Quarterly Holdings Report
for
Fidelity® Emerging Markets Debt Local Currency Central Fund
March 31, 2023
MDL-NPRT1-0523
1.9899758.102
Foreign Government and Government Agency Obligations - 81.6% | |||
Principal Amount (a) | Value ($) | ||
Brazil - 10.3% | |||
Brazil Letras Do Tesouro Nacio, yield at date of purchase 5.1772% to 13.7798% 7/1/23 to 1/1/26 | BRL | 94,350,000 | 16,017,314 |
Brazilian Federative Republic: | |||
10% 1/1/25 | BRL | 13,250,000 | 2,536,137 |
10% 1/1/27 | BRL | 30,750,000 | 5,697,084 |
10% 1/1/29 | BRL | 7,000,000 | 1,244,512 |
10% 1/1/31 | BRL | 15,000,000 | 2,589,709 |
10% 1/1/33 | BRL | 1,650,000 | 277,242 |
TOTAL BRAZIL | 28,361,998 | ||
Chile - 1.3% | |||
Chilean Republic: | |||
4.7% 9/1/30 (Reg. S) (b) | CLP | 1,100,000,000 | 1,332,867 |
5% 3/1/35 | CLP | 1,530,000,000 | 1,907,779 |
6% 1/1/43 | CLP | 225,000,000 | 314,205 |
TOTAL CHILE | 3,554,851 | ||
China - 9.7% | |||
Peoples Republic of China: | |||
2.68% 5/21/30 | CNY | 57,000,000 | 8,195,383 |
2.69% 8/12/26 | CNY | 18,750,000 | 2,737,160 |
2.75% 6/15/29 | CNY | 23,250,000 | 3,367,887 |
2.88% 11/5/23 | CNY | 36,250,000 | 5,296,740 |
3.28% 12/3/27 | CNY | 20,000,000 | 2,995,506 |
3.81% 9/14/50 | CNY | 25,550,000 | 4,079,251 |
TOTAL CHINA | 26,671,927 | ||
Colombia - 3.3% | |||
Colombian Republic: | |||
5.75% 11/3/27 | COP | 3,350,000,000 | 580,812 |
6% 4/28/28 | COP | 1,000,000,000 | 171,916 |
7% 6/30/32 | COP | 14,800,000,000 | 2,356,829 |
7.25% 10/26/50 | COP | 1,650,000,000 | 218,314 |
7.5% 8/26/26 | COP | 14,400,000,000 | 2,786,371 |
9.25% 5/28/42 | COP | 18,125,000,000 | 3,074,750 |
TOTAL COLOMBIA | 9,188,992 | ||
Czech Republic - 4.4% | |||
Czech Republic: | |||
0.45% 10/25/23 | CZK | 40,750,000 | 1,818,807 |
0.95% 5/15/30 (Reg. S) | CZK | 57,250,000 | 2,038,205 |
1.2% 3/13/31 | CZK | 49,250,000 | 1,749,771 |
1.5% 4/24/40 | CZK | 16,650,000 | 482,845 |
2% 10/13/33 | CZK | 92,250,000 | 3,343,822 |
2.4% 9/17/25 | CZK | 63,500,000 | 2,743,395 |
TOTAL CZECH REPUBLIC | 12,176,845 | ||
Dominican Republic - 0.1% | |||
Dominican Republic 13.625% 2/3/33 (b) | DOP | 17,000,000 | 350,091 |
Egypt - 0.1% | |||
Arab Republic of Egypt: | |||
14.556% 10/13/27 | EGP | 7,000,000 | 173,611 |
16.1% 5/7/29 | EGP | 2,500,000 | 62,680 |
TOTAL EGYPT | 236,291 | ||
Hungary - 2.7% | |||
Hungarian Republic: | |||
2.25% 6/22/34 | HUF | 520,000,000 | 849,376 |
2.75% 12/22/26 | HUF | 1,167,000,000 | 2,587,283 |
3% 6/26/24 | HUF | 475,000,000 | 1,207,329 |
3% 10/27/38 | HUF | 235,000,000 | 371,537 |
3.25% 10/22/31 | HUF | 847,500,000 | 1,666,197 |
6.75% 10/22/28 | HUF | 368,000,000 | 932,936 |
TOTAL HUNGARY | 7,614,658 | ||
Indonesia - 8.2% | |||
Indonesian Republic: | |||
6.375% 4/15/32 | IDR | 68,500,000,000 | 4,472,407 |
6.5% 6/15/25 | IDR | 15,750,000,000 | 1,054,371 |
6.5% 2/15/31 | IDR | 22,000,000,000 | 1,457,521 |
7.125% 6/15/42 | IDR | 3,000,000,000 | 201,905 |
7.125% 6/15/43 | IDR | 13,100,000,000 | 882,443 |
7.5% 8/15/32 | IDR | 8,000,000,000 | 559,579 |
7.5% 4/15/40 | IDR | 31,700,000,000 | 2,203,625 |
8.125% 5/15/24 | IDR | 34,200,000,000 | 2,330,901 |
8.25% 5/15/29 | IDR | 35,500,000,000 | 2,570,421 |
8.25% 5/15/36 | IDR | 250,000,000 | 18,423 |
8.375% 9/15/26 | IDR | 32,400,000,000 | 2,290,942 |
8.375% 3/15/34 | IDR | 33,300,000,000 | 2,465,104 |
8.375% 4/15/39 | IDR | 29,750,000,000 | 2,229,922 |
TOTAL INDONESIA | 22,737,564 | ||
Kazakhstan - 0.1% | |||
Kazakhstan Republic 10.5% 8/4/26 | KZT | 90,000,000 | 182,510 |
Malaysia - 4.8% | |||
Malaysian Government: | |||
3.582% 7/15/32 | MYR | 10,000,000 | 2,207,773 |
3.757% 5/22/40 | MYR | 5,500,000 | 1,169,104 |
3.828% 7/5/34 | MYR | 3,650,000 | 806,011 |
3.885% 8/15/29 | MYR | 9,425,000 | 2,135,315 |
4.065% 6/15/50 | MYR | 6,250,000 | 1,325,099 |
4.696% 10/15/42 | MYR | 4,550,000 | 1,095,671 |
4.762% 4/7/37 | MYR | 16,050,000 | 3,845,562 |
4.893% 6/8/38 | MYR | 2,750,000 | 671,966 |
TOTAL MALAYSIA | 13,256,501 | ||
Mexico - 10.1% | |||
United Mexican States: | |||
5.75% 3/5/26 | MXN | 132,750,000 | 6,650,171 |
7.75% 11/23/34 | MXN | 67,250,000 | 3,440,190 |
7.75% 11/13/42 | MXN | 94,500,000 | 4,585,702 |
8% 9/5/24 | MXN | 103,250,000 | 5,525,866 |
8% 7/31/53 | MXN | 13,000,000 | 640,600 |
8.5% 5/31/29 | MXN | 130,500,000 | 7,129,214 |
TOTAL MEXICO | 27,971,743 | ||
Peru - 2.1% | |||
Peruvian Republic: | |||
5.35% 8/12/40 | PEN | 1,850,000 | 384,938 |
5.4% 8/12/34(Reg. S) | PEN | 6,600,000 | 1,473,015 |
6.15% 8/12/32 | PEN | 2,500,000 | 607,544 |
6.35% 8/12/28 | PEN | 7,325,000 | 1,897,223 |
6.9% 8/12/37 | PEN | 3,750,000 | 933,689 |
6.95% 8/12/31 | PEN | 1,750,000 | 452,891 |
TOTAL PERU | 5,749,300 | ||
Philippines - 0.1% | |||
Philippine Republic 6.25% 1/14/36 | PHP | 10,000,000 | 175,724 |
Poland - 4.7% | |||
Polish Government: | |||
1.25% 10/25/30 | PLN | 22,050,000 | 3,677,060 |
1.75% 4/25/32 | PLN | 6,000,000 | 986,257 |
2.5% 7/25/26 | PLN | 19,700,000 | 4,113,017 |
2.5% 7/25/27 | PLN | 10,250,000 | 2,077,166 |
2.75% 10/25/29 | PLN | 10,950,000 | 2,104,663 |
TOTAL POLAND | 12,958,163 | ||
Romania - 4.0% | |||
Romanian Republic: | |||
3.25% 6/24/26 | RON | 30,250,000 | 5,915,273 |
3.65% 9/24/31 | RON | 4,125,000 | 692,961 |
4% 10/25/23 | RON | 7,250,000 | 1,567,830 |
4.75% 10/11/34 | RON | 4,250,000 | 739,241 |
5% 2/12/29 | RON | 10,400,000 | 2,040,496 |
5.8% 7/26/27 | RON | 500,000 | 104,123 |
TOTAL ROMANIA | 11,059,924 | ||
South Africa - 9.4% | |||
South African Republic: | |||
6.5% 2/28/41 | ZAR | 100,250,000 | 3,539,099 |
7% 2/28/31 | ZAR | 103,250,000 | 4,793,962 |
8% 1/31/30 | ZAR | 176,750,000 | 9,039,473 |
8.75% 2/28/48 | ZAR | 86,750,000 | 3,737,620 |
8.875% 2/28/35 | ZAR | 99,500,000 | 4,786,476 |
TOTAL SOUTH AFRICA | 25,896,630 | ||
Thailand - 4.7% | |||
Kingdom of Thailand: | |||
1.585% 12/17/35 | THB | 28,000,000 | 732,869 |
1.6% 12/17/29 | THB | 11,000,000 | 311,014 |
1.6% 6/17/35 | THB | 112,250,000 | 2,951,401 |
2% 12/17/31 | THB | 38,750,000 | 1,106,991 |
2% 6/17/42 | THB | 63,000,000 | 1,606,200 |
2.875% 6/17/46 | THB | 9,200,000 | 261,809 |
3.3% 6/17/38 | THB | 112,750,000 | 3,510,512 |
3.775% 6/25/32 | THB | 79,500,000 | 2,601,394 |
TOTAL THAILAND | 13,082,190 | ||
Turkey - 0.9% | |||
Turkish Republic: | |||
8% 3/12/25 | TRY | 7,250,000 | 337,939 |
10.5% 8/11/27 | TRY | 13,750,000 | 699,347 |
11% 2/24/27 | TRY | 13,750,000 | 678,557 |
11.7% 11/13/30 | TRY | 12,750,000 | 722,275 |
TOTAL TURKEY | 2,438,118 | ||
Uruguay - 0.6% | |||
Uruguay Republic: | |||
8.25% 5/21/31 | UYU | 6,500,000 | 148,320 |
8.5% 3/15/28 (Reg. S) | UYU | 60,500,000 | 1,448,680 |
TOTAL URUGUAY | 1,597,000 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $225,957,902) | 225,261,020 | ||
Supranational Obligations - 0.3% | |||
Principal Amount (a) | Value ($) | ||
Asian Infrastructure Investment Bank 2.375% 2/10/25 (Reg. S) | PHP | 19,400,000 | 332,398 |
Inter-American Development Bank: | |||
5.1% 11/17/26 | IDR | 5,000,000,000 | 322,335 |
5.7% 11/12/24 | INR | 20,000,000 | 237,063 |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $1,019,203) | 891,796 | ||
Money Market Funds - 16.2% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 4.86% (c) (Cost $44,827,407) | 44,818,444 | 44,827,407 | |
TOTAL INVESTMENT IN SECURITIES - 98.1% (Cost $271,804,512) | 270,980,223 |
NET OTHER ASSETS (LIABILITIES) - 1.9% (d) | 5,156,530 |
NET ASSETS - 100.0% | 276,136,753 |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
BRL | 3,790,000 | USD | 701,592 | Bank of America, N.A. | 6/15/23 | 36,166 |
BRL | 4,172,000 | USD | 785,244 | State Street Bank and Trust Co | 6/15/23 | 26,874 |
BRL | 4,333,000 | USD | 810,588 | State Street Bank and Trust Co | 6/15/23 | 32,869 |
CLP | 223,610,000 | USD | 275,619 | BNP Paribas S.A. | 6/15/23 | 3,342 |
CLP | 892,220,000 | USD | 1,071,736 | Bank of America, N.A. | 6/15/23 | 41,340 |
CLP | 410,609,000 | USD | 513,390 | Citibank, N. A. | 6/15/23 | (1,141) |
CNY | 35,871,000 | USD | 5,256,209 | Bank of America, N.A. | 6/15/23 | (1,027) |
CNY | 4,076,000 | USD | 597,382 | JPMorgan Chase Bank, N.A. | 6/15/23 | (239) |
COP | 931,600,000 | USD | 197,540 | Bank of America, N.A. | 6/15/23 | (453) |
COP | 7,787,200,000 | USD | 1,613,593 | Citibank, N. A. | 6/15/23 | 33,851 |
COP | 3,088,800,000 | USD | 643,232 | Citibank, N. A. | 6/15/23 | 10,228 |
CZK | 9,185,000 | USD | 406,437 | BNP Paribas S.A. | 6/15/23 | 16,426 |
CZK | 30,407,000 | USD | 1,350,833 | BNP Paribas S.A. | 6/15/23 | 49,057 |
CZK | 30,138,000 | USD | 1,366,638 | BNP Paribas S.A. | 6/15/23 | 20,868 |
CZK | 84,330,000 | USD | 3,789,468 | JPMorgan Chase Bank, N.A. | 6/15/23 | 92,952 |
EGP | 49,334,000 | USD | 1,470,900 | Citibank, N. A. | 6/15/23 | (25,546) |
HUF | 651,825,000 | USD | 1,809,712 | JPMorgan Chase Bank, N.A. | 6/15/23 | 8,136 |
IDR | 54,819,300,000 | USD | 3,556,923 | Bank of America, N.A. | 6/15/23 | 91,959 |
IDR | 2,625,300,000 | USD | 170,087 | Bank of America, N.A. | 6/15/23 | 4,658 |
IDR | 5,013,700,000 | USD | 335,297 | Goldman Sachs Bank USA | 6/15/23 | (1,575) |
INR | 147,667,000 | USD | 1,785,574 | Bank of America, N.A. | 6/15/23 | 3,853 |
MXN | 3,177,000 | USD | 165,120 | Brown Brothers Harriman & Co | 6/15/23 | 8,676 |
MXN | 2,742,000 | USD | 146,160 | Goldman Sachs Bank USA | 6/15/23 | 3,840 |
MXN | 25,895,000 | USD | 1,364,475 | JPMorgan Chase Bank, N.A. | 6/15/23 | 52,099 |
MYR | 2,955,000 | USD | 661,074 | Goldman Sachs Bank USA | 6/15/23 | 11,946 |
MYR | 26,854,000 | USD | 6,041,395 | Goldman Sachs Bank USA | 6/15/23 | 74,777 |
MYR | 1,951,000 | USD | 446,402 | Goldman Sachs Bank USA | 6/15/23 | (2,049) |
MYR | 27,989,000 | USD | 6,316,633 | State Street Bank and Trust Co | 6/15/23 | 58,043 |
PEN | 2,622,000 | USD | 692,552 | Bank of America, N.A. | 6/15/23 | 898 |
PEN | 5,584,000 | USD | 1,461,245 | Citibank, N. A. | 6/15/23 | 15,576 |
PEN | 2,627,000 | USD | 688,417 | State Street Bank and Trust Co | 6/15/23 | 6,355 |
PHP | 37,104,000 | USD | 684,083 | BNP Paribas S.A. | 6/15/23 | (1,824) |
PLN | 11,556,000 | USD | 2,626,265 | BNP Paribas S.A. | 6/15/23 | 38,780 |
PLN | 14,552,000 | USD | 3,282,893 | JPMorgan Chase Bank, N.A. | 6/15/23 | 73,090 |
RON | 3,163,000 | USD | 676,639 | BNP Paribas S.A. | 6/15/23 | 14,734 |
RON | 3,110,000 | USD | 669,589 | BNP Paribas S.A. | 6/15/23 | 10,199 |
THB | 426,757,000 | USD | 12,514,754 | JPMorgan Chase Bank, N.A. | 6/15/23 | 103,601 |
THB | 37,855,000 | USD | 1,116,195 | JPMorgan Chase Bank, N.A. | 6/15/23 | 3,102 |
THB | 90,891,000 | USD | 2,692,558 | JPMorgan Chase Bank, N.A. | 6/15/23 | (5,092) |
TRY | 71,749,000 | USD | 3,577,291 | Citibank, N. A. | 6/15/23 | (262,807) |
USD | 488,039 | BRL | 2,591,000 | BNP Paribas S.A. | 6/15/23 | (16,322) |
USD | 1,000,652 | BRL | 5,371,000 | Goldman Sachs Bank USA | 6/15/23 | (44,862) |
USD | 1,338,166 | CLP | 1,115,830,000 | Bank of America, N.A. | 6/15/23 | (53,871) |
USD | 5,245,449 | CNY | 35,871,000 | State Street Bank and Trust Co | 6/15/23 | (9,734) |
USD | 1,414,746 | COP | 6,888,400,000 | BNP Paribas S.A. | 6/15/23 | (42,550) |
USD | 682,465 | CZK | 14,805,000 | Goldman Sachs Bank USA | 6/15/23 | 866 |
USD | 1,993,017 | CZK | 45,646,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | (108,452) |
USD | 319,575 | HUF | 120,043,000 | Brown Brothers Harriman & Co | 6/15/23 | (15,208) |
USD | 676,707 | HUF | 259,233,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | (46,257) |
USD | 1,340,924 | INR | 111,526,000 | Citibank, N. A. | 6/15/23 | (10,547) |
USD | 206,293 | MXN | 3,952,000 | Brown Brothers Harriman & Co | 6/15/23 | (9,899) |
USD | 236,968 | MXN | 4,562,000 | Goldman Sachs Bank USA | 6/15/23 | (12,594) |
USD | 502,678 | MXN | 9,716,000 | Goldman Sachs Bank USA | 6/15/23 | (28,831) |
USD | 387,824 | MXN | 7,473,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | (20,982) |
USD | 1,057,146 | MXN | 19,736,000 | State Street Bank and Trust Co | 6/15/23 | (22,503) |
USD | 932,016 | PEN | 3,537,000 | Goldman Sachs Bank USA | 6/15/23 | (3,427) |
USD | 309,891 | PHP | 17,044,000 | Bank of America, N.A. | 6/15/23 | (3,510) |
USD | 761,300 | PLN | 3,293,000 | Goldman Sachs Bank USA | 6/15/23 | 1,868 |
USD | 672,155 | PLN | 2,969,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | (12,556) |
USD | 228,425 | RON | 1,048,000 | Brown Brothers Harriman & Co | 6/15/23 | (648) |
USD | 1,128,753 | RON | 5,225,000 | Goldman Sachs Bank USA | 6/15/23 | (13,335) |
USD | 1,390,603 | RON | 6,310,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | 11,355 |
USD | 831,695 | THB | 28,482,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | (10,461) |
USD | 660,197 | THB | 22,547,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | (6,473) |
USD | 718,511 | TRY | 15,647,000 | Bank of America, N.A. | 6/15/23 | (4,310) |
USD | 742,227 | TRY | 15,969,000 | Goldman Sachs Bank USA | 6/15/23 | 4,530 |
USD | 1,920,199 | TRY | 39,587,000 | JPMorgan Chase Bank, N.A. | 6/15/23 | 91,457 |
USD | 2,492,299 | ZAR | 46,231,000 | Brown Brothers Harriman & Co | 6/15/23 | (87,559) |
USD | 697,006 | ZAR | 12,753,000 | Goldman Sachs Bank USA | 6/15/23 | (14,658) |
ZAR | 22,337,000 | USD | 1,229,436 | Bank of America, N.A. | 6/15/23 | 17,051 |
ZAR | 58,984,000 | USD | 3,215,444 | JPMorgan Chase Bank, N.A. | 6/15/23 | 76,078 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 250,198 | |||||
Unrealized Appreciation | 1,151,500 | |||||
Unrealized Depreciation | (901,302) |
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 |
KZT | - | Kazakhstan tenge |
MXN | - | Mexican peso |
MYR | - | Malyasian ringgit |
PEN | - | Peruvian new sol |
PHP | - | Philippine peso |
PLN | - | Polish zloty |
RON | - | Romanian leu (new) |
THB | - | Thai baht |
TRY | - | Turkish Lira |
USD | - | U.S. dollar |
UYU | - | Uruguay peso |
ZAR | - | South African rand |
Categorizations in the Schedule of Investments are based on country or territory of incorporation.
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | 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 $1,682,958 or 0.6% of net assets. |
(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. |
(d) | Includes $360,000 of cash collateral segregated for open forward foreign currency contracts. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | 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 4.86% | 13,349,011 | 191,346,261 | 159,867,865 | 386,944 | - | - | 44,827,407 | 0.1% |
Total | 13,349,011 | 191,346,261 | 159,867,865 | 386,944 | - | - | 44,827,407 | |
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 Directors (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. 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 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.
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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