Principal Protected Notes

• Product Overview
• Features and Benefits
• Risks and Considerations
• Types Available Through Fidelity

Product Overview

Principal Protected Notes (PPNs) are a type of structured product that provide investors with two key benefits:

1. the return of their original principal investment at maturity, and
2. the ability to earn additional returns that are tied to the performance of an index such as a commodity or equity index.

Features and Benefits

The Features of a PPN

• A PPN, a type of structured product, is the combination of a zero coupon bond and an option on a specified underlying index.
• The zero coupon bond will be purchased at a discount and steadily grow in value to mature at its face value by the maturity date of the investment - assuming the issuer of the bond does not default during the life of the PPN. This provides the principal protection.
• Since the Notes are purchased at par, the investable funds not used to purchase the zero coupon bond are invested in an option on the underlying index - with an expiration that matches the maturity of the PPN.
• The return to the investor depends on what is known as the Participation Rate. If the participation rate is 80% the investor will receive 80% of the index returns. The Participation Rate will vary by note type, and factors such as index type and maturity affect the rate.
• It is important to note how the cumulative return is measured. Much like other fixed income notes, the return is measured on a point A (index rate on purchase date) to point B formula (index rate on maturity date). It doesn't matter if the index falls during part of the investment period, as long as the net result at maturity is a positive return then the PPN will pay out according to the stated participation rate.

Benefits of PPNs

The above features mean individual investors can use PPNs to:

• Portfolio Protection: Some or all of one's portfolio may be protected against a loss for a specific time period.
• Protected Index Tracking: Share only in the gains of an index while avoiding its losses
• Diversification: Invest in a diversified index through one investment
• Alternative Asset Classes: Gain exposure to asset classes such as currencies and commodities that might otherwise be difficult to access.

Risks and Considerations

The key risks of investing in PPNs are:

• Credit risk of the issuer: The principal is protected if the PPN matures as planned, but not if the issuer defaults before the PPN reaches maturity. Investors should therefore consider the credit ratings and financial condition of the issuer by reading the Prospectus in order to make an informed investment decision.
• Market Risk: The return on the note at maturity is linked to the performance of the index, and will depend on whether, and the extent to which, the index return is positive at maturity. If the return is negative, you will only receive your principal at maturity or the portion of your principal covered by the Principal Protection Percentage.
• Lack of liquidity: PPNs are designed to be held to maturity. If investors try to sell before the maturity date, it may be impossible to do so without a substantial discount to the value of the component zero coupon bond and index options.
• Taxes: These notes are taxed as contingent payment debt instruments. This means you'll usually have to pay income taxes each year on imputed annual income even though you don't receive a cash payment until maturity. Please consult your tax advisor for more details.

The scenarios below show the two different outcomes that a holder of a PPN could experience:

1. The underlying index rises, or
2. The underlying index falls.

Hypothetical Scenario 1

In this scenario, assume return is tied to the performance of the S&P 500^® Index and that the index rose 40% over the life of the PPN, so that it was up 40% at maturity. Assuming an original investment of $1,000 and a 100% participation rate, the participation amount would be $400 ($1,000 x 40% x 100%). So at maturity, the customer would receive the amount of his or her original investment principal, plus the $400 participation amount, for a total of $1,400.

Hypothetical Scenario 2

In this scenario, assume return is again tied to the performance of the S&P 500^® Index, but in this case, the index falls 50% over the life of the PPN. The customer would not receive any additional returns under the participation rate, instead he or she would be paid according to the Principal Protection percentage offered by the note. Assuming it was 100%, then regardless of how far the index fell, the customer would receive a full return (i.e.,100%) of his or her invested principal at the end of the term. In this example, the customer invested $1,000 and would receive it back at maturity.

Types of PPNs and Next Steps

The following table illustrates the types and structures of PPNs that may be offered by Fidelity: