FIAM High Yield CMBS - Fidelity Investments

FIAM High Yield CMBS

FIXED INCOME

OBJECTIVE

Seeks to outperform the CMBS and high yield corporate bond markets over a full market cycle while providing a high level of current income and attractive risk-adjusted total return by investing in a universe of investment-grade and non-investment grade commercial mortgagebacked securities (CMBS) and opportunistically in other high yielding real estate debt securities.

INVESTMENT APPROACH

The High Yield CMBS investment approach utilizes the same fundamental, bottom-up research process that Fidelity applies to corporate bonds, except the analysis focuses on commercial real estate valuation and loan structure fundamentals rather than corporate management and earnings prospects. We believe that CMBS remains a relatively inefficient sector whose analysis requires a high degree of specialization. The primary focus of our CMBS research is on the ability of underlying mortgage loans to support the cash flows of the various bonds of the issue. This extensive credit analysis

is combined with active portfolio management to maintain an optimal asset mix and capitalize on sector inefficiencies. Fidelity employs a highly collaborative approach that values the input of each member of the Real Estate Debt team regarding security analysis and selection while requiring accountability on an individual basis. Each member of the investment team has substantial experience in the real estate investment industry, which is critical in understanding the underlying property collateral of CMBS. The group takes a conservative and disciplined approach to analyzing, selecting and managing real estate debt securities. There are several unique features of our approach; the most notable being our extensive property due diligence and our ability to invest in both newly issued and seasoned, older vintage CMBS in the secondary market. We believe our ability to effectively incorporate real estate credit analysis and coverage of a large CMBS universe into the overall investment process is a distinct competitive advantage.

FACT SHEET JUNE 30, 2024

KEY FACTS

Composite inception date: January 31, 1995

Bbg US CMBS ex-AAA

Benchmark:

ex-Agncy Guartd 6-1-2024

Linked Index

Total product assets (USD): $2.9 Billion

Separate account minimum (USD):

$50 Million

Institutional mutual fund minimum (USD):

$1 Million

Typical portfolio turnover: 20%

PORTFOLIO MANAGEMENT

William Maclay, CFA Matthew Torchia, CFA

CHARACTERISTICS

Average Spread Average Yield (%) Average Duration (years) Average Price (USD)

1999 2007

531 10.10 2.90 88.05

2001 2021

337 8.04 3.75 88.14

Institutional Portfolio Manager 617-563-7644 andrew.rubin@

For Institutional Use Only

FIAM High Yield CMBS

FIXED INCOME

SECURITY TYPE DISTRIBUTION (%)

Conduit CMBS Fixed-Rate SASB Floating-Rate SASB RMBS RE Bonds/Loans Cash

Total

39.19 27.26 25.42 0.01 6.38 1.74

100.00

QUALITY ALLOCATION (%)

A and Higher BBB BB B CCC and Lower Unrated Cash

23.40 19.57 23.57 16.81 6.19 8.73 1.74

1200

900 812

425

301

212

185

114 56 82 119

41

AAA AA A BBB BB B

Corporates

CMBS

Source: Barclays Capital Bloomberg, Merrill Lynch as of June 30, 2024.

FACT SHEET JUNE 30, 2024

High Yield CMBS (Gross) High Yield CMBS (Net) Bg CMBS exAAAexAgyGtd Lnk

Cumulative

QTR

YTD

1.97

7.72

1.80

7.35

1.09

2.82

1-Yr

11.17 10.39 7.51

Annualized

3-Yr

5-Yr

10-Yr

Since Inception

1.32

1.56

3.50

8.43

0.62

0.84

2.74

7.62

(2.94)

0.09

2.19

Relative Return (Gross) Relative Return (Net)

0.88

4.90

3.66

4.26

1.47

1.31

0.71

4.53

2.88

3.56

0.75

0.55

The inception of this composite is January 31, 1995. The track record for Bloomberg CMBS ex-AAA Index starts on July 31, 1999, subsequent to inception of the composite. As a result, a since inception relative return is not available.

High Yield CMBS (Gross) 2.74 (7.76) 8.51 (4.92) 9.81 3.68 6.49 3.17 3.66 10.54

High Yield CMBS (Net)

2.02 (8.40) 7.74 (5.63) 8.99 2.91 5.69 2.39 2.88 9.72

Bg CMBS exAAAexAgyGtd Lnk

3.63

(13.65)

2.86

4.13 10.39 2.05

6.03

4.57

0.07

3.89

If shown, gross returns do not reflect the deduction of investment advisory ("IA"), performance, administrative or custodial fees, but do include trading expenses. Deduction of all fees will reduce returns. Net composite performance is shown less the highest advisory fee applicable to any FIAM client employing this strategy; other fees and expenses may reduce returns. Please see the GIPS Composite Report for composite performance that is net of the highest advisory fee applicable to any account in the composite, which includes accounts managed by FIAM and its affiliates, as permitted. The net performance in the GIPS Composite Report will be lower than the net performance shown above if the composite includes an account of a FIAM affiliate that charges a higher fee. Historical performance shown may have been achieved by a different investment adviser in the GIPS Firm definition than the investment adviser presenting the performance, and the investment team responsible for the performance shown may have changed over the course of the composite's performance time period shown. Past performance is no guarantee of future results.

? CMBS are liquid public debt securities that enable investors to gain exposure to the commercial real estate market

? Higher yields and wider spreads relative to comparably rated corporate bonds

? Source of portfolio diversification as a historically low volatility and low correlation asset class

? Inefficient sector leads to mis-assessment of risk by the market and rating agencies allows for attractive return potential through fundamental analysis and security selection

? Dedicated investment resources with substantial real estate experience and fixed income/capital markets orientation

? Bottom-up process with extensive electronic library of proprietary research on CMBS universe

? Disciplined investment approach focusing on opportunities in both the primary and secondary market

Benchmark is Bbg US CMBS ex-AAA ex-Agncy Guartd 6-1-2024 Linked Index. Cash/Other assets includes cash, repurchase agreements, receivables, and payables, and may include notional assets/liabilities of certain derivative instruments, if held by the portfolio. Representative account information is shown and is based on an account in this strategy's composite that generally reflects the strategy's management and is not based on performance. An individual account's performance will vary due to many factors, including inception dates, portfolio size, account guidelines, and type of investment vehicle. Indices may not be representative of the types of investments made by the strategy and there can be no assurance any such historical trends will continue in the future.

2 For Institutional Use Only

FIAM High Yield CMBS

FIXED INCOME

FACT SHEET JUNE 30, 2024

Fidelity Investments GIPS? Composite Report

HIGH YIELD CMBS COMPOSITE (USD) VERSUS BBG US CMBS EX-AAA EX-AGNCY GUARTD 6-1-2024 LINKED INDEX

As of June 30, 2024 Period

YTD 2024

2023

2022

Annual 2021 2020 2019 2018 2017

Composite Return (Gross%) Composite Return (Net%) Benchmark Return (%) Number of Portfolios Total Composite Assets End of Period ($M) Composite 3 Year Standard Deviation (Gross%) Benchmark 3 Year Standard Deviation (%) Asset Weighted Standard Deviation (Gross%) Total Firm Assets ($B)

7.72 7.34 2.82

7 2,483 4.62

5.62 N/A

N/A

2.74 2.02 3.63

6 2,175 4.28

(7.76) (8.40) (13.65)

5 2,234 12.98

8.51 7.74 2.86

6 2,772 12.85

(4.92) (5.63) 4.13

6 2,353 12.78

9.81 8.99 10.39

6 2,387 1.76

3.68 2.91 2.05

6 2,131 2.49

6.49 5.69 6.03

5 2,388 2.76

5.50 1.28

9.06 0.76

8.49 0.47

8.46 1.23

3.14 0.50

3.47 0.66

3.50 0.22

4,454 3,558 1,239 1,088 960 705 613

2016

3.17 2.39 4.57

5 2,219 2.89

3.16 0.50

552

2015

3.66 2.88 0.07

5 2,343 3.04

2.49 1.07

603

2014

10.54 9.72 3.89

5 2,239 3.19

3.31 0.83

742

Annualized

1

5

10

Year Year Year

11.17 1.56 3.50

10.38 0.84 2.74

7.51 0.09 2.19

Definition of the "Firm" For GIPS purposes, the "Firm" includes all portfolios managed by the following Fidelity Investments entities: (1) FIAM LLC; (2) Fidelity Institutional Asset Management Trust Company (together, "FIAM"); (3) Fidelity Management & Research Company LLC and its subsidiaries (FMRCO) (4) Fidelity Management Trust Company (FMTC); and (5) Fidelity Diversifying Solutions LLC (FDS). The firm excludes certain portfolios managed by those entities that primarily invest in real property; collateralized loan obligation ("CLO") portfolios; taxable wealth management accounts for which FMRCO provides sub-advisory services; and portfolios managed by the Private Equity Multi-Strategy team.

Changes to Definition of the "Firm" Effective January 1, 2024, the firm was redefined to exclude collateralized loan obligation ("CLO") portfolios. Effective January 1, 2022, the firm was redefined to include all portfolios managed by FMRCO, FMTC, and FDS in addition to FIAM as described in the Definition of the Firm, excluding taxable wealth management accounts for which FMRCO provides sub-advisory services and portfolios managed by the Private Equity Multi-Strategy team. Effective January 1, 2021 the firm was redefined to exclude FIAM's management of certain portfolios that primarily invest in real property. Effective January 1, 2020, certain Fidelity investment advisers were reorganized, however, there was no impact to firm or composite assets. Effective January 1, 2016, the definition of the Firm was revised to include substantially similar fixed income investment strategies managed by FMTC and the same portfolio management team. Effective November 20, 2015, the Firm name was changed from Pyramis Global Advisors to Fidelity Institutional Asset Management (FIAM).

Basis of Presentation The Firm claims compliance with the Global Investment Performance Standards (GIPS?) and has prepared and presented this report in compliance with the GIPS standards. The firm has been independently verified for the periods January 1, 1990 through December 31, 2022. The verification report(s) is/are available upon request. A firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the applicable requirements of the GIPS standards. Verification provides assurance on whether the firm's policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. Verification does not provide assurance on the accuracy of any specific performance report. GIPS?is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein. The Firm's list of composite descriptions, pooled fund descriptions for limited distribution pooled funds, and names of broad distribution pooled Funds is available upon request. Policies for valuing investments, calculating performance, and preparing GIPS reports are available upon request.

Returns Gross composite returns do not reflect the deduction of investment advisory ("IA"), performance, administrative or custodial fees, but do include trading expenses. Net composite returns are calculated by deducting the maximum standard IA fee that could have been charged to any client employing this strategy during the time period shown and applicable performances fee (if any), exclusive of minimum fee arrangements. IA fees paid by a client vary depending upon a variety of factors, including portfolio size and the use of any performance fee or minimum fee arrangement. Actual returns will be reduced by these fees and any administrative, custodial, or other fees and expenses incurred. Returns could be higher or lower than those shown. A client's fees are generally calculated based on the average month-end assets at market value during the quarter as calculated by the Firm and are billed quarterly in arrears. More information regarding fees is available upon request. These investment performance statistics were calculated without a provision for any income taxes. Historical performance shown may have been achieved by a different investment adviser in the GIPS Firm definition than the investment adviser presenting the performance, and the investment team responsible for the performance shown may have changed over the course of the composite's performance time period shown.

Composite Description The investment objective of this composite is to achieve superior total returns through investments in a universe of below-investment-grade commercial mortgage-backed securities and other high-yield real estate debt securities. The composite is composed of all fee-paying discretionary accounts that are managed by the Firm in this style. Benchmark Description Currently the benchmark is Bloomberg U.S. CMBS ex-AAA ex-Agency Guaranteed Index - which is linked to the Bloomberg US CMBS ex AAA Index for periods prior to June 3, 2024. Benchmark Change For periods prior to May 31, 2024, the benchmark was the Bloomberg US CMBS ex AAA Index. As of June 3, 2024, the benchmark was linked to the Bloomberg U.S. CMBS ex-AAA ex-Agency Guaranteed Index. Composite Inception and Creation Date The inception date of this composite is January 31, 1995. This composite was created in January 2011. Composite Name Change In 2024 the name of this composite changed from High Yield CMBS Total Composite to High Yield CMBS Composite. Composite Model Fee This composite contains one or more broad distribution pooled funds whose highest management fee is 72 basis points and is used to calculate the net returns of this composite. Broad Distribution Pooled Fund fees are described in the fund's prospectus. More information regarding model fees are available upon request. Institutional Fee Schedule The maximum scheduled investment advisory fee for this strategy is 70 basis points, which may be subject to certain decreases as assets under management increase. The investment advisory fee applicable to a portfolio depends on a variety of factors, including but not limited to portfolio size, the level of committed assets, service levels, the use of a performance fee or minimum fee arrangement, and other factors.

Past performance is no guarantee of future results.

912697.19.0

3 For Institutional Use Only

FIAM High Yield CMBS

FIXED INCOME

FACT SHEET JUNE 30, 2024

Information provided in, and presentation of, this document are for informational and educational purposes only and are not a recommendation to take any particular action, or any action at all, nor an offer or solicitation to buy or sell any securities or services presented. It is not investment advice. Fidelity does not provide legal or tax advice.

Before making any investment decisions, you should consult with your own professional advisers and take into account all of the particular facts and circumstances of your individual situation. Fidelity and its representatives may have a conflict of interest in the products or services mentioned in these materials because they have a financial interest in them, and receive compensation, directly or indirectly, in connection with the management, distribution, and/or servicing of these products or services, including Fidelity funds, certain third-party funds and products, and certain investment services.

FIAM has prepared this material for, and only intends to provide it to, institutional, sophisticated, and/or qualified investors. Do not distribute or reproduce this material.

The value of a strategy's investments will vary in response to many factors, including adverse issuer, political, regulatory, market or economic developments. The value of an individual security or a particular type of security can be more volatile than and perform differently from the market as a whole. Nearly all accounts are subject to volatility in non-U.S. markets, either through direct exposure or indirect effects on U.S. markets from events abroad, including fluctuations in foreign currency exchanges rates and, in the case of less developed markets, currency illiquidity. Developments that disrupt global economies and financial markets, such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions or other events may magnify factors that affect performance. In addition, some countries experience low or negative interest rates, from time to time, which may magnify interest rate risk for the markets as a whole and for the funds or accounts. The discontinuation and replacement of LIBOR (an indicative measure of the average interest rate at which major global banks could borrow from one another) and other benchmark rates may have a significant impact on the financial markets and may adversely impact fund or account performance. Additionally, funds or accounts that pursue debt investments are subject to risks of prepayment or default, as well as changes to bankruptcy or debtor relief laws, which may impede collection efforts or alter timing and amount of collections.

Current performance may substantially differ from, and could be significantly lower than, performance shown due to recent significant market volatility. Please contact FIAM for updated performance numbers after the tenth business day following quarter end.

The performance of fixed income strategies will change daily based on changes in interest rates and market conditions and in response to other economic, political, or financial developments. Debt securities are sensitive to changes in interest rates depending on their maturity, and may involve the risk that their prices may decline if interest rates rise or, conversely, if interest rates decline, their prices may increase. Debt securities carry the risk of default, prepayment risk, and inflation risk. Changes specific to an issuer, such as its financial condition or its economic environment, can affect the credit quality or value of an issuer's securities. Lower-quality debt securities (those rated or considered below investment-grade quality, also referred to as high-yield debt securities) and certain types of other securities are more volatile, speculative, and involve greater risk due to increased sensitivity to adverse issuer, political, regulatory, and market developments, especially in periods of general economic difficulty. The value of mortgage securities may change due to shifts in the market's perception of issuers and changes in interest rates, regulatory, or tax changes.

The real estate industry is particularly sensitive to economic downturns. The value of investments in real estate or securities of issuers in the real estate industry can be affected by changes in real estate values and rental income, property taxes, interest rates, tax, and regulatory requirements, overbuilding, extended vacancies of properties, and the issuer's management skill. As a consequence, investments related to real estate may be more volatile than other investments and the possibility of partial or total loss of capital exists. This risk may be amplified for strategies that narrowly focus on a single sector, such as data centers, or geographic region. Mortgage-backed securities are subject to the risk that mortgagors may not meet their payment obligations and/or to prepayment risk. Each investment also has its unique interest rate and payment priority characteristics and risks.

Tracking Error and Information Ratio are provided for illustrative purposes and are not intended to represent performance of the strategy. They are presented gross of any fees and expenses that would apply to an investment in the strategy. Historical risk metrics do not necessarily guarantee future risk profile of the strategy.

Derivatives may be volatile and involve significant risk, including but not limited to credit risk, currency risk, leverage risk, counterparty risk, leverage risk, valuation risk, and liquidity risk. Using derivatives can disproportionately increase losses and reduce opportunities for gains in certain circumstances. Derivatives involve leverage because they can provide investment exposure in an amount exceeding the initial investment. Leverage can magnify investment risks and cause losses to be realized more quickly. A small change in the underlying asset, instrument, or index can lead to a significant loss. Assets segregated to cover these transactions may decline in value and are not available to meet redemptions. Government legislation or regulation could affect the use of these transactions and could limit the ability to pursue such investment strategies.

Index comparisons are presented for illustrative purposes only. Indices are not investments, are not professionally managed and do not reflect deductions for fees or expenses. Assets and securities contained within these indices are different than the assets and securities contained in the strategy and will therefore have different risk and reward profiles. There can be no assurance any such correlations or trends would persist in the future.

See FIAM LLC's Form ADV for more information about advisory fees if FIAM LLC is the investment manager for the account. For additional information about advisory fees related to other FIAM advisory entities, speak with your relationship manager. All results reflect realized and unrealized appreciation and the reinvestment of dividends and investment income, if applicable. Taxes have not been deducted. FIAM claims compliance with the Global Investment Performance Standards (GIPS?) as part of the Fidelity Investments firm.

Fidelity Institutional Asset Management (FIAM) includes the following entities that provide investment services: Fidelity Institutional Asset Management Trust Company, a New Hampshire trust company (FIAM TC), and FIAM LLC, a U.S. registered investment adviser. Fidelity Asset Management Solutions (FAMS) includes Fidelity Diversifying Solutions LLC (FDS), a U.S. registered investment adviser, commodity pool operator and commodity trading advisor. FAMS provides a broad array of investment solutions with its Global Institutional Solutions (GIS), Global Asset Allocation (GAA), and institutional equity, fixed income, high income, and alternative asset management teams through FIAM LLC, FIAM TC and FDS.

Products and services presented here are managed by the Fidelity Investments companies of FIAM LLC, FIAM TC or FDS. FIAM products and services may be presented by Fidelity Distributors Company LLC, Fidelity Institutional Wealth Adviser LLC, or Fidelity Brokerage Services, LLC, Member NYSE, SIPC, each a non-exclusive financial intermediary that is affiliated with FIAM LLC, or Fidelity Investments Canada ULC and FIL Limited, all of which are compensated for such services.

Certain data and other information in this presentation have been supplied by outside sources and are believed to be reliable and current. Data and information from third-party databases, such as eVestment Alliance, Callan, and Morningstar are self-reported by firms that generally pay a subscription fee to use such databases, and the database sponsors do not guarantee or audit the accuracy, timeliness, or completeness of the data and information provided, including any rankings. Rankings or similar data reflect information at the time rankings were retrieved from a third-party database, and such rankings may vary significantly as additional data from managers is reported. Rankings may include a variety of product structures, including some in which certain clients may not be eligible to invest. FIAM and its affiliated advisory entities cannot verify the accuracy of information from outside sources, and potential investors should be aware that such information is subject to change without notice.

Third-party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or its affiliated companies.

The Chartered Financial Analyst (CFA) designation is offered by the CFA Institute. To obtain the CFA charter, candidates must pass three exams demonstrating their competence, integrity, and extensive knowledge in accounting, ethical and professional standards, economics, portfolio management, and security analysis, and must also have at least 4,000 hours of qualifying work experience completed in a minimum of 36 months, among other requirements. CFA? is a trademark owned by CFA Institute.

? 2024 FMR LLC. All rights reserved.

Fidelity Institutional Asset Management | 900 Salem Street, Smithfield, RI 02917 4 For Institutional Use Only

810343.16.2 FIAM-IA/BD 1.9863425.139

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