0001752724-24-037056.txt : 20240223 0001752724-24-037056.hdr.sgml : 20240223 20240223144849 ACCESSION NUMBER: 0001752724-24-037056 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20231231 FILED AS OF DATE: 20240223 DATE AS OF CHANGE: 20240223 PERIOD START: 20240930 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY CHARLES STREET TRUST CENTRAL INDEX KEY: 0000354046 ORGANIZATION NAME: 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: 24670277 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 S000005457 Fidelity Asset Manager 85% C000014858 Fidelity Asset Manager 85% FAMRX C000037746 Fidelity Advisor Asset Manager 85%: Class I FEYIX C000037747 Fidelity Advisor Asset Manager 85%: Class A FEYAX C000037749 Fidelity Advisor Asset Manager 85%: Class C FEYCX C000037750 Fidelity Advisor Asset Manager 85%: Class M FEYTX C000205012 Fidelity Advisor Asset Manager 85%: Class Z FIQCX NPORT-P 1 primary_doc.xml NPORT-P false 0000354046 XXXXXXXX S000005457 C000205012 C000037750 C000014858 C000037747 C000037749 C000037746 Fidelity Charles Street Trust 811-03221 0000354046 SG47DUH2I0FYWTB12921 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Asset Manager 85% S000005457 K73L3FM4839YOD824C45 2024-09-30 2023-12-31 N 3905264631.49 2394723.22 3902869908.27 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 1481604.89000000 N CHICAGO MERCANTILE EXCH INC SNZ2OJLFK8MNNCLQOF39 S and P500 EMINI FUT MAR24 ESH4 N/A 286.00000000 NC USD 2287723.48000000 0.058616442099 N/A DE CORP US N 1 CHICAGO MERCANTILE EXCH INC SNZ2OJLFK8MNNCLQOF39 Long S and P 500 INDX 783786106 2024-03-15 66638276.52000000 USD 2287723.48000000 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Real Estate Equity Central Fund 31606V674 149994.96800000 NS USD 19263853.74000000 0.493581753754 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity U.S. Equity Central Fund 31606V666 15725887.49100000 NS USD 1945921318.14000000 49.85872867595 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity Inflation-Protected Bond Index Central Fund 31607D103 838815.61400000 NS USD 74017089.78000000 1.896478527843 Long EC RF US N 1 N N N Fidelity Cherry Street Trust 549300GARKGQ4J09PZ71 Fidelity Hedged Equity Central Fund 316088103 421978.60600000 NS USD 47578087.83000000 1.219053900033 Long EC CORP US N 1 N N N ICE FUTURES US N/A MSCI EAFE FUT MAR24 MFSH4 N/A 625.00000000 NC USD 2635680.00000000 0.067531843539 N/A DE CORP US N 1 ICE FUTURES US N/A Long MSCI EAFE INDX(UN FOR FUTURES) EI09MXEA 2024-03-15 67751820.00000000 USD 2635680.00000000 N N N Fidelity Covington Trust 549300JFYFTF85QAQR28 Fidelity Low Volatility Factor ETF 316092824 706815.00000000 NS USD 37439990.55000000 0.959293838379 Long EC RF US N 1 N N N UST BILLS 254900HROIFWPRGM1V77 UST BILLS 0% 03/07/2024 912797GQ4 3450000.00000000 PA USD 3417569.41000000 0.087565547669 Long DBT UST US N 2 2024-03-07 Fixed 0.00000000 N N N N N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity International Credit Central Fund 31607D202 240378.46710000 NS USD 19138933.55000000 0.490381027290 Long EC RF US N 1 N N N ICE FUTURES US N/A MSCI EMGMKT FUT MAR24 MESH4 N/A -624.00000000 NC USD -1432253.88000000 -0.03669745376 N/A DE CORP US N 1 ICE FUTURES US N/A Short MSCI EMERGING MARKETS INDEX MXEF 2024-03-15 -30819186.12000000 USD -1432253.88000000 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity International Equity Central Fund 31606V716 8931919.27300000 NS USD 874256258.44000000 22.40034331114 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Floating Rate Central Fund 31606V708 96638.04100000 NS USD 9522712.56000000 0.243992569155 Long EC RF US N 1 N N N Fidelity Hanover Street Trust 13LNM41WRMGAYS9Y7N22 Fidelity Emerging Markets Debt Local Currency Central Fund 315808709 434472.27900000 NS USD 39350154.31000000 1.008236380787 Long EC RF US N 1 N N N Fidelity Oxford Street Trust II 549300OEP6Z1TBUGHH59 Fidelity Commodity Strategy Central Fund 316167303 205615.74190000 NS USD 18162038.48000000 0.465350854803 Long EC RF US N 1 N N N Fidelity Hanover Street Trust 13LNM41WRMGAYS9Y7N22 Fidelity Emerging Markets Debt Central Fund 315808600 1242548.50900000 NS USD 9778856.77000000 0.250555539893 Long EC RF US N 1 N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Cash Central Fund 31635A105 39481612.88800000 NS USD 39489509.21000000 1.011806955858 Long STIV RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Emerging Markets Equity Central Fund 31606V682 1921591.04800000 NS USD 389141403.13000000 9.970647556184 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity Investment Grade Bond Central Fund 31606V500 3503687.27380000 NS USD 346865040.11000000 8.887435355583 Long EC RF US N 1 N N N ISHARES TR 549300G3FWQPUM47D181 iShares 20+ Year Treasury Bond ETF 464287432 288809.00000000 NS USD 28557433.92000000 0.731703453899 Long EC RF US N 1 N N N UST BILLS 254900HROIFWPRGM1V77 UST BILLS 0% 03/21/2024 912797LL9 1830000.00000000 PA USD 1809150.79000000 0.046354370822 Long DBT UST US N 2 2024-03-21 Fixed 0.00000000 N N N N N N 2024-01-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX NPORT-EX 2 QTLY_347_20231231.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity Asset Manager® 85%
December 31, 2023
AGG-NPRT1-0224
1.811344.119
Equity Central Funds - 84.4%
 
  
Shares
Value ($)
 
Fidelity Commodity Strategy Central Fund (a)
  
206,065
18,201,749
Fidelity Emerging Markets Equity Central Fund (a)
  
1,925,254
389,883,192
Fidelity Hedged Equity Central Fund (a)
  
421,979
47,578,088
Fidelity International Equity Central Fund (a)
  
8,951,523
876,175,060
Fidelity Real Estate Equity Central Fund (a)
  
150,304
19,303,564
Fidelity U.S. Equity Central Fund (a)
  
15,760,226
1,950,170,320
 
TOTAL EQUITY CENTRAL FUNDS
 (Cost $2,079,211,574)
  
  
3,301,311,973
 
  
  
  
Fixed-Income Central Funds - 12.8%
 
  
Shares
Value ($)
 
High Yield Fixed-Income Funds - 1.5%
 
  
  
Fidelity Emerging Markets Debt Central Fund (a)
  
1,260,690
9,921,634
Fidelity Emerging Markets Debt Local Currency Central Fund (a)
  
434,472
39,350,154
Fidelity Floating Rate Central Fund (a)
  
97,641
9,621,543
TOTAL HIGH YIELD FIXED-INCOME FUNDS
  
  
58,893,331
Investment Grade Fixed-Income Funds - 11.3%
 
  
  
Fidelity Inflation-Protected Bond Index Central Fund (a)
  
841,464
74,250,819
Fidelity International Credit Central Fund (a)
  
240,877
19,178,644
Fidelity Investment Grade Bond Central Fund (a)
  
3,522,057
348,683,626
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS
  
  
442,113,089
 
TOTAL FIXED-INCOME CENTRAL FUNDS
 (Cost $511,105,150)
  
  
  
501,006,420
 
  
  
  
Money Market Central Funds - 1.6%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 5.40% (b)
  
39,481,613
39,489,509
Fidelity Securities Lending Cash Central Fund 5.40% (b)(c)
  
21,346,465
21,348,600
 
TOTAL MONEY MARKET CENTRAL FUNDS
 (Cost $60,838,109)
  
  
60,838,109
 
  
  
  
U.S. Treasury Obligations - 0.1%
 
  
Principal
Amount (d)
 
Value ($)
 
U.S. Treasury Bills, yield at date of purchase 5.29% to 5.31% 3/7/24 to 3/21/24 (e)
 
 (Cost $5,225,620)
 
  
5,280,000
5,226,720
 
  
  
  
Investment Companies - 1.7%
 
  
Shares
Value ($)
 
Fidelity Low Volatility Factor ETF (f)
  
706,815
37,439,989
iShares 20+ Year Treasury Bond ETF (g)
  
288,809
28,557,434
 
TOTAL INVESTMENT COMPANIES
 (Cost $66,672,148)
  
  
65,997,423
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 100.6%
 (Cost $2,723,052,601)
 
  
 
3,934,380,645
NET OTHER ASSETS (LIABILITIES) - (0.6)%  
(22,095,173)
NET ASSETS - 100.0%
3,912,285,472
 
  
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
  
  
  
  
 
  
  
  
  
  
Equity Index Contracts
  
  
  
  
  
CME Micro E-mini S&P 500 Index Contracts (United States)
286
Mar 2024
68,926,000
2,287,723
2,287,723
ICE MSCI EAFE Index Contracts (United States)
625
Mar 2024
70,387,500
2,635,680
2,635,680
 
  
  
  
  
  
TOTAL PURCHASED
  
  
  
  
4,923,403
 
  
  
  
  
  
Sold
  
  
  
  
  
 
  
  
  
  
  
Equity Index Contracts
  
  
  
  
  
ICE MSCI Emerging Markets Index Contracts (United States)
624
Mar 2024
32,251,440
(1,432,254)
(1,432,254)
 
  
  
  
  
  
TOTAL FUTURES CONTRACTS
  
  
  
  
3,491,149
The notional amount of futures purchased as a percentage of Net Assets is 3.6%
The notional amount of futures sold as a percentage of Net Assets is 0.8%
 
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)
Investment made with cash collateral received from securities on loan.
 
(d)
Amount is stated in United States dollars unless otherwise noted.
 
(e)
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 $5,226,720.
 
(f)
Affiliated Fund
 
(g)
Security or a portion of the security is on loan at period end.
 
 
 
 
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 5.40%
38,175,304
41,718,076
40,403,871
414,343
-
-
39,489,509
0.1%
Fidelity Commodity Strategy Central Fund
26,809,484
1,110,000
8,086,912
522,682
(1,241,600)
(389,223)
18,201,749
9.0%
Fidelity Emerging Markets Debt Central Fund
8,293,636
1,451,039
427,231
154,693
(1,398)
605,588
9,921,634
0.5%
Fidelity Emerging Markets Debt Local Currency Central Fund
36,182,100
2,251,212
-
2,251,213
-
916,842
39,350,154
13.2%
Fidelity Emerging Markets Equity Central Fund
352,124,631
13,137,722
3,207,291
3,397,122
(18,031)
27,846,161
389,883,192
16.7%
Fidelity Floating Rate Central Fund
9,161,547
494,963
85,447
237,226
(396)
50,876
9,621,543
0.6%
Fidelity Hedged Equity Central Fund
44,253,429
491,629
997,794
491,628
40,730
3,790,094
47,578,088
10.8%
Fidelity Inflation-Protected Bond Index Central Fund
53,461,590
21,220,261
447,234
2,398,324
(1,707)
17,909
74,250,819
12.3%
Fidelity International Credit Central Fund
17,666,979
850,238
170,985
329,731
(33,416)
865,828
19,178,644
7.9%
Fidelity International Equity Central Fund
771,627,509
30,100,938
8,400,553
4,825,284
(83,070)
82,930,236
876,175,060
16.9%
Fidelity Investment Grade Bond Central Fund
326,672,938
12,265,753
9,005,445
3,576,195
(48,185)
18,798,565
348,683,626
0.9%
Fidelity Real Estate Equity Central Fund
16,282,735
792,030
170,919
271,589
(4,617)
2,404,335
19,303,564
2.0%
Fidelity Securities Lending Cash Central Fund 5.40%
26,129,341
325,513,051
330,293,792
2,564
-
-
21,348,600
0.1%
Fidelity U.S. Equity Central Fund
1,682,163,181
172,897,823
17,304,762
100,133,438
2,433,735
109,980,343
1,950,170,320
11.1%
Total
3,409,004,404
624,294,735
419,002,236
119,006,032
1,042,045
247,817,554
3,863,156,502
  
 
  
  
  
  
  
  
  
  
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.
 
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
Fidelity Low Volatility Factor ETF
-
36,815,299
-
109,556
-
624,692
37,439,991
 
-
36,815,299
-
109,556
-
624,692
37,439,991
 
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 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.
 
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.
 
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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