Fidelity® Series Emerging Markets Debt Local Currency Fund
March 31, 2024
LCC-NPRT1-0524
1.9899866.103
U.S. Government and Government Agency Obligations - 0.5%
Principal
Amount (a)
Value ($)
U.S. Treasury Obligations - 0.5%
U.S. Treasury Bills, yield at date of purchase 5.32% 5/16/24 (b)
(Cost $1,987,050)
2,000,000
1,986,928
Foreign Government and Government Agency Obligations - 83.2%
Principal
Amount (a)
Value ($)
Brazil - 10.1%
Brazil Letras Do Tesouro Nacio, yield at date of purchase 9.892% to 13.1648% 7/1/24 to 7/1/27
BRL
103,020,000
17,064,058
Brazilian Federative Republic:
10% 1/1/25
BRL
28,750,000
5,731,190
10% 1/1/27
BRL
38,000,000
7,543,376
10% 1/1/29
BRL
26,500,000
5,164,354
10% 1/1/31
BRL
17,250,000
3,298,467
10% 1/1/33
BRL
18,050,000
3,413,694
10% 1/1/35
BRL
5,500,000
1,027,530
TOTAL BRAZIL
43,242,669
Chile - 1.4%
Chilean Republic:
2.5% 3/1/25
CLP
1,250,000,000
1,241,166
4.5% 3/1/26
CLP
1,025,000,000
1,024,840
4.7% 9/1/30 (Reg. S) (c)
CLP
950,000,000
914,442
6% 4/1/33 (Reg. S) (c)
CLP
1,500,000,000
1,551,177
6% 1/1/43
CLP
1,275,000,000
1,351,079
TOTAL CHILE
6,082,704
China - 4.8%
Peoples Republic of China:
2.68% 5/21/30
CNY
48,750,000
6,870,561
2.88% 2/25/33
CNY
28,000,000
4,021,851
2.91% 10/14/28
CNY
13,000,000
1,851,133
3.12% 10/25/52
CNY
24,750,000
3,761,548
3.81% 9/14/50
CNY
23,250,000
3,927,291
TOTAL CHINA
20,432,384
Colombia - 4.7%
Colombian Republic:
5.75% 11/3/27
COP
31,100,000,000
7,171,043
6% 4/28/28
COP
1,850,000,000
424,581
7% 6/30/32
COP
26,300,000,000
5,679,395
7.25% 10/18/34
COP
11,500,000,000
2,416,443
7.25% 10/26/50
COP
8,500,000,000
1,541,056
7.5% 8/26/26
COP
5,075,000,000
1,266,413
9.25% 5/28/42
COP
5,900,000,000
1,343,083
TOTAL COLOMBIA
19,842,014
Czech Republic - 4.7%
Czech Republic:
0.95% 5/15/30 (Reg. S)
CZK
175,750,000
6,334,511
1.2% 3/13/31
CZK
144,370,000
5,173,944
1.5% 4/24/40
CZK
40,000,000
1,190,666
1.95% 7/30/37
CZK
38,500,000
1,282,409
2% 10/13/33
CZK
114,250,000
4,112,403
2.75% 7/23/29
CZK
26,000,000
1,053,791
5.7% 5/25/24
CZK
17,750,000
756,078
TOTAL CZECH REPUBLIC
19,903,802
Dominican Republic - 0.3%
Dominican Republic:
9.75% 6/5/26 (Reg. S)
DOP
26,500,000
449,286
13.625% 2/3/33 (c)
DOP
38,500,000
785,524
TOTAL DOMINICAN REPUBLIC
1,234,810
Egypt - 0.2%
Arab Republic of Egypt:
14.556% 10/13/27
EGP
36,000,000
532,540
16.1% 5/7/29
EGP
12,000,000
168,607
TOTAL EGYPT
701,147
Hungary - 2.7%
Hungarian Republic:
2.25% 4/20/33
HUF
505,000,000
976,547
2.5% 10/24/24
HUF
400,000,000
1,068,992
2.75% 12/22/26
HUF
1,144,000,000
2,833,278
3% 10/27/38
HUF
450,000,000
816,472
3.25% 10/22/31
HUF
617,000,000
1,353,518
6.75% 10/22/28
HUF
1,653,000,000
4,530,824
TOTAL HUNGARY
11,579,631
Indonesia - 8.6%
Indonesian Republic:
5.125% 4/15/27
IDR
15,000,000,000
911,353
6.375% 4/15/32
IDR
99,250,000,000
6,147,178
6.5% 2/15/31
IDR
65,000,000,000
4,068,906
7.125% 6/15/38
IDR
18,000,000,000
1,159,351
7.125% 6/15/42
IDR
15,750,000,000
1,011,656
7.125% 6/15/43
IDR
37,000,000,000
2,379,822
7.5% 4/15/40
IDR
56,750,000,000
3,772,595
8.25% 5/15/29
IDR
123,500,000,000
8,346,279
8.25% 5/15/36
IDR
44,750,000,000
3,154,389
8.375% 9/15/26
IDR
66,750,000,000
4,388,520
8.375% 3/15/34
IDR
19,788,000,000
1,396,455
TOTAL INDONESIA
36,736,504
Kazakhstan - 0.2%
Kazakhstan Republic 10.5% 8/4/26
KZT
440,000,000
962,123
Malaysia - 9.4%
Malaysian Government:
3.519% 4/20/28
MYR
40,750,000
8,585,482
3.582% 7/15/32
MYR
10,750,000
2,229,495
3.757% 5/22/40
MYR
5,000,000
1,023,875
3.828% 7/5/34
MYR
14,300,000
3,010,765
3.882% 3/14/25
MYR
13,000,000
2,758,346
3.885% 8/15/29
MYR
13,000,000
2,778,259
3.906% 7/15/26
MYR
23,500,000
5,016,031
4.065% 6/15/50
MYR
17,000,000
3,512,280
4.457% 3/31/53
MYR
4,500,000
994,697
4.504% 4/30/29
MYR
9,750,000
2,142,610
4.642% 11/7/33
MYR
4,250,000
953,570
4.696% 10/15/42
MYR
6,450,000
1,472,339
4.736% 3/15/46
MYR
4,500,000
1,025,388
4.762% 4/7/37
MYR
13,000,000
2,967,230
4.893% 6/8/38
MYR
6,250,000
1,449,134
TOTAL MALAYSIA
39,919,501
Mexico - 11.0%
United Mexican States:
5.75% 3/5/26
MXN
275,000,000
15,303,771
7.5% 6/3/27
MXN
19,250,000
1,095,873
7.75% 11/23/34
MXN
42,500,000
2,290,033
7.75% 11/13/42
MXN
145,250,000
7,432,000
8% 9/5/24
MXN
96,750,000
5,741,507
8% 7/31/53
MXN
55,250,000
2,844,106
8.5% 5/31/29
MXN
205,250,000
11,968,133
TOTAL MEXICO
46,675,423
Paraguay - 0.3%
Republic of Paraguay 7.9% 2/9/31 (c)
PYG
7,750,000,000
1,080,456
Peru - 2.3%
Peruvian Republic:
5.35% 8/12/40
PEN
2,250,000
485,669
5.4% 8/12/34(Reg. S)
PEN
4,850,000
1,123,508
5.94% 2/12/29
PEN
5,250,000
1,403,551
6.35% 8/12/28
PEN
9,900,000
2,725,434
6.9% 8/12/37
PEN
250,000
64,035
6.95% 8/12/31
PEN
11,500,000
3,097,892
7.3% 8/12/33(Reg. S) (c)
PEN
3,750,000
1,012,912
TOTAL PERU
9,913,001
Philippines - 0.1%
Philippine Republic 6.25% 1/14/36
PHP
30,000,000
500,277
Poland - 4.7%
Polish Government:
1.25% 10/25/30
PLN
10,700,000
2,083,316
1.75% 4/25/32
PLN
24,000,000
4,596,190
2.5% 7/25/26
PLN
4,250,000
1,004,336
2.5% 7/25/27
PLN
8,250,000
1,898,184
2.75% 4/25/28
PLN
14,000,000
3,189,826
2.75% 10/25/29
PLN
7,000,000
1,541,532
6% 10/25/33
PLN
21,250,000
5,525,915
TOTAL POLAND
19,839,299
Romania - 4.4%
Romanian Republic:
3.65% 9/24/31
RON
24,250,000
4,412,001
4.25% 4/28/36
RON
2,500,000
439,334
4.75% 2/24/25
RON
21,050,000
4,519,188
4.75% 10/11/34
RON
2,750,000
516,768
5% 2/12/29
RON
30,950,000
6,362,945
5.8% 7/26/27
RON
7,500,000
1,607,793
6.7% 2/25/32
RON
3,750,000
821,721
TOTAL ROMANIA
18,679,750
South Africa - 7.8%
South African Republic:
6.25% 3/31/36
ZAR
60,500,000
1,981,463
6.5% 2/28/41
ZAR
10,000,000
300,290
7% 2/28/31
ZAR
94,750,000
4,022,435
8% 1/31/30
ZAR
239,000,000
11,187,352
8.25% 3/31/32
ZAR
17,750,000
780,780
8.5% 1/31/37
ZAR
80,000,000
3,109,820
8.75% 2/28/48
ZAR
145,250,000
5,303,561
8.875% 2/28/35
ZAR
155,500,000
6,532,190
TOTAL SOUTH AFRICA
33,217,891
Thailand - 4.5%
Kingdom of Thailand:
1.585% 12/17/35
THB
122,750,000
3,015,402
1.6% 6/17/35
THB
180,750,000
4,481,331
2% 12/17/31
THB
31,250,000
831,677
2% 6/17/42
THB
85,000,000
2,047,596
2.875% 6/17/46
THB
44,400,000
1,171,663
3.3% 6/17/38
THB
147,750,000
4,296,782
3.45% 6/17/43
THB
91,000,000
2,651,900
3.775% 6/25/32
THB
29,000,000
873,181
TOTAL THAILAND
19,369,532
Turkey - 0.3%
Turkish Republic:
17.3% 7/19/28
TRY
35,500,000
843,565
17.8% 7/13/33
TRY
25,000,000
596,186
TOTAL TURKEY
1,439,751
Uruguay - 0.7%
Uruguay Republic:
8.25% 5/21/31
UYU
31,500,000
801,298
8.5% 3/15/28 (Reg. S)
UYU
49,025,000
1,280,973
9.75% 7/20/33
UYU
34,298,120
955,835
TOTAL URUGUAY
3,038,106
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $361,147,062)
354,390,775
Supranational Obligations - 1.0%
Principal
Amount (a)
Value ($)
Asian Infrastructure Investment Bank 2.375% 2/10/25 (Reg. S)
PHP
57,900,000
996,588
Inter-American Development Bank:
5.1% 11/17/26
IDR
15,000,000,000
923,368
5.7% 11/12/24
INR
105,000,000
1,247,659
International Bank for Reconstruction & Development 7.05% 7/22/29
INR
84,500,000
1,016,611
TOTAL SUPRANATIONAL OBLIGATIONS
(Cost $4,687,145)
4,184,226
Money Market Funds - 13.7%
Shares
Value ($)
Fidelity Cash Central Fund 5.39% (d)
(Cost $58,594,738)
58,583,021
58,594,738
TOTAL INVESTMENT IN SECURITIES - 98.4%
(Cost $426,415,995)
419,156,667
NET OTHER ASSETS (LIABILITIES) - 1.6%
6,955,154
NET ASSETS - 100.0%
426,111,821
Forward Foreign Currency Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation/
(Depreciation) ($)
MXN
20,980,742
USD
1,258,066
State Street Bank and Trust Co
4/01/24
3,971
USD
1,074,404
ZAR
20,343,892
State Street Bank and Trust Co
4/02/24
280
BRL
3,115,000
USD
620,150
BNP Paribas S.A.
5/16/24
(1,704)
BRL
5,412,000
USD
1,080,153
BNP Paribas S.A.
5/16/24
(5,666)
BRL
5,547,000
USD
1,101,141
Citibank, N. A.
5/16/24
148
CLP
1,203,275,000
USD
1,243,695
BNP Paribas S.A.
5/16/24
(17,173)
CLP
520,649,000
USD
524,954
Bank of America, N.A.
5/16/24
5,754
CLP
1,057,654,000
USD
1,119,448
Bank of America, N.A.
5/16/24
(41,360)
CNY
17,973,000
USD
2,517,227
Bank of America, N.A.
5/16/24
(18,636)
CNY
137,568,000
USD
19,364,865
Goldman Sachs Bank USA
5/16/24
(240,277)
COP
3,844,800,000
USD
958,086
Bank of America, N.A.
5/16/24
29,108
COP
609,900,000
USD
155,309
State Street Bank and Trust Co
5/16/24
1,289
CZK
105,870,000
USD
4,522,585
Bank of America, N.A.
5/16/24
(9,313)
CZK
38,116,000
USD
1,651,035
Goldman Sachs Bank USA
5/16/24
(26,138)
CZK
24,801,000
USD
1,073,120
Goldman Sachs Bank USA
5/16/24
(15,845)
HUF
576,716,000
USD
1,579,551
BNP Paribas S.A.
5/16/24
(4,060)
HUF
446,035,000
USD
1,235,492
Bank of America, N.A.
5/16/24
(17,000)
HUF
288,363,000
USD
789,782
JPMorgan Chase Bank, N.A.
5/16/24
(2,023)
IDR
92,315,200,000
USD
5,893,463
Citibank, N. A.
5/16/24
(78,436)
INR
439,012,000
USD
5,281,983
Citibank, N. A.
5/16/24
(23,293)
KRW
1,438,800,000
USD
1,078,722
Citibank, N. A.
5/16/24
(10,110)
MXN
13,557,000
USD
804,661
BNP Paribas S.A.
5/16/24
5,091
MXN
19,735,000
USD
1,138,014
Citibank, N. A.
5/16/24
40,747
MYR
6,782,000
USD
1,424,042
Goldman Sachs Bank USA
5/16/24
13,055
MYR
5,035,000
USD
1,066,060
Goldman Sachs Bank USA
5/16/24
850
PEN
5,640,000
USD
1,530,654
Bank of America, N.A.
5/16/24
(15,810)
PEN
1,695,000
USD
457,046
State Street Bank and Trust Co
5/16/24
(1,787)
PLN
4,996,000
USD
1,251,672
Goldman Sachs Bank USA
5/16/24
(1,408)
PLN
9,013,000
USD
2,267,178
Royal Bank of Canada
5/16/24
(11,648)
PLN
27,345,000
USD
6,880,500
State Street Bank and Trust Co
5/16/24
(37,333)
PLN
29,057,000
USD
7,324,967
State Street Bank and Trust Co
5/16/24
(53,366)
RON
8,360,000
USD
1,822,639
Citibank, N. A.
5/16/24
(9,220)
RON
5,998,000
USD
1,319,594
Citibank, N. A.
5/16/24
(18,531)
THB
781,712,000
USD
21,863,929
JPMorgan Chase Bank, N.A.
5/16/24
(350,618)
THB
69,619,000
USD
1,924,772
JPMorgan Chase Bank, N.A.
5/16/24
(8,804)
THB
30,850,000
USD
848,693
JPMorgan Chase Bank, N.A.
5/16/24
322
TRY
195,048,000
USD
5,741,752
Bank of America, N.A.
5/16/24
(24,510)
TRY
34,726,000
USD
1,024,739
Citibank, N. A.
5/16/24
(6,851)
TWD
34,080,000
USD
1,072,541
JPMorgan Chase Bank, N.A.
5/16/24
(2,029)
USD
995,776
BRL
4,951,000
Bank of America, N.A.
5/16/24
12,815
USD
1,819,505
BRL
9,123,000
Royal Bank of Canada
5/16/24
8,244
USD
1,150,365
CLP
1,118,845,000
BNP Paribas S.A.
5/16/24
9,904
USD
452,914
CLP
445,350,000
Bank of America, N.A.
5/16/24
(1,041)
USD
3,529,155
CNY
25,087,000
Citibank, N. A.
5/16/24
41,582
USD
1,048,330
CNY
7,440,000
Goldman Sachs Bank USA
5/16/24
14,028
USD
1,343,158
CNY
9,570,000
JPMorgan Chase Bank, N.A.
5/16/24
12,745
USD
1,135,534
COP
4,454,700,000
Bank of America, N.A.
5/16/24
(8,259)
USD
2,165,267
HUF
790,539,000
Goldman Sachs Bank USA
5/16/24
5,648
USD
516,293
HUF
188,944,000
HSBC Bank
5/16/24
130
USD
1,101,180
IDR
17,352,400,000
BNP Paribas S.A.
5/16/24
8,135
USD
900,695
IDR
14,174,600,000
BNP Paribas S.A.
5/16/24
7,823
USD
994,438
IDR
15,768,800,000
State Street Bank and Trust Co
5/16/24
1,145
USD
2,140,839
INR
179,124,000
Citibank, N. A.
5/16/24
(4,792)
USD
1,090,661
KRW
1,438,800,000
Royal Bank of Canada
5/16/24
22,048
USD
118,083
MXN
1,986,000
Brown Brothers Harriman & Co
5/16/24
(540)
USD
707,280
MXN
12,207,000
Goldman Sachs Bank USA
5/16/24
(21,837)
USD
1,287,077
MXN
21,531,000
Goldman Sachs Bank USA
5/16/24
1,043
USD
1,120,120
MXN
19,099,000
JPMorgan Chase Bank, N.A.
5/16/24
(20,652)
USD
1,498,785
MXN
25,173,000
State Street Bank and Trust Co
5/16/24
(4,785)
USD
750,882
MYR
3,510,000
Goldman Sachs Bank USA
5/16/24
7,118
USD
544,940
MYR
2,598,000
Goldman Sachs Bank USA
5/16/24
(5,573)
USD
1,926,994
PEN
7,335,000
BNP Paribas S.A.
5/16/24
(43,108)
USD
1,579,032
PEN
5,898,000
BNP Paribas S.A.
5/16/24
(5,108)
USD
672,098
PLN
2,654,000
BNP Paribas S.A.
5/16/24
7,926
USD
2,011,754
PLN
8,044,000
Citibank, N. A.
5/16/24
(1,280)
USD
1,852,218
PLN
7,394,000
Goldman Sachs Bank USA
5/16/24
1,847
USD
2,291,760
PLN
9,038,000
JPMorgan Chase Bank, N.A.
5/16/24
29,973
USD
1,022,972
THB
36,738,000
JPMorgan Chase Bank, N.A.
5/16/24
11,914
USD
851,390
THB
30,434,000
JPMorgan Chase Bank, N.A.
5/16/24
13,823
USD
1,156,964
TRY
39,889,000
Goldman Sachs Bank USA
5/16/24
(12,261)
USD
1,103,333
TRY
38,411,000
Goldman Sachs Bank USA
5/16/24
(22,570)
USD
1,084,659
TWD
34,080,000
Citibank, N. A.
5/16/24
14,147
USD
2,261,938
ZAR
42,796,000
Canadian Imperial Bk. of Comm.
5/16/24
10,447
USD
816,942
ZAR
15,726,000
Citibank, N. A.
5/16/24
(10,400)
USD
785,513
ZAR
15,005,000
Goldman Sachs Bank USA
5/16/24
(3,898)
USD
392,114
ZAR
7,375,000
State Street Bank and Trust Co
5/16/24
4,116
ZAR
30,589,000
USD
1,572,666
Canadian Imperial Bk. of Comm.
5/16/24
36,617
ZAR
14,480,000
USD
761,649
HSBC Bank
5/16/24
142
ZAR
35,308,000
USD
1,827,954
Royal Bank of Canada
5/16/24
29,595
ZAR
15,005,000
USD
789,583
State Street Bank and Trust Co
5/16/24
(172)
EGP
21,955,000
USD
393,812
Goldman Sachs Bank USA
3/13/25
45,574
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
(760,081)
Unrealized Appreciation
459,144
Unrealized Depreciation
(1,219,225)
Currency Abbreviations
BRL
-
Brazilian real
CLP
-
Chilean peso
CNY
-
Chinese yuan
COP
-
Colombian peso
CZK
-
Czech koruna
DOP
-
Dominican Republic peso
EGP
-
Egyptian pound
HUF
-
Hungarian forint
IDR
-
Indonesian rupiah
INR
-
Indian rupee
KRW
-
Korean won
KZT
-
Kazakhstan tenge
MXN
-
Mexican peso
MYR
-
Malaysian ringgit
PEN
-
Peruvian new sol
PHP
-
Philippine peso
PLN
-
Polish zloty
PYG
-
Paraguay Guarani
RON
-
Romanian leu (new)
THB
-
Thai baht
TRY
-
Turkish Lira
TWD
-
Taiwanese dollar
USD
-
U.S. dollar
UYU
-
Uruguay peso
ZAR
-
South African rand
Legend
(a)
Amount is stated in United States dollars unless otherwise noted.
(b)
Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts. At period end, the value of securities pledged amounted to $51,163.
(c)
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 $5,344,511 or 1.3% of net assets.
(d)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate
Value,
beginning
of period ($)
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%
51,362,343
52,667,800
45,435,405
782,144
-
-
58,594,738
0.1%
Total
51,362,343
52,667,800
45,435,405
782,144
-
-
58,594,738
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. Government and Government Agency Obligations, Foreign Government and Government Agency Obligations and Supranational 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. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 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):
Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange 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.
Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.
The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
Credit Risk
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
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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