NPORT-EX 2 QTLY_6286_20210930.htm US_QtlyFinancialStatementsCoverMaster
Quarterly Holdings Report
for
Fidelity® Emerging Markets Debt Local Currency Central Fund
September 30, 2021
MDL-NPRT3-1121
1.9899757.101
Foreign Government and Government Agency Obligations - 83.7%
 
  
Principal
Amount (a)
 
Value ($)
 
Brazil - 6.9%
 
  
  
Brazil Letras Do Tesouro Nacio, yield at date of purchase 5.1772% to 6.2765% 7/1/23 to 1/1/24
BRL
15,500,000
2,403,424
Brazilian Federative Republic:
  
  
  
 10% 1/1/23
BRL
7,500,000
1,388,828
 10% 1/1/25
BRL
10,750,000
1,960,251
 10% 1/1/29
BRL
3,500,000
614,722
 10% 1/1/31
BRL
2,000,000
344,154
TOTAL BRAZIL
  
  
6,711,379
Chile - 1.4%
 
  
  
Chilean Republic:
  
  
  
 4.5% 3/1/26
CLP
645,000,000
775,281
 5% 3/1/35
CLP
505,000,000
576,155
TOTAL CHILE
  
  
1,351,436
China - 13.2%
 
  
  
Peoples Republic of China:
  
  
  
 2.68% 5/21/30
CNY
19,000,000
2,875,685
 2.88% 11/5/23
CNY
33,750,000
5,271,823
 3.28% 12/3/27
CNY
26,500,000
4,231,825
 3.81% 9/14/50
CNY
2,500,000
410,535
TOTAL CHINA
  
  
12,789,868
Colombia - 3.8%
 
  
  
Colombian Republic:
  
  
  
 5.75% 11/3/27
COP
3,350,000,000
826,644
 7% 6/30/32
COP
6,850,000,000
1,698,450
 7.5% 8/26/26
COP
2,400,000,000
651,860
 10% 7/24/24
COP
1,700,000,000
497,767
TOTAL COLOMBIA
  
  
3,674,721
Czech Republic - 3.3%
 
  
  
Czech Republic:
  
  
  
 0.95% 5/15/30 (Reg. S)
CZK
12,000,000
500,309
 1.2% 3/13/31
CZK
25,000,000
1,056,607
 2% 10/13/33
CZK
36,000,000
1,627,079
TOTAL CZECH REPUBLIC
  
  
3,183,995
Dominican Republic - 1.3%
 
  
  
Dominican Republic:
  
  
  
 8.9% 2/15/23(Reg. S)
DOP
46,000,000
870,306
 9.75% 6/5/26 (Reg. S)
DOP
20,000,000
427,196
TOTAL DOMINICAN REPUBLIC
  
  
1,297,502
Hungary - 2.5%
 
  
  
Hungarian Republic:
  
  
  
 3% 10/27/38
HUF
70,000,000
204,954
 3.25% 10/22/31
HUF
223,000,000
721,455
 6.75% 10/22/28
HUF
365,000,000
1,460,969
TOTAL HUNGARY
  
  
2,387,378
Indonesia - 9.5%
 
  
  
Indonesian Republic:
  
  
  
 6.5% 6/15/25
IDR
16,000,000,000
1,173,240
 7.5% 4/15/40
IDR
3,250,000,000
235,817
 8.125% 5/15/24
IDR
7,500,000,000
570,655
 8.25% 5/15/29
IDR
29,000,000,000
2,279,427
 8.25% 5/15/36
IDR
8,500,000,000
660,699
 8.375% 9/15/26
IDR
32,400,000,000
2,565,967
 8.375% 3/15/34
IDR
21,800,000,000
1,713,537
TOTAL INDONESIA
  
  
9,199,342
Kazakhstan - 1.0%
 
  
  
Kazakhstan Republic:
  
  
  
 7.2% 5/27/25
KZT
200,000,000
424,127
 8.05% 5/20/24 (b)
KZT
140,000,000
314,900
 10.5% 8/4/26 (b)
KZT
90,000,000
214,628
TOTAL KAZAKHSTAN
  
  
953,655
Malaysia - 4.4%
 
  
  
Malaysian Government:
  
  
  
 3.828% 7/5/34
MYR
4,600,000
1,088,426
 3.885% 8/15/29
MYR
7,000,000
1,728,588
 4.065% 6/15/50
MYR
3,750,000
861,250
 4.762% 4/7/37
MYR
2,200,000
568,852
TOTAL MALAYSIA
  
  
4,247,116
Mexico - 8.1%
 
  
  
United Mexican States:
  
  
  
 5.75% 3/5/26
MXN
46,500,000
2,152,074
 6.75% 3/9/23
MXN
20,000,000
978,514
 7.75% 11/23/34
MXN
4,500,000
222,299
 7.75% 11/13/42
MXN
30,250,000
1,451,755
 8% 12/7/23
MXN
16,250,000
815,039
 8.5% 5/31/29
MXN
43,000,000
2,230,958
TOTAL MEXICO
  
  
7,850,639
Peru - 1.7%
 
  
  
Peruvian Republic:
  
  
  
 5.4% 8/12/34(Reg. S)
PEN
3,250,000
675,951
 6.35% 8/12/28
PEN
2,000,000
498,621
 6.95% 8/12/31
PEN
1,750,000
437,337
TOTAL PERU
  
  
1,611,909
Philippines - 0.2%
 
  
  
Philippine Republic 6.25% 1/14/36
PHP
10,000,000
232,171
 
  
  
  
Poland - 4.2%
 
  
  
Polish Government:
  
  
  
 1.25% 10/25/30
PLN
2,450,000
575,483
 2.5% 7/25/26
PLN
5,450,000
1,440,288
 2.75% 10/25/29
PLN
7,500,000
1,998,755
TOTAL POLAND
  
  
4,014,526
Romania - 1.5%
 
  
  
Romanian Republic:
  
  
  
 3.65% 9/24/31
RON
2,000,000
440,049
 4.25% 6/28/23
RON
2,500,000
597,314
 4.75% 2/24/25
RON
1,600,000
389,228
TOTAL ROMANIA
  
  
1,426,591
Russia - 4.6%
 
  
  
Ministry of Finance of the Russian Federation:
  
  
  
 7.05% 1/19/28
RUB
41,500,000
566,897
 7.7% 3/16/39
RUB
85,500,000
1,209,054
 8.5% 9/17/31
RUB
179,250,000
2,685,724
TOTAL RUSSIA
  
  
4,461,675
South Africa - 7.5%
 
  
  
South African Republic:
  
  
  
 6.5% 2/28/41
ZAR
22,500,000
974,771
 7% 2/28/31
ZAR
4,500,000
251,877
 8% 1/31/30
ZAR
45,500,000
2,807,254
 8.75% 2/28/48
ZAR
24,500,000
1,339,086
 8.875% 2/28/35
ZAR
22,250,000
1,311,168
 10.5% 12/21/26
ZAR
7,000,000
521,732
TOTAL SOUTH AFRICA
  
  
7,205,888
Thailand - 4.1%
 
  
  
Kingdom of Thailand:
  
  
  
 1.6% 12/17/29
THB
24,000,000
701,931
 1.6% 6/17/35
THB
45,250,000
1,236,318
 3.3% 6/17/38
THB
45,250,000
1,483,083
 4.875% 6/22/29
THB
15,000,000
545,921
TOTAL THAILAND
  
  
3,967,253
Turkey - 2.2%
 
  
  
Turkish Republic:
  
  
  
 8% 3/12/25
TRY
11,500,000
976,330
 11% 2/24/27
TRY
3,500,000
301,473
 12.4% 3/8/28
TRY
4,000,000
357,585
 16.2% 6/14/23
TRY
4,000,000
441,583
TOTAL TURKEY
  
  
2,076,971
Ukraine - 0.5%
 
  
  
Ukraine Government:
  
  
  
 11.15% 8/26/22
UAH
9,000,000
336,399
 11.75% 6/15/22
UAH
4,000,000
150,509
TOTAL UKRAINE
  
  
486,908
Uruguay - 1.8%
 
  
  
Uruguay Republic:
  
  
  
 8.25% 5/21/31
UYU
6,500,000
153,502
 8.5% 3/15/28 (Reg. S)
UYU
10,000,000
243,191
 9.875% 6/20/22
UYU
56,500,000
1,342,594
TOTAL URUGUAY
  
  
1,739,287
 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $82,611,924)
  
  
  
80,870,210
 
  
  
  
Supranational Obligations - 1.9%
 
  
Principal
Amount (a)
 
Value ($)
 
Asian Infrastructure Investment Bank 2.375% 2/10/25 (Reg. S) (b)
PHP
19,400,000
380,094
International Finance Corp. 5.85% 11/25/22
INR
105,000,000
1,431,239
 
TOTAL SUPRANATIONAL OBLIGATIONS
 (Cost $1,848,108)
  
  
1,811,333
 
  
  
  
Money Market Funds - 13.4%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 0.06% (c)
 
 (Cost $12,944,188)
 
  
12,941,599
12,944,188
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 99.0%
 (Cost $97,404,220)
 
  
 
95,625,731
NET OTHER ASSETS (LIABILITIES) - 1.0%  
953,754
NET ASSETS - 100.0%
96,579,485
 
  
 Forward Foreign Currency Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized  
Appreciation/
(Depreciation) ($)
 
  
  
  
  
  
  
TRY
2,060,242
USD
231,868
Goldman Sachs Bank USA
10/01/21
(198)
USD
501,273
RON
2,139,943
Brown Brothers Harriman & Co.
10/04/21
379
ZAR
3,823,157
USD
254,477
Goldman Sachs Bank USA
10/05/21
(629)
BRL
2,246,000
USD
424,702
Citibank NA
11/24/21
(15,805)
BRL
1,899,000
USD
348,162
Citibank NA
11/24/21
(2,438)
BRL
2,492,000
USD
456,460
State Street Bank And Trust Co
11/24/21
(2,778)
CLP
182,293,000
USD
231,636
JPMorgan Chase Bank, N.A.
11/24/21
(7,906)
CLP
167,273,000
USD
211,363
State Street Bank And Trust Co
11/24/21
(6,067)
CLP
483,373,000
USD
616,525
State Street Bank And Trust Co
11/24/21
(23,276)
CNY
2,065,000
USD
318,201
JPMorgan Chase Bank, N.A.
11/24/21
924
CNY
1,331,000
USD
204,219
JPMorgan Chase Bank, N.A.
11/24/21
1,474
CNY
4,947,000
USD
760,492
State Street Bank And Trust Co
11/24/21
4,019
COP
2,141,700,000
USD
567,072
Citibank NA
11/24/21
(6,651)
COP
772,600,000
USD
203,147
Citibank NA
11/24/21
(980)
COP
2,372,500,000
USD
611,121
State Street Bank And Trust Co
11/24/21
9,693
CZK
28,954,000
USD
1,329,332
BNP Paribas
11/24/21
(8,394)
CZK
6,785,000
USD
314,349
Goldman Sachs Bank USA
11/24/21
(4,804)
EGP
22,926,000
USD
1,430,104
Citibank NA
11/24/21
28,293
HUF
149,909,000
USD
498,120
Citibank NA
11/24/21
(15,904)
HUF
30,292,000
USD
98,153
Goldman Sachs Bank USA
11/24/21
(712)
HUF
473,974,000
USD
1,586,485
State Street Bank And Trust Co
11/24/21
(61,841)
IDR
188,800,000
USD
13,009
BNP Paribas
11/24/21
112
IDR
2,214,800,000
USD
153,912
JPMorgan Chase Bank, N.A.
11/24/21
16
IDR
11,389,400,000
USD
790,711
JPMorgan Chase Bank, N.A.
11/24/21
852
IDR
4,252,300,000
USD
295,504
State Street Bank And Trust Co
11/24/21
31
INR
16,718,000
USD
224,195
BNP Paribas
11/24/21
(24)
INR
18,594,000
USD
248,659
BNP Paribas
11/24/21
667
INR
18,000,000
USD
242,882
Goldman Sachs Bank USA
11/24/21
(1,521)
MXN
2,740,000
USD
132,292
Brown Brothers Harriman & Co.
11/24/21
(578)
MXN
5,016,000
USD
248,496
Goldman Sachs Bank USA
11/24/21
(7,374)
MXN
38,557,000
USD
1,871,862
Royal Bank Of Canada
11/24/21
(18,403)
MXN
2,174,000
USD
108,029
State Street Bank And Trust Co
11/24/21
(3,523)
MYR
2,418,000
USD
583,565
Goldman Sachs Bank USA
11/24/21
(7,377)
MYR
3,441,000
USD
811,078
Goldman Sachs Bank USA
11/24/21
8,881
PEN
1,231,000
USD
299,725
State Street Bank And Trust Co
11/24/21
(1,986)
PHP
12,406,000
USD
247,971
BNP Paribas
11/24/21
(5,361)
PHP
12,192,000
USD
237,684
Goldman Sachs Bank USA
11/24/21
741
PLN
3,591,000
USD
936,593
Citibank NA
11/24/21
(33,864)
PLN
7,169,000
USD
1,838,350
Citibank NA
11/24/21
(36,161)
PLN
933,000
USD
242,498
HSBC Bank USA
11/24/21
(7,955)
PLN
1,499,000
USD
377,493
JPMorgan Chase Bank, N.A.
11/24/21
(665)
RON
2,319,000
USD
541,702
Brown Brothers Harriman & Co.
11/24/21
1,104
RON
500,000
USD
117,900
JPMorgan Chase Bank, N.A.
11/24/21
(865)
RUB
18,862,000
USD
255,553
JPMorgan Chase Bank, N.A.
11/24/21
1,149
RUB
122,735,000
USD
1,666,011
JPMorgan Chase Bank, N.A.
11/24/21
4,349
RUB
17,103,000
USD
232,678
JPMorgan Chase Bank, N.A.
11/24/21
85
RUB
18,307,000
USD
248,821
JPMorgan Chase Bank, N.A.
11/24/21
328
RUB
144,378,000
USD
1,917,274
JPMorgan Chase Bank, N.A.
11/24/21
47,635
RUB
7,204,000
USD
97,841
State Street Bank And Trust Co
11/24/21
202
THB
17,180,000
USD
523,975
JPMorgan Chase Bank, N.A.
11/24/21
(16,917)
THB
2,713,000
USD
84,191
JPMorgan Chase Bank, N.A.
11/24/21
(4,119)
THB
128,386,000
USD
3,857,752
JPMorgan Chase Bank, N.A.
11/24/21
(68,509)
THB
16,587,000
USD
506,566
JPMorgan Chase Bank, N.A.
11/24/21
(17,010)
TRY
2,015,000
USD
230,286
Citibank NA
11/24/21
(9,720)
TRY
2,102,000
USD
244,329
JPMorgan Chase Bank, N.A.
11/24/21
(14,240)
TRY
1,263,000
USD
142,842
State Street Bank And Trust Co
11/24/21
(4,591)
USD
241,875
BRL
1,295,000
Goldman Sachs Bank USA
11/24/21
6,113
USD
249,442
CLP
193,507,000
Citibank NA
11/24/21
11,948
USD
488,181
CLP
384,784,000
Citibank NA
11/24/21
15,931
USD
1,083,549
CNY
7,072,000
BNP Paribas
11/24/21
(9,360)
USD
472,651
CNY
3,059,000
Goldman Sachs Bank USA
11/24/21
(87)
USD
195,644
CNY
1,271,000
State Street Bank And Trust Co
11/24/21
(777)
USD
504,110
COP
1,950,400,000
Citibank NA
11/24/21
(6,254)
USD
237,285
COP
912,600,000
State Street Bank And Trust Co
11/24/21
(1,515)
USD
422,963
HUF
131,216,000
Brown Brothers Harriman & Co.
11/24/21
878
USD
239,081
HUF
71,170,000
Goldman Sachs Bank USA
11/24/21
10,147
USD
478,111
HUF
141,707,000
Goldman Sachs Bank USA
11/24/21
22,279
USD
291,242
HUF
86,367,000
Goldman Sachs Bank USA
11/24/21
13,423
USD
486,696
IDR
7,005,500,000
Citibank NA
11/24/21
(186)
USD
253,028
IDR
3,698,000,000
State Street Bank And Trust Co
11/24/21
(3,983)
USD
731,738
INR
54,134,000
JPMorgan Chase Bank, N.A.
11/24/21
5,856
USD
893,762
MXN
18,138,000
BNP Paribas
11/24/21
21,857
USD
739,509
MXN
15,222,000
Bank Of America NA
11/24/21
7,777
USD
478,706
MYR
2,012,000
Goldman Sachs Bank USA
11/24/21
(736)
USD
359,679
PEN
1,474,000
Citibank NA
11/24/21
3,167
USD
501,939
PHP
25,365,000
BNP Paribas
11/24/21
5,905
USD
501,156
PLN
1,975,000
BNP Paribas
11/24/21
4,668
USD
281,527
PLN
1,074,000
Goldman Sachs Bank USA
11/24/21
11,538
USD
57,627
RON
242,000
BNP Paribas
11/24/21
983
USD
242,786
RON
1,019,000
BNP Paribas
11/24/21
4,270
USD
242,133
RON
1,017,000
BNP Paribas
11/24/21
4,086
USD
66,227
RON
279,000
Goldman Sachs Bank USA
11/24/21
922
USD
75,089
RUB
5,585,000
BNP Paribas
11/24/21
(920)
USD
251,040
RUB
18,592,000
JPMorgan Chase Bank, N.A.
11/24/21
(1,988)
USD
251,067
RUB
18,653,000
JPMorgan Chase Bank, N.A.
11/24/21
(2,791)
USD
498,258
RUB
36,754,000
JPMorgan Chase Bank, N.A.
11/24/21
(1,945)
USD
56,422
RUB
4,160,000
State Street Bank And Trust Co
11/24/21
(193)
USD
487,880
THB
15,961,000
JPMorgan Chase Bank, N.A.
11/24/21
16,800
USD
249,394
THB
8,211,000
JPMorgan Chase Bank, N.A.
11/24/21
7,050
USD
239,953
THB
8,020,000
JPMorgan Chase Bank, N.A.
11/24/21
3,247
USD
139,904
TRY
1,234,663
Bank Of America NA
11/24/21
4,755
USD
104,189
TRY
905,000
Goldman Sachs Bank USA
11/24/21
5,126
USD
210,096
TRY
1,929,000
JPMorgan Chase Bank, N.A.
11/24/21
(1,056)
USD
233,210
ZAR
3,365,000
Canadian Imperial Bk Commerce
11/24/21
11,359
USD
265,152
ZAR
3,944,000
Goldman Sachs Bank USA
11/24/21
5,128
USD
91,322
ZAR
1,315,000
State Street Bank And Trust Co
11/24/21
4,625
ZAR
4,405,000
USD
300,320
Goldman Sachs Bank USA
11/24/21
(9,903)
ZAR
7,411,000
USD
498,204
Goldman Sachs Bank USA
11/24/21
(9,605)
ZAR
4,849,000
USD
32,601
Goldman Sachs Bank USA
11/24/21
(912)
ZAR
275,000
USD
17,951
State Street Bank And Trust Co
11/24/21
179
 
  
  
  
  
  
  
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
  
(150,406)
 
  
  
  
  
  
  
Unrealized Appreciation
  
  
320,951
Unrealized Depreciation
  
  
(471,357)
Currency Abbreviations
         BRL
-
Brazilian real
         CLP
-
Chilean peso
         CNY
-
Chinese yuan
         COP
-
Colombian peso
         CZK
-
Czech koruna
         DOP
-
Dominican Republic peso
         HUF
-
Hungarian forint
         IDR
-
Indonesian rupiah
         INR
-
Indian rupee
         KZT
-
Kazakhstan tenge
         MXN
-
Mexican peso
         MYR
-
Malyasian ringgit
         PEN
-
Peruvian new sol
         PHP
-
Philippine peso
         PLN
-
Polish zloty
         RON
-
Romanian leu (new)
         RUB
-
Russian ruble
         THB
-
Thai baht
         TRY
-
Turkish Lira
         UAH
-
Ukrainian hryvnia
         USD
-
U.S. dollar
         UYU
-
Uruguay peso
         ZAR
-
South African rand
 
Categorizations in Schedule of Investments are based on country or territory of incorporation.
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Level 3 security
 
(c)
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.
 
 
 
 
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 0.06%
20,796,854
74,731,630
82,585,141
5,544
845
-
12,944,188
0.0%
Total
20,796,854
74,731,630
82,585,141
5,544
845
-
12,944,188
  
 
Amounts in the 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. Security transactions are accounted for as of trade date. The Board of Directors (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.   
 
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - 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 vendors or from brokers who make markets in such securities.Foreign Government and Government Agency Obligations and Supranational Obligations are valued by pricing vendors 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 vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 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):
 
Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
 
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. 
 
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
 
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.  
 
Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.  
 
The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
 
Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end
 
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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