UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22893
Fidelity Oxford Street Trust II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | July 31 |
| |
Date of reporting period: | January 31, 2014 |
Item 1. Reports to Stockholders
Fidelity® Commodity Strategy
Central Fund
Semiannual Report
January 31, 2014
To obtain the daily NAV of this fund, e-mail DataControlandPolicy@fmr.com.
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2014 FMR LLC. All rights reserved.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
CRC-SANN-0314
1.901063.104
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2013 to January 31, 2014).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Semiannual Report
Shareholder Expense Example - continued
| Annualized
Expense RatioB | Beginning
Account Value
August 1, 2013 | Ending
Account Value
January 31, 2014 | Expenses Paid
During Period*
August 1, 2013 to January 31, 2014 |
Actual | .0443% | $ 1,000.00 | $ 999.00 | $ .22 |
HypotheticalA | | $ 1,000.00 | $ 1,024.98 | $ .23 |
A 5% return per year before expenses
B Annualized expense ratio reflects consolidated expenses net of applicable fee waivers.
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the Fund's commodity-linked investments and excludes short-term investment-grade debt securities, cash and cash equivalents.
Commodity Instruments as of January 31, 2014* |
| % of fund's total
commodity-linked
investments | % of fund's total
commodity-linked
investments
6 months ago |
 | Commodity Swaps | 85.1 | 86.0 |
 | Commodity Futures | 7.9 | 7.8 |
 | Commodity-Linked Notes | 7.0 | 6.2 |
Commodity Sector Diversification as of January 31, 2014* |
| % of fund's total
commodity-linked
investments | % of fund's total
commodity-linked
investments
6 months ago |
 | Energy | 33.1 | 37.6 |
 | Agriculture | 30.4 | 28.7 |
 | Industrial Metals | 15.7 | 16.0 |
 | Precious Metals | 15.4 | 12.3 |
 | Livestock | 5.4 | 5.4 |
* Investments in Commodity Swaps and Commodity-Linked Notes provide exposure to the commodities market via the Dow Jones-UBS Commodity Index Total Return, an unmanaged index composed of futures contracts on 22 physical commodities. The Fund does not invest directly in physical commodities.
Semiannual Report
Consolidated Investments January 31, 2014 (Unaudited)
Showing Percentage of Net Assets
Commodity-Linked Notes - 2.2% |
| Principal Amount | | Value |
Deutsche Bank AG London Branch 0% 7/17/14 (d)(e)
(Cost $7,600,000) | | $ 7,600,000 | | $ 6,782,687 |
U.S. Treasury Obligations - 11.6% |
|
U.S. Treasury Bills, yield at date of purchase 0.06% to 0.07% 4/3/14 to 4/17/14 (b)(c)
(Cost $36,495,624) | | 36,500,000 | |
36,498,473
|
Money Market Funds - 85.5% |
| Shares | | |
Fidelity Cash Central Fund, 0.10% (a)
(Cost $267,932,063) | 267,932,063 | |
267,932,063
|
TOTAL INVESTMENT PORTFOLIO - 99.3% (Cost $312,027,687) | 311,213,223 |
NET OTHER ASSETS (LIABILITIES) - 0.7% | | 2,037,022 |
NET ASSETS - 100% | $ 313,250,245 |
Futures Contracts |
| Expiration Date | | Underlying Face Amount at Value | | Unrealized Appreciation/
(Depreciation) |
Purchased |
Commodity Futures Contracts |
82 CBOT Corn Contracts | Mar. 2014 | | $ 1,779,400 | | $ 6,462 |
22 CBOT Soybean Contracts | Mar. 2014 | | 1,411,025 | | (37,231) |
16 CBOT Soybean Meal Contracts | Mar. 2014 | | 681,760 | | 3,338 |
31 CBOT Soybean Oil Contracts | Mar. 2014 | | 700,104 | | (42,524) |
27 CBOT Wheat Contracts | Mar. 2014 | | 750,263 | | (128,712) |
13 CME Lean Hogs Contracts | Apr. 2014 | | 492,960 | | 20,915 |
14 CME Live Cattle Contracts | Apr. 2014 | | 786,380 | | 18,485 |
21 COMEX Copper Contracts | Mar. 2014 | | 1,678,425 | | (11,622) |
23 COMEX Gold 100 oz. Contracts | Apr. 2014 | | 2,851,540 | | (423) |
10 COMEX Silver Contracts | Mar. 2014 | | 956,000 | | (44,429) |
15 ICE Brent Crude Contracts | May 2014 | | 1,580,550 | | (2,857) |
13 ICE Coffee 'C' Contracts | Mar. 2014 | | 610,350 | | 78,732 |
10 KCBT Wheat Contracts | Mar. 2014 | | 307,750 | | (34,799) |
Futures Contracts - continued |
| Expiration Date | | Underlying Face Amount at Value | | Unrealized Appreciation/
(Depreciation) |
26 LME Aluminum Contracts | Mar. 2014 | | $ 1,095,413 | | $ (73,315) |
6 LME Nickel Contracts | Mar. 2014 | | 502,416 | | 360 |
11 LME Zinc Contracts | Mar. 2014 | | 540,788 | | 8,703 |
10 NYBOT Cotton No. 2 Contracts | Mar. 2014 | | 429,150 | | 33,645 |
52 NYBOT Sugar No. 11 Contracts | Mar. 2014 | | 905,632 | | (97,907) |
8 NYMEX Gasoline RBOB Contracts | Mar. 2014 | | 884,150 | | (25,604) |
7 NYMEX Heating Oil Contracts | Mar. 2014 | | 881,147 | | (5,362) |
55 NYMEX Natural Gas Contracts | Mar. 2014 | | 2,718,650 | | 405,687 |
22 NYMEX WTI Crude Contracts | Mar. 2014 | | 2,144,780 | | (5,664) |
TOTAL COMMODITY FUTURES CONTRACTS | | $ 24,688,633 | | $ 65,878 |
The face value of futures purchased as a percentage of net assets is 7.9% |
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $22,843,129. |
Each open total return swap is an agreement to receive the total return of the Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on the 3-month US auction rate T-Bill plus a specified spread. Additional information on open total return swaps is as follows: |
Counterparty | Expiration Date | Notional
Amount | Unrealized Appreciation/
(Depreciation) |
Barclays Bank PLC | Mar. 2014 | | $ 9,200,000 | $ 51,596 |
CIBC | Mar. 2014 | | 17,500,000 | 343,725 |
Citibank NA | Feb. 2014 | | 14,300,000 | 7,670 |
Credit Suisse | Mar. 2014 | | 10,300,000 | 318,391 |
Goldman Sachs | Feb. 2014 | | 13,000,000 | 72,908 |
JPMorgan Chase, Inc. | Mar. 2014 | | 21,000,000 | (44,003) |
JPMorgan Chase, Inc. | Mar. 2014 | | 17,400,000 | 162,138 |
JPMorgan Chase, Inc. | Mar. 2014 | | 12,000,000 | 235,584 |
Merrill Lynch, Inc. | Feb. 2014 | | 30,450,000 | (103,277) |
Merrill Lynch, Inc. | Mar. 2014 | | 33,150,000 | (382,009) |
Merrill Lynch, Inc. | Mar. 2014 | | 11,800,000 | 32,093 |
Morgan Stanley Capital Group, Inc. | Feb. 2014 | | 21,100,000 | 177,631 |
Societe Generale | Feb. 2014 | | 14,900,000 | 6,897 |
Societe Generale | Mar. 2014 | | 20,800,000 | (43,558) |
UBS | Feb. 2014 | | 18,800,000 | 16,174 |
TOTAL RETURN SWAPS | $ 851,960 |
For the period, the average monthly notional amount for swaps in the aggregate was $288,566,667. |
Legend |
(a) 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. |
(b) 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 $1,632,902. |
(c) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $15,688,299. |
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(e) Security is indexed to the Dow Jones-UBS Commodity Index Total Return, multiplied by 3. Securities do not guarantee any return of principal at maturity but instead, will pay at maturity or upon exchange, an amount based on the closing value of the Dow Jones-UBS Commodity Index Total Return. Although these instruments are primarily debt obligations, they indirectly provide exposure to changes in the value of the underlying commodities. Holders of the security have the right to exchange these notes at any time. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 148,314 |
| Value,
beginning of
period | Purchases | Sales
Proceeds | Dividend
Income | Value,
end of
period |
Fidelity Commodity Return Central Cayman Ltd. | $ 42,414,219 | $ - | $ - | $ - | $ 41,886,697 |
Other Information |
The following is a summary of the inputs used, as of January 31, 2014, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Consolidated Financial Statements. |
Valuation Inputs at Reporting Date: |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | | | | |
U.S. Government and Government Agency Obligations | $ 36,498,473 | $ - | $ 36,498,473 | $ - |
Commodity-Linked Notes | 6,782,687 | - | 6,782,687 | - |
Money Market Funds | 267,932,063 | 267,932,063 | - | - |
Total Investments in Securities: | $ 311,213,223 | $ 267,932,063 | $ 43,281,160 | $ - |
Derivative Instruments: | | | | |
Assets | | | | |
Futures Contracts | $ 576,327 | $ 576,327 | $ - | $ - |
Swaps | 1,424,807 | - | 1,424,807 | - |
Total Assets | $ 2,001,134 | $ 576,327 | $ 1,424,807 | $ - |
Liabilities | | | | |
Futures Contracts | $ (510,449) | $ (510,449) | $ - | $ - |
Swaps | (572,847) | - | (572,847) | - |
Total Liabilities | $ (1,083,296) | $ (510,449) | $ (572,847) | $ - |
Total Derivative Instruments: | $ 917,838 | $ 65,878 | $ 851,960 | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2014. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements. |
Primary Risk Exposure /
Derivative Type | Value |
| Asset | Liability |
Commodity Risk | | |
Futures Contracts (a) | $ 576,327 | $ (510,449) |
Swaps (b) | 1,424,807 | (572,847) |
Total Value of Derivatives | $ 2,001,134 | $ (1,083,296) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Consolidated Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Consolidated Statement of Assets and Liabilities. |
(b) For bi-lateral OTC swaps, reflects gross value which is presented in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. |
See accompanying notes which are an integral part of the consolidated financial statements.
Semiannual Report
Consolidated Financial Statements
Consolidated Statement of Assets and Liabilities
| January 31, 2014 (Unaudited) |
| | |
Assets | | |
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $44,095,624) | $ 43,281,160 | |
Fidelity Central Funds (cost $267,932,063) | 267,932,063 | |
Total Investments (cost $312,027,687) | | $ 311,213,223 |
Cash | | 1,247,201 |
Receivable for fund shares sold | | 12,504 |
Interest receivable | | 13 |
Distributions receivable from Fidelity Central Funds | | 25,098 |
Bi-lateral OTC swaps, at value | | 1,424,807 |
Prepaid expenses | | 6,250 |
Total assets | | 313,929,096 |
| | |
Liabilities | | |
Payable for fund shares redeemed | $ 5,439 | |
Bi-lateral OTC swaps, at value | 572,847 | |
Accrued management fee | 9,951 | |
Daily variation margin on futures contracts | 89,813 | |
Other payables and accrued expenses | 801 | |
Total liabilities | | 678,851 |
| | |
Net Assets | | $ 313,250,245 |
Net Assets consist of: | | |
Paid in capital | | $ 360,616,380 |
Distributions in excess of net investment income | | (47,962) |
Accumulated undistributed net realized gain (loss) on investments | | (47,421,548) |
Net unrealized appreciation (depreciation) on investments | | 103,375 |
Net Assets, for 32,907,694 shares outstanding | | $ 313,250,245 |
Net Asset Value, offering price and redemption price per share ($313,250,245 ÷ 32,907,694 shares) | | $ 9.52 |
See accompanying notes which are an integral part of the consolidated financial statements.
Semiannual Report
Consolidated Statement of Operations
Six months ended January 31, 2014 (Unaudited) |
| | |
Investment Income | | |
Interest | | $ 10,920 |
Income from Fidelity Central Funds | | 148,314 |
Total income | | 159,234 |
| | |
Expenses | | |
Management fee | $ 65,229 | |
Custodian fees and expenses | 1,640 | |
Independent trustees' compensation | 671 | |
Subsidiary directors' fees | 7,500 | |
Miscellaneous | 200 | |
Total expenses before reductions | 75,240 | |
Expense reductions | (690) | 74,550 |
Net investment income (loss) | | 84,684 |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | | |
Investment securities: | | |
Unaffiliated issuers | 28 | |
Futures contracts | (112,001) | |
Swaps | (12,497,437) | |
Total net realized gain (loss) | | (12,609,410) |
Change in net unrealized appreciation (depreciation) on: Investment securities | (11,279) | |
Futures contracts | 234,081 | |
Swaps | 11,906,523 | |
Total change in net unrealized appreciation (depreciation) | | 12,129,325 |
Net gain (loss) | | (480,085) |
Net increase (decrease) in net assets resulting from operations | | $ (395,401) |
See accompanying notes which are an integral part of the consolidated financial statements.
Semiannual Report
Consolidated Financial Statements - continued
Consolidated Statement of Changes in Net Assets
| Six months ended January 31, 2014 (Unaudited) | Year ended
July 31,
2013 |
Increase (Decrease) in Net Assets | | |
Operations | | |
Net investment income (loss) | $ 84,684 | $ 529,335 |
Net realized gain (loss) | (12,609,410) | (26,413,242) |
Change in net unrealized appreciation (depreciation) | 12,129,325 | (38,570,339) |
Net increase (decrease) in net assets resulting
from operations | (395,401) | (64,454,246) |
Distributions to shareholders from net investment income | (249,913) | (746,736) |
Distributions to shareholders from net realized gain | (147,213) | (219,038) |
Total distributions | (397,126) | (965,774) |
Share transactions
Proceeds from sales of shares | 436,831 | 275,203,251 |
Reinvestment of distributions | 18,442 | 334,864 |
Cost of shares redeemed | (42,628,262) | (569,857,249) |
Net increase (decrease) in net assets resulting from share transactions | (42,172,989) | (294,319,134) |
Total increase (decrease) in net assets | (42,965,516) | (359,739,154) |
| | |
Net Assets | | |
Beginning of period | 356,215,761 | 715,954,915 |
End of period (including distributions in excess of net investment income of $47,962 and undistributed net investment income of $117,267, respectively) | $ 313,250,245 | $ 356,215,761 |
Other Information Shares | | |
Sold | 46,024 | 25,408,652 |
Issued in reinvestment of distributions | 1,898 | 30,412 |
Redeemed | (4,483,682) | (53,630,854) |
Net increase (decrease) | (4,435,760) | (28,191,790) |
See accompanying notes which are an integral part of the consolidated financial statements.
Semiannual Report
Consolidated Financial Highlights
| Six months ended January 31, 2014 | Years ended July 31, |
| (Unaudited) | 2013 | 2012 | 2011 | 2010 G |
Selected Per-Share Data | | | | | |
Net asset value, beginning of period | $ 9.54 | $ 10.92 | $ 12.68 | $ 10.55 | $ 10.00 |
Income from Investment Operations | | | | | |
Net investment income (loss) D | - I | .01 | .01 | .01 | .01 |
Net realized and unrealized gain (loss) | (.01) | (1.38) | (1.45) | 2.22 | .55 |
Total from investment operations | (.01) | (1.37) | (1.44) | 2.23 | .56 |
Distributions from net investment income | (.01) | (.01) | (.01) | (.01) | (.01) |
Distributions from net realized gain | - I | - I | (.31) | (.09) | - |
Total distributions | (.01) | (.01) | (.32) | (.10) | (.01) |
Net asset value, end of period | $ 9.52 | $ 9.54 | $ 10.92 | $ 12.68 | $ 10.55 |
Total Return B,C | (.10)% | (12.52)% | (11.63)% | 21.28% | 5.55% |
Ratios to Average Net Assets E,H | | | | |
Expenses before reductions | .04% A | .05% | .05% | .05% | .06% A |
Expenses net of fee waivers, if any | .04% A | .05% | .05% | .05% | .06% A |
Expenses net of all reductions | .04% A | .05% | .05% | .05% | .06% A |
Net investment income (loss) | .05% A | .10% | .07% | .10% | .13% A |
Supplemental Data | | | | | |
Net assets, end of period (000 omitted) | $ 313,250 | $ 356,216 | $ 715,955 | $ 1,353,204 | $ 196,465 |
Portfolio turnover rate F | 0% A | 65% | 128% | 33% | 109% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period October 7, 2009 (commencement of operations) to July 31, 2010.
H Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
I Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the consolidated financial statements.
Semiannual Report
Notes to Consolidated Financial Statements
For the period ended January 31, 2014 (Unaudited)
1. Organization.
Fidelity Commodity Strategy Central Fund (the Fund) is a non-diversified fund of Fidelity Oxford Street Trust II (the Trust) (formerly a fund of Fidelity Garrison Street Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company (FMR), or its affiliates (the Investing Funds).
2. Consolidated Subsidiary.
The Fund invests in certain commodity-related investments through Fidelity Commodity Return Central Cayman Ltd., a wholly owned subsidiary (the "Subsidiary"). As of January 31, 2014, the Fund held an investment of $41,886,697 in the Subsidiary, representing 13.4% of the Fund's net assets.
The financial statements have been consolidated and include accounts of the Fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated.
3. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by FMR and its affiliates. The Fund's Consolidated Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
Semiannual Report
Notes to Consolidated Financial Statements (Unaudited) - continued
4. Significant Accounting Policies.
The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the consolidated financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the consolidated financial statements were issued have been evaluated in the preparation of the consolidated financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (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 FMR Fair Value Committee (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 is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - 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 the Fund's 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. U.S. government and government agency obligations 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. For commodity-linked notes, pricing vendors generally consider the movement of an underlying commodity index as well as other terms of the contract including the leverage factor and any fee and/or interest components of the note. Swaps are marked-to-market daily based on
Semiannual Report
4. Significant Accounting Policies - continued
Investment Valuation - continued
valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as movements in the underlying index, interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price or official closing 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 open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level, as of January 31, 2014 is included at the end of the Fund's Consolidated Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and distributions from other Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal
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Notes to Consolidated Financial Statements (Unaudited) - continued
4. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Internal Revenue Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary's income. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the consolidated financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to controlled foreign corporation and capital loss carryforwards.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end on an unconsolidated basis were as follows:
Gross unrealized appreciation | $ - |
Gross unrealized depreciation | (235,398,502) |
Net unrealized appreciation (depreciation) on securities and other investments | $ (235,398,502) |
| |
Tax cost | $ 548,607,719 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
No expiration | |
Short-term | $ (34,911,074) |
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4. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Due to large redemptions in a prior period, $34,911,074 of capital losses that will be available to offset future capital gains of the Fund will be limited to approximately $10,227,650 per year.
Indexed Securities. The Fund may invest in indexed securities whose values, interest rates and/or redemption prices are linked either directly or inversely to changes in foreign currencies, interest rates, commodities, indices, or other underlying instruments. These securities may be used to increase or decrease its exposure to different underlying instruments and to gain exposure to markets that might be difficult to invest in through conventional securities. Indexed securities may be leveraged, increasing their volatility relative to changes in their underlying instruments, but any loss is limited to the amount of the original investment. Gains (losses) realized upon the sale of indexed securities are included in realized gains (losses) on investment securities in the Consolidated Statement of Operations.
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and swaps. 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 primarily used derivatives to increase returns, to gain exposure to certain types of assets and 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:
Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. |
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
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5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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 such as bi-lateral swaps, 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 amounts owed under each transaction to one net payable by one party to the other. Upon entering into a swap, the Fund is required to post an initial collateral amount (referred to as "Independent Amount"), as defined in the ISDA Master Agreement. The Fund is required to post additional collateral for the benefit of counterparties to meet the counterparty's unrealized appreciation on outstanding swap contracts and any such posted collateral is identified on the Consolidated Schedule of Investments. 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. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk may be mitigated by the protection provided by the exchange's 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 and amounts recognized in the Consolidated Statement of Assets and Liabilities. 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.
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5. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Consolidated Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Commodity Risk | | |
Futures Contracts | $ (112,001) | $ 234,081 |
Swaps | (12,497,437) | 11,906,523 |
Totals | $ (12,609,438) | $ 12,140,604 |
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the commodities market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Consolidated Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Consolidated Statement of Operations.
Any open futures contracts at period end are presented in the Consolidated 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. Securities deposited to meet initial margin requirements are identified in the Consolidated 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.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items.
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5. Derivative Instruments - continued
Swaps - continued
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Consolidated Statement of Operations.
Any open swaps at period end are included in the Consolidated Schedule of Investments under the caption "Swaps."
Total Return Swaps. Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, the Fund will receive a payment from or make a payment to the counterparty. The Fund entered into total return swaps to manage its commodities market exposure.
6. Fees and Other Transactions with Affiliates.
Management Fee and Administration Agreement. Geode Capital Management, LLC (the investment adviser) provides the Fund with investment management services and the Fund does not pay any fees for these services. Pursuant to the Fund's management contract, the investment adviser receives fees from FMR for investment management services provided to the Fund. Under the management contract, the investment adviser pays all other expenses, except custody fees, the compensation of the independent Trustees and certain other expenses such as interest expense.
FMR provides administrative services to the Fund and the investment adviser pays for these services.
The investment adviser also provides investment management services to the Subsidiary. The Subsidiary pays the investment adviser a monthly management fee at an annual rate of .30% of its net assets. The Subsidiary also pays certain other expenses including custody and directors' fees.
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7. Expense Reductions.
The investment adviser has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $671.
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $19.
8. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by FMR or its affiliates were the owners of record of all of the outstanding shares of the Fund.
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Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Oxford Street Trust II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Oxford Street Trust II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Oxford Street Trust II
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
| |
Date: | March 28, 2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
| |
Date: | March 28, 2014 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
| |
Date: | March 28, 2014 |
