated as a return of capital reduce the average cost of the underlying investment trusts.

Transaction costs, such as brokerage commissions, incurred in the purchase and sale of investment securities by a Fund are recognized as “Commissions and other portfolio costs” in the Statements of Comprehensive Income.

Foreign Currency Translation – Securities and other assets and liabilities denominated in a foreign currency are translated into the functional currency of a Fund at the period-end exchange rates. Purchases and sales of securities, income and expenses denominated in foreign currencies are translated into the functional currency at the exchange rate on the date of the respective transaction. The effects of exchange rate fuctuations on investments are included in the “Net realized gain (loss) on Investments” and “Change in net unrealized appreciation (depreciation) on investments” and exchange rate fuctuations 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.

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Reverse Repurchase Agreements – Uninvested cash balances may be transferred into one or more joint trading accounts with other Fidelity managed funds, where these balances are invested in reverse repurchase transactions. In reverse repurchase transactions, U.S. or Canadian Government securities are purchased from a counterparty who agrees to repurchase the securities at a higher price at a specifed future date. The difference in price is reported as interest income. Credit risk arises from the potential for a counterparty to default on its obligation to repurchase the security. The risk is managed by the use of counterparties acceptable to Fidelity and by the receipt of the securities as collateral. The value of the collateral must be at least 102% of the daily fair value of the cash invested. Any reverse repurchase agreements open at period end are included in the Schedule of Investments. There were no reverse repurchase agreements open as of period end. The Funds may have exposure to reverse repurchase agreements through their investment in the following Fidelity managed underlying funds: Fidelity Canadian Money Market Investment Trust or Fidelity U.S. Money Market Investment Trust.

Securities Lending - A Fund may lend portfolio securities from time to time in order to earn additional income. Each Fund has entered into a securities lending program with State Street Bank and Trust Company (SSB) to act as its Securities Lending agent.

The aggregate market value of all securities loaned under securities lending transactions or sold in repurchase transactions cannot exceed 50% of the net asset value of a Fund. SSB is entitled to receive payments out of the gross amount generated from the securities lending transactions of a Fund and bear all operational costs directly related to securities lending as well as the cost of borrower default indemnifcation. A Fund receives collateral (in the form of obligations of, or guaranteed by, the Government of Canada, or a province thereof, or by the United States government or its agencies) against the loaned securities and maintains collateral in an amount of at least 105% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined daily at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day.

Forward Foreign Currency Contracts – A Fund may use forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage its currency exposure. Contracts to sell generally are used to mitigate the risk of the Fund’s investments against currency fuctuations, 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 refected 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. A Fund may be required to pledge securities or cash as collateral to a counterparty, in an amount not less than the Fund’s unrealized loss on outstanding forward foreign currency contracts with that counterparty, subject to certain minimum transfer provisions. The Canadian dollar value of any currencies a Fund has committed to buy or sell is shown in the Schedule of Investments under the caption “Forward Foreign Currency Contracts.” This amount represents the aggregate exposure to each currency the Fund has acquired or sold through currency contracts at period end. Losses may arise from changes in the value of foreign currency or if the counterparties do not perform under the contracts’ terms.

Purchases and sales of forward foreign currency contracts having the same currency, settlement date and broker are offset and any realized gain (loss) is recognized on settlement date and settled with the counterparty on a net basis.

Futures Contracts – A Fund may invest in futures contracts to manage its exposure to the markets. Upon entering into a futures contract, a Fund is required to deposit with the clearing broker, no later than the following business day, an amount (initial margin) equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on the settlement date. Subsequent payments (variation margin) are made or received depending on the daily fuctuations in the value of the futures contract and are accounted for as “Change in net unrealized appreciation (depreciation) on derivatives” in the Statements of Comprehensive Income. Upon the expiration or closing of the futures contract, realized gains or losses are recognized, and are recorded in the Statements of Comprehensive Income as “Net realized gain (loss) on derivatives.” Futures contracts involve, to varying degrees, risk of loss in excess of the futures variation margin refected in the Statements of Financial Position. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption “Futures Contracts.” This amount refects each contract’s exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contracts’ terms.

Options – Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or fnancial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. A Fund may use OTC options to manage its exposure to potential investment risks.

Upon entering into an options contract, a Fund will pay or receive a premium. Premiums paid on purchased options are refected as cost of investments and premiums received on written options are refected as a liability and subsequently adjusted to fair value on the Statements of Financial Position. Certain options may be purchased or written with premiums to be paid or received on a future date. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on written options are included on the Statements of Comprehensive Income in “Net realized gain (loss) on derivatives” and “Change in net unrealized appreciation (depreciation) on derivatives.” The net realized and unrealized gains (losses) on purchased options are included on the Statements of Comprehensive Income in “Net realized gain (loss) on investments” and “Change in net unrealized appreciation (depreciation) on investments.” A Fund may be required to pledge securities or cash as collateral to a counterparty, in an amount not less than the Fund’s unrealized loss on outstanding options with that counterparty, subject to certain minimum transfer provisions.

Any open options at period end are presented in the Schedule of Investments under the captions “Purchased Options,” “Purchased Swaptions,” “Written Options” and “Written Swaptions,” as applicable.

Swaps – A Fund may invest in swaps for the purpose of managing its exposure to interest rate or credit risk. A swap is a contract between two parties to exchange future cash fows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a Fund and a dealer counterparty where cash fows are exchanged between the two parties for the

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life of the swap. A centrally cleared OTC swap is a transaction executed between a Fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a Fund exchanges cash fows for the life of the transaction, similar to transactions in futures contracts.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are refected in the Statements of Financial Position in the “Bi-lateral OTC Swaps, at value” line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statements of Financial Position and amortized to realized gain (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments. A Fund may be required to pledge securities or cash as collateral to a counterparty, in an amount not less than the Fund’s unreal-ized loss on outstanding bi-lateral OTC swaps with that counterparty, subject to certain minimum transfer provisions.

Centrally cleared OTC swaps require a Fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the beneft of the clearinghouse. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fuctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statements of Financial Position. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to a daily variation margin account and included in unrealized appreciation (depreciation) in the Statements of Financial Position. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

Interest rate swaps are agreements to exchange cash fows based on a notional principal amount, for example, the exchange of fxed rate interest payments for foating rate interest payments. The periodic payments received or paid are recorded in the Statements of Comprehensive Income as “Net realized gain (loss) on derivatives”. The primary risk associated with interest rate swaps is that unfavorable fuctuations of interest rates could adversely impact a Fund.

Credit default swaps involve the exchange of a fxed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defned credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a “guarantor” receiving a periodic payment that is a fxed percentage applied to a notional principal amount. In return, the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. A Fund may enter into credit default swaps in which the Fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the Fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Premiums received or paid are recorded in the Statements of Comprehensive Income as “Net realized gain (loss) on derivatives”.

Gains or losses are realized upon termination of the swaps. Risks may exceed amounts recognized in the Statements of Financial Position. These risks include changes in the returns of the underly-ing instruments, failure of the counterparties to perform under the contracts’ terms and the possible lack of liquidity with respect to the swaps. Details of any swaps open at period end are included in the Schedule of Investments under the caption “Swaps”.

Delayed Delivery Transactions and When-Issued Securities – A Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fxed at the time the transaction is negoti-ated. During the time a delayed delivery sell is outstanding, the contract is marked to market daily and equivalent deliverable securities are held for the transaction. The value of unsettled securities purchased on a delayed delivery or when-issued basis are identifed as such in the Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, a Fund identifes securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with delayed delivery securities having the same coupon, settlement date, and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to a different broker are refected as both payables and receivables in the Statements of Financial Position under the caption “Delayed delivery”. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract, or if the issuer does not issue the securities due to political, economic, or other factors.

To-Be-Announced (TBA) Securities – TBA securities involve buying or selling U.S. mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specifed terms defned by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. A Fund enters into a TBA transaction with the intent to take possession of or deliver the underlying MBS. Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption “TBA Sale Commitments.” The proceeds and value of these commitments are refected on the Statements of Financial Position.

Valuation of Series – Net assets attributable to securityholders is calculated for each Series of securities of a Fund. The net assets attributable to securityholders of a Series is computed by calculating the Series’ proportionate share of the assets and liabilities of the Fund common to all Series, adjusted for the assets and liabilities of the Fund attributable only to that Series. Expenses directly attributable to a Series are charged to that Series. Investment income and operating expenses are allocated proportionately to each Series based upon the relative net assets attributable to securityholders of each Series, except for items that can be specifcally attributed to one or more Series.

Per Security from Operations – The increase (decrease) in net assets attributable to securityholders resulting from operations per security in the Statements of Comprehensive Income represent the operational increase (decrease) for each Series of a Fund, divided by the relevant weighted average securities outstanding during the period.

Statements of Cash Flows – When preparing the Statements of Cash Flows, a Fund nets the rollover activity of its short-term investments, and includes only the net cash fow impact in “Purchases of investments and derivatives” or “Proceeds from sale and maturity of investments and derivatives”, as applicable. Additionally, in accordance with IFRS, a Fund’s Statements of Cash Flows excludes non-cash transactions from its operating and fnancing activities.

4. Expenses and Other Related Party Transactions

Management and Advisory Fee – Fidelity serves as manager of the Funds. Fidelity is part of a broader collection of companies collectively known as Fidelity Investments. The Funds pay Fidelity a monthly management fee for its services and the provision of key management personnel to the Funds, based on the net asset value of each Series, calculated daily and payable

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monthly. To avoid duplication of management fees, Series O of Fidelity managed underlying funds are not subject to management fees. Where a Fund invests in a Fidelity managed underlying fund, whose series have management fees (non-Series O), Fidelity will make adjustments to ensure there is no duplication of management fees.

In addition, no management fees are charged with respect to the Series O securities, but securityholders will be charged a negotiated management fee directly.

Fidelity may reduce the management fee or a Fund expense for certain securityholders by reducing the management fee it charges to the Fund or reducing the amount charged to the Fund for cer-tain expenses and having the Fund pay out the amount of the reduction to the securityholders as a distribution. These distributions are disclosed as “Management fee reduction” in the Statements of Changes in Net Assets Attributable to Securityholders.

Administration Fee – Fidelity charges the Funds a fxed administration fee in place of certain variable and administrative expenses, including the provision of key administrative personnel to the Funds. Fidelity, in turn, pays all of the operating expenses of the Funds, other than certain specifed fund costs, including the fees and expenses of the Independent Review Committee, taxes, brokerage commissions and interest charges. The administration fee is in addition to the management fee and is based on the net asset value of each Series, calculated daily and payable monthly. To avoid duplication of fees, Series O securities of any Fidelity managed underlying fund are not subject to the Administration fee.

Independent Review Committee Fees – The Independent Review Committee (IRC), as required under National Instrument 81-107, reviews confict 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 affliates. 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 Funds proportionately by assets.

Sales Tax – Certain provinces have harmonized their Provincial Sales Tax (PST) with the federal Goods and Services Tax (GST).The Harmonized Sales Tax (HST) combines the GST rate of 5% with the PST rate of certain provinces. The Provincial GST/HST liability or refund is calculated using the residency of securityholders and the value of their interests in a Fund as at specifc times, rather than the physical location of a Fund. The effective GST/HST rate charged to each Series of a Fund is based on the securityholders’ proportionate investments by province, using each province’s HST rate or GST rate in the case of non-participating provinces. All amounts are included in the Statements of Comprehensive Income as “Sales tax”.

Other Expenses – Other operating expenses represents fund costs attributable to a Fund that are not otherwise covered by the management fee or fxed administration fee as outlined in each Fund’s simplifed prospectus, and are not otherwise disclosed separately on the Statements of Comprehensive Income. Each Series of a Fund, other than Series O of a Fund, is responsible for its proportionate share of common fund costs in addition to expenses that it alone incurs. Series O of a Fund is responsible for its share of certain fund costs as outlined in the Fund’s simplifed prospectus.

Expenses Waived – Fidelity may absorb or waive certain expenses at its sole discretion and can terminate the absorption or waiver at any time. Any such waivers are disclosed as “Expenses waived” in the Statements of Comprehensive Income.

Commissions and Other Portfolio Costs – “Commissions and other portfolio costs” in the Statements of Comprehensive Income are net of any reimbursements from brokers who reimbursed a portion of their commissions.

A portion of commissions may be paid for research. Amounts paid for research provided to the Funds by executing brokers are estimates made by Fidelity. Fidelity has established proce-dures to assist them in making a good faith determination that the Funds received a reasonable beneft considering the value of research goods and services and the amount of brokerage commissions paid.

In addition, a portion of a Fund’s portfolio transactions may be placed with brokerage frms which are affliates of Fidelity Investments, provided it determines that these affliates’ trade execution abilities and costs are comparable to those of non–affliated, qualifed brokerage frms, on an execution–only basis.

5. Taxation and Distributions

For tax purposes, each Fund has a December year–end. In each tax year, a Fund declares and credits as due and payable suffcient net investment income and net realized capital gains to secu-rityholders such that a Fund will not be subject to income taxes. As a result, each Fund does not record income taxes under IAS 12 – Income Taxes (IAS 12) and accordingly does not recognize the deferred tax beneft associated with tax loss carry forwards and other taxable temporary differences. Capital losses may be carried forward indefnitely to reduce future realized capital gains. Non–capital losses may be carried forward for up to 20 tax years to reduce future taxable income.

Foreign withholding taxes are imposed by certain countries on investment income and are estimated based on the tax rules and actual rates that exist in the foreign markets. Investment income is recorded gross of foreign taxes withheld. Foreign withholding taxes are accrued for in conjunction with the accrual for the related investment income and are included in “Foreign taxes withheld” on the Statements of Comprehensive Income and “Other payables and accrued expenses” on the Statements of Financial Position. In addition, certain countries apply withholding taxes on capital gains on investments and such taxes are accrued against the relevant security and included in other payables and accrued expenses. The taxes paid on realized gains from sales of securities paid and the accrued tax liability on unrealized gains on securities subject to withholding taxes are included in “Foreign taxes withheld” and “Change in net unrealized appreciation (depreciation) on investments” in the Statements of Comprehensive Income, respectively.

Distributions are taxable in securityholders’ hands. At the end of each tax year, the character of the distributions is determined for tax purposes. Under the terms of the Declaration of Trust, the trustee may capitalize any distribution amount without any increase in the number of securities outstanding. Distributions, if any, are declared separately for each Series.

6. Capital Risk Management

Securities issued and outstanding are considered to be the capital of a Fund. The capital of each series of a Fund is divided into an unlimited number of securities of equal value, with no par value. All securities in a series of a Fund rank equally with respect to distributions. A securityholder of a Fund is entitled to one vote for each one dollar in value of securities owned. Fractional securities

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are proportionately entitled to these rights. A Fund generally has no restrictions or specifc capital requirements on the subscriptions and redemptions of securities other than minimum subscription requirements; although, on rare occasions, Fidelity may temporarily suspend securityholders’ right to redeem securities and postpone paying sale proceeds. The relevant movements attributable to securityholders are shown in the Statements of Changes in Net Assets Attributable to Securityholders of each Fund. In accordance with the objectives and the risk management policies, Fidelity endeavors to invest the subscriptions received in appropriate investments while maintaining suffcient liquidity to meet redemptions. Such liquidity is managed by investing the majority of assets in investments that can be readily disposed and via a Fund’s ability to borrow up to 5% of its net asset value.

7. Financial Instruments Risk

The COVID-19 (coronavirus disease) pandemic has caused volatility and decline in global fnancial markets as well as signifcant disruptions to global business activity. As global fnancial markets react to this disruption, values of certain securities of many issuers have been adversely impacted beginning in March 2020. The impact of unanticipated market disruptions, including COVID-19, may exacerbate pre-existing political, social or economic risk, and may disproportionately affect certain issuers, industries or types of securities. Such unanticipated market and economic disrup-tions, including COVID-19, may be short-term or may last for an extended period of time, and could have effects that cannot necessarily be presently foreseen.

A Fund’s activities expose it to a variety of fnancial instruments risks: credit risk, concentration risk, liquidity risk, other price risk, interest rate risk, currency risk and emerging market risk. Fidelity seeks to minimize potential adverse effects of these performance risks by employing professional, experienced portfolio advisors, by daily monitoring of positions and market events, and by diversifying the investment portfolio within the constraints of the investment mandate. Derivative fnancial instruments may be used to moderate certain risk exposures.

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 alloca-tions are analyzed.

Credit Risk – Credit risk is the risk that a counterparty to a fnancial instrument will fail to discharge an obligation or commitment that it has entered into with a Fund. A Fund’s own credit risk in the case of fnancial liabilities and a counterparty’s credit risk, both indirect and direct, are considered, where applicable, in determining the fair value of fnancial assets and fnancial liabilities. The carrying amount of investments and other assets represents the maximum credit risk exposure as at each reporting period end.

A Fund measures credit risk and expected credit losses using probability of default, exposure at default and loss given default. Management considers both historical analysis and forward looking information in determining any expected credit loss. A signifcant increase in credit risk is defned by management as any contractual payment which is more than 30 days past due or on a low quality credit standing. Any contractual payment which is more than 90 days past due is considered credit impaired. As at March 31, 2020 and March 31, 2019, all amounts receivable for invest-ments sold, cash or short term deposits are held with high credit quality counterparties. Management considers the probability of default to be close to zero as these instruments have a low risk of default and the counterparties have a strong capacity to meet their contractual obligations in the near term. As a result, no loss allowance has been recognised based on 12 – month expected credit losses as any such impairment would be wholly insignifcant to a Fund.

Non-investment grade commercial mortgage-backed securities (MBS) and high yield real estate fxed-income securities tend to be riskier than investment grade securities. If there are changes in the market’s perception of the issuers of these types of securities, in the credit worthiness of the underlying borrowers or in the assets backing the pools, then the value of the securities may be affected. There is risk that the underlying loans may not be repaid in full, which could lead to holders of MBS not receiving full repayment. A Fund may from time to time invest in securities that may be less liquid. This can make a Fund riskier than if it had invested with greater diversifcation and in more liquid investments.

Collateralized reverse repurchase agreements may result in credit exposure in the event that the counterparty to the transaction is unable to fulfll its contractual obligations. The risk is managed by the receipt of the underlying securities as collateral and use of counterparties whose credit worthiness is considered suffcient based on Fidelity’s independent review.

Credit risk exposure for derivative instruments is based on a Fund’s unrealized gain on the contractual obligations with the counterparty as at the reporting date. A Fund restricts its exposure to credit losses on derivative instruments by limiting its exposure to any one counterparty and by entering into transactions with counterparties who meet the minimum approved credit rating under securities regulations and other pre-set fnancial and non- fnancial criteria.

Concentration Risk – A Fund may be exposed to risk, both indirect and direct, based on the concentration levels of its fnancial instruments in various sectors, geographic regions, asset weight-ings and market capitalization, as applicable. Fidelity analyzes and monitors these concentration risks regularly.

Liquidity Risk – Liquidity risk is defned as the risk that a Fund may not be able to settle or meet its obligations on time or at a reasonable price. A Fund is exposed to daily cash redemptions of its redeemable securities. Redeemable securities are redeemed on demand at the securityholder’s option based on a Fund’s NAVPS at the time of redemption. A Fund may be exposed to indirect liquidity risk through its investments.

From time to time, securities that are not traded in an active market may be invested in and may be illiquid. Private and/or restricted securities held, if any, are identifed in the Schedule of Investments.

In accordance with securities regulations, investment funds must maintain at least 90% of assets in liquid investments; investments that are traded in an active market and can be readily disposed of. In addition, a Fund aims to retain suffcient cash and short-term investments to maintain liquidity, and has the ability to borrow up to 5% of its net asset value from the custodian for the purpose of funding redemptions. The liquidity position is monitored on a daily basis.

As at each reporting period end, the Funds did not have fnancial liabilities with maturities greater than 3 months.

Other Price Risk – Other price risk is the risk that the value of fnancial instruments will fuctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk on monetary instruments), whether caused by factors specifc to an individual investment, its issuer, or other factors affecting all instruments traded in a market or market segment. All fnancial instruments present a risk of loss of capital. This risk is moderated through a careful selection of securities and other fnancial instruments within the parameters of the investment

25



strategy. The maximum risk resulting from fnancial instruments is equivalent to their fair value except for possible losses from options written and future contracts which can be unlimited. Investments and derivatives are susceptible to other price risk arising from uncertainties about future prices of the instruments.

In determining a Fund’s impact from exposure to other price risk, both indirect and direct, a beta may be used when applicable. Beta, a measure of the volatility of a security or a portfolio in comparison to the market as a whole, is derived from comparing 36 months of returns between the benchmark and a Fund. As such, beta inherently includes effects refected in interest rate and currency risks. A beta of 1 indicates the security’s price will move with the market. A beta of less than 1 means the security will be less volatile than the market. A beta of greater than 1 indicates 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. Beta may not be representative of future beta.

Interest Rate Risk – Interest rate risk arises on interest-bearing fnancial instruments held directly or indirectly in the investment portfolio such as bonds. A Fund is exposed to the risk that the fair value or the future cash fows of interest-bearing fnancial instruments will fuctuate due to changes in the prevailing levels of market interest rates. Any excess cash may be invested in short-term investments at market interest rates.

The fxed income investment strategy for a Fund with exposure to investment grade bonds adheres to independent quantitative understanding of all benchmark and portfolio risk and return characteristics with an explicit understanding of all active exposures relative to the investment benchmark. Interest rate anticipation is not a signifcant component of the fxed income investment strategy.

High yield securities, including, but not limited to, security types commonly known as: high yield bonds, foating rate debt instruments, foating rate loans, senior secured debt obligations, convertible securities, high yield commercial MBS as well as some fxed income securities issued by corporations and governments in emerging market economies, may be more or less sensitive to changes in market interest rates, depending upon the securities’ coupon rates, terms to maturity and other factors. However, the volatility associated with these high yield securities is not a result of interest rate risk; in fact, the interest rate risk of these securities tends to be lower than the investment grade bonds, which generally pay lower coupon rates and/or offer lower yields. High yield securities typically are issued by companies that tend to be less creditworthy than investment grade bond issuers. As such, they carry greater default risk than investment grade bonds and accordingly offer higher coupon payments to compensate investors for this additional risk.

Currency Risk – Currency risk arises from fnancial instruments that are denominated in a currency other than a Fund’s functional currency. A Fund is exposed to the risk, both indirect and direct, that the value of fnancial instruments will fuctuate due to changes in exchange rates. Currency risk is not considered to arise from fnancial instruments that are non-monetary items such as equity investments, or forward foreign exchange contracts related to such non-monetary items. Foreign exchange exposure relating to non-monetary assets and liabilities is considered to be a component of other price risk, not foreign currency risk. Management monitors the exposure on all foreign currency denominated assets and liabilities, and may enter into forward foreign currency contracts to manage a Fund’s exposure to foreign exchange movements (such as the U.S. dollar, the Euro or the Yen). Generally, the use of forward contracts to hedge currency fuctuations as completely as possible will not result in the impact of currency fuctuations being eliminated altogether. Furthermore, during times of extreme market stress or volatility, a Fund may not be able to prevent losses from exposure to foreign currencies.

Emerging Market Risk – A Fund’s indirect and direct exposure in countries with limited or developing capital markets may involve greater risks than investments in more developed markets, and the prices of such investments may be volatile due to the consequences of political, social, or economic changes.

8. Investment in Structured Entities

A Fund’s investment in a Fidelity managed underlying fund represents an interest in a structured entity. A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrange-ments such as those agreements executed by a Fund with its Manager and portfolio advisor.

A Fidelity managed underlying fund is fnanced through the issuance of its redeemable trust securities and its purpose is to invest its net assets for capital growth and/or investment income for the beneft of its securityholders.

A Fund does not control nor signifcantly infuence these structured entities, as defned by IFRS 10 and IAS 28, due to the Fund’s inability to exercise its voting rights and direct or participate in the fnancial and operating policy decisions.

The maximum risk of loss in an investment in a structured entity is equal to its fair value and carrying value which is included in “Investments at fair value through proft or loss” on the Statements of Financial Position. There is no difference between the maximum risk of loss and the carrying amounts of the assets and liabilities of a Fidelity managed underlying fund that relate to a Fund’s interests. There are additional risks associated with these investments. Refer to Note 7 for further discussion.

In the normal course of operations to fulfll its investment objective, a Fund will, from time to time, subscribe for additional securities or redeem securities of a Fidelity managed underlying fund. However, a Fund does not have any obligation or intention to provide fnancial support. In addition, a Fund may receive a distribution of income and/or capital gains from its investment as described above in Note 3.

ETFs may also be considered unconsolidated structured entities. The carrying value and maximum exposure to losses of such ETF holdings is equal to their fair value, which is included in the Statements of Financial Position. The change in fair value of these ETF holdings is included in the Statements of Comprehensive Income in “Change in net unrealized appreciation (depreciation) on investments.” Any ownership of externally managed ETFs that is 1% or greater is detailed in each applicable fund’s Fund Specifc Notes to Financial Statements.

In addition, MBS or asset-backed securities (ABS) are considered to be unconsolidated structured entities. MBS are formed by pooling various types of mortgages while ABS are formed by pooling assets such as auto loans, credit card receivables or student loans. An interest or claim to this future cash fow (interest and principal) is then sold in the form of debt or equity securities, which could be held by a Fund. A Fund accounts for these investments at fair value. The fair value of such securities, as disclosed in the Schedule of Investments, represents the maximum exposure to losses at that date.

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Management Responsibility for Financial Reporting

The accompanying fnancial statements of each of the Funds have been prepared by Fidelity Investments Canada ULC (Fidelity), as Manager of the Funds. Fidelity is responsible for the informa-tion and representations contained in these fnancial statements. The Board of Directors of Fidelity is responsible for reviewing and approving these fnancial statements.

Fidelity maintains appropriate processes to ensure that relevant and reliable fnancial information is produced. The fnancial statements have been prepared in accordance with International Financial Reporting Standards and include certain amounts and disclosures that are based on estimates and judgments. The signifcant accounting policies, which management believes are appropriate for the Fund, are described in Note 3 to the fnancial statements.

PricewaterhouseCoopers LLP is the external auditor of the Funds. It has audited the fnancial statements in accordance with Canadian generally accepted auditing standards to enable it to express to the securityholders its opinion on the fnancial statements. Its report is an integral part of these fnancial statements and is set out on the following page of this annual report.

Brock Dunlop

Vice President and Fund Treasurer Fidelity Investments Canada ULC June 11, 2020

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PricewaterhouseCoopers LLP PwC Tower, 18 York Street, Suite 2600, Toronto, Ontario, Canada M5J 0B2 T: +1 416 863 1133, F: +1 416 365 8215 “PwC” refers to PricewaterhouseCoopers LLP, an Ontario limited liability partnership.

Independent auditor’s report

To the Securityholders and Trustee of

Fidelity American Balanced Currency Neutral Fund Fidelity American Balanced Fund Fidelity AsiaStar® Fund Fidelity Canadian Focused Equity Multi-Asset Base Fund (formerly Fidelity Canadian Focused Equity Investment Trust) Fidelity Canadian High Dividend Index ETF Fund Fidelity Canadian High Quality Index ETF Fund Fidelity Canadian Low Volatility Index ETF Fund Fidelity Canadian Monthly High Income ETF Fund Fidelity Canadian Short Term Corporate Bond ETF Fund Fidelity China Fund Fidelity Conservative Income Fund Fidelity Conservative Income Private Pool Fidelity Emerging Markets Debt Multi-Asset Base Fund (formerly Fidelity Emerging Markets Debt Investment Trust) Fidelity Emerging Markets Equity Multi-Asset Base Fund (formerly Fidelity Emerging Markets Equity Investment Trust) Fidelity Emerging Markets Fund Fidelity Emerging Markets Local Currency Debt Multi-Asset Base Fund (formerly Fidelity Emerging Markets Local Currency Debt Investment Trust) Fidelity Europe Fund Fidelity Far East Fund Fidelity Floating Rate High Income Currency Neutral Fund Fidelity Founders™ Investment Trust Fidelity Frontier Emerging Markets Fund Fidelity Global Asset Allocation Currency Neutral Private Pool Fidelity Global Asset Allocation Fund Fidelity Global Asset Allocation Private Pool Fidelity Global Bond Currency Neutral Fund

Fidelity Global Bond Currency Neutral Multi-Asset Base Fund (formerly Fidelity Global Bond Currency Neutral Investment Trust) Fidelity Global Bond Fund Fidelity Global Bond Multi-Asset Base Fund (formerly Fidelity Global Bond Investment Trust) Fidelity Global Concentrated Equity Currency Neutral Fund Fidelity Global Concentrated Equity Fund Fidelity Global Consumer Industries Fund Fidelity Global Core Plus Bond ETF Fund Fidelity Global Credit Ex-U.S. Currency Neutral Multi-Asset Base Fund Fidelity Global Credit Ex-U.S. Investment Trust Fidelity Global Disciplined Equity® Currency Neutral Fund Fidelity Global Disciplined Equity® Fund Fidelity Global Dividend Fund Fidelity Global Dividend Investment Trust Fidelity Global Financial Services Fund Fidelity Global Fund Fidelity Global Growth and Value Investment Trust Fidelity Global Health Care Fund Fidelity Global High Yield Multi-Asset Base Fund (formerly Fidelity Global High Yield Investment Trust) Fidelity Global Innovators® Investment Trust Fidelity Global Intrinsic Value Investment Trust Fidelity Global Large Cap Fund Fidelity Global Monthly High Income ETF Fund Fidelity Global Monthly Income Currency Neutral Fund Fidelity Global Monthly Income Fund Fidelity Global Natural Resources Fund Fidelity Global Real Estate Fund Fidelity Global Real Estate Multi-Asset Base Fund (formerly Fidelity Global Real Estate Investment Trust)

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Fidelity Global Small Cap Fund Fidelity Global Telecommunications Fund Fidelity Insights Currency Neutral Multi-Asset Base Fund Fidelity Insights Investment Trust Fidelity Insights Systematic Currency Hedged Fund Fidelity International Concentrated Equity Currency Neutral Fund Fidelity International Concentrated Equity Fund Fidelity International Disciplined Equity® Currency Neutral Fund Fidelity International Disciplined Equity® Fund Fidelity International Equity Multi-Asset Base Fund Fidelity International Growth Currency Neutral Multi-Asset Base Fund Fidelity International Growth Fund Fidelity International Growth Multi-Asset Base Fund (formerly Fidelity International Growth Investment Trust) Fidelity International High Dividend Index ETF Fund Fidelity International High Quality Index ETF Fund Fidelity International Low Volatility Index ETF Fund Fidelity Investment Grade Total Bond Currency Neutral Fund Fidelity Investment Grade Total Bond Fund Fidelity Japan Fund Fidelity Multi-Sector Bond Currency Neutral Fund Fidelity Multi-Sector Bond Fund Fidelity NorthStar® Balanced Currency Neutral Fund

Fidelity NorthStar® Balanced Fund Fidelity NorthStar® Currency Neutral Fund Fidelity NorthStar® Fund Fidelity Strategic Income Currency Neutral Fund Fidelity Strategic Income Fund Fidelity Sustainable World ETF Fund Fidelity Systematic Canadian Bond Index ETF Fund Fidelity Systematic U.S. High Yield Bond Currency Neutral ETF Fund Fidelity Systematic U.S. High Yield Bond ETF Fund Fidelity Tactical Global Dividend ETF Fund Fidelity Tactical High Income Currency Neutral Fund Fidelity Tactical High Income Fund Fidelity Tactical Strategies Fund Fidelity Technology Innovators Fund Fidelity U.S. Dividend for Rising Rates Currency Neutral Index ETF Fund Fidelity U.S. Dividend for Rising Rates Index ETF Fund Fidelity U.S. High Dividend Currency Neutral Index ETF Fund Fidelity U.S. High Dividend Index ETF Fund Fidelity U.S. High Quality Currency Neutral Index ETF Fund Fidelity U.S. High Quality Index ETF Fund Fidelity U.S. Low Volatility Currency Neutral Index ETF Fund Fidelity U.S. Low Volatility Index ETF Fund Fidelity U.S. Monthly Income Currency Neutral Fund (individually, a Fund)

Our opinion

In our opinion, the accompanying March 31, 2020 financial statements of each Fund present fairly, in all material respects, the financial position of each Fund, its financial performance and its cash flows as at and for the periods indicated in note 1 in accordance with International Financial Reporting Standards as issued by the International Accounting Standards Board (IFRS).

What we have audited The financial statements of each Fund comprise:

• the statements of financial position as at the period-end dates indicated in note 1;

• the statements of comprehensive income for the periods indicated in note 1;

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• the statements of changes in net assets attributable to securityholders for the periods indicated in note 1;

• the statements of cash flows for the periods indicated in note 1; and

• the notes to the financial statements, which include a summary of significant accounting policies.

Certain required disclosures have been presented elsewhere in the Annual Management Report of Fund Performance, rather than in the notes to the financial statements. These disclosures are cross-referenced from the financial statements and are identified as audited.

Basis for opinion

We conducted our audit in accordance with Canadian generally accepted auditing standards. Our responsibilities under those standards are further described in the Auditor’s responsibilities for the audit of the financial statements section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Independence We are independent of each Fund in accordance with the ethical requirements that are relevant to our audit of the financial statements in Canada. We have fulfilled our other ethical responsibilities in accordance with these requirements.

Other information

Management is responsible for the other information of each Fund. The other information comprises the Annual Management Report of Fund Performance of each Fund.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements of each Fund, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements of each Fund or our knowledge obtained in the audit, or otherwise appears to be materially misstated.

If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

Responsibilities of management and those charged with governance for the financial statements

Management is responsible for the preparation and fair presentation of the financial statements of each Fund in accordance with IFRS, and for such internal control as management determines is necessary to

30

enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, management is responsible for assessing the ability of each Fund to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless management either intends to liquidate any Fund or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the financial reporting process of each Fund.

Auditor’s responsibilities for the audit of the financial statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole for each Fund are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Canadian generally accepted auditing standards will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements of each Fund.

As part of an audit in accordance with Canadian generally accepted auditing standards, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements of each Fund, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the internal control of each Fund.

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by management.

• Conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the ability of each Fund to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements of each Fund or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause any Fund to cease to continue as a going concern.

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• Evaluate the overall presentation, structure and content of the financial statements of each Fund, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

(Signed) “PricewaterhouseCoopers LLP” Chartered Professional Accountants, Licensed Public Accountants

Toronto, Ontario June 11, 2020

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Fidelity Investments Canada ULC483 Bay Street, Suite 300Toronto, Ontario M5G 2N7

Manager, Transfer Agent and RegistrarFidelity Investments Canada ULC483 Bay Street, Suite 300Toronto, Ontario M5G 2N7

Portfolio AdviserFidelity Investments Canada ULCToronto, Ontario

CustodianState Street Trust Company of CanadaToronto, Ontario

AuditorPricewaterhouseCoopers LLPToronto, Ontario

Visit us online atwww.fidelity.caor call Fidelity Client Servicesat 1-800-263-4077

Fidelity’s mutual funds are sold by registered Investment Professionals. Each Fund has a simplifed prospectus, which contains important information on the Fund, including its investment objective, purchase options, and applicable charges. Please obtain a copy of the prospectus, read it carefully, and consult your Investment Professional before investing. As with any investment, there are risks to investing in mutual funds. There is no assurance that any Fund will achieve its investment objective, and its net asset value, yield, and investment return will fuctuate from time to time with market conditions. Investors may experience a gain or loss when they sell their securities in any Fidelity Fund. Fidelity Global Funds may be more volatile than other Fidelity Funds as they concentrate investments in one sector and in fewer issuers; no single Fund is intended to be a complete diversifed investment program. Past performance is no assurance or indicator of future returns. There is no assurance that either Fidelity Canadian Money Market Fund, Fidelity Canadian Money Market Investment Trust, Fidelity U.S. Money Market Fund or Fidelity U.S. Money Market Investment Trust will be able to maintain its net asset value at a constant amount. The breakdown of Fund investments is presented to illustrate the way in which a Fund may invest, and may not be representative of a Fund’s current or future investments. A Fund’s investments may change at any time.

®Fidelity Investments is a registered trademark of Fidelity Investments Canada ULC.62.107802E 1.856887.112

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