0001752724-23-189356.txt : 20230824 0001752724-23-189356.hdr.sgml : 20230824 20230824152216 ACCESSION NUMBER: 0001752724-23-189356 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: 231201976 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 S000005459 Fidelity Asset Manager 20% C000014860 Fidelity Asset Manager 20% FASIX C000037751 Fidelity Advisor Asset Manager 20%: Class A FTAWX C000037753 Fidelity Advisor Asset Manager 20%: Class C FTCWX C000037754 Fidelity Advisor Asset Manager 20%: Class M FTDWX C000037755 Fidelity Advisor Asset Manager 20%: Class I FTIWX C000205014 Fidelity Advisor Asset Manager 20%: Class Z FIKVX NPORT-P 1 primary_doc.xml NPORT-P false 0000354046 XXXXXXXX S000005459 C000037755 C000037753 C000014860 C000037754 C000205014 C000037751 Fidelity Charles Street Trust 811-03221 0000354046 SG47DUH2I0FYWTB12921 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Asset Manager 20% S000005459 O39QJ0ALOI6DP02BRJ45 2023-09-30 2023-06-30 N 5557359724.50 7990703.58 5549369020.92 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 13460486.49000000 N ISHARES TR 549300G3FWQPUM47D181 iShares MSCI USA Min Vol Factor ETF 46429B697 945873.00000000 NS USD 70306740.09000000 1.266932147149 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Real Estate Equity Central Fund 31606V674 207190.59900000 NS USD 25505162.74000000 0.459604734229 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity U.S. Equity Central Fund 31606V666 7163881.47850000 NS USD 861456747.79000000 15.52350806988 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity Inflation-Protected Bond Index Central Fund 31607D103 465791.19000000 NS USD 41469389.65000000 0.747281168249 Long EC RF US N 1 N N N Fidelity Cherry Street Trust 549300GARKGQ4J09PZ71 Fidelity Hedged Equity Central Fund 316088103 659343.47600000 NS USD 70384916.06000000 1.268340883344 Long EC CORP US N 1 N N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity International Credit Central Fund 31607D202 267001.92880000 NS USD 20561818.54000000 0.370525341935 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity International Equity Central Fund 31606V716 3789152.21100000 NS USD 357203378.93000000 6.436828720227 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Floating Rate Central Fund 31606V708 1013170.86250000 NS USD 98540998.09000000 1.775715360044 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity High Income Central Fund 31606V690 352104.18410000 NS USD 36062510.54000000 0.649848845950 Long EC RF US N 1 N N N UST BILLS 254900HROIFWPRGM1V77 UST BILLS 0% 09/07/2023 912796YH6 19420000.00000000 PA USD 19237176.82000000 0.346655209763 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 492899.94900000 NS USD 45218641.32000000 0.814842933485 Long EC RF US N 1 N N N Fidelity Garrison Street Trust GZF76QJ38YQDHAIO0Y79 Fidelity Money Market Central Fund 31635A402 998450219.27800000 NS USD 998350374.26000000 17.99034035214 Long EC RF US N 1 N N N CHICAGO MERCANTILE EXCH INC SNZ2OJLFK8MNNCLQOF39 S and P500 EMINI FUT SEP23 ESU3 N/A -2126.00000000 NC USD -14780319.56000000 -0.26634234458 N/A DE CORP US N 1 CHICAGO MERCANTILE EXCH INC SNZ2OJLFK8MNNCLQOF39 Short S and P 500 INDX 783786106 2023-09-15 -462320655.44000000 USD -14780319.56000000 N N N Fidelity Oxford Street Trust II 549300OEP6Z1TBUGHH59 Fidelity Commodity Strategy Central Fund 316167303 127958.59900000 NS USD 11983322.80000000 0.215940276359 Long EC RF US N 1 N N N CHICAGO BOARD OF TRADE N/A US 5YR NOTE (CBT) FUT SEP23 FVU3 N/A 128.00000000 NC USD -271257.60000000 -0.00488808004 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 13979257.60000000 USD -271257.60000000 N N N Fidelity Hanover Street Trust 13LNM41WRMGAYS9Y7N22 Fidelity Emerging Markets Debt Central Fund 315808600 1131200.98900000 NS USD 8585815.51000000 0.154716968318 Long EC RF US N 1 N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Cash Central Fund 31635A105 37204413.01000000 NS USD 37211853.89000000 0.670560089799 Long STIV RF US N 1 N N N UST BILLS 254900HROIFWPRGM1V77 UST BILLS 0% 07/27/2023 912796Y29 7560000.00000000 PA USD 7534718.07000000 0.135776122323 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 858745.41100000 NS USD 168374212.73000000 3.034114546991 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity Investment Grade Bond Central Fund 31606V500 26739742.68330000 NS USD 2609531488.46000000 47.02393152487 Long EC RF US N 1 N N N ISHARES TR 549300G3FWQPUM47D181 iShares 20+ Year Treasury Bond ETF 464287432 538796.00000000 NS USD 55463660.24000000 0.999458857951 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_328_20230630.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity Asset Manager® 20%
June 30, 2023
AMI-NPRT3-0823
1.803294.119
Equity Central Funds - 26.9%
 
  
Shares
Value ($)
 
Fidelity Commodity Strategy Central Fund (a)
  
127,876
11,975,604
Fidelity Emerging Markets Equity Central Fund (a)
  
858,391
168,304,741
Fidelity Hedged Equity Central Fund (a)
  
659,343
70,384,916
Fidelity International Equity Central Fund (a)
  
3,787,187
357,018,121
Fidelity Real Estate Equity Central Fund (a)
  
207,065
25,489,725
Fidelity U.S. Equity Central Fund (a)
  
7,160,415
861,039,917
 
TOTAL EQUITY CENTRAL FUNDS
 (Cost $917,050,794)
  
  
1,494,213,024
 
  
  
  
Fixed-Income Central Funds - 51.6%
 
  
Shares
Value ($)
 
High Yield Fixed-Income Funds - 3.3%
 
  
  
Fidelity Emerging Markets Debt Central Fund (a)
  
1,132,625
8,596,625
Fidelity Emerging Markets Debt Local Currency Central Fund (a)
  
492,900
45,218,641
Fidelity Floating Rate Central Fund (a)
  
952,338
92,624,346
Fidelity High Income Central Fund (a)
  
354,254
36,282,650
TOTAL HIGH YIELD FIXED-INCOME FUNDS
  
  
182,722,262
Investment Grade Fixed-Income Funds - 48.3%
 
  
  
Fidelity Inflation-Protected Bond Index Central Fund (a)
  
465,859
41,475,458
Fidelity International Credit Central Fund (a)
  
266,902
20,554,099
Fidelity Investment Grade Bond Central Fund (a)
  
26,809,479
2,616,337,037
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS
  
  
2,678,366,594
 
TOTAL FIXED-INCOME CENTRAL FUNDS
 (Cost $3,018,125,496)
  
  
  
2,861,088,856
 
  
  
  
Money Market Central Funds - 18.7%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 5.14% (b)
  
37,204,413
37,211,854
Fidelity Money Market Central Fund 5.27% (b)
  
1,001,995,754
1,001,895,555
 
TOTAL MONEY MARKET CENTRAL FUNDS
 (Cost $1,039,187,582)
  
  
1,039,107,409
 
  
  
  
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 $26,764,050)
 
  
26,980,000
26,771,895
 
  
  
  
Investment Companies - 2.3%
 
  
Shares
Value ($)
 
iShares 20+ Year Treasury Bond ETF
 
538,796
55,463,660
iShares MSCI USA Minimum Volatility ETF
 
945,873
70,306,738
 
TOTAL INVESTMENT COMPANIES
 (Cost $126,924,386)
  
  
125,770,398
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 100.0%
 (Cost $5,128,052,308)
 
  
 
5,546,951,582
NET OTHER ASSETS (LIABILITIES) - 0.0%  
664,256
NET ASSETS - 100.0%
5,547,615,838
 
  
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
  
  
  
  
 
  
  
  
  
  
Treasury Contracts
  
  
  
  
  
CBOT 5-Year U.S. Treasury Note Contracts (United States)
128
Sep 2023
13,708,000
(271,258)
(271,258)
 
  
  
  
  
  
Sold
  
  
  
  
  
 
  
  
  
  
  
Equity Index Contracts
  
  
  
  
  
CME E-mini S&P 500 Index Contracts (United States)
2,126
Sep 2023
477,100,975
(14,780,320)
(14,780,320)
 
  
  
  
  
  
TOTAL FUTURES CONTRACTS
  
  
  
  
(15,051,578)
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 8.6%
 
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 $25,346,677.
 
 
 
 
 
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%
59,228,042
557,008,676
579,024,864
1,672,500
-
-
37,211,854
0.1%
Fidelity Commodity Strategy Central Fund
106,709,912
5,981,860
96,316,484
1,128,701
(24,017,091)
19,617,407
11,975,604
5.1%
Fidelity Emerging Markets Debt Central Fund
10,372,630
2,569,454
4,968,606
464,622
(786,208)
1,409,355
8,596,625
0.4%
Fidelity Emerging Markets Debt Local Currency Central Fund
11,242,314
30,501,876
142
34,438
44,842
3,429,751
45,218,641
15.9%
Fidelity Emerging Markets Equity Central Fund
117,545,795
98,414,717
61,486,268
2,349,768
(29,509,023)
43,339,520
168,304,741
7.1%
Fidelity Floating Rate Central Fund
159,044,039
16,933,811
88,080,664
9,206,837
(3,050,734)
7,777,894
92,624,346
5.8%
Fidelity Hedged Equity Central Fund
-
68,532,049
-
9,146
-
1,852,867
70,384,916
15.9%
Fidelity High Income Central Fund
42,203,666
5,266,705
13,118,304
2,484,230
(4,451)
1,935,034
36,282,650
2.4%
Fidelity Inflation-Protected Bond Index Central Fund
68,571,060
11,656,331
33,502,812
7,516,034
(3,175,112)
(2,074,009)
41,475,458
9.6%
Fidelity International Credit Central Fund
51,773,273
4,741,173
34,166,928
2,407,348
(9,822,516)
8,029,097
20,554,099
8.8%
Fidelity International Equity Central Fund
172,519,871
189,271,385
64,563,519
5,230,421
(4,638,044)
64,428,428
357,018,121
7.0%
Fidelity Investment Grade Bond Central Fund
2,397,843,318
451,109,702
278,403,509
71,247,971
(7,743,818)
53,531,344
2,616,337,037
7.2%
Fidelity Money Market Central Fund 0.45%
1,111,446,680
99,761,989
209,315,232
36,611,638
(13,887)
16,005
1,001,895,555
81.9%
Fidelity Real Estate Equity Central Fund
36,620,079
2,858,610
17,772,866
694,234
(915,017)
4,698,919
25,489,725
2.7%
Fidelity Securities Lending Cash Central Fund 5.14%
-
178,387,881
178,387,881
1,594
-
-
-
0.0%
Fidelity U.S. Equity Central Fund
858,863,446
62,350,840
234,365,342
21,489,573
(4,425,700)
178,616,673
861,039,917
5.2%
Total
5,203,984,125
1,785,347,059
1,893,473,421
162,549,055
(88,056,759)
386,608,285
5,394,409,289
  
 
  
  
  
  
  
  
  
  
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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