ICE E-mini MSCI Emerging Markets Index Contracts (United States)
12
Dec 2024
675,900
17,334
17,334
ICE MSCI EAFE Index Contracts (United States)
3
Dec 2024
352,530
(13,731)
(13,731)
TOTAL FUTURES CONTRACTS
3,603
The notional amount of futures purchased as a percentage of Net Assets is 12.2%
Total Return Swaps
Underlying Reference
Pay/
Receive
Reference
Reference
Payment
Frequency
Financing
Rate
Financing
Frequency
Counterparty
Maturity
Date
Units
Notional
Amount
Value ($)
Upfront
Premium
Received/
(Paid) ($)
Unrealized
Appreciation/
(Depreciation) ($)
Invesco S&P High Income Infrastructure ETF
Receives
Monthly
United States Sofr Secured Overnight Finl Rate Indx minus 120 basis points
Monthly
BNP Paribas SA
Dec 2024
3,579
75,123
(229)
0
(229)
Invesco S&P High Income Infrastructure ETF
Receives
Monthly
United States Sofr Secured Overnight Finl Rate Indx minus 35 basis points
Monthly
Goldman Sachs International
Nov 2024
5,202
109,190
(410)
0
(410)
SPDR Gold Shares
Receives
Monthly
United States Sofr Secured Overnight Finl Rate Indx plus 15 basis points
Monthly
Goldman Sachs International
Jan 2025
3,081
756,724
21,384
0
21,384
ISHARES CORE TOTAL USD BOND MARKET ETF
Receives
Monthly
United States Sofr Secured Overnight Finl Rate Indx plus 40 basis points
Monthly
BNP Paribas SA
Jan 2025
2,253
221,898
(14,572)
0
(14,572)
ISHARES CORE TOTAL USD BOND MARKET ETF
Receives
Monthly
United States Sofr Secured Overnight Finl Rate Indx minus 35 basis points
Monthly
Morgan Stanley Capital Services LLC
Jan 2025
10,676
852,692
(10,943)
0
(10,943)
Invesco S&P High Income Infrastructure ETF
Receives
Monthly
United States Sofr Secured Overnight Finl Rate Indx plus 5 basis points
Monthly
Morgan Stanley Capital Services LLC
May 2025
3,389
71,135
(291)
0
(291)
ISHARES CORE TOTAL USD BOND MARKET ETF
Receives
Monthly
United States Sofr Secured Overnight Finl Rate Indx minus 40 basis points
Monthly
Morgan Stanley Capital Services LLC
Feb 2025
953
76,116
(974)
0
(974)
SPDR Gold Shares
Receives
Monthly
United States Sofr Secured Overnight Finl Rate Indx plus 25 basis points
Monthly
Goldman Sachs International
Feb 2025
100
24,561
692
0
692
ISHARES CORE TOTAL USD BOND MARKET ETF
Receives
Monthly
United States Sofr Secured Overnight Finl Rate Indx minus 10 basis points
Monthly
Morgan Stanley Capital Services LLC
Nov 2024
5,186
484,687
(15,027)
0
(15,027)
Invesco S&P High Income Infrastructure ETF
Receives
Monthly
United States Sofr Secured Overnight Finl Rate Indx plus 5 basis points
Monthly
Morgan Stanley Capital Services LLC
Apr 2025
47,541
998,756
(4,806)
0
(4,806)
ISHARES CORE TOTAL USD BOND MARKET ETF
Receives
Monthly
United States Sofr Secured Overnight Finl Rate Indx minus 35 basis points
Monthly
Morgan Stanley Capital Services LLC
Apr 2025
417
33,318
(433)
0
(433)
TOTAL RETURN SWAPS
(25,609)
0
(25,609)
Security Type Abbreviations
ETF
-
Exchange Traded Fund
Legend
(a)
Amount is stated in United States dollars unless otherwise noted.
(b)
Affiliated Fund
(c)
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.
(d)
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 $49,572.
(e)
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 $138,802.
(f)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate
Value,
beginning
of period ($)
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
1,082,291
1,557,388
2,124,296
24,161
-
-
515,383
0.0%
Total
1,082,291
1,557,388
2,124,296
24,161
-
-
515,383
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
Fidelity Commodity Strategy Fund
718,317
196,449
80,921
18,488
(16,174)
25,147
842,818
Fidelity Emerging Markets Index Fund
600,671
275,539
777,763
-
42,148
20,339
160,934
Fidelity Inflation-Protected Bond Index Fund
1,007,571
2,017,314
583,511
43,610
(8,710)
24,786
2,457,450
Fidelity International Bond Index Fund
-
393,677
273,240
2,106
168
2,812
123,417
Fidelity International Index Fund
843,816
144,990
472,857
1,932
56,518
(9,105)
563,362
Fidelity Long-Term Treasury Bond Index Fund
464,673
135,821
479,714
5,690
(45,482)
27,050
102,348
Fidelity Real Estate Index Fund
218,192
61,762
45,671
3,443
994
33,123
268,400
Fidelity Small Cap Index Fund
343,463
100,408
69,939
505
3,755
46,300
423,987
Fidelity Small Cap Value Index Fund
509,657
161,098
99,663
3,712
3,483
60,378
634,953
Fidelity Total Market Index Fund
559,895
270,887
244,912
1,134
8,144
89,870
683,884
5,266,255
3,757,945
3,128,191
80,620
44,844
320,700
6,261,553
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. 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.
Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be 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):
Commodity Risk - Commodity Risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.
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.
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.
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.
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 stock market.
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. Any securities and/or cash 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.
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.
Open swaps at period end are included in the Consolidated 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 consolidated 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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