NPORT-EX 2 QTLY_2278_20210430.htm

Consolidated Quarterly Holdings Report
for

Fidelity® Series Commodity Strategy Fund

April 30, 2021







SCR-S-QTLY-0621
1.899305.111





Consolidated Schedule of Investments April 30, 2021 (Unaudited)

Showing Percentage of Net Assets

U.S. Treasury Obligations - 7.9%   
 Principal Amount Value 
U.S. Treasury Bills, yield at date of purchase 0.01% to 0.09% 5/6/21 to 8/5/21 (a)(b)   
(Cost $599,980,733) 600,000,000 599,989,624 
 Shares Value 
Money Market Funds - 90.6%   
Fidelity Cash Central Fund 0.04% (c)   
(Cost $685,820,511) 6,857,322,737 6,858,694,202 
TOTAL INVESTMENT IN SECURITIES - 98.5%   
(Cost $1,285,801,244)  7,458,683,826 
NET OTHER ASSETS (LIABILITIES) - 1.5%  114,751,964 
NET ASSETS - 100%  $7,573,435,790 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Commodity Futures Contracts      
CBOT Corn Contracts (United States) 323 July 2021 $10,872,988 $2,029,131 $2,029,131 
CBOT KC HRW Wheat Contracts (United States) 75 July 2021 2,638,125 478,758 478,758 
CBOT Soybean Contracts (United States) 122 July 2021 9,358,925 945,849 945,849 
CBOT Soybean Meal Contracts (United States) 119 July 2021 5,070,590 287,653 287,653 
CBOT Soybean Oil Contracts (United States) 174 July 2021 6,513,516 1,284,435 1,284,435 
CBOT Wheat Contracts (United States) 128 July 2021 4,702,400 716,698 716,698 
CME Lean Hogs Contracts (United States) 89 June 2021 3,906,210 500,952 500,952 
CME Live Cattle Contracts (United States) 119 June 2021 5,548,970 45,293 45,293 
COMEX Copper Contracts (United States) 84 July 2021 9,304,363 839,766 839,766 
COMEX Gold 100 oz. Contracts (United States) 110 June 2021 19,431,540 850,892 850,892 
COMEX Silver Contracts (United States) 46 July 2021 5,979,560 213,263 213,263 
ICE Brent Crude Contracts (United Kingdom) 181 May 2021 12,023,940 211,550 211,550 
ICE Coffee 'C' Contracts (United States) 84 July 2021 4,455,675 380,629 380,629 
ICE Cotton No. 2 Contracts (United States) 54 July 2021 2,378,160 164,954 164,954 
ICE Low Sulphur Gasoil Contracts (United States) 83 July 2021 4,457,300 248,323 248,323 
ICE Sugar No. 11 Contracts (United States) 237 June 2021 4,507,171 460,774 460,774 
LME Aluminum Contracts (United Kingdom) 115 July 2021 6,889,938 378,416 378,416 
LME Nickel Contracts (United Kingdom) 35 July 2021 3,711,750 322,111 322,111 
LME Zinc Contracts (United Kingdom) 62 July 2021 4,536,463 245,353 245,353 
NYMEX Gasoline RBOB Contracts (United States) 50 June 2021 4,294,080 198,438 198,438 
NYMEX Natural Gas Contracts (United States) 431 June 2021 12,912,580 1,313,068 1,313,068 
NYMEX NY Harbor ULSD Contracts (United States) 47 June 2021 3,780,218 200,980 200,980 
NYMEX WTI Crude Oil Contracts (United States) 230 June 2021 14,531,600 876,578 876,578 
TOTAL FUTURES CONTRACTS     $13,193,864 

The notional amount of futures purchased as a percentage of Net Assets is 2.1%

Swaps

Underlying Reference Pay/Receive Reference Reference Payment Frequency Financing Rate Financing Frequency Counterparty Maturity Date Notional Amount Value Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Total Return Swaps(1)           
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Canadian Imperial Bank Of Commerce May 2021 $150,000,000 $6,393,661 $0 $6,393,661 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Canadian Imperial Bank Of Commerce Jun. 2021 172,000,000 15,406,297 15,406,297 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Canadian Imperial Bank Of Commerce Jul. 2021 180,000,000 14,324,301 14,324,301 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Canadian Imperial Bank Of Commerce Jul. 2021 152,000,000 8,202,777 8,202,777 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Canadian Imperial Bank Of Commerce Aug. 2021 150,000,000 7,762,411 7,762,411 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Citibank, N.A. May 2021 145,000,000 8,624,473 8,624,473 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Citibank, N.A. May 2021 97,000,000 7,565,433 7,565,433 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Citibank, N.A. Jun. 2021 133,000,000 6,228,381 6,228,381 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Citibank, N.A. Jun. 2021 110,000,000 7,176,980 7,176,980 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Citibank, N.A. Aug. 2021 150,000,000 4,001,684 4,001,684 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Citibank, N.A.. Aug. 2021 185,000,000 16,572,298 16,572,298 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Credit Suisse International Jun. 2021 150,000,000 7,596,944 7,596,944 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Credit Suisse International Jun. 2021 110,000,000 7,176,980 7,176,980 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Credit Suisse International Jul. 2021 151,000,000 10,357,321 10,357,321 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Credit Suisse International Jul. 2021 150,000,000 8,094,846 8,094,846 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Credit Suisse International Jul. 2021 100,000,000 7,082,495 7,082,495 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Goldman Sachs Bank USA May 2021 150,000,000 15,243,638 15,243,638 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Goldman Sachs Bank USA Jun. 2021 125,000,000 7,419,686 7,419,686 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Goldman Sachs Bank USA Jul. 2021 150,000,000 8,096,654 8,096,654 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Goldman Sachs Bank USA Jul. 2021 110,000,000 7,791,860 7,791,860 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Goldman Sachs Bank USA Aug. 2021 158,000,000 441,242 441,242 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Goldman Sachs Bank USA Aug. 2021 144,000,000 7,452,546 7,452,546 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 13 basis points At Maturity JPMorgan Chase Bank, N.A. May 2021 161,000,000 16,354,006 16,354,006 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 13 basis points At Maturity JPMorgan Chase Bank, N.A. May 2021 120,000,000 7,193,325 7,193,325 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 13 basis points At Maturity JPMorgan Chase Bank, N.A. May 2021 99,000,000 7,719,251 7,719,251 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 13 basis points At Maturity JPMorgan Chase Bank, N.A. Jul. 2021 160,000,000 10,972,804 10,972,804 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 9 basis points At Maturity Macquarie Bank Ltd. Jun. 2021 134,000,000 6,280,718 6,280,718 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 9 basis points At Maturity Macquarie Bank Ltd. Jul. 2021 128,000,000 8,214,609 8,214,609 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 9 basis points At Maturity Macquarie Bank Ltd. Jul. 2021 118,000,000 5,980,724 5,980,724 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 9 basis points At Maturity Macquarie Bank Ltd. Aug. 2021 150,000,000 10,535,596 10,535,596 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 9 basis points At Maturity Macquarie Bank Ltd. Aug. 2021 150,000,000 419,148 419,148 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 9 basis points At Maturity Macquarie Bank Ltd. Aug. 2021 134,000,000 5,924,375 5,924,375 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Merrill Lynch International May 2021 92,000,000 5,473,869 5,473,869 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 10 basis points At Maturity Merrill Lynch International Jun. 2021 105,000,000 3,852,113 3,852,113 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 10 basis points At Maturity Merrill Lynch International Jun. 2021 100,000,000 3,668,679 3,668,679 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 9 basis points At Maturity Merrill Lynch International Jun. 2021 64,000,000 6,085,238 6,085,238 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 10 basis points At Maturity Merrill Lynch International Jul. 2021 190,000,000 12,190,541 12,190,541 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 9 basis points At Maturity Merrill Lynch International Jul. 2021 131,000,000 7,639,645 7,639,645 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 9 basis points At Maturity Merrill Lynch International Jul. 2021 70,000,000 3,780,126 3,780,126 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Merrill Lynch International Aug. 2021 183,000,000 4,881,654 4,881,654 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Merrill Lynch International Aug. 2021 120,000,000 215,902 215,902 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Royal Bank of Canada May 2021 172,000,000 10,313,826 10,313,826 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Royal Bank of Canada Jun. 2021 160,000,000 9,324,158 9,324,158 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Royal Bank of Canada Jun. 2021 100,000,000 3,665,172 3,665,172 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Royal Bank of Canada Jul. 2021 135,000,000 10,569,262 10,569,262 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Royal Bank of Canada Jul. 2021 100,000,000 7,957,945 7,957,945 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 12 basis points At Maturity Royal Bank of Canada Aug. 2021 120,000,000 10,732,230 10,732,230 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Societe Generale May 2021 140,000,000 4,363,733 4,363,733 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Societe Generale Jul. 2021 150,000,000 10,290,456 10,290,456 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Societe Generale Jul. 2021 95,000,000 6,671,399 6,671,399 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Societe Generale Aug. 2021 140,000,000 6,188,495 6,188,495 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 11 basis points At Maturity Societe Generale Aug. 2021 115,000,000 10,286,188 10,286,188 
Bloomberg Commodity Index Total Return Receives At Maturity 3-month US auction rate T-Bill plus 13 basis points At Maturity UBS AG Aug. 2021 50,000,000 89,932 89,932 
TOTAL RETURN SWAPS        $406,848,027 $0 $406,848,027 

 (1) Each open total return swap is an agreement to receive the total return of the Bloomberg Commodity Index Total Return and pay a floating rate based on the 3-month US auction rate T-Bill plus a specified spread.

Legend

 (a) 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 $31,380,263.

 (b) 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 $174,226,537.

 (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

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund Income earned 
Fidelity Cash Central Fund $3,881,590 
Total $3,881,590 

Amounts in the income column in the above table include any capital gain distributions from underlying funds.

Consolidated Subsidiary

Fund Value, beginning of period Purchases Sales Proceeds Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period 
Geode Series Commodity Return Cayman Ltd. $1,126,625,248 $-- $1,455,011,040 $-- $1,067,199,519 $742,326,704 $1,481,140,431 

The Fund invests in certain commodity-related investments through Geode Series Commodity Return Cayman Ltd., a wholly owned subsidiary (the "Subsidiary"). As of April 30, 2021, the Fund held an investment of $1,481,140,431 in the Subsidiary, representing 19.6% of the Fund's net assets. The Quarterly Holdings report is consolidated and includes the holdings of the Fund and the Subsidiary.

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 Trustees (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 Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: 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). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's 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. U.S. government and government agency 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.

Swaps are marked-to-market daily based on valuations from third party pricing vendors, 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, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and 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 open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the 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, including futures contracts and swaps. 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 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:

Commodity Risk - Commodity Risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.

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 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. Securities 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.

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.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.