0001752724-23-189053.txt : 20230824 0001752724-23-189053.hdr.sgml : 20230824 20230824150513 ACCESSION NUMBER: 0001752724-23-189053 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230630 FILED AS OF DATE: 20230824 DATE AS OF CHANGE: 20230824 PERIOD START: 20230930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY CHARLES STREET TRUST CENTRAL INDEX KEY: 0000354046 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-03221 FILM NUMBER: 231201674 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY U S GOVERNMENT RESERVES FUND DATE OF NAME CHANGE: 19880201 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY FEDERAL RESERVES DATE OF NAME CHANGE: 19820215 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY UNITED STATES TREASURY TRUST DATE OF NAME CHANGE: 19811020 0000354046 S000019188 Fidelity Asset Manager 40% C000052995 Fidelity Advisor Asset Manager 40%: Class C FFNCX C000052996 Fidelity Advisor Asset Manager 40%: Class M FFNTX C000052997 Fidelity Advisor Asset Manager 40%: Class I FFNIX C000052998 Fidelity Asset Manager 40% FFANX C000052999 Fidelity Advisor Asset Manager 40%: Class A FFNAX C000205016 Fidelity Advisor Asset Manager 40%: Class Z FIKYX NPORT-P 1 primary_doc.xml NPORT-P false 0000354046 XXXXXXXX S000019188 C000052998 C000052999 C000052996 C000052997 C000052995 C000205016 Fidelity Charles Street Trust 811-03221 0000354046 SG47DUH2I0FYWTB12921 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Asset Manager 40% S000019188 QZTNQUUEQ5ZU71K6R078 2023-09-30 2023-06-30 N 2213151257.89 3196529.18 2209954728.71 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 3535444.17000000 N ISHARES TR 549300G3FWQPUM47D181 iShares MSCI USA Min Vol Factor ETF 46429B697 377297.00000000 NS USD 28044486.01000000 1.269007262713 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Real Estate Equity Central Fund 31606V674 77069.79400000 NS USD 9487291.64000000 0.429298008540 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity U.S. Equity Central Fund 31606V666 5147660.39520000 NS USD 619006162.52000000 28.00990239656 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity Inflation-Protected Bond Index Central Fund 31607D103 247575.42600000 NS USD 22041640.18000000 0.997379715233 Long EC RF US N 1 N N N Fidelity Cherry Street Trust 549300GARKGQ4J09PZ71 Fidelity Hedged Equity Central Fund 316088103 262990.58700000 NS USD 28074245.16000000 1.270353858171 Long EC CORP US N 1 N N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity International Credit Central Fund 31607D202 105352.35980000 NS USD 8113185.23000000 0.367119974205 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity International Equity Central Fund 31606V716 2931666.95900000 NS USD 276368244.22000000 12.50560659137 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Floating Rate Central Fund 31606V708 398661.72260000 NS USD 38773839.14000000 1.754508299933 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity High Income Central Fund 31606V690 141248.13060000 NS USD 14466633.54000000 0.654612212280 Long EC RF US N 1 N N N UST BILLS 254900HROIFWPRGM1V77 UST BILLS 0% 09/07/2023 912796YH6 8810000.00000000 PA USD 8727061.16000000 0.394897734628 Long DBT UST US N 2 2023-09-07 Fixed 0.00000000 N N N N N N Fidelity Hanover Street Trust 13LNM41WRMGAYS9Y7N22 Fidelity Emerging Markets Debt Local Currency Central Fund 315808709 195094.47300000 NS USD 17897966.95000000 0.809879348091 Long EC RF US N 1 N N N Fidelity Garrison Street Trust GZF76QJ38YQDHAIO0Y79 Fidelity Money Market Central Fund 31635A402 60373217.32700000 NS USD 60367180.01000000 2.731602562973 Long EC RF US N 1 N N N CHICAGO MERCANTILE EXCH INC SNZ2OJLFK8MNNCLQOF39 S and P500 EMINI FUT SEP23 ESU3 N/A -835.00000000 NC USD -5805050.36000000 -0.26267734286 N/A DE CORP US N 1 CHICAGO MERCANTILE EXCH INC SNZ2OJLFK8MNNCLQOF39 Short S and P 500 INDX 783786106 2023-09-15 -181579387.14000000 USD -5805050.36000000 N N N Fidelity Oxford Street Trust II 549300OEP6Z1TBUGHH59 Fidelity Commodity Strategy Central Fund 316167303 48260.55870000 NS USD 4519601.32000000 0.204511036415 Long EC RF US N 1 N N N CHICAGO BOARD OF TRADE N/A US 5YR NOTE (CBT) FUT SEP23 FVU3 N/A 51.00000000 NC USD -108079.20000000 -0.00489056172 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2023-09-29 5569860.45000000 USD -108079.20000000 N N N Fidelity Hanover Street Trust 13LNM41WRMGAYS9Y7N22 Fidelity Emerging Markets Debt Central Fund 315808600 542727.20900000 NS USD 4119299.52000000 0.186397461743 Long EC RF US N 1 N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Cash Central Fund 31635A105 22138347.53500000 NS USD 22142775.20000000 1.001956054227 Long STIV RF US N 1 N N N UST BILLS 254900HROIFWPRGM1V77 UST BILLS 0% 07/27/2023 912796Y29 2860000.00000000 PA USD 2850435.67000000 0.128981631748 Long DBT UST US N 2 2023-07-27 Fixed 0.00000000 N N N N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Emerging Markets Equity Central Fund 31606V682 617083.80400000 NS USD 120991621.45000000 5.474846153098 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity Investment Grade Bond Central Fund 31606V500 9236496.66810000 NS USD 901389709.84000000 40.78770022434 Long EC RF US N 1 N N N ISHARES TR 549300G3FWQPUM47D181 iShares 20+ Year Treasury Bond ETF 464287432 213656.00000000 NS USD 21993748.64000000 0.995212632832 Long EC RF US N 1 N N N 2023-07-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX NPORT-EX 2 QTLY_1958_20230630.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity Asset Manager® 40%
June 30, 2023
FAN-NPRT3-0823
1.849911.115
Equity Central Funds - 47.9%
 
  
Shares
Value ($)
 
Fidelity Commodity Strategy Central Fund (a)
  
48,237
4,517,389
Fidelity Emerging Markets Equity Central Fund (a)
  
616,880
120,951,715
Fidelity Hedged Equity Central Fund (a)
  
262,991
28,074,245
Fidelity International Equity Central Fund (a)
  
2,930,542
276,262,151
Fidelity Real Estate Equity Central Fund (a)
  
77,034
9,482,868
Fidelity U.S. Equity Central Fund (a)
  
5,145,784
618,780,526
 
TOTAL EQUITY CENTRAL FUNDS
 (Cost $704,476,839)
  
  
1,058,068,894
 
  
  
  
Fixed-Income Central Funds - 45.6%
 
  
Shares
Value ($)
 
High Yield Fixed-Income Funds - 3.3%
 
  
  
Fidelity Emerging Markets Debt Central Fund (a)
  
544,164
4,130,203
Fidelity Emerging Markets Debt Local Currency Central Fund (a)
  
195,094
17,897,967
Fidelity Floating Rate Central Fund (a)
  
375,458
36,517,031
Fidelity High Income Central Fund (a)
  
142,133
14,557,269
TOTAL HIGH YIELD FIXED-INCOME FUNDS
  
  
73,102,470
Investment Grade Fixed-Income Funds - 42.3%
 
  
  
Fidelity Inflation-Protected Bond Index Central Fund (a)
  
247,634
22,046,855
Fidelity International Credit Central Fund (a)
  
105,324
8,110,973
Fidelity Investment Grade Bond Central Fund (a)
  
9,261,986
903,877,240
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS
  
  
934,035,068
 
TOTAL FIXED-INCOME CENTRAL FUNDS
 (Cost $1,098,464,419)
  
  
  
1,007,137,538
 
  
  
  
Money Market Central Funds - 3.7%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 5.14% (b)
  
22,138,348
22,142,775
Fidelity Money Market Central Fund 5.27% (b)
  
60,538,778
60,532,725
 
TOTAL MONEY MARKET CENTRAL FUNDS
 (Cost $82,677,576)
  
  
82,675,500
 
  
  
  
U.S. Treasury Obligations - 0.5%
 
  
Principal
Amount (c)
 
Value ($)
 
U.S. Treasury Bills, yield at date of purchase 5.19% to 5.19% 7/27/23 to 9/7/23 (d)
 
 (Cost $11,574,152)
 
  
11,670,000
11,577,497
 
  
  
  
Investment Companies - 2.3%
 
  
Shares
Value ($)
 
iShares 20+ Year Treasury Bond ETF
 
213,656
21,993,749
iShares MSCI USA Minimum Volatility ETF
 
377,297
28,044,486
 
TOTAL INVESTMENT COMPANIES
 (Cost $50,688,888)
  
  
50,038,235
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 100.0%
 (Cost $1,947,881,874)
 
  
 
2,209,497,664
NET OTHER ASSETS (LIABILITIES) - 0.0%  
142,613
NET ASSETS - 100.0%
2,209,640,277
 
  
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
  
  
  
  
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
Chicago Board of Trade
51
Sep 2023
5,461,781
(108,079)
(108,079)
 
  
  
  
  
  
Sold
  
  
  
  
  
 
  
  
  
  
  
Equity Index Contracts
  
  
  
  
  
CME E-mini S&P 500 Index Contracts (United States)
835
Sep 2023
187,384,438
(5,805,050)
(5,805,050)
 
  
  
  
  
  
TOTAL FUTURES CONTRACTS
  
  
  
  
(5,913,129)
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
The notional amount of futures sold as a percentage of Net Assets is 8.5%
 
Security Type Abbreviations
ETF
-
EXCHANGE-TRADED FUND
 
Legend
 
(a)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, other than the Commodity Strategy Central Fund, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
(b)
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.
 
(c)
Amount is stated in United States dollars unless otherwise noted.
 
(d)
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 $11,143,952.
 
 
 
 
 
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 5.14%
25,779,181
219,495,501
223,131,907
769,281
-
-
22,142,775
0.1%
Fidelity Commodity Strategy Central Fund
48,250,509
957,052
42,515,548
508,000
(10,573,494)
8,398,870
4,517,389
1.9%
Fidelity Emerging Markets Debt Central Fund
5,115,458
404,248
1,698,425
219,573
(338,765)
647,687
4,130,203
0.2%
Fidelity Emerging Markets Debt Local Currency Central Fund
4,816,726
11,664,536
50
14,076
16,617
1,400,138
17,897,967
6.3%
Fidelity Emerging Markets Equity Central Fund
95,037,432
33,560,312
21,940,018
2,127,897
(6,283,368)
20,577,357
120,951,715
5.1%
Fidelity Floating Rate Central Fund
64,536,473
4,438,015
34,335,040
3,653,931
(1,240,022)
3,117,605
36,517,031
2.3%
Fidelity Hedged Equity Central Fund
-
27,339,784
-
3,600
-
734,461
28,074,245
6.3%
Fidelity High Income Central Fund
17,596,056
1,316,277
5,151,793
1,013,490
116,611
680,118
14,557,269
0.9%
Fidelity Inflation-Protected Bond Index Central Fund
33,934,556
4,136,779
13,432,797
3,686,253
(1,335,029)
(1,256,654)
22,046,855
5.1%
Fidelity International Credit Central Fund
20,394,314
1,174,161
12,759,277
949,865
(3,804,328)
3,106,103
8,110,973
3.5%
Fidelity International Equity Central Fund
175,490,724
74,666,810
32,043,282
4,318,378
(3,327,594)
61,475,493
276,262,151
5.4%
Fidelity Investment Grade Bond Central Fund
844,746,742
133,603,144
90,598,400
24,816,650
(5,833,407)
21,959,161
903,877,240
2.5%
Fidelity Money Market Central Fund 0.45%
87,063,754
3,494,302
30,025,955
2,482,820
(2,260)
2,884
60,532,725
4.9%
Fidelity Real Estate Equity Central Fund
14,451,672
473,885
6,894,990
267,140
44,229
1,408,072
9,482,868
1.0%
Fidelity Securities Lending Cash Central Fund 5.14%
-
146,672,700
146,672,700
1,673
-
-
-
0.0%
Fidelity U.S. Equity Central Fund
617,394,236
21,308,869
142,617,453
14,909,360
(3,475,706)
126,170,580
618,780,526
3.7%
Total
2,054,607,833
684,706,375
803,817,635
59,741,987
(36,036,516)
248,421,875
2,147,881,932
  
 
  
  
  
  
  
  
  
  
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
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. Treasury 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. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
 
Futures contracts are valued at the settlement 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 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):
 
Equity Risk - Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
 
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
 
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 stock market.
 
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
 
Open futures contracts at period end are presented in the 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. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
 
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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