U.S. Treasury Bills, yield at date of purchase 5.3% to 5.32% 6/6/24 to 7/18/24 (b)(c)
(Cost $148,601,842)
150,000,000
148,598,375
Money Market Funds - 93.0%
Shares
Value ($)
Fidelity Cash Central Fund 5.39% (d)
(Cost $2,143,219,882)
2,143,042,469
2,143,471,077
TOTAL INVESTMENT IN SECURITIES - 99.5%
(Cost $2,291,821,724)
2,292,069,452
NET OTHER ASSETS (LIABILITIES) - 0.5%
12,658,507
NET ASSETS - 100.0%
2,304,727,959
Futures Contracts
Number
of contracts
Expiration
Date
Notional
Amount ($)
Value ($)
Unrealized
Appreciation/
(Depreciation) ($)
Purchased
Commodity Futures Contracts
CBOT Corn Contracts (United States)
835
Jul 2024
18,651,813
71,420
71,420
CBOT HRW Wheat Contracts (United States)
197
Jul 2024
6,257,213
562,141
562,141
CBOT Soybean Contracts (United States)
320
Jul 2024
18,608,000
(411,789)
(411,789)
CBOT Soybean Meal Contracts (United States)
326
Jul 2024
11,471,940
456,214
456,214
CBOT Soybean Oil Contracts (United States)
398
Jul 2024
10,270,788
(1,231,680)
(1,231,680)
CBOT Wheat Contracts (United States)
311
Jul 2024
9,380,538
442,860
442,860
CME Lean Hogs Contracts (United States)
216
Jun 2024
8,853,840
73,941
73,941
CME Live Cattle Contracts (United States)
173
Jun 2024
12,108,270
(617,514)
(617,514)
COMEX Copper Contracts (United States)
189
Jul 2024
21,531,825
1,246,684
1,246,684
COMEX Gold 100 oz. Contracts (United States)
238
Jun 2024
54,828,060
2,466,299
2,466,299
COMEX Silver Contracts (United States)
130
Jul 2024
17,264,000
(1,055,952)
(1,055,952)
ICE Brent Crude Contracts (United Kingdom)
330
May 2024
28,386,600
1,464,064
1,464,064
ICE Coffee 'C' Contracts (United States)
147
Jul 2024
11,942,831
232,115
232,115
ICE Cotton No. 2 Contracts (United States)
133
Jul 2024
5,215,595
(581,152)
(581,152)
ICE Low Sulphur Gasoil Contracts (United States)
126
Jul 2024
9,758,700
(624,877)
(624,877)
ICE Sugar No. 11 Contracts (United States)
404
Jun 2024
8,782,637
(759,923)
(759,923)
LME Aluminum Contracts (United Kingdom)
247
Jul 2024
15,989,236
778,782
778,782
LME Lead Contracts (United Kingdom)
57
Jul 2024
3,161,021
89,972
89,972
LME Nickel Contracts (United Kingdom)
90
Jul 2024
10,384,740
631,928
631,928
LME Zinc Contracts (United Kingdom)
133
Jul 2024
9,733,771
729,858
729,858
NYMEX Gasoline RBOB Contracts (United States)
84
Jun 2024
9,323,798
(233,124)
(233,124)
NYMEX NY Harbor ULSD Contracts (United States)
68
Jun 2024
7,223,966
(493,409)
(493,409)
NYMEX WTI Crude Oil Contracts (United States)
339
Jun 2024
27,442,050
(1,149,611)
(1,149,611)
TOTAL COMMODITY FUTURES CONTRACTS
2,087,247
Equity Index Contracts
NYMEX Natural Gas Contracts (United States)
1,035
Jun 2024
23,877,450
(542,363)
(542,363)
TOTAL FUTURES CONTRACTS
1,544,884
The notional amount of futures purchased as a percentage of Net Assets is 15.4%
Total Return Swaps
Underlying Reference(1)
Pay/
Receive
Reference
Reference
Payment
Frequency
Financing
Rate
Financing
Frequency
Counterparty
Maturity
Date
Notional
Amount
($)
Value ($)
Upfront
Premium
Received/
(Paid) ($)
Unrealized
Appreciation/
(Depreciation) ($)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 12 basis points
At Maturity
Canadian Imperial Bank Of Commerce
May 2024
80,000,000
1,835,109
0
1,835,109
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 12 basis points
At Maturity
Canadian Imperial Bank Of Commerce
May 2024
29,000,000
837,791
0
837,791
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 12 basis points
At Maturity
Canadian Imperial Bank Of Commerce
Jun 2024
75,000,000
(1,008,204)
0
(1,008,204)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 11 basis points
At Maturity
Citibank, N.A.
May 2024
85,000,000
1,950,758
0
1,950,758
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 11 basis points
At Maturity
Citibank, N.A.
May 2024
75,000,000
1,854,532
0
1,854,532
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 11 basis points
At Maturity
Citibank, N.A.
May 2024
72,000,000
3,142,946
0
3,142,946
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 11 basis points
At Maturity
Citibank, N.A.
Jul 2024
40,000,000
(555,727)
0
(555,727)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 11 basis points
At Maturity
Goldman Sachs Bank USA
Jun 2024
75,000,000
(1,022,598)
0
(1,022,598)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 11 basis points
At Maturity
Goldman Sachs Bank USA
Jul 2024
84,000,000
(1,052,608)
0
(1,052,608)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 13 basis points
At Maturity
JPMorgan Chase Bank, N.A.
May 2024
99,000,000
806,989
0
806,989
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 13 basis points
At Maturity
JPMorgan Chase Bank, N.A.
Jun 2024
50,000,000
(682,335)
0
(682,335)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 13 basis points
At Maturity
JPMorgan Chase Bank, N.A.
Jul 2024
104,000,000
(1,178,077)
0
(1,178,077)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 9 basis points
At Maturity
Macquarie Bank Ltd.
May 2024
83,000,000
(318,854)
0
(318,854)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 9 basis points
At Maturity
Macquarie Bank Ltd.
Jun 2024
75,000,000
(1,021,694)
0
(1,021,694)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 9 basis points
At Maturity
Macquarie Bank Ltd.
Jun 2024
67,000,000
(856,268)
0
(856,268)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 7 basis points
At Maturity
Merrill Lynch International
May 2024
89,000,000
2,575,417
0
2,575,417
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 9 basis points
At Maturity
Merrill Lynch International
May 2024
70,000,000
2,628,857
0
2,628,857
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 9 basis points
At Maturity
Merrill Lynch International
May 2024
50,000,000
1,048,077
0
1,048,077
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 9 basis points
At Maturity
Merrill Lynch International
Jun 2024
75,000,000
(1,006,663)
0
(1,006,663)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 11 basis points
At Maturity
Merrill Lynch International
Jun 2024
66,000,000
(843,994)
0
(843,994)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 12 basis points
At Maturity
Royal Bank of Canada
May 2024
99,000,000
(721,003)
0
(721,003)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 12 basis points
At Maturity
Royal Bank of Canada
May 2024
33,000,000
690,646
0
690,646
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 12 basis points
At Maturity
Royal Bank of Canada
Jun 2024
75,000,000
(1,008,204)
0
(1,008,204)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 12 basis points
At Maturity
Royal Bank of Canada
Jul 2024
91,000,000
(1,264,454)
0
(1,264,454)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 11 basis points
At Maturity
Societe Generale
May 2024
60,000,000
1,356,138
0
1,356,138
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 11 basis points
At Maturity
Societe Generale
Jun 2024
75,000,000
(1,007,690)
0
(1,007,690)
Bloomberg Commodity Index
Receives
At Maturity
3-month US auction rate T-Bill plus 11 basis points
At Maturity
Societe Generale
Jul 2024
63,000,000
(713,436)
0
(713,436)
TOTAL RETURN SWAPS
4,465,451
0
4,465,451
(1)Each open total return swap is an agreement to receive the total return of the Bloomberg Commodity Index and pay a floating rate based on the 3-month US auction rate T-Bill plus a specified spread.
Legend
(a)
Amount is stated in United States dollars unless otherwise noted.
(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 $20,993,513.
(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 $110,157,772.
(d)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate
Value,
beginning
of period ($)
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%
1,596,851,197
1,248,839,877
702,200,061
64,171,950
4,952
(24,888)
2,143,471,077
4.3%
Total
1,596,851,197
1,248,839,877
702,200,061
64,171,950
4,952
(24,888)
2,143,471,077
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.
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 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.
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.
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 stock market.
The Fund used futures contracts to manage its exposure to the commodities 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 Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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