Quarterly Holdings Report
for
Fidelity® SAI Convertible Arbitrage Fund
April 30, 2024
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
SCA-NPRT1-0624
1.9909700.100
Convertible Bonds - 26.1% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 0.8% | |||
Media - 0.8% | |||
Cable One, Inc. 0% 3/15/26 | 2,000,000 | 1,725,000 | |
CONSUMER DISCRETIONARY - 4.9% | |||
Broadline Retail - 0.8% | |||
Etsy, Inc. 0.125% 10/1/26 | 1,500,000 | 1,574,250 | |
Hotels, Restaurants & Leisure - 4.1% | |||
Royal Caribbean Cruises Ltd. 6% 8/15/25 | 2,965,000 | 8,450,250 | |
TOTAL CONSUMER DISCRETIONARY | 10,024,500 | ||
FINANCIALS - 2.3% | |||
Consumer Finance - 2.3% | |||
SoFi Technologies, Inc. 1.25% 3/15/29 (b) | 5,000,000 | 4,655,875 | |
HEALTH CARE - 5.9% | |||
Health Care Equipment & Supplies - 3.7% | |||
Enovis Corp. 3.875% 10/15/28 (b) | 4,000,000 | 4,720,000 | |
NuVasive, Inc. 0.375% 3/15/25 | 3,000,000 | 2,853,000 | |
7,573,000 | |||
Health Care Technology - 1.0% | |||
Evolent Health, Inc. 3.5% 12/1/29 (b) | 2,000,000 | 2,084,033 | |
Pharmaceuticals - 1.2% | |||
Pacira Biosciences, Inc. 0.75% 8/1/25 | 2,500,000 | 2,359,375 | |
TOTAL HEALTH CARE | 12,016,408 | ||
INDUSTRIALS - 4.6% | |||
Construction & Engineering - 2.6% | |||
Granite Construction, Inc. 3.75% 5/15/28 (b) | 4,000,000 | 5,342,000 | |
Machinery - 2.0% | |||
Middleby Corp. 1% 9/1/25 | 3,500,000 | 4,100,427 | |
TOTAL INDUSTRIALS | 9,442,427 | ||
INFORMATION TECHNOLOGY - 6.2% | |||
Electronic Equipment, Instruments & Components - 1.7% | |||
Advanced Energy Industries, Inc. 2.5% 9/15/28 (b) | 3,500,000 | 3,461,150 | |
Software - 4.5% | |||
Alteryx, Inc. 0.5% 8/1/24 | 6,450,000 | 6,401,625 | |
Varonis Systems, Inc. 1.25% 8/15/25 | 2,000,000 | 2,975,000 | |
9,376,625 | |||
TOTAL INFORMATION TECHNOLOGY | 12,837,775 | ||
REAL ESTATE - 1.4% | |||
Equity Real Estate Investment Trusts (REITs) - 1.4% | |||
Federal Realty OP LP 3.25% 1/15/29 (b) | 3,000,000 | 2,914,500 | |
TOTAL CONVERTIBLE BONDS (Cost $51,501,809) | 53,616,485 | ||
U.S. Treasury Obligations - 71.0% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.28% to 5.31% 5/16/24 to 7/5/24 (c)(d) (Cost $146,125,400) | 147,000,000 | 146,118,312 | |
Money Market Funds - 3.8% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (e) (Cost $7,829,394) | 7,827,829 | 7,829,394 | |
TOTAL INVESTMENT IN SECURITIES - 100.9% (Cost $205,456,603) | 207,564,191 |
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (1,869,527) |
NET ASSETS - 100.0% | 205,694,664 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Sold | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 61 | Jun 2024 | 12,362,031 | 120,925 | 120,925 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 10 | Jun 2024 | 1,047,422 | 19,589 | 19,589 |
TOTAL FUTURES CONTRACTS | 140,514 | ||||
The notional amount of futures sold as a percentage of Net Assets is 6.5% |
Total Return Swaps | ||||||
Description | Counterparty | Maturity Date | Absolute Notional Amount ($) | Value ($) | Net Cash and Other Receivables/(Payables) ($) | Unrealized Appreciation/(Depreciation) ($) |
The Fund receives the total return on a portfolio of long and short equity positions and fixed income positions and pays or receives the Secured Overnight Fin. Rate (SOFR)plus or minus a specified spread ranging from (0.20)% to 0.55% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap as applicable. | Bank of Montreal | Sep 2024 | 183,800,363 | (660,383) | (173,465) | (833,848) |
The following table represents disclosures associated with the underlying components of the total return basket swap at period end. | ||||||
Description | Principal Amount / (Shares) | Notional Amount ($) | Unrealized Appreciation / (Depreciation) ($) | Percentage of Swap Value (%) | Investment Type | |
Jazz Pharmaceuticals PLC | (500) | (55,155) | 418 | 0.00 | Common Stock | |
Seagate Technology Holdings PLC | (36,900) | (3,166,389) | (64,625) | 0.08 | Common Stock | |
Camtek Ltd. | (36,500) | (2,879,120) | (57,775) | 0.07 | Common Stock | |
Spotify Technology SA | (3,250) | (924,755) | 31,027 | (0.04) | Common Stock | |
MakeMyTrip Ltd. | (46,400) | (3,132,928) | (62,145) | 0.07 | Common Stock | |
Airbnb, Inc.Class A | (2,000) | (312,320) | (457) | 0.00 | Common Stock | |
Airbnb, Inc. 0 % 3/15/2026 | 2,000,000 | 1,833,000 | (9,771) | 0.01 | Convertible Corporate Bond | |
Altair Engineering, Inc.Class A | (55,800) | (4,542,678) | 59,257 | (0.07) | Common Stock | |
Altair Engineering, Inc. 1.75 % 6/15/2027 | 5,000,000 | 6,331,092 | (75,503) | 0.09 | Convertible Corporate Bond | |
Ascendis Pharma A/S sponsored ADR | (31,700) | (4,470,017) | 143,578 | (0.17) | Common Stock | |
Ascendis Pharma A/S 2.25 % 4/1/2028 | 7,500,000 | 8,317,500 | (224,257) | 0.27 | Convertible Corporate Bond | |
Avid Bioservices, Inc. | (320,000) | (2,454,400) | (251,382) | 0.30 | Common Stock | |
Avid Bioservices, Inc. 7 % 3/1/2029 | 4,000,000 | 4,479,666 | 191,205 | (0.23) | Convertible Corporate Bond | |
BlackLine, Inc. | (10,000) | (579,400) | 30,295 | (0.04) | Common Stock | |
BlackLine, Inc. 0.125 % 8/1/2024 | 1,500,000 | 1,486,979 | (25,860) | 0.03 | Convertible Corporate Bond | |
The Boeing Co. | (12,000) | (2,057,520) | (4,427) | 0.01 | Common Stock | |
Burlington Stores, Inc. | (7,400) | (1,317,348) | 52,787 | (0.06) | Common Stock | |
Burlington Stores, Inc. 1.25 % 12/15/2027 | 2,000,000 | 2,168,583 | (56,463) | 0.07 | Convertible Corporate Bond | |
Cable One, Inc. | (300) | (119,013) | (1,033) | 0.00 | Common Stock | |
Cable One, Inc. 0 % 3/15/2026 | 3,000,000 | 2,589,000 | (6,389) | 0.01 | Convertible Corporate Bond | |
Camtek Ltd. 0 % 12/1/2026 | 2,500,000 | 3,621,250 | (30,846) | 0.04 | Convertible Corporate Bond | |
Coinbase Global, Inc. | (17,700) | (3,718,593) | 244,432 | (0.29) | Common Stock | |
Coinbase Global, Inc. 0.25 % 4/1/2030 | 7,500,000 | 6,866,977 | (368,736) | 0.44 | Convertible Corporate Bond | |
Cracker Barrel Old Country Store, Inc. | (6,400) | (360,704) | 21,181 | (0.03) | Common Stock | |
Cracker Barrel Old Country Store, Inc. 0.625 % 6/15/2026 | 3,500,000 | 3,055,135 | 9,079 | (0.01) | Convertible Corporate Bond | |
Datadog, Inc.Class A | (18,500) | (2,338,770) | (6,142) | 0.01 | Common Stock | |
Datadog, Inc. 0.125 % 6/15/2025 | 2,000,000 | 2,866,958 | 406 | 0.00 | Convertible Corporate Bond | |
FirstEnergy Corp. | (13,500) | (522,450) | (16,474) | 0.02 | Common Stock | |
FirstEnergy Corp. 4% 05/01/2026 | 2,000,000 | 1,980,444 | 11,001 | (0.01) | Convertible Corporate Bond | |
The Greenbrier Companies, Inc. | (61,300) | (3,037,415) | 99,268 | (0.12) | Common Stock | |
The Greenbrier Companies, Inc. 2.875 % 4/15/2028 | 5,000,000 | 5,398,187 | (120,692) | 0.14 | Convertible Corporate Bond | |
InterDigital, Inc. | (17,000) | (1,664,300) | (28,469) | 0.03 | Common Stock | |
InterDigital, Inc. 2 % 6/1/2024 | 1,500,000 | 1,802,354 | 9,264 | (0.01) | Convertible Corporate Bond | |
Jazz Investments I Ltd. 1.5 % 8/15/2024 | 4,000,000 | 3,958,999 | (3,585) | 0.00 | Convertible Corporate Bond | |
JPMorgan Chase Financial Co. LLC 0.5 % 6/15/2027 | 4,000,000 | 4,159,666 | (28,237) | 0.03 | Convertible Corporate Bond | |
Liberty Media Corp. Liberty Formula One Class C | (36,900) | (2,595,177) | (84,330) | 0.10 | Common Stock | |
Liberty Media Corp. Liberty Formula One 2.25 % 8/15/2027 | 5,000,000 | 5,265,832 | 85,393 | (0.10) | Convertible Corporate Bond | |
Liberty Media Corp. 2.375 % 9/30/2053 | 3,500,000 | 3,651,119 | (291,183) | 0.35 | Convertible Corporate Bond | |
Live Nation Entertainment, Inc. | (22,700) | (2,026,656) | 242,946 | (0.29) | Common Stock | |
Lyft, Inc. | (208,900) | (3,313,154) | 451,180 | (0.55) | Common Stock | |
Lyft, Inc. 0.625 % 3/1/2029 | 5,500,000 | 5,698,802 | (529,437) | 0.63 | Convertible Corporate Bond | |
MACOM Technology Solutions Holdings, Inc. | (18,500) | (1,833,720) | (25,943) | 0.03 | Common Stock | |
MACOM Technology Solutions Holdings, Inc. 0.25 % 3/15/2026 | 2,000,000 | 2,587,861 | 21,798 | (0.03) | Convertible Corporate Bond | |
MakeMyTrip Ltd. 0 % 2/15/2028 | 2,000,000 | 3,614,000 | 27,075 | (0.03) | Convertible Corporate Bond | |
Marriott Vacations Worldwide Corp. | (14,500) | (1,382,865) | 37,383 | (0.04) | Common Stock | |
Marriott Vacations Worldwide Corp. 3.25 % 12/15/2027 | 7,500,000 | 6,925,937 | (90,640) | 0.11 | Convertible Corporate Bond | |
Mesa Laboratories, Inc. | (500) | (55,090) | (2,753) | 0.00 | Common Stock | |
Mesa Laboratories, Inc. 1.375 % 8/15/2025 | 1,000,000 | 934,279 | (11,673) | 0.01 | Convertible Corporate Bond | |
Mirum Pharmaceuticals, Inc. | (47,300) | (1,216,556) | (83,204) | 0.10 | Common Stock | |
Mirum Pharmaceuticals, Inc. 4% 05/01/2029 | 2,000,000 | 2,278,004 | 65,674 | (0.08) | Convertible Corporate Bond | |
Okta, Inc. | (5,000) | (466,700) | 5,453 | (0.01) | Common Stock | |
Okta, Inc. 0.125 % 9/1/2025 | 1,540,000 | 1,452,551 | (14,855) | 0.02 | Convertible Corporate Bond | |
Okta, Inc. 0.375 % 6/15/2026 | 2,700,000 | 2,446,841 | (24,338) | 0.03 | Convertible Corporate Bond | |
PG&E Corp. | (42,500) | (739,925) | (46,053) | 0.06 | Common Stock | |
PG&E Corp. 4.25 % 12/1/2027 | 1,630,000 | 1,673,342 | 29,180 | (0.03) | Convertible Corporate Bond | |
Peabody Energy Corp. | (107,800) | (2,311,232) | 166,966 | (0.20) | Common Stock | |
Peabody Energy Corp. 3.25 % 3/1/2028 | 2,500,000 | 3,231,493 | (165,619) | 0.20 | Convertible Corporate Bond | |
Progress Software Corp. | (44,600) | (2,234,906) | 2,524 | 0.00 | Common Stock | |
Progress Software Corp. 1 % 4/15/2026 | 4,000,000 | 4,024,000 | (10,407) | 0.01 | Convertible Corporate Bond | |
Seagate HDD Cayman 3.5 % 6/1/2028 | 4,000,000 | 4,806,111 | 44,199 | (0.05) | Convertible Corporate Bond | |
Spotify U.S.A., Inc. 0 % 3/15/2026 | 5,000,000 | 4,647,500 | (53,555) | 0.06 | Convertible Corporate Bond | |
Turning Point Brands, Inc. | (2,800) | (81,732) | (6,840) | 0.01 | Common Stock | |
Turning Point Brands, Inc. 2.5 % 7/15/2024 | 2,360,000 | 2,358,592 | 379 | 0.00 | Convertible Corporate Bond | |
Tyler Technologies, Inc. | (3,000) | (1,375,590) | (164,074) | 0.20 | Common Stock | |
Tyler Technologies, Inc. 0.25 % 3/15/2026 | 3,000,000 | 3,134,499 | 168,501 | (0.20) | Convertible Corporate Bond | |
Uber Technologies, Inc. | (26,500) | (1,796,435) | 152,807 | (0.18) | Common Stock | |
Uber Technologies, Inc. 0.875 % 12/1/2028 | 2,500,000 | 2,844,661 | (161,815) | 0.19 | Convertible Corporate Bond | |
Vertex, Inc.Class A | - | - | 293 | 0.00 | Common Stock | |
Winnebago Industries, Inc. | (14,000) | (860,720) | 20,361 | (0.02) | Common Stock | |
Winnebago Industries, Inc. 1.5 % 4/1/2025 | 1,250,000 | 1,365,416 | (49,171) | 0.06 | Convertible Corporate Bond | |
Description | Counterparty | Maturity Date | Absolute Notional Amount ($) | Value ($) | Net Cash and Other Receivables/(Payables) ($) | Unrealized Appreciation/(Depreciation) ($) |
The Fund receives the total return on a portfolio of long and short equity positions and fixed income positions and pays or receives the Secured Overnight Fin. Rate (SOFR)plus or minus a specified spread ranging from (0.50)% to 0.75% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap as applicable. | BNP Paribas SA | Sep 2024 | 315,159,177 | (684,510) | (300,988) | (985,498) |
The following table represents disclosures associated with the underlying components of the total return basket swap at period end. | ||||||
Description | Principal Amount / (Shares) | Notional Amount ($) | Unrealized Appreciation / (Depreciation) ($) | Percentage of Swap Value (%) | Investment Type | |
IMAX Corp. | (51,300) | (830,547) | 9,038 | (0.01) | Common Stock | |
Jazz Pharmaceuticals PLC | (4,500) | (496,395) | 3,509 | 0.00 | Common Stock | |
Royal Caribbean Cruises Ltd. | (94,100) | (12,940,632) | (947,408) | 0.96 | Common Stock | |
Carnival Corp. | (135,000) | (1,953,450) | (51,142) | 0.05 | Common Stock | |
Advanced Energy Industries, Inc. | (15,700) | (1,508,456) | (16,010) | 0.02 | Common Stock | |
Akamai Technologies, Inc. | (29,400) | (2,966,166) | 45,763 | (0.05) | Common Stock | |
Akamai Technologies, Inc. 0.375 % 9/1/2027 | 5,000,000 | 5,075,729 | (17,059) | 0.02 | Convertible Corporate Bond | |
Alphatec Holdings, Inc. | (95,000) | (1,232,150) | 15,108 | (0.02) | Common Stock | |
Alphatec Holdings, Inc. 0.75 % 8/1/2026 | 2,680,000 | 2,720,311 | (26,540) | 0.03 | Convertible Corporate Bond | |
Assertio Holdings, Inc. | (61,700) | (56,838) | (6,486) | 0.01 | Common Stock | |
Assertio Holdings, Inc. 6.5 % 9/1/2027 | 500,000 | 430,029 | 2,395 | 0.00 | Convertible Corporate Bond | |
Axon Enterprise, Inc. | (18,600) | (5,795,202) | (141,130) | 0.14 | Common Stock | |
Axon Enterprise, Inc. 0.5 % 12/15/2027 | 5,000,000 | 7,242,489 | 126,836 | (0.13) | Convertible Corporate Bond | |
Carnival Corp. 5.75 % 10/1/2024 | 1,500,000 | 2,259,805 | 48,412 | (0.05) | Convertible Corporate Bond | |
Cinemark Holdings, Inc. | (56,000) | (976,080) | 16,194 | (0.02) | Common Stock | |
Cinemark Holdings, Inc. 4.5 % 8/15/2025 | 1,000,000 | 1,367,250 | (17,920) | 0.02 | Convertible Corporate Bond | |
Enovis Corp. | (52,000) | (2,880,800) | 79,868 | (0.08) | Common Stock | |
Etsy, Inc. | (24,000) | (1,673,760) | (68,689) | 0.07 | Common Stock | |
Etsy, Inc. 0.125 % 10/1/2026 | 1,500,000 | 1,569,166 | 2,042 | 0.00 | Convertible Corporate Bond | |
Evolent Health, Inc.Class A | (41,000) | (1,118,070) | 126,983 | (0.13) | Common Stock | |
Exact Sciences Corp. | (14,100) | (846,141) | 77,336 | (0.08) | Common Stock | |
Exact Sciences Corp. 0.375 % 3/15/2027 | 3,500,000 | 3,174,150 | (126,649) | 0.13 | Convertible Corporate Bond | |
Federal Realty Investment Trust (SBI) | (11,000) | (1,147,080) | (66,139) | 0.07 | Common Stock | |
Five9, Inc. | (2,700) | (157,248) | (3,520) | 0.00 | Common Stock | |
Five9, Inc. 0.5 % 6/1/2025 | 1,500,000 | 1,412,266 | (6,498) | 0.01 | Convertible Corporate Bond | |
Freshpet, Inc. | (76,700) | (8,106,423) | 17,969 | (0.02) | Common Stock | |
Freshpet, Inc. 3 % 4/1/2028 | 6,000,000 | 10,015,000 | (49,417) | 0.05 | Convertible Corporate Bond | |
Granite Construction, Inc. | (68,400) | (3,761,316) | (17,026) | 0.02 | Common Stock | |
Guess?, Inc. | (101,000) | (2,622,970) | (91,802) | 0.09 | Common Stock | |
Guess?, Inc. 3.75 % 4/15/2028 | 3,000,000 | 3,844,125 | 97,412 | (0.10) | Convertible Corporate Bond | |
HubSpot, Inc. | (8,750) | (5,303,287) | 288,342 | (0.29) | Common Stock | |
HubSpot, Inc. 0.375 % 6/1/2025 | 2,500,000 | 5,405,208 | (304,852) | 0.31 | Convertible Corporate Bond | |
IMAX Corp. 0.5 % 4/1/2026 | 4,500,000 | 4,175,749 | (45,177) | 0.05 | Convertible Corporate Bond | |
Insight Enterprises, Inc. | (36,500) | (6,322,530) | 342,511 | (0.35) | Common Stock | |
Insight Enterprises, Inc. 0.75 % 2/15/2025 | 2,500,000 | 6,342,812 | (357,600) | 0.36 | Convertible Corporate Bond | |
Insmed, Inc. | (76,000) | (1,944,840) | 111,210 | (0.11) | Common Stock | |
Insmed, Inc. 0.75 % 6/1/2028 | 3,204,000 | 3,342,306 | (108,538) | 0.11 | Convertible Corporate Bond | |
Innoviva, Inc. | (82,500) | (1,256,475) | (65,841) | 0.07 | Common Stock | |
Innoviva, Inc. 2.5 % 8/15/2025 | 2,500,000 | 2,690,541 | 41,005 | (0.04) | Convertible Corporate Bond | |
InterDigital, Inc. | (21,400) | (2,095,060) | (35,668) | 0.04 | Common Stock | |
InterDigital, Inc. 3.5 % 6/1/2027 | 2,000,000 | 2,720,955 | 15,616 | (0.02) | Convertible Corporate Bond | |
Jazz Investments I Ltd. 2 % 6/15/2026 | 2,000,000 | 1,940,225 | (13,979) | 0.01 | Convertible Corporate Bond | |
Ziff Davis, Inc. | (17,000) | (841,840) | 62,690 | (0.06) | Common Stock | |
Ziff Davis, Inc. 1.75 % 11/1/2026 | 5,000,000 | 4,509,861 | (83,143) | 0.08 | Convertible Corporate Bond | |
Lumentum Holdings, Inc. | (22,000) | (957,440) | (28,707) | 0.03 | Common Stock | |
Lumentum Holdings, Inc. 0.5 % 6/15/2028 | 7,500,000 | 5,682,875 | (39,512) | 0.04 | Convertible Corporate Bond | |
Merit Medical Systems, Inc. | (48,700) | (3,731,881) | (219,660) | 0.22 | Common Stock | |
Merit Medical Systems, Inc. 3 % 2/1/2029 | 6,000,000 | 6,636,145 | 204,483 | (0.21) | Convertible Corporate Bond | |
Middleby Corp. | (22,500) | (3,093,975) | 137,873 | (0.14) | Common Stock | |
Mirum Pharmaceuticals, Inc. | (42,700) | (1,098,244) | (75,023) | 0.08 | Common Stock | |
Mirum Pharmaceuticals, Inc. 4% 05/01/2029 | 2,000,000 | 2,278,004 | 65,444 | (0.07) | Convertible Corporate Bond | |
MongoDB, Inc.Class A | (16,500) | (6,159,945) | (418,942) | 0.43 | Common Stock | |
MongoDB, Inc. 0.25 % 1/15/2026 | 3,685,000 | 6,678,373 | 396,560 | (0.40) | Convertible Corporate Bond | |
Natera, Inc. | (12,250) | (1,153,337) | (43,237) | 0.04 | Common Stock | |
Natera, Inc. 2.25 % 5/1/2027 | 500,000 | 1,249,062 | 39,963 | (0.04) | Convertible Corporate Bond | |
Pacira Biosciences, Inc. | (5,000) | (134,750) | (1,805) | 0.00 | Common Stock | |
Palo Alto Networks, Inc. | (37,750) | (10,847,085) | (550,649) | 0.56 | Common Stock | |
Palo Alto Networks, Inc. 0.375 % 6/1/2025 | 3,750,000 | 10,832,187 | 545,806 | (0.55) | Convertible Corporate Bond | |
PetIQ, Inc.Class A | (60,100) | (1,013,887) | (43,868) | 0.04 | Common Stock | |
PetIQ, Inc. 4 % 6/1/2026 | 3,708,000 | 3,638,619 | 4,989 | (0.01) | Convertible Corporate Bond | |
Repligen Corp. | (22,400) | (3,547,264) | 188,133 | (0.19) | Common Stock | |
Repligen Corp. 1 % 12/15/2028 | 6,000,000 | 6,183,366 | (177,478) | 0.18 | Convertible Corporate Bond | |
Royal Caribbean Cruises Ltd. 6 % 8/15/2025 | 2,000,000 | 5,642,000 | 381,355 | (0.39) | Convertible Corporate Bond | |
Sarepta Therapeutics, Inc. | (15,000) | (1,963,500) | (184,916) | 0.19 | Common Stock | |
Sarepta Therapeutics, Inc. 1.25 % 9/15/2027 | 3,000,000 | 3,496,400 | 179,604 | (0.18) | Convertible Corporate Bond | |
Shockwave Medical, Inc. | - | - | (15,327) | 0.02 | Common Stock | |
Shockwave Medical, Inc. 1 % 8/15/2028 | - | - | 16,758 | (0.02) | Convertible Corporate Bond | |
SoFi Technologies, Inc. | (415,000) | (2,871,800) | 88,934 | (0.09) | Common Stock | |
Stride, Inc. | (60,200) | (3,994,270) | (470,193) | 0.48 | Common Stock | |
Stride, Inc. 1.125 % 9/1/2027 | 4,000,000 | 5,477,750 | 442,246 | (0.45) | Convertible Corporate Bond | |
Tandem Diabetes Care, Inc. | (94,000) | (3,402,800) | (401,321) | 0.41 | Common Stock | |
Tandem Diabetes Care, Inc. 1.5 % 3/15/2029 | 4,000,000 | 5,046,666 | 385,288 | (0.39) | Convertible Corporate Bond | |
TransMedics Group, Inc. | (48,000) | (5,644,800) | (1,194,560) | 1.19 | Common Stock | |
TransMedics Group, Inc. 1.5% 06/01/2028 | 5,500,000 | 8,003,783 | 1,154,389 | (1.17) | Convertible Corporate Bond | |
Travere Therapeutics, Inc. | (37,500) | (225,000) | 12,525 | (0.01) | Common Stock | |
Travere Therapeutics, Inc. 2.25 % 3/1/2029 | 1,500,000 | 867,562 | (50,193) | 0.05 | Convertible Corporate Bond | |
Tyler Technologies, Inc. | (500) | (229,265) | (4,168) | 0.00 | Common Stock | |
Uber Technologies, Inc. | (25,800) | (1,748,982) | 148,935 | (0.15) | Common Stock | |
Uber Technologies, Inc. 0.875 % 12/1/2028 | 2,500,000 | 2,844,661 | (162,132) | 0.16 | Convertible Corporate Bond | |
Varonis Systems, Inc. | (60,000) | (2,606,400) | (24,890) | 0.03 | Common Stock | |
Vishay Intertechnology, Inc. | (73,600) | (1,636,128) | (56,121) | 0.06 | Common Stock | |
Vishay Intertechnology, Inc. 2.25 % 9/15/2030 | 3,000,000 | 2,824,500 | 33,733 | (0.03) | Convertible Corporate Bond | |
Wayfair LLC Class A | (5,500) | (277,915) | 33,082 | (0.03) | Common Stock | |
Wayfair LLC 1 % 8/15/2026 | 1,500,000 | 1,333,600 | (21,279) | 0.02 | Convertible Corporate Bond | |
Western Digital Corp. | (55,800) | (3,934,458) | 4,247 | 0.00 | Common Stock | |
Western Digital Corp. 3 % 11/15/2028 | 3,500,000 | 5,320,000 | 5,815 | (0.01) | Convertible Corporate Bond | |
Workiva, Inc. | (10,000) | (803,000) | (19,366) | 0.02 | Common Stock | |
Workiva, Inc. 1.125 % 8/15/2026 | 1,000,000 | 1,165,437 | 3,506 | 0.00 | Convertible Corporate Bond | |
World Kinect Corp. | (114,400) | (2,673,528) | 185,932 | (0.19) | Common Stock | |
World Kinect Corp. 3.25 % 7/1/2028 | 5,000,000 | 5,157,569 | (208,610) | 0.21 | Convertible Corporate Bond | |
Xerox Holdings Corp. | (168,000) | (2,194,080) | 562,176 | (0.57) | Common Stock | |
Xerox Holdings Corp. 3.75 % 3/15/2030 | 5,000,000 | 4,259,583 | (616,193) | 0.63 | Convertible Corporate Bond | |
Zillow Group, Inc.Class C | (83,000) | (3,476,870) | 117,596 | (0.12) | Common Stock | |
Zillow Group, Inc. 0.75 % 9/1/2024 | 5,500,000 | 5,831,604 | (160,120) | 0.16 | Convertible Corporate Bond | |
Zillow Group, Inc. 2.75 % 5/15/2025 | - | - | (9,461) | 0.01 | Convertible Corporate Bond | |
Zscaler, Inc. | (15,500) | (2,670,805) | 45,377 | (0.05) | Common Stock | |
Zscaler, Inc. 0.125 % 7/1/2025 | 2,808,000 | 3,546,289 | (34,522) | 0.04 | Convertible Corporate Bond |
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | 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 $23,177,558 or 11.3% of net assets. |
(c) | 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 $99,049. |
(d) | 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 $43,284,192. |
(e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | 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 5.39% | 5,110,094 | 110,934,928 | 108,212,627 | 156,131 | (3,001) | - | 7,829,394 | 0.0% |
Total | 5,110,094 | 110,934,928 | 108,212,627 | 156,131 | (3,001) | - | 7,829,394 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
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 Trustees (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. Convertible Bonds and U.S. Treasury Obligations 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. 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 movements in the underlying index 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.
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):
Equity Risk - Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
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.
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.
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.
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 market exposure.
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 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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