Quarterly Holdings Report
for
Fidelity® International Credit Central Fund
March 31, 2022
ICF-NPRT1-0522
1.9882756.105
| Nonconvertible Bonds - 52.2% | |||
Principal Amount (a) | Value ($) | ||
| Australia - 2.3% | |||
| AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (b) | EUR | 1,000,000 | 1,032,961 |
| Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) | EUR | 3,000,000 | 3,041,336 |
| QBE Insurance Group Ltd.: | |||
| 2.5% 9/13/38 (Reg. S) (b) | GBP | 1,330,000 | 1,563,469 |
| 6.75% 12/2/44 (Reg. S) (b) | 5,725,000 | 5,989,781 | |
TOTAL AUSTRALIA | 11,627,547 | ||
| Bailiwick of Guernsey - 0.3% | |||
| Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) | EUR | 1,400,000 | 1,438,058 |
| Bailiwick of Jersey - 1.0% | |||
| Heathrow Funding Ltd.: | |||
| 2.625% 3/16/28 (Reg. S) | GBP | 3,025,000 | 3,717,251 |
| 7.125% 2/14/24 | GBP | 985,000 | 1,385,020 |
TOTAL BAILIWICK OF JERSEY | 5,102,271 | ||
| Cayman Islands - 0.2% | |||
| Southern Water Services Finance Ltd. 1.625% 3/30/27 (Reg. S) | GBP | 816,000 | 1,017,182 |
| Czech Republic - 0.1% | |||
| CEZ A/S 2.375% 4/6/27 (Reg. S) | EUR | 700,000 | 774,476 |
| Denmark - 0.4% | |||
| Danske Bank A/S 2.25% 1/14/28 (Reg. S) (b) | GBP | 1,595,000 | 2,006,126 |
| France - 5.7% | |||
| BNP Paribas SA: | |||
| 2.159% 9/15/29 (b)(c) | 2,830,000 | 2,517,759 | |
| 2.5% 3/31/32 (Reg. S) (b) | EUR | 4,200,000 | 4,659,102 |
| BPCE SA 1.5% 1/13/42 (Reg. S) (b) | EUR | 5,400,000 | 5,598,001 |
| Credit Agricole Assurances SA 4.75% 9/27/48 (b) | EUR | 1,000,000 | 1,219,729 |
| Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S) | EUR | 800,000 | 806,739 |
| Iliad SA: | |||
| 0.75% 2/11/24 (Reg. S) | EUR | 6,500,000 | 6,949,739 |
| 1.5% 10/14/24 (Reg. S) | EUR | 1,700,000 | 1,824,018 |
| 1.875% 2/11/28 (Reg. S) | EUR | 900,000 | 891,250 |
| Lagardere S.C.A. 1.75% 10/7/27 (Reg. S) | EUR | 1,900,000 | 2,018,901 |
| Societe Generale 4.75% 11/24/25 (c) | 1,220,000 | 1,230,349 | |
| Valeo SA 1% 8/3/28 (Reg. S) | EUR | 1,700,000 | 1,635,399 |
TOTAL FRANCE | 29,350,986 | ||
| Germany - 2.8% | |||
| ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S) | EUR | 2,492,000 | 2,339,068 |
| Bayer AG 2.375% 4/2/75 (Reg. S) (b) | EUR | 3,470,000 | 3,857,881 |
| Deutsche Bank AG 4% 6/24/32 (Reg. S) (b) | EUR | 3,800,000 | 4,208,122 |
| EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (b) | EUR | 2,600,000 | 2,477,084 |
| ZF Finance GmbH: | |||
| 2% 5/6/27 (Reg. S) | EUR | 700,000 | 696,605 |
| 2.25% 5/3/28 (Reg. S) | EUR | 700,000 | 688,131 |
TOTAL GERMANY | 14,266,891 | ||
| Greece - 0.3% | |||
| Alpha Bank SA 4.25% 2/13/30 (Reg. S) (b) | EUR | 1,550,000 | 1,570,179 |
| Hong Kong - 0.2% | |||
| AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (b) | EUR | 1,000,000 | 1,001,710 |
| Ireland - 6.5% | |||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 6.5% 7/15/25 | 1,100,000 | 1,164,829 | |
| AIB Group PLC: | |||
| 1.875% 11/19/29 (Reg. S) (b) | EUR | 4,160,000 | 4,497,056 |
| 2.25% 4/4/28 (Reg. S) (b) | EUR | 5,600,000 | 6,213,907 |
| 2.875% 5/30/31 (Reg. S) (b) | EUR | 1,150,000 | 1,255,858 |
| Bank of Ireland Group PLC: | |||
| 1.375% 8/11/31 (Reg. S) (b) | EUR | 4,630,000 | 4,753,219 |
| 2.375% 10/14/29 (Reg. S) (b) | EUR | 2,835,000 | 3,104,487 |
| 3.125% 9/19/27 (Reg. S) (b) | GBP | 4,535,000 | 5,959,607 |
| Cloverie PLC 4.5% 9/11/44 (Reg. S) (b) | 5,107,000 | 5,079,014 | |
| Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (b) | 1,400,000 | 1,264,032 | |
TOTAL IRELAND | 33,292,009 | ||
| Italy - 2.1% | |||
| Aeroporti di Roma SPA: | |||
| 1.625% 2/2/29 (Reg. S) | EUR | 1,400,000 | 1,467,744 |
| 1.75% 7/30/31 (Reg. S) | EUR | 500,000 | 506,250 |
| Autostrade per L'italia SpA 2.25% 1/25/32 (Reg. S) | EUR | 1,950,000 | 2,025,103 |
| Enel SpA 3.375% (Reg. S) (b)(d) | EUR | 2,430,000 | 2,728,414 |
| UniCredit SpA: | |||
| 2.731% 1/15/32 (Reg. S) (b) | EUR | 3,505,000 | 3,652,966 |
| 5.861% 6/19/32 (b)(c) | 565,000 | 555,111 | |
TOTAL ITALY | 10,935,588 | ||
| Luxembourg - 4.1% | |||
| ADLER Group SA 1.875% 1/14/26 (Reg. S) | EUR | 10,000,000 | 9,159,529 |
| Alpha Trains Finance SA 2.064% 6/30/30 | EUR | 1,149,000 | 1,284,478 |
| Blackstone Property Partners Europe LP: | |||
| 1% 5/4/28 (Reg. S) | EUR | 5,410,000 | 5,406,201 |
| 1.75% 3/12/29 (Reg. S) | EUR | 1,300,000 | 1,344,118 |
| 2.625% 10/20/28 (Reg. S) | GBP | 1,120,000 | 1,373,453 |
| GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) | EUR | 2,675,000 | 2,634,859 |
TOTAL LUXEMBOURG | 21,202,638 | ||
| Mexico - 1.3% | |||
| Petroleos Mexicanos 6.5% 3/13/27 | 6,795,000 | 6,874,841 | |
| Netherlands - 3.3% | |||
| Demeter Investments BV: | |||
| 5.625% 8/15/52 (Reg. S) (b) | 1,515,000 | 1,563,692 | |
| 5.75% 8/15/50 (Reg. S) (b) | 7,125,000 | 7,313,813 | |
| Deutsche Annington Finance BV 5% 10/2/23 (c) | 950,000 | 970,205 | |
| GSK Consumer Healthcare Capital 2.125% 3/29/34 (Reg. S) | EUR | 2,050,000 | 2,299,244 |
| JDE Peet's BV 2.25% 9/24/31 (c) | 1,331,000 | 1,157,199 | |
| Technip Energies NV 1.125% 5/28/28 | EUR | 1,700,000 | 1,667,622 |
| VIA Outlets 1.75% 11/15/28 (Reg. S) | EUR | 1,250,000 | 1,273,653 |
| ZF Europe Finance BV 2% 2/23/26 (Reg. S) | EUR | 800,000 | 830,183 |
TOTAL NETHERLANDS | 17,075,611 | ||
| Portugal - 0.3% | |||
| Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (b) | EUR | 1,400,000 | 1,573,576 |
| Spain - 0.7% | |||
| Cellnex Finance Co. SA 1% 9/15/27 (Reg. S) | EUR | 3,500,000 | 3,509,289 |
| Sweden - 0.8% | |||
| Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (b) | EUR | 1,103,000 | 1,253,749 |
| Heimstaden AB 4.375% 3/6/27 (Reg. S) | EUR | 1,400,000 | 1,456,599 |
| Samhallsbyggnadsbolaget I Norden AB: | |||
| 1% 8/12/27 (Reg. S) | EUR | 450,000 | 434,356 |
| 1.75% 1/14/25 (Reg. S) | EUR | 949,000 | 1,013,007 |
TOTAL SWEDEN | 4,157,711 | ||
| Switzerland - 2.4% | |||
| Credit Suisse Group AG: | |||
| 2.125% 11/15/29 (Reg. S) (b) | GBP | 2,500,000 | 2,990,748 |
| 4.194% 4/1/31 (b)(c) | 2,615,000 | 2,579,724 | |
| 6.5% 8/8/23 (Reg. S) | 6,850,000 | 7,021,250 | |
TOTAL SWITZERLAND | 12,591,722 | ||
| United Kingdom - 16.4% | |||
| Anglian Water (Osprey) Financing PLC 2% 7/31/28 (Reg. S) | GBP | 575,000 | 702,104 |
| Barclays PLC 2% 2/7/28 (Reg. S) (b) | EUR | 750,000 | 834,251 |
| BAT International Finance PLC 2.25% 6/26/28 (Reg. S) | GBP | 5,685,000 | 6,736,719 |
| Imperial Tobacco Finance PLC 3.5% 7/26/26 (c) | 5,282,000 | 5,166,451 | |
| InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) | GBP | 3,920,000 | 5,114,347 |
| John Lewis PLC 6.125% 1/21/25 | GBP | 5,352,000 | 7,457,205 |
| Lloyds Banking Group PLC 1.985% 12/15/31 (b) | GBP | 1,915,000 | 2,343,512 |
| M&G PLC: | |||
| 5.625% 10/20/51 (Reg. S) (b) | GBP | 3,150,000 | 4,514,977 |
| 6.5% 10/20/48 (Reg. S) (b) | 1,620,000 | 1,763,548 | |
| Marks & Spencer PLC 4.5% 7/10/27 (Reg. S) | GBP | 3,460,000 | 4,450,379 |
| NatWest Group PLC: | |||
| 2.105% 11/28/31 (Reg. S) (b) | GBP | 2,050,000 | 2,507,678 |
| 3.619% 3/29/29 (Reg. S) (b) | GBP | 2,600,000 | 3,455,738 |
| 3.622% 8/14/30 (Reg. S) (b) | GBP | 760,000 | 995,702 |
| NGG Finance PLC 2.125% 9/5/82 (Reg. S) (b) | EUR | 4,310,000 | 4,452,062 |
| Prudential PLC 2.95% 11/3/33 (Reg. S) (b) | 5,500,000 | 5,061,375 | |
| Rolls-Royce PLC 3.375% 6/18/26 | GBP | 570,000 | 705,726 |
| SSE PLC 4.75% 9/16/77 (Reg. S) (b) | 9,320,000 | 9,356,255 | |
| The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 2,185,000 | 2,521,420 |
| Travis Perkins PLC: | |||
| 3.75% 2/17/26 (Reg. S) | GBP | 880,000 | 1,144,452 |
| 4.5% 9/7/23 (Reg. S) | GBP | 1,330,000 | 1,764,626 |
| Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) | EUR | 730,000 | 760,199 |
| Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (b) | GBP | 1,800,000 | 2,444,101 |
| Vodafone Group PLC: | |||
| 4.875% 10/3/78 (Reg. S) (b) | GBP | 800,000 | 1,061,093 |
| 6.25% 10/3/78 (Reg. S) (b) | 2,660,000 | 2,733,150 | |
| Whitbread PLC: | |||
| 2.375% 5/31/27 (Reg. S) | GBP | 800,000 | 994,711 |
| 3.375% 10/16/25 (Reg. S) | GBP | 3,885,000 | 5,121,291 |
TOTAL UNITED KINGDOM | 84,163,072 | ||
| United States of America - 1.0% | |||
| MPT Operating Partnership LP/MPT Finance Corp. 2.5% 3/24/26 | GBP | 1,150,000 | 1,431,368 |
| Southern Co. 1.875% 9/15/81 (b) | EUR | 3,900,000 | 3,841,856 |
TOTAL UNITED STATES OF AMERICA | 5,273,224 | ||
| TOTAL NONCONVERTIBLE BONDS (Cost $292,294,029) | 268,804,707 | ||
| U.S. Government and Government Agency Obligations - 4.8% | |||
Principal Amount (a) | Value ($) | ||
| U.S. Treasury Obligations - 4.8% | |||
| U.S. Treasury Bonds 2.5% 2/15/45 (e) | 59,000 | 57,465 | |
| U.S. Treasury Notes: | |||
| 1.25% 9/30/28 (e)(f) | 12,000,000 | 11,135,625 | |
| 1.5% 2/29/24 (g) | 13,500,000 | 13,303,301 | |
| 2.625% 2/15/29 (e) | 220,000 | 222,647 | |
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $25,583,728) | 24,719,038 | ||
| Foreign Government and Government Agency Obligations - 5.4% | |||
Principal Amount (a) | Value ($) | ||
| Germany - 5.4% | |||
| German Federal Republic: | |||
| 0% 8/15/31 | EUR | 660,000 | 696,142 |
| 0% 2/15/32 (Reg. S) | EUR | 1,650,000 | 1,730,210 |
| 0% 5/15/35 (Reg. S) | EUR | 17,105,000 | 17,433,022 |
| 1.25% 8/15/48 | EUR | 6,140,000 | 7,864,214 |
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $33,369,886) | 27,723,588 | ||
| Preferred Securities - 28.9% | |||
Principal Amount (a) | Value ($) | ||
| Australia - 1.5% | |||
| QBE Insurance Group Ltd.: | |||
| 5.25% (Reg. S) (b)(d) | 4,360,000 | 4,295,776 | |
| 5.875% (b)(c)(d) | 3,305,000 | 3,383,494 | |
TOTAL AUSTRALIA | 7,679,270 | ||
| Canada - 0.6% | |||
| Bank of Nova Scotia: | |||
| 4.65% (b)(d) | 2,015,000 | 1,944,979 | |
| 4.9% (b)(d) | 1,180,000 | 1,180,000 | |
TOTAL CANADA | 3,124,979 | ||
| Finland - 0.2% | |||
| Citycon Oyj 4.496% (Reg. S) (b)(d) | EUR | 970,000 | 997,948 |
| France - 3.8% | |||
| BNP Paribas SA 6.625% (Reg. S) (b)(d) | 2,505,000 | 2,578,021 | |
| EDF SA: | |||
| 5.25% (Reg. S) (b)(d) | 10,105,000 | 10,041,844 | |
| 5.625% (Reg. S) (b)(d) | 1,490,000 | 1,491,490 | |
| Societe Generale 7.875% (Reg. S) (b)(d) | 1,310,000 | 1,368,950 | |
| Veolia Environnement SA 2% (Reg. S) (b)(d) | EUR | 3,900,000 | 3,979,752 |
TOTAL FRANCE | 19,460,057 | ||
| Germany - 2.4% | |||
| Bayer AG 2.375% 11/12/79 (Reg. S) (b) | EUR | 11,800,000 | 12,596,869 |
| Ireland - 0.5% | |||
| AIB Group PLC 6.25% (Reg. S) (b)(d) | EUR | 2,195,000 | 2,510,171 |
| Italy - 0.2% | |||
| Enel SpA 2.25% (Reg. S) (b)(d) | EUR | 1,110,000 | 1,181,890 |
| Luxembourg - 3.6% | |||
| Aroundtown SA 3.375% (Reg. S) (b)(d) | EUR | 7,800,000 | 8,466,961 |
| CPI Property Group SA 3.75% (Reg. S) (b)(d) | EUR | 3,520,000 | 3,251,490 |
| Grand City Properties SA 1.5% (Reg. S) (b)(d) | EUR | 6,900,000 | 6,765,468 |
TOTAL LUXEMBOURG | 18,483,919 | ||
| Netherlands - 7.5% | |||
| AerCap Holdings NV 5.875% 10/10/79 (b) | 3,800,000 | 3,648,000 | |
| AT Securities BV 5.25% (Reg. S) (b)(d) | 6,500,000 | 6,412,575 | |
| ELM BV for Firmenich International SA 3.75% (Reg. S) (b)(d) | EUR | 1,070,000 | 1,195,524 |
| Stichting AK Rabobank Certificaten NETHERLANDS GOV 10YR BOND INDX + 1.500% 6.5% 12/31/99 (b)(d)(h) | EUR | 1,225,075 | 1,578,854 |
| Telefonica Europe BV: | |||
| 2.625% (Reg. S) (b)(d) | EUR | 1,100,000 | 1,226,002 |
| 3.875% (Reg. S) (b)(d) | EUR | 1,900,000 | 2,120,266 |
| Volkswagen International Finance NV: | |||
| 3.748% (b)(d) | EUR | 800,000 | 881,510 |
| 3.875% (Reg. S) (b)(d) | EUR | 5,900,000 | 6,420,813 |
| 4.625% (Reg. S) (b)(d) | EUR | 13,000,000 | 15,028,406 |
TOTAL NETHERLANDS | 38,511,950 | ||
| Spain - 0.5% | |||
| Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (b)(d) | EUR | 2,200,000 | 2,512,847 |
| Sweden - 1.4% | |||
| Heimstaden Bostad AB 3.248% (Reg. S) (b)(d) | EUR | 4,990,000 | 5,206,806 |
| Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (b)(d) | EUR | 2,145,000 | 2,015,936 |
TOTAL SWEDEN | 7,222,742 | ||
| Switzerland - 2.0% | |||
| Credit Suisse Group AG 7.5% (Reg. S) (b)(d) | 9,515,000 | 9,836,131 | |
| UBS Group AG 7% (Reg. S) (b)(d) | 500,000 | 529,479 | |
TOTAL SWITZERLAND | 10,365,610 | ||
| United Kingdom - 4.7% | |||
| Aviva PLC 6.125% (b)(d) | GBP | 3,900,000 | 5,174,467 |
| Barclays PLC: | |||
| 5.875% (Reg. S) (b)(d) | GBP | 1,550,000 | 2,041,248 |
| 7.125% (b)(d) | GBP | 200,000 | 276,195 |
| British American Tobacco PLC 3% (Reg. S) (b)(d) | EUR | 9,200,000 | 9,236,081 |
| HSBC Holdings PLC 6.375% (b)(d) | 3,160,000 | 3,269,557 | |
| Lloyds Banking Group PLC 5.125% (b)(d) | GBP | 280,000 | 365,983 |
| National Express Group PLC 4.25% (Reg. S) (b)(d) | GBP | 890,000 | 1,141,381 |
| SSE PLC 3.74% (Reg. S) (b)(d) | GBP | 2,000,000 | 2,532,060 |
TOTAL UNITED KINGDOM | 24,036,972 | ||
| TOTAL PREFERRED SECURITIES (Cost $161,635,709) | 148,685,224 | ||
| Money Market Funds - 8.8% | |||
| Shares | Value ($) | ||
| Fidelity Cash Central Fund 0.31% (i) | 32,128,648 | 32,135,074 | |
| Fidelity Securities Lending Cash Central Fund 0.31% (i)(j) | 12,902,860 | 12,904,150 | |
| TOTAL MONEY MARKET FUNDS (Cost $45,039,224) | 45,039,224 | ||
| Purchased Swaptions - 0.1% | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
| Put Options - 0.1% | ||||
| Option with an exercise rate of 4.0% on a credit default swap with Barclays Bank PLC to buy protection on the 5-Year iTraxx Europe Crossover Series 36 Index expiring December 2026, paying 5% quarterly. | 6/15/22 | EUR | 11,850,000 | 95,767 |
| Option with an exercise rate of 4.0% on a credit default swap with JPMorgan Chase Bank N.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 37 Index expiring December 2026, paying 5% quarterly. | 6/15/22 | EUR | 9,100,000 | 100,285 |
| Option with an exercise rate of 4.5% on a credit default swap with BNP Paribas S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 36 Index expiring December 2026, paying 5% quarterly. | 6/15/22 | EUR | 24,000,000 | 141,915 |
TOTAL PURCHASED SWAPTIONS (Cost $1,098,425) | 337,967 | |||
| TOTAL INVESTMENT IN SECURITIES - 100.2% (Cost $559,021,001) | 515,309,748 |
NET OTHER ASSETS (LIABILITIES) - (0.2)% | (894,045) |
| NET ASSETS - 100.0% | 514,415,703 |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Purchased | |||||
| Bond Index Contracts | |||||
| ASX 10 Year Treasury Bond Index Contracts (Australia) | 34 | Jun 2022 | 3,224,622 | (142,264) | (142,264) |
| Eurex Euro-Bund Contracts (Germany) | 59 | Jun 2022 | 10,355,540 | (241,928) | (241,928) |
| Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 3 | Jun 2022 | 617,951 | 2,867 | 2,867 |
| TME 10 Year Canadian Note Contracts (Canada) | 166 | Jun 2022 | 17,336,288 | (742,411) | (742,411) |
| TOTAL BOND INDEX CONTRACTS | (1,123,736) | ||||
| Treasury Contracts | |||||
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 172 | Jun 2022 | 36,450,563 | (434,215) | (434,215) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 436 | Jun 2022 | 50,003,750 | (1,228,745) | (1,228,745) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 85 | Jun 2022 | 12,755,313 | (388,660) | (388,660) |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 149 | Jun 2022 | 20,184,844 | (656,641) | (656,641) |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 141 | Jun 2022 | 24,974,625 | (915,380) | (915,380) |
| TOTAL TREASURY CONTRACTS | (3,623,641) | ||||
| TOTAL PURCHASED | (4,747,377) | ||||
| Sold | |||||
| Bond Index Contracts | |||||
| Eurex Euro-Bobl Contracts (Germany) | 166 | Jun 2022 | 23,663,528 | 295,609 | 295,609 |
| ICE Long Gilt Contracts (United Kingdom) | 50 | Jun 2022 | 7,962,690 | 33,578 | 33,578 |
| TOTAL SOLD | 329,187 | ||||
| TOTAL FUTURES CONTRACTS | (4,418,190) | ||||
| The notional amount of futures purchased as a percentage of Net Assets is 34.2% | |||||
| The notional amount of futures sold as a percentage of Net Assets is 6.1% | |||||
| Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
| EUR | 3,171,000 | USD | 3,525,201 | BNP Paribas | 4/04/22 | (17,282) |
| USD | 40,025 | CAD | 50,000 | Goldman Sachs Bank USA | 4/04/22 | 30 |
| USD | 170,547,000 | EUR | 150,275,576 | JPMorgan Chase Bank, N.A. | 4/14/22 | 4,255,654 |
| AUD | 47,000 | USD | 33,945 | BNP Paribas | 5/12/22 | 1,244 |
| CAD | 176,000 | USD | 139,049 | Citibank NA | 5/12/22 | 1,713 |
| CAD | 1,155,000 | USD | 924,457 | Goldman Sachs Bank USA | 5/12/22 | (708) |
| CAD | 338,000 | USD | 266,502 | JPMorgan Chase Bank, N.A. | 5/12/22 | 3,824 |
| EUR | 567,000 | USD | 640,154 | BNP Paribas | 5/12/22 | (12,128) |
| EUR | 4,890,000 | USD | 5,507,852 | BNP Paribas | 5/12/22 | (91,539) |
| EUR | 439,000 | USD | 478,080 | BNP Paribas | 5/12/22 | 8,170 |
| EUR | 770,000 | USD | 842,476 | BNP Paribas | 5/12/22 | 10,399 |
| EUR | 465,000 | USD | 517,590 | BNP Paribas | 5/12/22 | (2,542) |
| EUR | 343,000 | USD | 376,470 | Citibank NA | 5/12/22 | 3,447 |
| EUR | 466,000 | USD | 514,084 | Royal Bank Of Canada | 5/12/22 | 2,072 |
| GBP | 677,000 | USD | 908,466 | Goldman Sachs Bank USA | 5/12/22 | (19,321) |
| GBP | 285,000 | USD | 374,125 | Goldman Sachs Bank USA | 5/12/22 | 183 |
| GBP | 470,000 | USD | 618,691 | JPMorgan Chase Bank, N.A. | 5/12/22 | (1,411) |
| GBP | 204,000 | USD | 268,738 | State Street Bank And Trust Co | 5/12/22 | (813) |
| GBP | 36,000 | USD | 46,901 | State Street Bank And Trust Co | 5/12/22 | 380 |
| USD | 89,785 | AUD | 120,000 | BNP Paribas | 5/12/22 | (59) |
| USD | 206,072 | AUD | 288,000 | HSBC Bank USA | 5/12/22 | (9,552) |
| USD | 208,156 | CAD | 266,000 | Goldman Sachs Bank USA | 5/12/22 | (4,586) |
| USD | 253,665 | CAD | 325,000 | HSBC Bank USA | 5/12/22 | (6,264) |
| USD | 309,925 | CAD | 390,000 | HSBC Bank USA | 5/12/22 | (1,990) |
| USD | 79,671 | CAD | 101,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | (1,107) |
| USD | 38,088 | CAD | 48,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | (301) |
| USD | 531,704 | CAD | 678,000 | Royal Bank Of Canada | 5/12/22 | (10,549) |
| USD | 203,635 | CAD | 261,000 | State Street Bank And Trust Co | 5/12/22 | (5,109) |
| USD | 500,677 | EUR | 451,000 | BNP Paribas | 5/12/22 | 1,136 |
| USD | 357,317 | EUR | 321,000 | BNP Paribas | 5/12/22 | 1,768 |
| USD | 447,563 | EUR | 409,000 | HSBC Bank USA | 5/12/22 | (5,458) |
| USD | 66,892,890 | EUR | 58,738,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | 1,832,896 |
| USD | 351,595 | EUR | 310,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | 8,229 |
| USD | 2,205,901 | EUR | 1,975,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | 18,331 |
| USD | 597,204 | EUR | 535,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | 4,622 |
| USD | 451,012 | EUR | 411,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | (4,224) |
| USD | 1,274,027 | EUR | 1,159,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | (9,716) |
| USD | 2,116,769 | EUR | 1,923,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | (13,204) |
| USD | 4,429,120 | EUR | 3,985,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | 15,213 |
| USD | 751,578 | EUR | 682,000 | State Street Bank And Trust Co | 5/12/22 | (3,826) |
| USD | 332,590 | EUR | 301,000 | State Street Bank And Trust Co | 5/12/22 | (807) |
| USD | 3,261,734 | EUR | 2,957,000 | State Street Bank And Trust Co | 5/12/22 | (13,529) |
| USD | 1,471,147 | EUR | 1,336,000 | State Street Bank And Trust Co | 5/12/22 | (8,647) |
| USD | 89,294,634 | GBP | 65,998,000 | Goldman Sachs Bank USA | 5/12/22 | 2,615,397 |
| USD | 280,846 | GBP | 212,000 | HSBC Bank USA | 5/12/22 | 2,413 |
| USD | 403,353 | GBP | 302,000 | State Street Bank And Trust Co | 5/12/22 | 6,718 |
| USD | 3,317,182 | GBP | 2,515,000 | State Street Bank And Trust Co | 5/12/22 | 14,078 |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 8,563,245 | |||||
| Unrealized Appreciation | 8,807,917 | |||||
| Unrealized Depreciation | (244,672) | |||||
| Credit Default Swaps | ||||||||||
| Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(1) | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | ||
| Buy Protection | ||||||||||
| Intesa Sanpaolo SpA | Dec 2026 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR | 4,800,000 | (36,269) | 116,833 | 80,564 | |
| Shell International Finance BV | Dec 2026 | Citibank, N.A. | (1%) | Quarterly | EUR | 4,800,000 | (165,172) | 165,936 | 764 | |
| TOTAL CREDIT DEFAULT SWAPS | (201,441) | 282,769 | 81,328 | |||||||
(1)Notional amount is stated in U.S. Dollars unless otherwise noted
Currency Abbreviations
| AUD | - | Australian dollar |
| CAD | - | Canadian dollar |
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| USD | - | U.S. dollar |
Categorizations in Schedule of Investments are based on country or territory of incorporation.
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (b) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (c) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $17,560,292 or 3.4% of net assets. |
| (d) | Security is perpetual in nature with no stated maturity date. |
| (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 $3,101,073. |
| (f) | Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $342,421. |
| (g) | Security or a portion of the security is on loan at period end. |
| (h) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (i) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| (j) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | %ownership, end of period |
| Fidelity Cash Central Fund 0.31% | 41,502,042 | 82,449,768 | 91,816,736 | 14,958 | - | - | 32,135,074 | 0.1% |
| Fidelity Securities Lending Cash Central Fund 0.31% | - | 13,032,390 | 128,240 | 7,444 | - | - | 12,904,150 | 0.0% |
| Total | 41,502,042 | 95,482,158 | 91,944,976 | 22,402 | - | - | 45,039,224 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Directors (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities.Nonconvertible Bonds, U.S. Government and Government Agency Obligations, Foreign Government and Government Agency Obligations and Preferred Securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor 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.
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.
The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial 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.
The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps: A swap is a contract between two parties to exchange future cash flows 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 flows are exchanged between the two parties for the life of the swap.
Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.
Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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