0001752724-24-194413.txt : 20240827 0001752724-24-194413.hdr.sgml : 20240827 20240827134248 ACCESSION NUMBER: 0001752724-24-194413 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240630 FILED AS OF DATE: 20240827 DATE AS OF CHANGE: 20240827 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: 241247015 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 C000014860 C000037751 C000037753 C000037754 C000037755 C000205014 Fidelity Charles Street Trust 811-03221 0000354046 SG47DUH2I0FYWTB12921 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Asset Manager 20% S000005459 O39QJ0ALOI6DP02BRJ45 2024-09-30 2024-06-30 N 5357066834.18 3522818.19 5353544015.99 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 0.00000000 N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity Investment Grade Bond Central Fund 31606V500 25425747.57330000 NS USD 2462229395.00000000 45.99251239264 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Real Estate Equity Central Fund 31606V674 190237.12600000 NS USD 24127774.69000000 0.450687892318 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Emerging Markets Equity Central Fund 31606V682 818878.79900000 NS USD 178851318.49000000 3.340802241576 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity High Income Central Fund 31606V690 386155.80210000 NS USD 40318527.30000000 0.753118442280 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity Floating Rate Central Fund 31606V708 552112.00550000 NS USD 54090413.18000000 1.010366460394 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity International Equity Central Fund 31606V716 3250477.87500000 NS USD 341430195.99000000 6.377648058374 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity Inflation-Protected Bond Index Central Fund 31607D103 447974.20900000 NS USD 40048894.28000000 0.748081909112 Long EC RF US N 1 N N N Fidelity Oxford Street Trust II 549300OEP6Z1TBUGHH59 Fidelity Commodity Strategy Central Fund 316167303 282941.97900000 NS USD 26282480.43000000 0.490936104223 Long EC RF US N 1 N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Cash Central Fund 31635A105 759942596.12100000 NS USD 760094584.64000000 14.19797021131 Long STIV RF US N 1 N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Securities Lending Cash Central Fund 31635A303 1429607.04300000 NS USD 1429750.00000000 0.026706607729 Long STIV RF US N 1 N N ISHARES TR 549300G3FWQPUM47D181 iShares 20+ Year Treasury Bond ETF 464287432 294819.00000000 NS USD 27058487.82000000 0.505431313148 Long EC RF US N 1 N N N ISHARES TR 549300G3FWQPUM47D181 iShares Russell 2000 ETF 464287655 99597.00000000 NS USD 20207235.33000000 0.377455294467 Long EC RF US N 1 N N Fidelity Central Investment Portfolios II LLC 0VPAEPVECBYQ0ULYZJ60 Fidelity International Credit Central Fund 31607D202 170722.95480000 NS USD 13782464.14000000 0.257445611707 Long EC RF US N 1 N N N Fidelity Hanover Street Trust 13LNM41WRMGAYS9Y7N22 Fidelity Emerging Markets Debt Local Currency Central Fund 315808709 459245.27800000 NS USD 39559388.25000000 0.738938320705 Long EC RF US N 1 N N N Fidelity Central Investment Portfolios LLC S2V1M15I679NQK6BNY65 Fidelity U.S. Equity Central Fund 31606V666 6970692.34350000 NS USD 953033057.20000000 17.80190943333 Long EC RF US N 1 N N N Fidelity Covington Trust 549300JFYFTF85QAQR28 Fidelity Enhanced Mid Cap ETF 31609A503 440650.00000000 NS USD 12977142.50000000 0.242402835602 Long EC RF US N 1 N N N UST BILLS 254900HROIFWPRGM1V77 UST BILLS 0% 09/05/2024 912797GL5 4500000.00000000 PA USD 4456942.20000000 0.083252181857 Long DBT UST US N 2 2024-09-05 Fixed 0.00000000 N N N N N N ICE FUTURES US 5493004R83R1LVX2IL36 MSCI EMGMKT FUT SEP24 MESU4 N/A -654.00000000 NC USD -95359.35000000 -0.00178123780 N/A DE CORP US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Short MSCI EMERGING MARKETS INDEX MXEF 2024-09-20 -35488780.65000000 USD -95359.35000000 N N N CHICAGO MERCANTILE EXCH INC SNZ2OJLFK8MNNCLQOF39 S and P500 EMINI FUT SEP24 ESU4 N/A -844.00000000 NC USD -747819.91000000 -0.01396868892 N/A DE CORP US N 1 CHICAGO MERCANTILE EXCH INC SNZ2OJLFK8MNNCLQOF39 Short S and P 500 INDX 783786106 2024-09-20 -232259480.09000000 USD -747819.91000000 N N N ICE FUTURES US 5493004R83R1LVX2IL36 MSCI EAFE FUT SEP24 MFSU4 N/A -423.00000000 NC USD -314635.86000000 -0.00587715089 N/A DE CORP US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Short MSCI EAFE INDX EI09MSEAF 2024-09-20 -49244044.14000000 USD -314635.86000000 N N N Fidelity Merrimack Street Trust 549300782HVYOIE6CE74 Fidelity Low Duration Bond ETF 316188861 5300837.00000000 NS USD 265942992.29000000 4.967606346294 Long EC RF US N 1 N N N Fidelity Greenwood Street Trust 549300467DYGTZIRI308 Fidelity Hedged Equity ETF 31624J745 2648476.00000000 NS USD 68517928.05000000 1.279861113411 Long EC MUN US N 1 N N N UST BILLS 254900HROIFWPRGM1V77 UST BILLS 0% 09/19/2024 912797KL0 8350000.00000000 PA USD 8253255.98000000 0.154164343383 Long DBT UST US N 2 2024-09-19 Fixed 0.00000000 N N N N N N 2024-07-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX NPORT-EX 2 QTLY_328_20240630.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity Asset Manager® 20%
June 30, 2024
AMI-NPRT3-0824
1.803294.120
Equity Central Funds - 28.5%
 
  
Shares
Value ($)
 
Fidelity Commodity Strategy Central Fund (a)
  
282,948
26,283,042
Fidelity Emerging Markets Equity Central Fund (a)
  
818,893
178,854,351
Fidelity International Equity Central Fund (a)
  
3,250,537
341,436,373
Fidelity Real Estate Equity Central Fund (a)
  
190,242
24,128,336
Fidelity U.S. Equity Central Fund (a)
  
6,970,816
953,050,016
 
TOTAL EQUITY CENTRAL FUNDS
 (Cost $800,116,824)
  
  
1,523,752,118
 
  
  
  
Fixed-Income Central Funds - 49.7%
 
  
Shares
Value ($)
 
High Yield Fixed-Income Funds - 2.5%
 
  
  
Fidelity Emerging Markets Debt Local Currency Central Fund (a)
  
459,245
39,559,388
Fidelity Floating Rate Central Fund (a)
  
556,436
54,514,054
Fidelity High Income Central Fund (a)
  
388,384
40,551,219
TOTAL HIGH YIELD FIXED-INCOME FUNDS
  
  
134,624,661
Investment Grade Fixed-Income Funds - 47.2%
 
  
  
Fidelity Inflation-Protected Bond Index Central Fund (a)
  
447,984
40,049,737
Fidelity International Credit Central Fund (a)
  
170,726
13,782,745
Fidelity Investment Grade Bond Central Fund (a)
  
25,516,695
2,471,036,765
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS
  
  
2,524,869,247
 
TOTAL FIXED-INCOME CENTRAL FUNDS
 (Cost $2,792,492,426)
  
  
  
2,659,493,908
 
  
  
  
Money Market Central Funds - 14.2%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 5.38% (b)
  
759,942,596
760,094,585
Fidelity Securities Lending Cash Central Fund 5.38% (b)(c)
  
1,443,606
1,443,750
 
TOTAL MONEY MARKET CENTRAL FUNDS
 (Cost $761,538,335)
  
  
761,538,335
 
  
  
  
U.S. Treasury Obligations - 0.2%
 
  
Principal
Amount (d)
 
Value ($)
 
U.S. Treasury Bills, yield at date of purchase 5.3% to 5.31% 9/5/24 to 9/19/24 (e)
 
 (Cost $12,709,716)
 
  
12,850,000
12,710,198
 
  
  
  
Investment Companies - 7.4%
 
  
Shares
Value ($)
 
Fidelity Enhanced Mid Cap ETF (f)
  
440,650
12,977,143
Fidelity Hedged Equity ETF (f)
  
2,648,476
68,517,928
Fidelity Low Duration Bond ETF (f)
  
5,300,837
265,942,991
iShares 20+ Year Treasury Bond ETF
 
294,819
27,058,488
iShares Russell 2000 ETF (g)
  
99,597
20,207,235
 
TOTAL INVESTMENT COMPANIES
 (Cost $394,266,320)
  
  
394,703,785
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 100.0%
 (Cost $4,761,123,621)
 
  
 
5,352,198,344
NET OTHER ASSETS (LIABILITIES) - 0.0%  
1,882,970
NET ASSETS - 100.0%
5,354,081,314
 
  
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Sold
  
  
  
  
  
 
  
  
  
  
  
Equity Index Contracts
  
  
  
  
  
CME E-mini S&P 500 Index Contracts (United States)
844
Sep 2024
233,007,300
(747,820)
(747,820)
ICE MSCI EAFE Index Contracts (United States)
423
Sep 2024
49,558,680
(314,636)
(314,636)
ICE MSCI Emerging Markets Index Contracts (United States)
654
Sep 2024
35,584,140
(95,359)
(95,359)
 
  
  
  
  
  
TOTAL FUTURES CONTRACTS
  
  
  
  
(1,157,815)
The notional amount of futures sold as a percentage of Net Assets is 6.0%

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 $12,635,916.
 
(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 5.38%
93,480,867
1,286,220,045
619,606,563
14,916,228
236
-
760,094,585
1.5%
Fidelity Commodity Strategy Central Fund
12,138,671
16,261,610
1,991,987
231,031
(219,264)
94,012
26,283,042
11.4%
Fidelity Emerging Markets Debt Central Fund
6,505,336
232,547
6,919,400
64,074
(1,353,313)
1,534,830
-
0.0%
Fidelity Emerging Markets Debt Local Currency Central Fund
43,626,574
3,364,517
6,273,957
3,364,517
(979,070)
(178,676)
39,559,388
15.2%
Fidelity Emerging Markets Equity Central Fund
158,756,478
10,156,887
15,385,335
2,403,192
2,963,006
22,363,315
178,854,351
7.4%
Fidelity Floating Rate Central Fund
70,283,198
8,468,239
24,255,596
4,515,704
(344,429)
362,642
54,514,054
3.6%
Fidelity Hedged Equity Central Fund
68,400,292
726,741
81,102,430
726,741
11,843,640
131,757
-
0.0%
Fidelity High Income Central Fund
26,862,290
17,351,468
4,578,826
1,918,549
12,462
903,825
40,551,219
3.1%
Fidelity Inflation-Protected Bond Index Central Fund
39,598,919
33,649,952
33,617,478
2,298,489
(3,635,754)
4,054,098
40,049,737
9.5%
Fidelity International Credit Central Fund
13,426,284
1,306,979
1,758,471
426,441
(319,293)
1,127,246
13,782,745
15.0%
Fidelity International Equity Central Fund
298,819,024
25,871,513
38,142,088
6,674,264
1,429,592
53,458,332
341,436,373
6.3%
Fidelity Investment Grade Bond Central Fund
2,488,119,466
260,909,844
360,616,296
80,527,824
(31,057,446)
113,681,197
2,471,036,765
6.2%
Fidelity Money Market Central Fund 0.45%
962,943,969
58,713,306
1,021,657,362
24,432,224
(74,202)
74,289
-
0.0%
Fidelity Real Estate Equity Central Fund
22,499,701
2,298,571
3,516,376
538,059
61,014
2,785,426
24,128,336
2.5%
Fidelity Securities Lending Cash Central Fund 5.38%
13,104,400
306,638,610
318,299,260
11,148
-
-
1,443,750
0.0%
Fidelity U.S. Equity Central Fund
802,922,024
102,609,680
97,544,473
51,167,788
9,719,457
135,343,328
953,050,016
4.9%
Total
5,121,487,493
2,134,780,509
2,635,265,898
194,216,273
(11,953,364)
335,735,621
4,944,784,361
  
 
  
  
  
  
  
  
  
  
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 Enhanced Mid Cap ETF
-
13,256,383
-
33,930
-
(279,240)
12,977,143
Fidelity Hedged Equity ETF
-
74,381,377
7,508,830
79,454
(52,557)
1,697,938
68,517,928
Fidelity Low Duration Bond ETF
-
265,795,853
-
2,830,647
-
147,138
265,942,991
Fidelity Low Volatility Factor ETF
-
52,888,426
54,710,904
157,387
1,822,478
-
-
 
-
406,322,039
62,219,734
3,101,418
1,769,921
1,565,836
347,438,062
 
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.
 
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.