Southern Water Services Finance Ltd 1.625% 3/30/2027 (b)
GBP
100,000
110,559
Southern Water Services Finance Ltd 2.375% 5/28/2028 (b)
GBP
110,000
118,006
SW Finance I PLC 7.375% 12/12/2041 (b)
GBP
216,000
255,505
1,796,136
TOTAL UTILITIES
2,647,734
TOTAL UNITED KINGDOM
15,569,832
UNITED STATES - 2.8%
Communication Services - 0.6%
Diversified Telecommunication Services - 0.2%
Verizon Communications Inc 3.75% 2/28/2036
EUR
182,000
206,468
Media - 0.4%
Warnermedia Holdings Inc 4.693% 5/17/2033
EUR
350,000
387,701
TOTAL COMMUNICATION SERVICES
594,169
Financials - 1.3%
Banks - 0.2%
JPMorgan Chase & Co 3.761% 3/21/2034 (b)(c)
EUR
199,000
227,487
Capital Markets - 0.9%
Blackstone Private Credit Fund 4.875% 4/14/2026 (b)
GBP
354,000
465,114
Morgan Stanley 3.955% 3/21/2035 (c)
EUR
245,000
280,437
745,551
Consumer Finance - 0.2%
Ford Motor Credit Co LLC 4.445% 2/14/2030
EUR
208,000
234,759
TOTAL FINANCIALS
1,207,797
Industrials - 0.2%
Building Products - 0.2%
Carrier Global Corp 4.5% 11/29/2032
EUR
156,000
187,060
Real Estate - 0.1%
Diversified REITs - 0.1%
WP Carey Inc 4.25% 7/23/2032
EUR
100,000
114,687
Utilities - 0.6%
Electric Utilities - 0.6%
Duke Energy Corp 3.85% 6/15/2034
EUR
216,000
241,665
Southern Co/The 1.875% 9/15/2081 (c)
EUR
333,000
341,951
583,616
TOTAL UNITED STATES
2,687,329
TOTAL NON-CONVERTIBLE CORPORATE BONDS
(Cost $51,082,718)
50,632,917
Preferred Securities - 10.6%
Principal
Amount (a)
Value ($)
CZECH REPUBLIC - 0.5%
Real Estate - 0.5%
Real Estate Management & Development - 0.5%
CPI Property Group SA 3.75% (b)(c)(f)
EUR
494,000
446,863
FINLAND - 0.4%
Real Estate - 0.4%
Real Estate Management & Development - 0.4%
Citycon Oyj 7.875% (b)(c)(f)
EUR
347,000
361,936
GERMANY - 4.3%
Consumer Discretionary - 1.0%
Automobiles - 1.0%
Volkswagen International Finance NV 3.875% (b)(c)(f)
EUR
900,000
943,165
Real Estate - 3.3%
Real Estate Management & Development - 3.3%
Aroundtown Finance Sarl 7.875% (c)(f)
1,400,000
1,286,456
Aroundtown SA 3.375% (b)(c)(f)
EUR
1,100,000
1,036,103
Grand City Properties SA 1.5% (b)(c)(f)
EUR
800,000
801,354
3,123,913
TOTAL GERMANY
4,067,078
IRELAND - 0.1%
Financials - 0.1%
Banks - 0.1%
AIB Group PLC 6.25% (b)(c)(f)
EUR
160,000
182,838
SWEDEN - 0.9%
Real Estate - 0.9%
Real Estate Management & Development - 0.9%
Heimstaden Bostad AB 3.248% (b)(c)(f)
EUR
558,000
580,689
Samhallsbyggnadsbolaget i Norden AB 2.624% (b)(c)(f)(g)
EUR
495,000
264,484
TOTAL SWEDEN
845,173
SWITZERLAND - 1.3%
Financials - 1.3%
Capital Markets - 1.3%
Credit Suisse Group AG Claim 5 year USD Swap Index + 4.598%, 0% (b)(c)(f)(g)(h)
9,515,000
951,500
UBS Group AG 7% (b)(c)(f)
300,000
313,566
TOTAL SWITZERLAND
1,265,066
UNITED KINGDOM - 3.1%
Consumer Staples - 1.1%
Tobacco - 1.1%
British American Tobacco PLC 3% (b)(c)(f)
EUR
900,000
999,763
Financials - 1.3%
Banks - 1.3%
Barclays PLC 7.125% (c)(f)
GBP
200,000
268,212
Barclays PLC 8.875% (b)(c)(f)
GBP
430,000
600,694
Lloyds Banking Group PLC 5.125% (c)(f)
GBP
280,000
373,668
1,242,574
Industrials - 0.3%
Ground Transportation - 0.3%
Mobico Group PLC 4.25% (b)(c)(f)
GBP
198,000
247,037
Utilities - 0.4%
Electric Utilities - 0.4%
SSE PLC 3.74% (b)(c)(f)
GBP
320,000
425,371
TOTAL UNITED KINGDOM
2,914,745
TOTAL PREFERRED SECURITIES
(Cost $20,819,952)
10,083,699
U.S. Treasury Obligations - 24.1%
Yield (%) (i)
Principal
Amount (a)
Value ($)
US Treasury Bonds 4.125% 8/15/2044
4.14 to 4.18
350,000
347,265
US Treasury Bonds 4.375% 8/15/2043
4.90
1,994,000
2,050,315
US Treasury Bonds 4.5% 2/15/2044
4.67
1,700,000
1,773,844
US Treasury Bonds 4.625% 5/15/2044
4.12 to 4.65
450,000
476,930
US Treasury Bonds 6.25% 5/15/2030 (j)(k)
3.46 to 4.41
3,534,000
4,007,363
US Treasury Notes 3.75% 12/31/2030
4.07
383,000
385,259
US Treasury Notes 3.75% 8/31/2031
3.64
1,100,000
1,105,844
US Treasury Notes 3.875% 8/15/2033
4.77
184,000
185,481
US Treasury Notes 4% 1/31/2029
3.87
2,888,000
2,936,735
US Treasury Notes 4.125% 7/31/2031
3.59 to 3.97
800,000
822,508
US Treasury Notes 4.25% 2/28/2029
4.14 to 4.25
2,555,000
2,625,961
US Treasury Notes 4.25% 6/30/2031
4.35
620,000
641,845
US Treasury Notes 4.5% 11/15/2033
4.14
326,000
344,274
US Treasury Notes 4.625% 4/30/2029
4.44 to 4.72
4,950,000
5,168,883
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $22,119,859)
22,872,507
Money Market Funds - 4.0%
Yield (%)
Shares
Value ($)
Fidelity Cash Central Fund (l)
(Cost $3,774,941)
4.89
3,774,186
3,774,940
TOTAL INVESTMENT IN SECURITIES - 99.8%
(Cost $105,215,420)
94,916,599
NET OTHER ASSETS (LIABILITIES) - 0.2%
179,037
NET ASSETS - 100.0%
95,095,636
Futures Contracts
Number
of contracts
Expiration
Date
Notional
Amount ($)
Value ($)
Unrealized
Appreciation/
(Depreciation) ($)
Purchased
Interest Rate Contracts
ASX 10 Year Treasury Bond Index Contracts (Australia)
10
Dec 2024
804,706
(4,292)
(4,292)
CBOT 2-Year U.S. Treasury Note Contracts (United States)
17
Dec 2024
3,540,117
7,143
7,143
CBOT Long Term U.S. Treasury Bond Contracts (United States)
27
Dec 2024
3,353,063
(36,255)
(36,255)
TME 10 Year Canadian Note Contracts (Canada)
13
Dec 2024
1,201,619
6,622
6,622
TOTAL PURCHASED
(26,782)
Sold
Interest Rate Contracts
ICE Long Gilt Contracts (United Kingdom)
8
Dec 2024
1,052,768
12,987
12,987
TOTAL FUTURES CONTRACTS
(13,795)
The notional amount of futures purchased as a percentage of Net Assets is 9.3%
The notional amount of futures sold as a percentage of Net Assets is 1.1%
Forward Foreign Currency Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation/
(Depreciation) ($)
USD
54,952
AUD
82,000
UBS AG
10/03/24
(1,739)
USD
63,731
AUD
92,000
Royal Bank of Canada
12/05/24
80
USD
395,400
CAD
540,000
Bank of America, N.A.
10/03/24
(3,885)
USD
837,180
CAD
1,127,000
Citibank, N.A.
10/03/24
3,857
USD
674,973
CAD
909,000
BNP Paribas S.A.
10/03/24
2,843
USD
1,931,120
CAD
2,598,000
BNP Paribas S.A.
12/05/24
7,029
USD
64,494
CAD
87,000
BNP Paribas S.A.
12/05/24
62
USD
41,876,808
EUR
37,882,000
Bank of America, N.A.
10/03/24
(293,473)
USD
195,957
EUR
177,000
BNP Paribas S.A.
10/03/24
(1,080)
USD
213,018
EUR
192,000
BNP Paribas S.A.
10/03/24
(716)
USD
87,114
EUR
79,000
BNP Paribas S.A.
10/03/24
(829)
USD
90,445
EUR
81,000
BNP Paribas S.A.
10/03/24
276
USD
445,562
EUR
399,000
Bank of America, N.A.
10/03/24
1,395
USD
41,071,315
EUR
36,640,000
Citibank, N.A.
12/05/24
178,576
USD
1,058,323
EUR
946,000
BNP Paribas S.A.
12/05/24
2,522
USD
15,636,194
GBP
12,068,000
State Street Bank and Trust Co
10/03/24
(498,110)
USD
349,914
GBP
268,000
JPMorgan Chase Bank, N.A.
10/03/24
(8,389)
USD
216,891
GBP
162,000
Bank of America, N.A.
10/03/24
305
USD
14,870,777
GBP
11,101,000
Goldman Sachs Bank USA
12/05/24
30,937
AUD
86,000
USD
59,535
Royal Bank of Canada
10/03/24
(78)
CAD
2,586,000
USD
1,919,336
BNP Paribas S.A.
10/03/24
(7,203)
EUR
207,000
USD
231,122
BNP Paribas S.A.
10/03/24
(690)
EUR
2,227,000
USD
2,484,885
BNP Paribas S.A.
10/03/24
(5,786)
EUR
36,379,000
USD
40,678,998
Citibank, N.A.
10/03/24
(181,858)
EUR
650,000
USD
725,337
BNP Paribas S.A.
10/02/24
(1,789)
GBP
313,000
USD
415,617
Bank of America, N.A.
10/03/24
2,848
GBP
1,173,000
USD
1,571,591
Bank of America, N.A.
10/03/24
(3,350)
GBP
10,999,000
USD
14,736,460
Goldman Sachs Bank USA
10/03/24
(31,355)
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
(809,600)
Unrealized Appreciation
230,730
Unrealized Depreciation
(1,040,330)
Credit Default Swaps
Underlying Reference
Maturity
Date
Clearinghouse /
Counterparty
Fixed
Payment
Received/
(Paid)
Payment
Frequency
Notional
Amount(1)
Value ($)
Upfront
Premium
Received/
(Paid) ($)
Unrealized
Appreciation/
(Depreciation) ($)
Buy Protection
BMW Finance NV
Dec 2029
BNP Paribas SA
(1%)
Quarterly
EUR
1,250,000
(25,918)
25,776
(142)
Heidelberg Materials AG
Dec 2029
BNP Paribas SA
(5%)
Quarterly
EUR
580,000
(130,462)
128,969
(1,493)
Generali
Dec 2029
BNP Paribas SA
(1%)
Quarterly
EUR
500,000
4,861
(5,795)
(934)
Intesa Sanpaolo SpA
Dec 2029
JPMorgan Chase Bank NA
(1%)
Quarterly
EUR
520,000
12,377
(12,362)
15
AXA SA
Dec 2029
BNP Paribas SA
(1%)
Quarterly
EUR
750,000
(4,696)
5,100
404
Societe Generale France
Dec 2029
BNP Paribas SA
(1%)
Quarterly
EUR
500,000
14,388
(14,380)
8
UniCredit SpA
Dec 2029
Goldman Sachs Bank USA
(1%)
Quarterly
EUR
450,000
10,768
(11,053)
(285)
TOTAL CREDIT DEFAULT SWAPS
(118,682)
116,255
(2,427)
(1)Notional amount is stated in U.S. Dollars unless otherwise noted.
Currency Abbreviations
AUD
-
Australian Dollar
CAD
-
Canadian Dollar
EUR
-
European Monetary Unit (Euro)
GBP
-
United Kingdom Pound
USD
-
United States Dollar
Legend
(a)
Amount is stated in United States dollars unless otherwise noted.
(b)
Security is exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $54,508,228 or 57.2% of net assets.
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d)
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 $5,003,674 or 5.3% of net assets.
(e)
Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.
(f)
Security is perpetual in nature with no stated maturity date.
(g)
Non-income producing - Security is in default.
(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)
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
(j)
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 $282,352.
(k)
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 $1,273,468.
(l)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate
Value,
beginning
of period ($)
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
11,501,764
49,692,671
57,419,533
252,693
38
-
3,774,940
0.0%
Fidelity Securities Lending Cash Central Fund
-
10,786,135
10,786,135
848
-
-
-
0.0%
Total
11,501,764
60,478,806
68,205,668
253,541
38
-
3,774,940
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column 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. Securities transactions are accounted for as of trade date. The Board of Directors (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
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 services or from brokers who make markets in such securities. U.S. Treasury Obligations, Foreign Government and Government Agency Obligations, Non-Convertible Corporate Bonds and Preferred Securities are valued by pricing services 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 services. 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 services, 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 services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service 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.
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. 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 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.
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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