U.S. Treasury Obligations - 12.8%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
U.S. Treasury Bills, yield at date of purchase 5.37% to 5.41% 12/7/23 to 1/18/24 (b)(c)
(Cost $218,125,184)
|
220,000,000
|
218,132,514
|
|
Money Market Funds - 89.7%
|
|||
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund 5.40% (d)
(Cost $1,532,243,574)
|
1,532,213,215
|
1,532,519,657
|
|
TOTAL INVESTMENT IN SECURITIES - 102.5%
(Cost $1,750,368,758)
|
1,750,652,171
|
NET OTHER ASSETS (LIABILITIES) - (2.5)%
|
(42,809,572)
|
NET ASSETS - 100.0%
|
1,707,842,599
|
Futures Contracts
|
|||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
|
Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
Purchased
|
|||||
Commodity Futures Contracts
|
|||||
CBOT Corn Contracts (United States)
|
454
|
Dec 2023
|
10,867,625
|
(360,574)
|
(360,574)
|
CBOT KC HRW Wheat Contracts (United States)
|
114
|
Dec 2023
|
3,586,725
|
(783,704)
|
(783,704)
|
CBOT Soybean Contracts (United States)
|
209
|
Jan 2024
|
13,694,725
|
275,429
|
275,429
|
CBOT Soybean Meal Contracts (United States)
|
199
|
Jan 2024
|
8,318,200
|
865,293
|
865,293
|
CBOT Soybean Oil Contracts (United States)
|
232
|
Jan 2024
|
7,075,536
|
(350,354)
|
(350,354)
|
CBOT Wheat Contracts (United States)
|
202
|
Dec 2023
|
5,618,125
|
(1,030,999)
|
(1,030,999)
|
CME Cattle Feeder Contracts (United States)
|
142
|
Dec 2023
|
10,425,640
|
(246,439)
|
(246,439)
|
CME Lean Hogs Contracts (United States)
|
146
|
Dec 2023
|
4,188,740
|
(180,284)
|
(180,284)
|
COMEX Copper Contracts (United States)
|
144
|
Dec 2023
|
13,150,575
|
(465,841)
|
(465,841)
|
COMEX Gold 100 oz. Contracts (United States)
|
214
|
Dec 2023
|
42,663,620
|
290,206
|
290,206
|
COMEX Silver Contracts (United States)
|
103
|
Dec 2023
|
11,842,320
|
(58,512)
|
(58,512)
|
ICE Brent Crude Contracts (United Kingdom)
|
247
|
Nov 2023
|
21,083,340
|
(1,100,223)
|
(1,100,223)
|
ICE Coffee 'C' Contracts (United States)
|
130
|
Dec 2023
|
8,155,875
|
402,806
|
402,806
|
ICE Cotton No. 2 Contracts (United States)
|
98
|
Dec 2023
|
3,979,780
|
1,782
|
1,782
|
ICE Low Sulphur Gasoil Contracts (United States)
|
87
|
Jan 2024
|
7,227,725
|
34,260
|
34,260
|
ICE Sugar No. 11 Contracts (United States)
|
324
|
Feb 2024
|
9,830,419
|
119,428
|
119,428
|
LME Aluminum Contracts (United Kingdom)
|
192
|
Jan 2024
|
10,801,920
|
146,754
|
146,754
|
LME Lead Contracts (United Kingdom)
|
46
|
Jan 2024
|
2,398,613
|
(17,312)
|
(17,312)
|
LME Nickel Contracts (United Kingdom)
|
44
|
Jan 2024
|
4,778,400
|
(142,151)
|
(142,151)
|
LME Zinc Contracts (United Kingdom)
|
103
|
Jan 2024
|
6,250,838
|
(135,949)
|
(135,949)
|
NYMEX Natural Gas Contracts (United States)
|
629
|
Dec 2023
|
24,196,170
|
(136,484)
|
(136,484)
|
NYMEX NY Harbor ULSD Contracts (United States)
|
46
|
Dec 2023
|
5,548,561
|
72,067
|
72,067
|
NYMEX Gasoline RBOB Contracts (United States)
|
63
|
Dec 2023
|
5,861,566
|
106,219
|
106,219
|
NYMEX WTI Crude Oil Contracts (United States)
|
282
|
Dec 2023
|
22,790,040
|
(122,738)
|
(122,738)
|
TOTAL FUTURES CONTRACTS
|
(2,817,320)
|
||||
The notional amount of futures purchased as a percentage of Net Assets is 15.2%
|
Total Return Swaps
|
|||||||||||
Underlying Reference(1)
|
Pay/
Receive
Reference
|
Reference
Payment
Frequency
|
Financing
Rate
|
Financing
Frequency
|
Counterparty
|
Maturity
Date
|
Notional
Amount
($)
|
Value ($)
|
Upfront
Premium
Received/
(Paid) ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 12 basis points
|
At Maturity
|
Canadian Imperial Bank Of Commerce
|
Nov 2023
|
92,000,000
|
(581,314)
|
0
|
(581,314)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 12 basis points
|
At Maturity
|
Canadian Imperial Bank Of Commerce
|
Dec 2023
|
31,000,000
|
(24,778)
|
0
|
(24,778)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 12 basis points
|
At Maturity
|
Citibank, N.A.
|
Nov 2023
|
88,000,000
|
(556,040)
|
0
|
(556,040)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 12 basis points
|
At Maturity
|
Citibank, N.A.
|
Nov 2023
|
62,000,000
|
(1,581,394)
|
0
|
(1,581,394)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 12 basis points
|
At Maturity
|
Citibank, N.A.
|
Nov 2023
|
41,000,000
|
(804,140)
|
0
|
(804,140)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 11 basis points
|
At Maturity
|
Goldman Sachs & Co. LLC
|
Dec 2023
|
86,000,000
|
139,293
|
0
|
139,293
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 13 basis points
|
At Maturity
|
JPMorgan Chase Bank, N.A.
|
Nov 2023
|
107,000,000
|
(2,234,431)
|
0
|
(2,234,431)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 13 basis points
|
At Maturity
|
JPMorgan Chase Bank, N.A.
|
Dec 2023
|
104,000,000
|
(1,129,882)
|
0
|
(1,129,882)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 13 basis points
|
At Maturity
|
JPMorgan Chase Bank, N.A.
|
Dec 2023
|
32,000,000
|
(312,263)
|
0
|
(312,263)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 9 basis points
|
At Maturity
|
Macquarie Bank Ltd.
|
Dec 2023
|
87,000,000
|
(1,091,827)
|
0
|
(1,091,827)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 9 basis points
|
At Maturity
|
Macquarie Bank Ltd.
|
Dec 2023
|
68,000,000
|
(200,150)
|
0
|
(200,150)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 9 basis points
|
At Maturity
|
Merrill Lynch International
|
Nov 2023
|
76,000,000
|
(1,783,874)
|
0
|
(1,783,874)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 7 basis points
|
At Maturity
|
Merrill Lynch International
|
Dec 2023
|
94,000,000
|
(73,332)
|
0
|
(73,332)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 11 basis points
|
At Maturity
|
Merrill Lynch International
|
Dec 2023
|
69,000,000
|
(203,320)
|
0
|
(203,320)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 12 basis points
|
At Maturity
|
Royal Bank of Canada
|
Nov 2023
|
99,000,000
|
(1,941,704)
|
0
|
(1,941,704)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 12 basis points
|
At Maturity
|
Royal Bank of Canada
|
Dec 2023
|
108,000,000
|
(1,178,347)
|
0
|
(1,178,347)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 11 basis points
|
At Maturity
|
Societe Generale
|
Dec 2023
|
116,000,000
|
(1,129,792)
|
0
|
(1,129,792)
|
|
Bloomberg Commodity Index
|
Receives
|
At Maturity
|
3-month US auction rate T-Bill plus 13 basis points
|
At Maturity
|
UBS AG
|
Nov 2023
|
100,000,000
|
(2,551,787)
|
0
|
(2,551,787)
|
|
TOTAL RETURN SWAPS
|
(17,239,082)
|
0
|
(17,239,082)
|
||||||||
(1)Each open total return swap is an agreement to receive the total return of the Bloomberg Commodity Index and pay a floating rate based on the 3-month US auction rate T-Bill plus a specified spread.
|
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
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 $23,937,256.
|
(c)
|
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 $137,450,940.
|
(d)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
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 5.40%
|
1,596,851,197
|
165,219,880
|
229,551,420
|
21,403,903
|
-
|
-
|
1,532,519,657
|
3.3%
|
Total
|
1,596,851,197
|
165,219,880
|
229,551,420
|
21,403,903
|
-
|
-
|
1,532,519,657
|
|
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.
|
341,780,736
|
-
|
-
|
-
|
-
|
(41,138,515)
|
300,642,221
|