Quarterly Holdings Report
for
Fidelity® Emerging Markets Debt Local Currency Central Fund
September 30, 2021
MDL-NPRT3-1121
1.9899757.101
Foreign Government and Government Agency Obligations - 83.7% | |||
Principal Amount (a) | Value ($) | ||
Brazil - 6.9% | |||
Brazil Letras Do Tesouro Nacio, yield at date of purchase 5.1772% to 6.2765% 7/1/23 to 1/1/24 | BRL | 15,500,000 | 2,403,424 |
Brazilian Federative Republic: | |||
10% 1/1/23 | BRL | 7,500,000 | 1,388,828 |
10% 1/1/25 | BRL | 10,750,000 | 1,960,251 |
10% 1/1/29 | BRL | 3,500,000 | 614,722 |
10% 1/1/31 | BRL | 2,000,000 | 344,154 |
TOTAL BRAZIL | 6,711,379 | ||
Chile - 1.4% | |||
Chilean Republic: | |||
4.5% 3/1/26 | CLP | 645,000,000 | 775,281 |
5% 3/1/35 | CLP | 505,000,000 | 576,155 |
TOTAL CHILE | 1,351,436 | ||
China - 13.2% | |||
Peoples Republic of China: | |||
2.68% 5/21/30 | CNY | 19,000,000 | 2,875,685 |
2.88% 11/5/23 | CNY | 33,750,000 | 5,271,823 |
3.28% 12/3/27 | CNY | 26,500,000 | 4,231,825 |
3.81% 9/14/50 | CNY | 2,500,000 | 410,535 |
TOTAL CHINA | 12,789,868 | ||
Colombia - 3.8% | |||
Colombian Republic: | |||
5.75% 11/3/27 | COP | 3,350,000,000 | 826,644 |
7% 6/30/32 | COP | 6,850,000,000 | 1,698,450 |
7.5% 8/26/26 | COP | 2,400,000,000 | 651,860 |
10% 7/24/24 | COP | 1,700,000,000 | 497,767 |
TOTAL COLOMBIA | 3,674,721 | ||
Czech Republic - 3.3% | |||
Czech Republic: | |||
0.95% 5/15/30 (Reg. S) | CZK | 12,000,000 | 500,309 |
1.2% 3/13/31 | CZK | 25,000,000 | 1,056,607 |
2% 10/13/33 | CZK | 36,000,000 | 1,627,079 |
TOTAL CZECH REPUBLIC | 3,183,995 | ||
Dominican Republic - 1.3% | |||
Dominican Republic: | |||
8.9% 2/15/23(Reg. S) | DOP | 46,000,000 | 870,306 |
9.75% 6/5/26 (Reg. S) | DOP | 20,000,000 | 427,196 |
TOTAL DOMINICAN REPUBLIC | 1,297,502 | ||
Hungary - 2.5% | |||
Hungarian Republic: | |||
3% 10/27/38 | HUF | 70,000,000 | 204,954 |
3.25% 10/22/31 | HUF | 223,000,000 | 721,455 |
6.75% 10/22/28 | HUF | 365,000,000 | 1,460,969 |
TOTAL HUNGARY | 2,387,378 | ||
Indonesia - 9.5% | |||
Indonesian Republic: | |||
6.5% 6/15/25 | IDR | 16,000,000,000 | 1,173,240 |
7.5% 4/15/40 | IDR | 3,250,000,000 | 235,817 |
8.125% 5/15/24 | IDR | 7,500,000,000 | 570,655 |
8.25% 5/15/29 | IDR | 29,000,000,000 | 2,279,427 |
8.25% 5/15/36 | IDR | 8,500,000,000 | 660,699 |
8.375% 9/15/26 | IDR | 32,400,000,000 | 2,565,967 |
8.375% 3/15/34 | IDR | 21,800,000,000 | 1,713,537 |
TOTAL INDONESIA | 9,199,342 | ||
Kazakhstan - 1.0% | |||
Kazakhstan Republic: | |||
7.2% 5/27/25 | KZT | 200,000,000 | 424,127 |
8.05% 5/20/24 (b) | KZT | 140,000,000 | 314,900 |
10.5% 8/4/26 (b) | KZT | 90,000,000 | 214,628 |
TOTAL KAZAKHSTAN | 953,655 | ||
Malaysia - 4.4% | |||
Malaysian Government: | |||
3.828% 7/5/34 | MYR | 4,600,000 | 1,088,426 |
3.885% 8/15/29 | MYR | 7,000,000 | 1,728,588 |
4.065% 6/15/50 | MYR | 3,750,000 | 861,250 |
4.762% 4/7/37 | MYR | 2,200,000 | 568,852 |
TOTAL MALAYSIA | 4,247,116 | ||
Mexico - 8.1% | |||
United Mexican States: | |||
5.75% 3/5/26 | MXN | 46,500,000 | 2,152,074 |
6.75% 3/9/23 | MXN | 20,000,000 | 978,514 |
7.75% 11/23/34 | MXN | 4,500,000 | 222,299 |
7.75% 11/13/42 | MXN | 30,250,000 | 1,451,755 |
8% 12/7/23 | MXN | 16,250,000 | 815,039 |
8.5% 5/31/29 | MXN | 43,000,000 | 2,230,958 |
TOTAL MEXICO | 7,850,639 | ||
Peru - 1.7% | |||
Peruvian Republic: | |||
5.4% 8/12/34(Reg. S) | PEN | 3,250,000 | 675,951 |
6.35% 8/12/28 | PEN | 2,000,000 | 498,621 |
6.95% 8/12/31 | PEN | 1,750,000 | 437,337 |
TOTAL PERU | 1,611,909 | ||
Philippines - 0.2% | |||
Philippine Republic 6.25% 1/14/36 | PHP | 10,000,000 | 232,171 |
Poland - 4.2% | |||
Polish Government: | |||
1.25% 10/25/30 | PLN | 2,450,000 | 575,483 |
2.5% 7/25/26 | PLN | 5,450,000 | 1,440,288 |
2.75% 10/25/29 | PLN | 7,500,000 | 1,998,755 |
TOTAL POLAND | 4,014,526 | ||
Romania - 1.5% | |||
Romanian Republic: | |||
3.65% 9/24/31 | RON | 2,000,000 | 440,049 |
4.25% 6/28/23 | RON | 2,500,000 | 597,314 |
4.75% 2/24/25 | RON | 1,600,000 | 389,228 |
TOTAL ROMANIA | 1,426,591 | ||
Russia - 4.6% | |||
Ministry of Finance of the Russian Federation: | |||
7.05% 1/19/28 | RUB | 41,500,000 | 566,897 |
7.7% 3/16/39 | RUB | 85,500,000 | 1,209,054 |
8.5% 9/17/31 | RUB | 179,250,000 | 2,685,724 |
TOTAL RUSSIA | 4,461,675 | ||
South Africa - 7.5% | |||
South African Republic: | |||
6.5% 2/28/41 | ZAR | 22,500,000 | 974,771 |
7% 2/28/31 | ZAR | 4,500,000 | 251,877 |
8% 1/31/30 | ZAR | 45,500,000 | 2,807,254 |
8.75% 2/28/48 | ZAR | 24,500,000 | 1,339,086 |
8.875% 2/28/35 | ZAR | 22,250,000 | 1,311,168 |
10.5% 12/21/26 | ZAR | 7,000,000 | 521,732 |
TOTAL SOUTH AFRICA | 7,205,888 | ||
Thailand - 4.1% | |||
Kingdom of Thailand: | |||
1.6% 12/17/29 | THB | 24,000,000 | 701,931 |
1.6% 6/17/35 | THB | 45,250,000 | 1,236,318 |
3.3% 6/17/38 | THB | 45,250,000 | 1,483,083 |
4.875% 6/22/29 | THB | 15,000,000 | 545,921 |
TOTAL THAILAND | 3,967,253 | ||
Turkey - 2.2% | |||
Turkish Republic: | |||
8% 3/12/25 | TRY | 11,500,000 | 976,330 |
11% 2/24/27 | TRY | 3,500,000 | 301,473 |
12.4% 3/8/28 | TRY | 4,000,000 | 357,585 |
16.2% 6/14/23 | TRY | 4,000,000 | 441,583 |
TOTAL TURKEY | 2,076,971 | ||
Ukraine - 0.5% | |||
Ukraine Government: | |||
11.15% 8/26/22 | UAH | 9,000,000 | 336,399 |
11.75% 6/15/22 | UAH | 4,000,000 | 150,509 |
TOTAL UKRAINE | 486,908 | ||
Uruguay - 1.8% | |||
Uruguay Republic: | |||
8.25% 5/21/31 | UYU | 6,500,000 | 153,502 |
8.5% 3/15/28 (Reg. S) | UYU | 10,000,000 | 243,191 |
9.875% 6/20/22 | UYU | 56,500,000 | 1,342,594 |
TOTAL URUGUAY | 1,739,287 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $82,611,924) | 80,870,210 | ||
Supranational Obligations - 1.9% | |||
Principal Amount (a) | Value ($) | ||
Asian Infrastructure Investment Bank 2.375% 2/10/25 (Reg. S) (b) | PHP | 19,400,000 | 380,094 |
International Finance Corp. 5.85% 11/25/22 | INR | 105,000,000 | 1,431,239 |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $1,848,108) | 1,811,333 | ||
Money Market Funds - 13.4% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 0.06% (c) (Cost $12,944,188) | 12,941,599 | 12,944,188 | |
TOTAL INVESTMENT IN SECURITIES - 99.0% (Cost $97,404,220) | 95,625,731 |
NET OTHER ASSETS (LIABILITIES) - 1.0% | 953,754 |
NET ASSETS - 100.0% | 96,579,485 |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
TRY | 2,060,242 | USD | 231,868 | Goldman Sachs Bank USA | 10/01/21 | (198) |
USD | 501,273 | RON | 2,139,943 | Brown Brothers Harriman & Co. | 10/04/21 | 379 |
ZAR | 3,823,157 | USD | 254,477 | Goldman Sachs Bank USA | 10/05/21 | (629) |
BRL | 2,246,000 | USD | 424,702 | Citibank NA | 11/24/21 | (15,805) |
BRL | 1,899,000 | USD | 348,162 | Citibank NA | 11/24/21 | (2,438) |
BRL | 2,492,000 | USD | 456,460 | State Street Bank And Trust Co | 11/24/21 | (2,778) |
CLP | 182,293,000 | USD | 231,636 | JPMorgan Chase Bank, N.A. | 11/24/21 | (7,906) |
CLP | 167,273,000 | USD | 211,363 | State Street Bank And Trust Co | 11/24/21 | (6,067) |
CLP | 483,373,000 | USD | 616,525 | State Street Bank And Trust Co | 11/24/21 | (23,276) |
CNY | 2,065,000 | USD | 318,201 | JPMorgan Chase Bank, N.A. | 11/24/21 | 924 |
CNY | 1,331,000 | USD | 204,219 | JPMorgan Chase Bank, N.A. | 11/24/21 | 1,474 |
CNY | 4,947,000 | USD | 760,492 | State Street Bank And Trust Co | 11/24/21 | 4,019 |
COP | 2,141,700,000 | USD | 567,072 | Citibank NA | 11/24/21 | (6,651) |
COP | 772,600,000 | USD | 203,147 | Citibank NA | 11/24/21 | (980) |
COP | 2,372,500,000 | USD | 611,121 | State Street Bank And Trust Co | 11/24/21 | 9,693 |
CZK | 28,954,000 | USD | 1,329,332 | BNP Paribas | 11/24/21 | (8,394) |
CZK | 6,785,000 | USD | 314,349 | Goldman Sachs Bank USA | 11/24/21 | (4,804) |
EGP | 22,926,000 | USD | 1,430,104 | Citibank NA | 11/24/21 | 28,293 |
HUF | 149,909,000 | USD | 498,120 | Citibank NA | 11/24/21 | (15,904) |
HUF | 30,292,000 | USD | 98,153 | Goldman Sachs Bank USA | 11/24/21 | (712) |
HUF | 473,974,000 | USD | 1,586,485 | State Street Bank And Trust Co | 11/24/21 | (61,841) |
IDR | 188,800,000 | USD | 13,009 | BNP Paribas | 11/24/21 | 112 |
IDR | 2,214,800,000 | USD | 153,912 | JPMorgan Chase Bank, N.A. | 11/24/21 | 16 |
IDR | 11,389,400,000 | USD | 790,711 | JPMorgan Chase Bank, N.A. | 11/24/21 | 852 |
IDR | 4,252,300,000 | USD | 295,504 | State Street Bank And Trust Co | 11/24/21 | 31 |
INR | 16,718,000 | USD | 224,195 | BNP Paribas | 11/24/21 | (24) |
INR | 18,594,000 | USD | 248,659 | BNP Paribas | 11/24/21 | 667 |
INR | 18,000,000 | USD | 242,882 | Goldman Sachs Bank USA | 11/24/21 | (1,521) |
MXN | 2,740,000 | USD | 132,292 | Brown Brothers Harriman & Co. | 11/24/21 | (578) |
MXN | 5,016,000 | USD | 248,496 | Goldman Sachs Bank USA | 11/24/21 | (7,374) |
MXN | 38,557,000 | USD | 1,871,862 | Royal Bank Of Canada | 11/24/21 | (18,403) |
MXN | 2,174,000 | USD | 108,029 | State Street Bank And Trust Co | 11/24/21 | (3,523) |
MYR | 2,418,000 | USD | 583,565 | Goldman Sachs Bank USA | 11/24/21 | (7,377) |
MYR | 3,441,000 | USD | 811,078 | Goldman Sachs Bank USA | 11/24/21 | 8,881 |
PEN | 1,231,000 | USD | 299,725 | State Street Bank And Trust Co | 11/24/21 | (1,986) |
PHP | 12,406,000 | USD | 247,971 | BNP Paribas | 11/24/21 | (5,361) |
PHP | 12,192,000 | USD | 237,684 | Goldman Sachs Bank USA | 11/24/21 | 741 |
PLN | 3,591,000 | USD | 936,593 | Citibank NA | 11/24/21 | (33,864) |
PLN | 7,169,000 | USD | 1,838,350 | Citibank NA | 11/24/21 | (36,161) |
PLN | 933,000 | USD | 242,498 | HSBC Bank USA | 11/24/21 | (7,955) |
PLN | 1,499,000 | USD | 377,493 | JPMorgan Chase Bank, N.A. | 11/24/21 | (665) |
RON | 2,319,000 | USD | 541,702 | Brown Brothers Harriman & Co. | 11/24/21 | 1,104 |
RON | 500,000 | USD | 117,900 | JPMorgan Chase Bank, N.A. | 11/24/21 | (865) |
RUB | 18,862,000 | USD | 255,553 | JPMorgan Chase Bank, N.A. | 11/24/21 | 1,149 |
RUB | 122,735,000 | USD | 1,666,011 | JPMorgan Chase Bank, N.A. | 11/24/21 | 4,349 |
RUB | 17,103,000 | USD | 232,678 | JPMorgan Chase Bank, N.A. | 11/24/21 | 85 |
RUB | 18,307,000 | USD | 248,821 | JPMorgan Chase Bank, N.A. | 11/24/21 | 328 |
RUB | 144,378,000 | USD | 1,917,274 | JPMorgan Chase Bank, N.A. | 11/24/21 | 47,635 |
RUB | 7,204,000 | USD | 97,841 | State Street Bank And Trust Co | 11/24/21 | 202 |
THB | 17,180,000 | USD | 523,975 | JPMorgan Chase Bank, N.A. | 11/24/21 | (16,917) |
THB | 2,713,000 | USD | 84,191 | JPMorgan Chase Bank, N.A. | 11/24/21 | (4,119) |
THB | 128,386,000 | USD | 3,857,752 | JPMorgan Chase Bank, N.A. | 11/24/21 | (68,509) |
THB | 16,587,000 | USD | 506,566 | JPMorgan Chase Bank, N.A. | 11/24/21 | (17,010) |
TRY | 2,015,000 | USD | 230,286 | Citibank NA | 11/24/21 | (9,720) |
TRY | 2,102,000 | USD | 244,329 | JPMorgan Chase Bank, N.A. | 11/24/21 | (14,240) |
TRY | 1,263,000 | USD | 142,842 | State Street Bank And Trust Co | 11/24/21 | (4,591) |
USD | 241,875 | BRL | 1,295,000 | Goldman Sachs Bank USA | 11/24/21 | 6,113 |
USD | 249,442 | CLP | 193,507,000 | Citibank NA | 11/24/21 | 11,948 |
USD | 488,181 | CLP | 384,784,000 | Citibank NA | 11/24/21 | 15,931 |
USD | 1,083,549 | CNY | 7,072,000 | BNP Paribas | 11/24/21 | (9,360) |
USD | 472,651 | CNY | 3,059,000 | Goldman Sachs Bank USA | 11/24/21 | (87) |
USD | 195,644 | CNY | 1,271,000 | State Street Bank And Trust Co | 11/24/21 | (777) |
USD | 504,110 | COP | 1,950,400,000 | Citibank NA | 11/24/21 | (6,254) |
USD | 237,285 | COP | 912,600,000 | State Street Bank And Trust Co | 11/24/21 | (1,515) |
USD | 422,963 | HUF | 131,216,000 | Brown Brothers Harriman & Co. | 11/24/21 | 878 |
USD | 239,081 | HUF | 71,170,000 | Goldman Sachs Bank USA | 11/24/21 | 10,147 |
USD | 478,111 | HUF | 141,707,000 | Goldman Sachs Bank USA | 11/24/21 | 22,279 |
USD | 291,242 | HUF | 86,367,000 | Goldman Sachs Bank USA | 11/24/21 | 13,423 |
USD | 486,696 | IDR | 7,005,500,000 | Citibank NA | 11/24/21 | (186) |
USD | 253,028 | IDR | 3,698,000,000 | State Street Bank And Trust Co | 11/24/21 | (3,983) |
USD | 731,738 | INR | 54,134,000 | JPMorgan Chase Bank, N.A. | 11/24/21 | 5,856 |
USD | 893,762 | MXN | 18,138,000 | BNP Paribas | 11/24/21 | 21,857 |
USD | 739,509 | MXN | 15,222,000 | Bank Of America NA | 11/24/21 | 7,777 |
USD | 478,706 | MYR | 2,012,000 | Goldman Sachs Bank USA | 11/24/21 | (736) |
USD | 359,679 | PEN | 1,474,000 | Citibank NA | 11/24/21 | 3,167 |
USD | 501,939 | PHP | 25,365,000 | BNP Paribas | 11/24/21 | 5,905 |
USD | 501,156 | PLN | 1,975,000 | BNP Paribas | 11/24/21 | 4,668 |
USD | 281,527 | PLN | 1,074,000 | Goldman Sachs Bank USA | 11/24/21 | 11,538 |
USD | 57,627 | RON | 242,000 | BNP Paribas | 11/24/21 | 983 |
USD | 242,786 | RON | 1,019,000 | BNP Paribas | 11/24/21 | 4,270 |
USD | 242,133 | RON | 1,017,000 | BNP Paribas | 11/24/21 | 4,086 |
USD | 66,227 | RON | 279,000 | Goldman Sachs Bank USA | 11/24/21 | 922 |
USD | 75,089 | RUB | 5,585,000 | BNP Paribas | 11/24/21 | (920) |
USD | 251,040 | RUB | 18,592,000 | JPMorgan Chase Bank, N.A. | 11/24/21 | (1,988) |
USD | 251,067 | RUB | 18,653,000 | JPMorgan Chase Bank, N.A. | 11/24/21 | (2,791) |
USD | 498,258 | RUB | 36,754,000 | JPMorgan Chase Bank, N.A. | 11/24/21 | (1,945) |
USD | 56,422 | RUB | 4,160,000 | State Street Bank And Trust Co | 11/24/21 | (193) |
USD | 487,880 | THB | 15,961,000 | JPMorgan Chase Bank, N.A. | 11/24/21 | 16,800 |
USD | 249,394 | THB | 8,211,000 | JPMorgan Chase Bank, N.A. | 11/24/21 | 7,050 |
USD | 239,953 | THB | 8,020,000 | JPMorgan Chase Bank, N.A. | 11/24/21 | 3,247 |
USD | 139,904 | TRY | 1,234,663 | Bank Of America NA | 11/24/21 | 4,755 |
USD | 104,189 | TRY | 905,000 | Goldman Sachs Bank USA | 11/24/21 | 5,126 |
USD | 210,096 | TRY | 1,929,000 | JPMorgan Chase Bank, N.A. | 11/24/21 | (1,056) |
USD | 233,210 | ZAR | 3,365,000 | Canadian Imperial Bk Commerce | 11/24/21 | 11,359 |
USD | 265,152 | ZAR | 3,944,000 | Goldman Sachs Bank USA | 11/24/21 | 5,128 |
USD | 91,322 | ZAR | 1,315,000 | State Street Bank And Trust Co | 11/24/21 | 4,625 |
ZAR | 4,405,000 | USD | 300,320 | Goldman Sachs Bank USA | 11/24/21 | (9,903) |
ZAR | 7,411,000 | USD | 498,204 | Goldman Sachs Bank USA | 11/24/21 | (9,605) |
ZAR | 4,849,000 | USD | 32,601 | Goldman Sachs Bank USA | 11/24/21 | (912) |
ZAR | 275,000 | USD | 17,951 | State Street Bank And Trust Co | 11/24/21 | 179 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | (150,406) | |||||
Unrealized Appreciation | 320,951 | |||||
Unrealized Depreciation | (471,357) |
Currency Abbreviations
BRL | - | Brazilian real |
CLP | - | Chilean peso |
CNY | - | Chinese yuan |
COP | - | Colombian peso |
CZK | - | Czech koruna |
DOP | - | Dominican Republic peso |
HUF | - | Hungarian forint |
IDR | - | Indonesian rupiah |
INR | - | Indian rupee |
KZT | - | Kazakhstan tenge |
MXN | - | Mexican peso |
MYR | - | Malyasian ringgit |
PEN | - | Peruvian new sol |
PHP | - | Philippine peso |
PLN | - | Polish zloty |
RON | - | Romanian leu (new) |
RUB | - | Russian ruble |
THB | - | Thai baht |
TRY | - | Turkish Lira |
UAH | - | Ukrainian hryvnia |
USD | - | U.S. dollar |
UYU | - | Uruguay peso |
ZAR | - | South African rand |
Categorizations in Schedule of Investments are based on country or territory of incorporation.
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Level 3 security |
(c) | 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 0.06% | 20,796,854 | 74,731,630 | 82,585,141 | 5,544 | 845 | - | 12,944,188 | 0.0% |
Total | 20,796,854 | 74,731,630 | 82,585,141 | 5,544 | 845 | - | 12,944,188 |
Amounts in the 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. Security transactions are accounted for as of trade date. The Board of Directors (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - 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 vendors or from brokers who make markets in such securities.Foreign Government and Government Agency Obligations and Supranational Obligations are valued by pricing vendors 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 vendors. 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 foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor 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 OTC 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
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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