Fidelity Securities Lending Cash Central Fund (i)(j)
(Cost $63,138,499)
4.64
63,132,186
63,138,499
TOTAL INVESTMENT IN SECURITIES - 101.2%
(Cost $2,919,651,213)
5,344,187,834
NET OTHER ASSETS (LIABILITIES) - (1.2)%
(61,376,551)
NET ASSETS - 100.0%
5,282,811,283
Legend
(a)
Amount is stated in United States dollars unless otherwise noted.
(b)
Level 3 security
(c)
Non-income producing
(d)
Restricted securities (including private placements) - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $140,923,129 or 2.7% of net assets.
(e)
Security or a portion of the security is on loan at period end.
(f)
Affiliated company
(g)
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 $6,245,075 or 0.1% of net assets.
(h)
Security is perpetual in nature with no stated maturity date.
(i)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(j)
Investment made with cash collateral received from securities on loan.
Additional information on each restricted holding is as follows:
Security
Acquisition Date
Acquisition Cost ($)
Aledade Inc Series B1
5/07/21
6,709,756
Aledade Inc Series E1
5/20/22
2,917,480
Asimov Inc Series B
10/29/21
9,081,318
Caris Life Sciences Inc Series D
5/11/21
22,711,874
Conformal Medical Inc Series C
7/24/20
9,554,996
Conformal Medical Inc Series D
5/26/23
2,668,340
dMed Biopharmaceutical Co Ltd Series C
12/01/20
4,392,395
DNA Script SAS
12/17/21
3,737,869
DNA Script SAS
12/17/21
976,907
DNA Script SAS Series B
12/17/21
47,244
DNA Script SAS Series C
10/01/21
24,572,393
Element Biosciences Inc Series B
12/13/19
12,500,000
ElevateBio LLC Series C
3/09/21
900,667
Freenome Holdings Inc Series C
8/14/20
14,999,996
Freenome Holdings Inc Series D
11/22/21
9,999,996
Galvanize Therapeutics 6% 2/28/2027
2/28/24
2,433,800
Galvanize Therapeutics Series B
3/29/22
6,303,849
Inscripta Inc Series D
11/13/20
18,000,001
Kardium Inc/CA 0%
12/30/20
19,551,861
Kardium Inc/CA Series D-6
12/30/20
14,001,515
Omada Health Inc Series E
12/22/21
13,087,156
Saluda Medical Inc Series D
1/20/22
20,000,011
Saluda Medical Inc warrants 1/20/2027
1/20/22
0
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 ($)
% ownership,
end
of period
Fidelity Cash Central Fund
18,516,986
677,486,537
696,003,176
529,382
(347)
-
-
0.0%
Fidelity Securities Lending Cash Central Fund
149,430,952
604,828,440
691,120,893
50,333
-
-
63,138,499
0.2%
Total
167,947,938
1,282,314,977
1,387,124,069
579,715
(347)
-
63,138,499
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Other Affiliated Issuers
An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are presented in the table below. Certain corporate actions, such as mergers, are excluded from the amounts in this table if applicable. A dash in the Value end of period ($) column means either the issuer is no longer held at period end, or the issuer is held at period end but is no longer an affiliate.
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
Outset Medical Inc
8,820,000
1,911,670
-
-
-
(7,774,210)
2,957,460
Total
8,820,000
1,911,670
-
-
-
(7,774,210)
2,957,460
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:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported 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 or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Securities, including private placements or other restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach, the income approach and cost approach, and are categorized as Level 3 in the hierarchy. The market approach considers factors including the price of recent investments in the same or a similar security or financial metrics of comparable securities. The income approach considers factors including expected future cash flows, security specific risks and corresponding discount rates. The cost approach considers factors including the value of the security's underlying assets and liabilities.
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 Corporate Bonds and Preferred Securities are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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.
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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