0001752724-22-120085.txt : 20220525 0001752724-22-120085.hdr.sgml : 20220525 20220525115429 ACCESSION NUMBER: 0001752724-22-120085 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220331 FILED AS OF DATE: 20220525 PERIOD START: 20221231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY HANOVER STREET TRUST CENTRAL INDEX KEY: 0000702533 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-03466 FILM NUMBER: 22960845 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 ADVISOR SERIES III DATE OF NAME CHANGE: 19930630 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY FRANKLIN STREET TRUST DATE OF NAME CHANGE: 19920819 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY ADVISOR EQUITY PORTFOLIO INCOME DATE OF NAME CHANGE: 19920703 0000702533 S000069653 Fidelity Emerging Markets Debt Local Currency Central Fund C000222143 Fidelity Emerging Markets Debt Local Currency Central Fund NPORT-P 1 primary_doc.xml NPORT-P false 0000702533 XXXXXXXX S000069653 C000222143 Fidelity Hanover Street Trust 811-03466 0000702533 13LNM41WRMGAYS9Y7N22 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Emerging Markets Debt Local Currency Central Fund S000069653 549300KILRIY7MLU0D16 2022-12-31 2022-03-31 N 91033165.21 996393.23 90036771.98 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 BRL CLP CNY COP CZK DOP HUF IDR MXN MYR PEN PLN RON THB ZAR N PHILIPPINES REPUBLIC OF 529900RAHBALMYIJ3T08 PHILIPPINE GOVT 6.25% 1/14/36 718286BM8 10000000.00000000 PA 200264.48000000 0.222425210939 Long DBT NUSS PH N 2 2036-01-14 Fixed 0.06250000 N N N N N N MEXICO UNITED MEXICAN STATES 254900EGTWEU67VP6075 MEXICO GOVT 8.5% 5/31/29 N/A 43000000.00000000 PA 2182493.21000000 2.424002062718 Long DBT NUSS MX N 2 2029-05-31 Fixed 0.08500000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: INR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -1502.99000000 -0.00166930684 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 233957.78000000 USD 17734000.00000000 INR 2022-05-18 -1502.99000000 N N N CHINA PEOPLES REPUBLIC OF 300300CHN201808MOF68 CHINA PEOPLES REPUBLIC OF 2.68% 05/21/2030 N/A 19000000.00000000 PA 2945497.78000000 3.271438674694 Long DBT NUSS CN N 2 2030-05-21 Fixed 0.02680000 N N N N N N ROMANIA, REPUBLIC OF 315700IASY927EDWBK92 ROMANIA REPUBLIC OF 3.65% 09/24/2031 N/A 2475000.00000000 PA 456769.24000000 0.507314100622 Long DBT NUSS RO N 2 2031-09-24 Fixed 0.03650000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: PEN/USD settle 2022-05-18 N/A 1.00000000 NC N/A 5670.44000000 0.006297915701 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 157887.86000000 USD 604000.00000000 PEN 2022-05-18 5670.44000000 N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 UKRAINE GOVERNMENT 11.15% 08/26/2022 N/A 9000000.00000000 PA 124978.83000000 0.138808652566 Long DBT NUSS UA N 2 2022-08-26 Fixed 0.11150000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 TITULOS DE TESORERIA B 6.0% 04/28/2028 N/A 500000000.00000000 PA 112100.30000000 0.124505018932 Long DBT NUSS CO N 2 2028-04-28 Fixed 0.06000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: USD/TRY settle 2022-05-18 N/A 1.00000000 NC N/A -1894.20000000 -0.00210380709 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 3150000.00000000 TRY 205544.48000000 USD 2022-05-18 -1894.20000000 N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: INR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -1231.47000000 -0.00136774117 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 507548.78000000 USD 38627000.00000000 INR 2022-05-18 -1231.47000000 N N N EGYPT, (ARAB) REPUBLIC OF 529900GFIVH4086NMH82 EGYPT (ARAB) REP OF 14.06% 01/12/2026 N/A 4000000.00000000 PA 213509.32000000 0.237135689457 Long DBT NUSS EG N 2 2026-01-12 Fixed 0.14060000 N N N N N N MALAYSIA GOVT OF 254900GSIL471JOBYY43 MALAYSIA GOVT OF 3.828% 07/05/2034 N/A 4450000.00000000 PA 1015610.28000000 1.127994993229 Long DBT NUSS MY N 2 2034-07-05 Fixed 0.03828000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: USD/HUF settle 2022-05-18 N/A 1.00000000 NC N/A -22392.59000000 -0.02487049402 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 152002000.00000000 HUF 432429.92000000 USD 2022-05-18 -22392.59000000 N N N MEXICO UNITED MEXICAN STATES 254900EGTWEU67VP6075 MEXICO UNITED MEXICAN STATES 5.75% 03/05/26 N/A 53750000.00000000 PA 2464642.88000000 2.737373659450 Long DBT NUSS MX N 2 2026-03-05 Fixed 0.05750000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/CNY settle 2022-05-18 N/A 1.00000000 NC N/A -1585.88000000 -0.00176136923 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 1364000.00000000 CNY 212975.25000000 USD 2022-05-18 -1585.88000000 N N N SOUTH AFRICA REPUBLIC OF 549300KEVMSOSY8T8R35 SOUTH AFRICA GOVT 8.875% 2/28/35 N/A 26500000.00000000 PA 1630953.00000000 1.811429890403 Long DBT NUSS ZA N 2 2035-02-28 Fixed 0.08875000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: BRL/USD settle 2022-05-18 N/A 1.00000000 NC N/A 20938.25000000 0.023255220661 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 302366.18000000 USD 1559000.00000000 BRL 2022-05-18 20938.25000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: CLP/USD settle 2022-05-18 N/A 1.00000000 NC N/A 5259.13000000 0.005841091238 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 236943.01000000 USD 192066000.00000000 CLP 2022-05-18 5259.13000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 DOMINICAN REPUBLIC 9.75% 06/05/2026 REGS N/A 20000000.00000000 PA 368014.54000000 0.408738043253 Long DBT NUSS DO N 2 2026-06-05 Fixed 0.09750000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 INDONESIA GOVT 8.375% 9/15/26 N/A 32400000000.00000000 PA 2497253.26000000 2.773592616752 Long DBT NUSS ID N 2 2026-09-15 Fixed 0.08375000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: PEN/USD settle 2022-05-18 N/A 1.00000000 NC N/A 765.67000000 0.000850396991 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 180935.69000000 USD 671000.00000000 PEN 2022-05-18 765.67000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: USD/RUB settle 2022-05-18 N/A 1.00000000 NC N/A -221791.66000000 -0.24633453101 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 76758000.00000000 RUB 679274.34000000 USD 2022-05-18 -221791.66000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: COP/USD settle 2022-05-18 N/A 1.00000000 NC N/A 20417.31000000 0.022676634835 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 522946.25000000 USD 2062500000.00000000 COP 2022-05-18 20417.31000000 N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: IDR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -767.59000000 -0.00085252945 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 528375.56000000 USD 7591700000.00000000 IDR 2022-05-18 -767.59000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: CLP/USD settle 2022-05-18 N/A 1.00000000 NC N/A 121.60000000 0.000135055930 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 240321.40000000 USD 190671000.00000000 CLP 2022-05-18 121.60000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: THB/USD settle 2022-05-18 N/A 1.00000000 NC N/A -3218.58000000 -0.00357473944 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 177974.47000000 USD 5811000.00000000 THB 2022-05-18 -3218.58000000 N N N INTL FINANCE CORP QKL54NQY28TCDAI75F60 INTL FIN CORP 5.85% 11/25/2022 45950VLJ3 17500000.00000000 PA 230295.66000000 0.255779560878 Long DBT CORP US N 2 2022-11-25 Fixed 0.05850000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: USD/INR settle 2022-05-18 N/A 1.00000000 NC N/A -2179.08000000 -0.00242021115 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 77079000.00000000 INR 1008161.66000000 USD 2022-05-18 -2179.08000000 N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 TITULOS DE TESORERIA B 5.75% 11/03/2027 N/A 3350000000.00000000 PA 751984.33000000 0.835196901735 Long DBT NUSS CO N 2 2027-11-03 Fixed 0.05750000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: KZT/USD settle 2022-05-18 N/A 1.00000000 NC N/A -20474.73000000 -0.02274040877 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 239191.32000000 USD 104706000.00000000 KZT 2022-05-18 -20474.73000000 N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 COLOMBIA GOVT 7.5% 8/26/26 N/A 3400000000.00000000 PA 843900.42000000 0.937284180054 Long DBT NUSS CO N 2 2026-08-26 Fixed 0.07500000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: MYR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -1264.73000000 -0.00140468163 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 518333.33000000 USD 2177000.00000000 MYR 2022-05-18 -1264.73000000 N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: MXN/USD settle 2022-05-18 N/A 1.00000000 NC N/A 7177.24000000 0.007971454153 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 124394.99000000 USD 2638000.00000000 MXN 2022-05-18 7177.24000000 N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: BRL/USD settle 2022-05-18 N/A 1.00000000 NC N/A 13938.49000000 0.015480885968 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 208786.94000000 USD 1074000.00000000 BRL 2022-05-18 13938.49000000 N N N BRAZIL LETRAS DO TESOURO NACIONAL 254900ZFY40OYEADAP90 BRAZIL LETRAS DO TESOURO NACIONAL 0% 07/01/2023 N/A 13000000.00000000 PA 2353552.24000000 2.613990026789 Long DBT NUSS BR N 2 2023-07-01 Fixed 0.00000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 FX Forward: COP/USD settle 2022-05-18 N/A 1.00000000 NC N/A 778.54000000 0.000864691151 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 215723.85000000 USD 821800000.00000000 COP 2022-05-18 778.54000000 N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: CZK/USD settle 2022-05-18 N/A 1.00000000 NC N/A 5183.17000000 0.005756725708 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 232546.76000000 USD 5274000.00000000 CZK 2022-05-18 5183.17000000 N N N HUNGARY REPUBLIC OF 5299008DH62LEB10JK83 HUNGARY REPUBLIC OF 2.25% 06/22/2034 N/A 100000000.00000000 PA 204935.13000000 0.227612702558 Long DBT NUSS HU N 2 2034-06-22 Fixed 0.02250000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: PLN/USD settle 2022-05-18 N/A 1.00000000 NC N/A -67629.91000000 -0.07511365469 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1537932.24000000 USD 6205000.00000000 PLN 2022-05-18 -67629.91000000 N N N HUNGARY REPUBLIC OF 5299008DH62LEB10JK83 HUNGARY REPUBLIC OF 3.0% 06/26/2024 N/A 75000000.00000000 PA 209954.10000000 0.233187058335 Long DBT NUSS HU N 2 2024-06-26 Fixed 0.03000000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 INDONESIA REPUBLIC OF 8.25% 05/15/2036 N/A 8750000000.00000000 PA 661009.57000000 0.734155118474 Long DBT NUSS ID N 2 2036-05-15 Fixed 0.08250000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/MXN settle 2022-05-18 N/A 1.00000000 NC N/A -8292.58000000 -0.00921021469 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 3692000.00000000 MXN 175848.69000000 USD 2022-05-18 -8292.58000000 N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: CNY/USD settle 2022-05-18 N/A 1.00000000 NC N/A 8231.07000000 0.009141898158 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 889339.15000000 USD 5706000.00000000 CNY 2022-05-18 8231.07000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/BRL settle 2022-05-18 N/A 1.00000000 NC N/A -23160.09000000 -0.02572292352 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 1289000.00000000 BRL 244151.91000000 USD 2022-05-18 -23160.09000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/BRL settle 2022-05-18 N/A 1.00000000 NC N/A -3140.17000000 -0.00348765280 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 2200000.00000000 BRL 453094.43000000 USD 2022-05-18 -3140.17000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: USD/THB settle 2022-05-18 N/A 1.00000000 NC N/A 15104.77000000 0.016776223389 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 14932000.00000000 THB 464159.15000000 USD 2022-05-18 15104.77000000 N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: USD/CZK settle 2022-05-18 N/A 1.00000000 NC N/A -3321.65000000 -0.00368921489 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 4463000.00000000 CZK 197851.78000000 USD 2022-05-18 -3321.65000000 N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: USD/PEN settle 2022-05-18 N/A 1.00000000 NC N/A -5876.54000000 -0.00652682217 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 604000.00000000 PEN 157681.76000000 USD 2022-05-18 -5876.54000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: CNY/USD settle 2022-05-18 N/A 1.00000000 NC N/A 432.98000000 0.000480892407 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 150105.87000000 USD 957000.00000000 CNY 2022-05-18 432.98000000 N N N POLAND REPUBLIC OF 259400R9L8QEP0TPXS31 POLAND REPUBLIC OF 2.5% 07/25/2026 N/A 6950000.00000000 PA 1460000.36000000 1.621560089164 Long DBT NUSS PL N 2 2026-07-25 Fixed 0.02500000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: MYR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -611.01000000 -0.00067862272 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 158082.98000000 USD 663000.00000000 MYR 2022-05-18 -611.01000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: THB/USD settle 2022-05-18 N/A 1.00000000 NC N/A 2028.38000000 0.002252835097 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 427147.56000000 USD 14271000.00000000 THB 2022-05-18 2028.38000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/COP settle 2022-05-18 N/A 1.00000000 NC N/A -14003.59000000 -0.01555318976 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 978900000.00000000 COP 243886.64000000 USD 2022-05-18 -14003.59000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: USD/EGP settle 2022-05-18 N/A 1.00000000 NC N/A 31615.84000000 0.035114364170 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 3963000.00000000 EGP 247223.96000000 USD 2022-05-18 31615.84000000 N N N POLAND REPUBLIC OF 259400R9L8QEP0TPXS31 POLAND GOVT 2.5% 01/25/2023 N/A 2750000.00000000 PA 641785.57000000 0.712803842126 Long DBT NUSS PL N 2 2023-01-25 Fixed 0.02500000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 NOTA DO TESOURO NACIONAL 10% 01/01/2029 N/A 3500000.00000000 PA 687015.44000000 0.763038728390 Long DBT NUSS BR N 2 2029-01-01 Fixed 0.10000000 N N N N N N HUNGARY REPUBLIC OF 5299008DH62LEB10JK83 HUNGARY REPUBLIC OF 3.25% 10/22/2031 N/A 223000000.00000000 PA 537276.91000000 0.596730533741 Long DBT NUSS HU N 2 2031-10-22 Fixed 0.03250000 N N N N N N THAILAND KINGDOM OF 254900PHJ6MSKT6C7026 THAILAND KINGDOM OF 2.875% 06/17/2046 N/A 4500000.00000000 PA 121783.37000000 0.135259591522 Long DBT NUSS TH N 2 2046-06-17 Fixed 0.02875000 N N N N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: IDR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -821.79000000 -0.00091272708 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 128454.87000000 USD 1836500000.00000000 IDR 2022-05-18 -821.79000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: USD/RUB settle 2022-05-18 N/A 1.00000000 NC N/A 7981.79000000 0.008865033501 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40581000.00000000 RUB 484364.18000000 USD 2022-05-18 7981.79000000 N N N CHILE REPUBLIC OF 549300FLZTJM5YJF8D34 BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 4.5% 03/01/2026 N/A 695000000.00000000 PA 822513.42000000 0.913530551920 Long DBT NUSS CL N 2 2026-03-01 Fixed 0.04500000 N N N N N N INTER AMERICAN DEV BANK VKU1UKDS9E7LYLMACP54 INTER AMERICAN DEV BANK 5.7% 11/12/2024 N/A 20000000.00000000 PA 257301.27000000 0.285773539345 Long DBT CORP US N 2 2024-11-12 Fixed 0.05700000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: CNY/USD settle 2022-05-18 N/A 1.00000000 NC N/A 4779.32000000 0.005308186749 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 847802.28000000 USD 5420000.00000000 CNY 2022-05-18 4779.32000000 N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: USD/PLN settle 2022-05-18 N/A 1.00000000 NC N/A 908.07000000 0.001008554593 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 1294000.00000000 PLN 307527.12000000 USD 2022-05-18 908.07000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: PHP/USD settle 2022-05-18 N/A 1.00000000 NC N/A 5171.42000000 0.005743675485 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 450019.06000000 USD 23608000.00000000 PHP 2022-05-18 5171.42000000 N N N SOUTH AFRICA REPUBLIC OF 549300KEVMSOSY8T8R35 SOUTH AFRICA REPUBLIC OF 8.0% 01/31/2030 N/A 53500000.00000000 PA 3345762.77000000 3.715995916360 Long DBT NUSS ZA N 2 2030-01-31 Fixed 0.08000000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 INDONESIA GOVT 8.25% 05/15/2029 N/A 26000000000.00000000 PA 1970478.68000000 2.188526572718 Long DBT NUSS ID N 2 2029-05-15 Fixed 0.08250000 N N N N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: HUF/USD settle 2022-05-18 N/A 1.00000000 NC N/A 1908.53000000 0.002119722817 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 49602.43000000 USD 17215000.00000000 HUF 2022-05-18 1908.53000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/CNY settle 2022-05-18 N/A 1.00000000 NC N/A 13.97000000 0.000015515882 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 3470000.00000000 CNY 545854.96000000 USD 2022-05-18 13.97000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/COP settle 2022-05-18 N/A 1.00000000 NC N/A -3157.06000000 -0.00350641180 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 1625072000.00000000 COP 424966.53000000 USD 2022-05-18 -3157.06000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: USD/CNY settle 2022-05-18 N/A 1.00000000 NC N/A -1517.74000000 -0.00168568904 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1425000.00000000 CNY 222638.86000000 USD 2022-05-18 -1517.74000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: MYR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -39.86000000 -0.00004427080 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 217127.92000000 USD 914000.00000000 MYR 2022-05-18 -39.86000000 N N N MALAYSIA GOVT OF 254900GSIL471JOBYY43 MALAYSIA GOVT OF 4.065% 06/15/2050 N/A 3750000.00000000 PA 824005.59000000 0.915187841455 Long DBT NUSS MY N 2 2050-06-15 Fixed 0.04065000 N N N N N N CZECH REPUBLIC 3157007EFDLQABN47912 CZECH REPUBLIC 2% 10/13/2033 N/A 22000000.00000000 PA 836722.72000000 0.929312214997 Long DBT NUSS CZ N 2 2033-10-13 Fixed 0.02000000 N N N N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: ZAR/USD settle 2022-05-18 N/A 1.00000000 NC N/A 16055.61000000 0.017832280796 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 305643.49000000 USD 4728000.00000000 ZAR 2022-05-18 16055.61000000 N N N KAZAKHSTAN REPUBLIC OF 5493007OEK8EF02UO833 KAZAKHSTAN REPUBLIC OF 8.05% 05/20/2024 N/A 140000000.00000000 PA 260649.87000000 0.289492686452 Long DBT NUSS KZ N 2 2024-05-20 Fixed 0.08050000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: USD/KZT settle 2022-05-18 N/A 1.00000000 NC N/A -67939.34000000 -0.07545732538 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 267476000.00000000 KZT 490781.65000000 USD 2022-05-18 -67939.34000000 N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 DOMINICAN REPUBLIC 8.9% 02/15/2023 REGS N/A 46000000.00000000 PA 849725.12000000 0.943753425754 Long DBT NUSS DO N 2 2023-02-15 Fixed 0.08900000 N N N N N N CZECH REPUBLIC 3157007EFDLQABN47912 CZECH REPUBLIC 0.95% 05/15/2030 REGS N/A 24750000.00000000 PA 901439.74000000 1.001190647083 Long DBT NUSS CZ N 2 2030-05-15 Fixed 0.00950000 N N N N N N MEXICO UNITED MEXICAN STATES 254900EGTWEU67VP6075 MEXICO GOVT 7.75% 11/13/42 N/A 38250000.00000000 PA 1798379.81000000 1.997383702738 Long DBT NUSS MX N 2 2042-11-13 Fixed 0.07750000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/IDR settle 2022-05-18 N/A 1.00000000 NC N/A -1561.74000000 -0.00173455796 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 4989600000.00000000 IDR 345205.48000000 USD 2022-05-18 -1561.74000000 N N N THAILAND KINGDOM OF 254900PHJ6MSKT6C7026 THAILAND GOVT 2% 12/17/2022 N/A 6000000.00000000 PA 182193.21000000 0.202354222606 Long DBT NUSS TH N 2 2022-12-17 Fixed 0.02000000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: TRY/USD settle 2022-05-18 N/A 1.00000000 NC N/A -4357.66000000 -0.00483986698 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 242681.66000000 USD 3619000.00000000 TRY 2022-05-18 -4357.66000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: USD/CNY settle 2022-05-18 N/A 1.00000000 NC N/A -4167.62000000 -0.00462879766 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2795000.00000000 CNY 435493.92000000 USD 2022-05-18 -4167.62000000 N N N RUSSIAN FEDERATION 5493004EHVGF71PDBU58 RUSSIAN FEDN 8.5% 09/17/2031 N/A 141000000.00000000 PA 52061.54000000 0.057822530567 Long DBT NUSS RU N 3 2031-09-17 Fixed 0.08500000 N N N N N N TURKEY REPUBLIC OF 5493000PCHOG3B6S3Q85 TURKEY REPUBLIC OF 12.4% 03/08/2028 N/A 4000000.00000000 PA 174553.14000000 0.193868722924 Long DBT NUSS TR N 2 2028-03-08 Fixed 0.12400000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/COP settle 2022-05-18 N/A 1.00000000 NC N/A -2926.02000000 -0.00324980553 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 1718000000.00000000 COP 449679.36000000 USD 2022-05-18 -2926.02000000 N N N PERU, REPUBLIC OF 254900STKLK2DBJJZ530 PERU REPUBLIC OF 5.4% 08/12/2034 N/A 3250000.00000000 PA 773643.15000000 0.859252428743 Long DBT NUSS PE N 2 2034-08-12 Fixed 0.05400000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: IDR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -892.96000000 -0.00099177256 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 117983.19000000 USD 1684800000.00000000 IDR 2022-05-18 -892.96000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: CZK/USD settle 2022-05-18 N/A 1.00000000 NC N/A -25113.49000000 -0.02789248153 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 1855778.17000000 USD 40613000.00000000 CZK 2022-05-18 -25113.49000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/CLP settle 2022-05-18 N/A 1.00000000 NC N/A 5070.97000000 0.005632109957 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 394648000.00000000 CLP 502736.31000000 USD 2022-05-18 5070.97000000 N N N THAILAND KINGDOM OF 254900PHJ6MSKT6C7026 THAILAND KINGDOM OF 3.3% 06/17/2038 N/A 35250000.00000000 PA 1079737.54000000 1.199218404053 Long DBT NUSS TH N 2 2038-06-17 Fixed 0.03300000 N N N N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: USD/PLN settle 2022-05-18 N/A 1.00000000 NC N/A -14407.27000000 -0.01600153990 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 2875000.00000000 PLN 666836.76000000 USD 2022-05-18 -14407.27000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: THB/USD settle 2022-05-18 N/A 1.00000000 NC N/A -682.24000000 -0.00075773485 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 435451.81000000 USD 14457000.00000000 THB 2022-05-18 -682.24000000 N N N REPUBLICA ORIENTAL DEL URUGUAY 549300RDR012H2V82H43 URUGUAY REPUBLICA ORIENTAL DL 8.25% 05/21/2031 917288BM3 6500000.00000000 PA 151629.96000000 0.168408925226 Long DBT NUSS UY N 2 2031-05-21 Fixed 0.08250000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: RUB/USD settle 2022-05-18 N/A 1.00000000 NC N/A -36174.47000000 -0.04017743995 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 488679.63000000 USD 38547000.00000000 RUB 2022-05-18 -36174.47000000 N N N RUSSIAN FEDERATION 5493004EHVGF71PDBU58 RUSSIAN FEDN 7.05% 01/19/2028 N/A 42750000.00000000 PA 15784.62000000 0.017531303769 Long DBT NUSS RU N 3 2028-01-19 Fixed 0.07050000 N N N N N N CHINA PEOPLES REPUBLIC OF 300300CHN201808MOF68 CHINA PEOPLES REPUBLIC OF 2.88% 11/05/2023 N/A 18950000.00000000 PA 3014054.29000000 3.347581464459 Long DBT NUSS CN N 2 2023-11-05 Fixed 0.02880000 N N N N N N CHILE REPUBLIC OF 549300FLZTJM5YJF8D34 BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 4% 03/01/2023 144A REGS N/A 400000000.00000000 PA 495833.86000000 0.550701506835 Long DBT NUSS CL N 2 2023-03-01 Fixed 0.04000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: MXN/USD settle 2022-05-18 N/A 1.00000000 NC N/A 2958.72000000 0.003286124030 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 66817.45000000 USD 1399000.00000000 MXN 2022-05-18 2958.72000000 N N N THAILAND KINGDOM OF 254900PHJ6MSKT6C7026 THAILAND KINGDOM OF 1.6% 06/17/2035 N/A 36250000.00000000 PA 938707.73000000 1.042582613033 Long DBT NUSS TH N 2 2035-06-17 Fixed 0.01600000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: USD/MXN settle 2022-05-18 N/A 1.00000000 NC N/A -28312.29000000 -0.03144525217 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 10134000.00000000 MXN 477128.55000000 USD 2022-05-18 -28312.29000000 N N N CHINA PEOPLES REPUBLIC OF 300300CHN201808MOF68 CHINA PEOPLES REPUBLIC OF 3.81% 09/14/2050 N/A 2500000.00000000 PA 419820.78000000 0.466277023007 Long DBT NUSS CN N 2 2050-09-14 Fixed 0.03810000 N N N N N N HUNGARY REPUBLIC OF 5299008DH62LEB10JK83 HUNGARY REPUBLIC OF 3% 10/27/2038 N/A 160000000.00000000 PA 332352.83000000 0.369130103946 Long DBT NUSS HU N 2 2038-10-27 Fixed 0.03000000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 INDONESIA REPUBLIC OF 7.5% 04/15/2040 N/A 12000000000.00000000 PA 850966.06000000 0.945131684850 Long DBT NUSS ID N 2 2040-04-15 Fixed 0.07500000 N N N N N N PERU, REPUBLIC OF 254900STKLK2DBJJZ530 PERU GOVT 6.95% 8/12/31 N/A 1750000.00000000 PA 487132.82000000 0.541037633055 Long DBT NUSS PE N 2 2031-08-12 Fixed 0.06950000 N N N N N N REPUBLICA ORIENTAL DEL URUGUAY 549300RDR012H2V82H43 URUGUAY REPUBLICA ORIENTAL DL 9.875% 06/20/2022 RGS N/A 8500000.00000000 PA 206980.59000000 0.229884507683 Long DBT NUSS UY N 2 2022-06-20 Fixed 0.09875000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 INDONESIA TREASURY BOND 8.375% 03/15/2034 N/A 15800000000.00000000 PA 1205695.39000000 1.339114412351 Long DBT NUSS ID N 2 2034-03-15 Fixed 0.08375000 N N N N N N RUSSIAN FEDERATION 5493004EHVGF71PDBU58 RUSSIAN FEDN 7.25% 05/10/2034 N/A 61000000.00000000 PA 22523.08000000 0.025015423703 Long DBT NUSS RU N 3 2034-05-10 Fixed 0.07250000 N N N N N N KAZAKHSTAN REPUBLIC OF 5493007OEK8EF02UO833 KAZAKHSTAN GOVERNMENT BOND - MEOKAM 10.5% 08/04/2026 N/A 90000000.00000000 PA 164441.24000000 0.182637867155 Long DBT NUSS KZ N 2 2026-08-04 Fixed 0.10500000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: USD/EGP settle 2022-05-18 N/A 1.00000000 NC N/A 30419.96000000 0.033786151292 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 3758000.00000000 EGP 234875.00000000 USD 2022-05-18 30419.96000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: RON/USD settle 2022-05-18 N/A 1.00000000 NC N/A -3957.68000000 -0.00439562626 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 216224.45000000 USD 954000.00000000 RON 2022-05-18 -3957.68000000 N N N BRAZILIAN GOVERNMENT INTERNATIONAL BOND 254900ZFY40OYEADAP90 BRAZIL GOVT 10% 1/01/23 N/A 9000000.00000000 PA 1855102.45000000 2.060383118146 Long DBT NUSS BR N 2 2023-01-01 Fixed 0.10000000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: COP/USD settle 2022-05-18 N/A 1.00000000 NC N/A 257.95000000 0.000286494056 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 233184.21000000 USD 886100000.00000000 COP 2022-05-18 257.95000000 N N N BRAZILIAN GOVERNMENT INTERNATIONAL BOND 254900ZFY40OYEADAP90 NOTAS DO TESOURO 10% 01/01/2025 N/A 12000000.00000000 PA 2434362.34000000 2.703742356001 Long DBT NUSS BR N 2 2025-01-01 Fixed 0.10000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 NOTA DO TESOURO NACIONAL 10.0% 01/01/2027 N/A 4250000.00000000 PA 849592.23000000 0.943605830503 Long DBT NUSS BR N 2 2027-01-01 Fixed 0.10000000 N N N N N N POLAND REPUBLIC OF 259400R9L8QEP0TPXS31 POLAND REPUBLIC OF 2.75% 10/25/2029 N/A 9500000.00000000 PA 1925571.49000000 2.138650073358 Long DBT NUSS PL N 2 2029-10-25 Fixed 0.02750000 N N N N N N EGYPT, (ARAB) REPUBLIC OF 529900GFIVH4086NMH82 EGYPT (ARAB) REP OF 15.9% 07/02/2024 N/A 3750000.00000000 PA 208809.15000000 0.231915411234 Long DBT NUSS EG N 2 2024-07-02 Fixed 0.15900000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: CZK/USD settle 2022-05-18 N/A 1.00000000 NC N/A 1271.65000000 0.001412367382 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 203192.31000000 USD 4536000.00000000 CZK 2022-05-18 1271.65000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: TRY/USD settle 2022-05-18 N/A 1.00000000 NC N/A -486.50000000 -0.00054033478 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 157020.39000000 USD 2377000.00000000 TRY 2022-05-18 -486.50000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/CLP settle 2022-05-18 N/A 1.00000000 NC N/A -6470.81000000 -0.00718685250 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 158677000.00000000 CLP 193626.60000000 USD 2022-05-18 -6470.81000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: RUB/USD settle 2022-05-18 N/A 1.00000000 NC N/A -189736.06000000 -0.21073174418 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2629908.91000000 USD 207868000.00000000 RUB 2022-05-18 -189736.06000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: USD/PEN settle 2022-05-18 N/A 1.00000000 NC N/A -4679.86000000 -0.00519772077 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 671000.00000000 PEN 177021.50000000 USD 2022-05-18 -4679.86000000 N N N MALAYSIA GOVT OF 254900GSIL471JOBYY43 MALAYSIA GOVT OF 3.885% 08/15/2029 N/A 4800000.00000000 PA 1140276.80000000 1.266456776408 Long DBT NUSS MY N 2 2029-08-15 Fixed 0.03885000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/IDR settle 2022-05-18 N/A 1.00000000 NC N/A 155.56000000 0.000172773852 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 2951700000.00000000 IDR 205292.81000000 USD 2022-05-18 155.56000000 N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Cash Central Fund 31635A105 14078662.61300000 NS USD 14081478.35000000 15.63969702637 Long STIV RF US N 1 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: EGP/USD settle 2022-05-18 N/A 1.00000000 NC N/A -128369.96000000 -0.14257503592 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 997439.90000000 USD 15974000.00000000 EGP 2022-05-18 -128369.96000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: USD/THB settle 2022-05-18 N/A 1.00000000 NC N/A 8512.76000000 0.009454759219 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 18652000.00000000 THB 569439.78000000 USD 2022-05-18 8512.76000000 N N N PERU, REPUBLIC OF 254900STKLK2DBJJZ530 PERU REPUBLIC OF 5.35% 08/12/2040 N/A 500000.00000000 PA 112022.57000000 0.124418687539 Long DBT NUSS PE N 2 2040-08-12 Fixed 0.05350000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: USD/THB settle 2022-05-18 N/A 1.00000000 NC N/A -4802.34000000 -0.00533375408 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 14996000.00000000 THB 446176.73000000 USD 2022-05-18 -4802.34000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: TRY/USD settle 2022-05-18 N/A 1.00000000 NC N/A -4554.04000000 -0.00505797786 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 75807.58000000 USD 1082000.00000000 TRY 2022-05-18 -4554.04000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/EGP settle 2022-05-18 N/A 1.00000000 NC N/A 78602.12000000 0.087300020060 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 11078000.00000000 EGP 681303.81000000 USD 2022-05-18 78602.12000000 N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: MXN/USD settle 2022-05-18 N/A 1.00000000 NC N/A 12012.59000000 0.013341871033 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 1030390.56000000 USD 20900000.00000000 MXN 2022-05-18 12012.59000000 N N N BRAZIL LETRAS DO TESOURO NACIONAL 254900ZFY40OYEADAP90 BRAZIL LETRAS DO TESOURO NACIONAL 0% 01/01/2024 N/A 2500000.00000000 PA 429811.07000000 0.477372811739 Long DBT NUSS BR N 2 2024-01-01 Fixed 0.00000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: USD/THB settle 2022-05-18 N/A 1.00000000 NC N/A -3927.68000000 -0.00436230654 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 7684000.00000000 THB 227155.49000000 USD 2022-05-18 -3927.68000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: HUF/USD settle 2022-05-18 N/A 1.00000000 NC N/A 31431.21000000 0.034909303508 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 645422.56000000 USD 226205000.00000000 HUF 2022-05-18 31431.21000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: USD/RUB settle 2022-05-18 N/A 1.00000000 NC N/A -319393.73000000 -0.35473698465 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 88500000.00000000 RUB 719512.20000000 USD 2022-05-18 -319393.73000000 N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 FX Forward: USD/PLN settle 2022-05-18 N/A 1.00000000 NC N/A 11042.44000000 0.012264366832 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 937000.00000000 PLN 233068.75000000 USD 2022-05-18 11042.44000000 N N N TURKEY REPUBLIC OF 5493000PCHOG3B6S3Q85 TURKEY REPUBLIC OF 11% 02/24/2027 N/A 750000.00000000 PA 31680.78000000 0.035186490256 Long DBT NUSS TR N 2 2027-02-24 Fixed 0.11000000 N N N N N N SOUTH AFRICA REPUBLIC OF 549300KEVMSOSY8T8R35 SOUTH AFRICA GOVT 6.5 2/28/41 N/A 29000000.00000000 PA 1330422.95000000 1.477643990052 Long DBT NUSS ZA N 2 2041-02-28 Fixed 0.06500000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: USD/PHP settle 2022-05-18 N/A 1.00000000 NC N/A -25.35000000 -0.00002815516 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 11369000.00000000 PHP 219182.57000000 USD 2022-05-18 -25.35000000 N N N EGYPT, (ARAB) REPUBLIC OF 529900GFIVH4086NMH82 EGYPT (ARAB) REP OF 14.556% 10/13/2027 N/A 7000000.00000000 PA 378005.74000000 0.419834842684 Long DBT NUSS EG N 2 2027-10-13 Fixed 0.14556000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: MYR/USD settle 2022-05-18 N/A 1.00000000 NC N/A 246.96000000 0.000274287932 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 602089.27000000 USD 2536000.00000000 MYR 2022-05-18 246.96000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: PLN/USD settle 2022-05-18 N/A 1.00000000 NC N/A 39855.40000000 0.044265691809 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1798911.09000000 USD 7760000.00000000 PLN 2022-05-18 39855.40000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/COP settle 2022-05-18 N/A 1.00000000 NC N/A -8058.50000000 -0.00895023202 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 618300000.00000000 COP 154832.02000000 USD 2022-05-18 -8058.50000000 N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: CZK/USD settle 2022-05-18 N/A 1.00000000 NC N/A 5075.52000000 0.005637163448 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 105901.17000000 USD 2462000.00000000 CZK 2022-05-18 5075.52000000 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: USD/THB settle 2022-05-18 N/A 1.00000000 NC N/A -1112.52000000 -0.00123562848 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 14031000.00000000 THB 420845.83000000 USD 2022-05-18 -1112.52000000 N N N CHILE REPUBLIC OF 549300FLZTJM5YJF8D34 BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 4.7% 09/01/2030 144A REGS N/A 200000000.00000000 PA 230203.74000000 0.255677469257 Long DBT NUSS CL N 2 2030-09-01 Fixed 0.04700000 N N N N N N TURKEY REPUBLIC OF 5493000PCHOG3B6S3Q85 TURKEY REPUBLIC OF 8.0% 03/12/2025 N/A 7250000.00000000 PA 332313.80000000 0.369086754991 Long DBT NUSS TR N 2 2025-03-12 Fixed 0.08000000 N N N N N N MALAYSIA GOVT OF 254900GSIL471JOBYY43 MALAYSIA GOVT OF 4.762% 04/07/2037 N/A 3550000.00000000 PA 893440.80000000 0.992306565808 Long DBT NUSS MY N 2 2037-04-07 Fixed 0.04762000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: USD/COP settle 2022-05-18 N/A 1.00000000 NC N/A -13420.21000000 -0.01490525449 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 1081100000.00000000 COP 271394.50000000 USD 2022-05-18 -13420.21000000 N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 COLOMBIA TREAS 10% 7/24/24 N/A 4200000000.00000000 PA 1141120.01000000 1.267393293768 Long DBT NUSS CO N 2 2024-07-24 Fixed 0.10000000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: THB/USD settle 2022-05-18 N/A 1.00000000 NC N/A -133556.74000000 -0.14833577111 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 5179073.06000000 USD 167774000.00000000 THB 2022-05-18 -133556.74000000 N N N ROMANIA, REPUBLIC OF 315700IASY927EDWBK92 ROMANIA REPUBLIC OF 4.25% 06/28/2023 N/A 3750000.00000000 PA 831822.46000000 0.923869705351 Long DBT NUSS RO N 2 2023-06-28 Fixed 0.04250000 N N N N N N CHILE REPUBLIC OF 549300FLZTJM5YJF8D34 BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 5.0% 03/01/2035 N/A 455000000.00000000 PA 521884.88000000 0.579635262930 Long DBT NUSS CL N 2 2035-03-01 Fixed 0.05000000 N N N N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 NOTA DO TESOURO NACIONAL 10% 01/01/2031 N/A 2000000.00000000 PA 385447.96000000 0.428100598814 Long DBT NUSS BR N 2 2031-01-01 Fixed 0.10000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 TITULOS DE TESORERIA B 7% 06/30/2032 N/A 5050000000.00000000 PA 1104182.44000000 1.226368311210 Long DBT NUSS CO N 2 2032-06-30 Fixed 0.07000000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: EGP/USD settle 2022-05-18 N/A 1.00000000 NC N/A -70707.23000000 -0.07853150267 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 550561.80000000 USD 8820000.00000000 EGP 2022-05-18 -70707.23000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: INR/USD settle 2022-05-18 N/A 1.00000000 NC N/A 1519.54000000 0.001687688226 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 216726.33000000 USD 16650000.00000000 INR 2022-05-18 1519.54000000 N N N ROMANIA, REPUBLIC OF 315700IASY927EDWBK92 ROMANIA REPUBLIC OF 5% 02/12/2029 N/A 1000000.00000000 PA 210260.54000000 0.233527408164 Long DBT NUSS RO N 2 2029-02-12 Fixed 0.05000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 TITULOS DE TESORERIA B 7.25% 10/26/2050 N/A 650000000.00000000 PA 127465.21000000 0.141570168717 Long DBT NUSS CO N 2 2050-10-26 Fixed 0.07250000 N N N N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: ZAR/USD settle 2022-05-18 N/A 1.00000000 NC N/A 11569.71000000 0.012849983118 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 241884.00000000 USD 3725000.00000000 ZAR 2022-05-18 11569.71000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: HUF/USD settle 2022-05-18 N/A 1.00000000 NC N/A -20244.71000000 -0.02248493538 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 420243.88000000 USD 133680000.00000000 HUF 2022-05-18 -20244.71000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: MYR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -5390.07000000 -0.00598652070 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 2447274.46000000 USD 10281000.00000000 MYR 2022-05-18 -5390.07000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: MYR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -527.51000000 -0.00058588284 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 216190.48000000 USD 908000.00000000 MYR 2022-05-18 -527.51000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/BRL settle 2022-05-18 N/A 1.00000000 NC N/A -7134.12000000 -0.00792356261 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 361000.00000000 BRL 67729.83000000 USD 2022-05-18 -7134.12000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: USD/PLN settle 2022-05-18 N/A 1.00000000 NC N/A 7073.91000000 0.007856689932 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2013000.00000000 PLN 484063.21000000 USD 2022-05-18 7073.91000000 N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 INDONESIA GOVT 8.125% 05/15/2024 N/A 2500000000.00000000 PA 186945.17000000 0.207632021771 Long DBT NUSS ID N 2 2024-05-15 Fixed 0.08125000 N N N N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: USD/BRL settle 2022-05-18 N/A 1.00000000 NC N/A -42455.91000000 -0.04715396728 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 2528000.00000000 BRL 481799.12000000 USD 2022-05-18 -42455.91000000 N N N RUSSIAN FEDERATION 5493004EHVGF71PDBU58 RUSSIAN FEDN 7.7% 03/16/2039 N/A 31500000.00000000 PA 11630.77000000 0.012917799854 Long DBT NUSS RU N 3 2039-03-16 Fixed 0.07700000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: EGP/USD settle 2022-05-18 N/A 1.00000000 NC N/A 1513.65000000 0.001681146454 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 186184.57000000 USD 3450000.00000000 EGP 2022-05-18 1513.65000000 N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 FX Forward: MXN/USD settle 2022-05-18 N/A 1.00000000 NC N/A 3689.68000000 0.004097970105 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 110675.41000000 USD 2293000.00000000 MXN 2022-05-18 3689.68000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: COP/USD settle 2022-05-18 N/A 1.00000000 NC N/A 552.93000000 0.000614115752 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 216397.32000000 USD 823500000.00000000 COP 2022-05-18 552.93000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: TRY/USD settle 2022-05-18 N/A 1.00000000 NC N/A 3616.34000000 0.004016514497 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 55651.85000000 USD 900000.00000000 TRY 2022-05-18 3616.34000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: IDR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -626.67000000 -0.00069601562 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 231783.97000000 USD 3326100000.00000000 IDR 2022-05-18 -626.67000000 N N N MEXICO UNITED MEXICAN STATES 254900EGTWEU67VP6075 MEXICAN BONOS 7.75% 11/23/2034 N/A 4500000.00000000 PA 216840.50000000 0.240835488913 Long DBT NUSS MX N 2 2034-11-23 Fixed 0.07750000 N N N N N N THAILAND KINGDOM OF 254900PHJ6MSKT6C7026 THAILAND GOVT 4.875% 6/22/29 N/A 15000000.00000000 PA 533115.69000000 0.592108844282 Long DBT NUSS TH N 2 2029-06-22 Fixed 0.04875000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: MYR/USD settle 2022-05-18 N/A 1.00000000 NC N/A 870.33000000 0.000966638386 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 219067.90000000 USD 926000.00000000 MYR 2022-05-18 870.33000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/PHP settle 2022-05-18 N/A 1.00000000 NC N/A -1294.16000000 -0.00143736827 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 12239000.00000000 PHP 234688.40000000 USD 2022-05-18 -1294.16000000 N N N CZECH REPUBLIC 3157007EFDLQABN47912 CZECH REPUBLIC 1.2% 03/13/2031 N/A 25000000.00000000 PA 914034.65000000 1.015179276088 Long DBT NUSS CZ N 2 2031-03-13 Fixed 0.01200000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: MYR/USD settle 2022-05-18 N/A 1.00000000 NC N/A -868.85000000 -0.00096499461 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 442170.40000000 USD 1858000.00000000 MYR 2022-05-18 -868.85000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: MXN/USD settle 2022-05-18 N/A 1.00000000 NC N/A 6202.54000000 0.006888896462 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 224422.92000000 USD 4624000.00000000 MXN 2022-05-18 6202.54000000 N N N RUSSIAN FEDERATION 5493004EHVGF71PDBU58 RUSSIAN FEDN 6.9% 05/23/2029 N/A 45000000.00000000 PA 16615.38000000 0.018453993445 Long DBT NUSS RU N 3 2029-05-23 Fixed 0.06900000 N N N N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 INDONESIA REPUBLIC OF 6.5% 06/15/2025 N/A 12750000000.00000000 PA 923681.46000000 1.025893576243 Long DBT NUSS ID N 2 2025-06-15 Fixed 0.06500000 N N N N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: ZAR/USD settle 2022-05-18 N/A 1.00000000 NC N/A 7000.23000000 0.007774856701 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 169839.02000000 USD 2599000.00000000 ZAR 2022-05-18 7000.23000000 N N N CHILE REPUBLIC OF 549300FLZTJM5YJF8D34 BONOS DE LA TESORERIA DE LA REPUBLICA EN PESOS 6.0% 01/01/2043 N/A 75000000.00000000 PA 94732.01000000 0.105214800482 Long DBT NUSS CL N 2 2043-01-01 Fixed 0.06000000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: COP/USD settle 2022-05-18 N/A 1.00000000 NC N/A 11488.71000000 0.012760019875 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 521020.75000000 USD 2021300000.00000000 COP 2022-05-18 11488.71000000 N N N KAZAKHSTAN REPUBLIC OF 5493007OEK8EF02UO833 KAZAKHSTAN GOVERNMENT BOND - MEUKAM 7.2% 05/27/2025 N/A 200000000.00000000 PA 339858.98000000 0.377466864400 Long DBT NUSS KZ N 2 2025-05-27 Fixed 0.07200000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: THB/USD settle 2022-05-18 N/A 1.00000000 NC N/A -7465.71000000 -0.00829184547 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 243240.31000000 USD 7840000.00000000 THB 2022-05-18 -7465.71000000 N N N INDONESIA REPUBLIC OF 254900G208H6Q0L5B953 INDONESIA REPUBLIC OF 8.375% 04/15/2039 N/A 6000000000.00000000 PA 462036.55000000 0.513164277038 Long DBT NUSS ID N 2 2039-04-15 Fixed 0.08375000 N N N N N N HUNGARY REPUBLIC OF 5299008DH62LEB10JK83 HUNGARY GOVT 6.75% 10/22/28 N/A 198000000.00000000 PA 608690.13000000 0.676046149383 Long DBT NUSS HU N 2 2028-10-22 Fixed 0.06750000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: PLN/USD settle 2022-05-18 N/A 1.00000000 NC N/A 3774.92000000 0.004192642535 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 210194.94000000 USD 903000.00000000 PLN 2022-05-18 3774.92000000 N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: USD/ZAR settle 2022-05-18 N/A 1.00000000 NC N/A -10325.71000000 -0.01146832541 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 2599000.00000000 ZAR 166513.54000000 USD 2022-05-18 -10325.71000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: PLN/USD settle 2022-05-18 N/A 1.00000000 NC N/A 8786.15000000 0.009758401824 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 200444.62000000 USD 883000.00000000 PLN 2022-05-18 8786.15000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: USD/CNY settle 2022-05-18 N/A 1.00000000 NC N/A -4802.46000000 -0.00533388736 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2850000.00000000 CNY 443510.74000000 USD 2022-05-18 -4802.46000000 N N N EGYPT, (ARAB) REPUBLIC OF 529900GFIVH4086NMH82 EGYPT (ARAB) REPUBLIC OF 14.531% 09/14/2024 N/A 3750000.00000000 PA 203160.05000000 0.225641196960 Long DBT NUSS EG N 2 2024-09-14 Fixed 0.14531000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 FX Forward: BRL/USD settle 2022-05-18 N/A 1.00000000 NC N/A 4591.98000000 0.005100116206 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 210045.66000000 USD 1035000.00000000 BRL 2022-05-18 4591.98000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: BRL/USD settle 2022-05-18 N/A 1.00000000 NC N/A 47206.32000000 0.052430044927 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 573065.35000000 USD 2991000.00000000 BRL 2022-05-18 47206.32000000 N N N SOUTH AFRICA REPUBLIC OF 549300KEVMSOSY8T8R35 SOUTH AFRICA 7% 2/28/31 N/A 4500000.00000000 PA 256908.01000000 0.285336762247 Long DBT NUSS ZA N 2 2031-02-28 Fixed 0.07000000 N N N N N N CHINA PEOPLES REPUBLIC OF 300300CHN201808MOF68 CHINA PEOPLES REPUBLIC OF 3.28% 12/03/2027 N/A 20000000.00000000 PA 3249641.64000000 3.609238279579 Long DBT NUSS CN N 2 2027-12-03 Fixed 0.03280000 N N N N N N THAILAND KINGDOM OF 254900PHJ6MSKT6C7026 THAILAND KINGDOM OF 1.6% 12/17/2029 N/A 24000000.00000000 PA 689536.63000000 0.765838906522 Long DBT NUSS TH N 2 2029-12-17 Fixed 0.01600000 N N N N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: USD/PLN settle 2022-05-18 N/A 1.00000000 NC N/A -3599.40000000 -0.00399769996 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 1182000.00000000 PLN 276480.75000000 USD 2022-05-18 -3599.40000000 N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: CLP/USD settle 2022-05-18 N/A 1.00000000 NC N/A 3645.17000000 0.004048534748 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 217319.86000000 USD 175225000.00000000 CLP 2022-05-18 3645.17000000 N N N ASIAN INFRASTRUCTURE INVESTMENT BANK 25490065OSV2524LCR32 ASIAN INFRASTRUCTURE INVESTMENT BANK 2.375% 02/10/2025 REGS N/A 19400000.00000000 PA 353628.18000000 0.392759727190 Long DBT CORP CN N 2 2025-02-10 Fixed 0.02375000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: USD/IDR settle 2022-05-18 N/A 1.00000000 NC N/A -509.78000000 -0.00056619088 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 1358800000.00000000 IDR 93924.10000000 USD 2022-05-18 -509.78000000 N N N MEXICO UNITED MEXICAN STATES 254900EGTWEU67VP6075 MEXICO GOVT 8% 12/07/23 N/A 26000000.00000000 PA 1299885.62000000 1.443727480910 Long DBT NUSS MX N 2 2023-12-07 Fixed 0.08000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: USD/RUB settle 2022-05-18 N/A 1.00000000 NC N/A 50407.50000000 0.055985458931 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40576000.00000000 RUB 526731.19000000 USD 2022-05-18 50407.50000000 N N N SOUTH AFRICA REPUBLIC OF 549300KEVMSOSY8T8R35 SOUTH AFRICA 8.75% 2/28/48 N/A 24500000.00000000 PA 1407699.50000000 1.563471756087 Long DBT NUSS ZA N 2 2048-02-28 Fixed 0.08750000 N N N N N N PERU, REPUBLIC OF 254900STKLK2DBJJZ530 PERU GOVERNMENT BOND 6.35% 08/12/2028 N/A 2825000.00000000 PA 765556.57000000 0.850271009460 Long DBT NUSS PE N 2 2028-08-12 Fixed 0.06350000 N N N N N N THAILAND KINGDOM OF 254900PHJ6MSKT6C7026 THAILAND KINGDOM OF 1.585% 12/17/2035 N/A 11000000.00000000 PA 280988.44000000 0.312081868130 Long DBT NUSS TH N 2 2035-12-17 Fixed 0.01585000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: USD/EGP settle 2022-05-18 N/A 1.00000000 NC N/A 28478.27000000 0.031629599077 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3596000.00000000 EGP 224119.66000000 USD 2022-05-18 28478.27000000 N N N 2022-04-30 Stacie M. Smith Stacie M. Smith Stacie M. Smith President and Treasurer XXXX NPORT-EX 2 QTLY_6286_20220331.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity® Emerging Markets Debt Local Currency Central Fund
March 31, 2022
MDL-NPRT1-0522
1.9899758.101
Foreign Government and Government Agency Obligations - 82.0%
 
  
Principal
Amount (a)
 
Value ($)
 
Brazil - 10.0%
 
  
  
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
2,783,363
Brazilian Federative Republic:
  
  
  
 10% 1/1/23
BRL
9,000,000
1,855,102
 10% 1/1/25
BRL
12,000,000
2,434,362
 10% 1/1/27
BRL
4,250,000
849,592
 10% 1/1/29
BRL
3,500,000
687,015
 10% 1/1/31
BRL
2,000,000
385,448
TOTAL BRAZIL
  
  
8,994,882
Chile - 2.4%
 
  
  
Chilean Republic:
  
  
  
 4% 3/1/23 (Reg. S) (b)
CLP
400,000,000
495,834
 4.5% 3/1/26
CLP
695,000,000
822,513
 4.7% 9/1/30 (Reg. S) (b)
CLP
200,000,000
230,204
 5% 3/1/35
CLP
455,000,000
521,885
 6% 1/1/43
CLP
75,000,000
94,732
TOTAL CHILE
  
  
2,165,168
China - 10.7%
 
  
  
Peoples Republic of China:
  
  
  
 2.68% 5/21/30
CNY
19,000,000
2,945,498
 2.88% 11/5/23
CNY
18,950,000
3,014,054
 3.28% 12/3/27
CNY
20,000,000
3,249,642
 3.81% 9/14/50
CNY
2,500,000
419,821
TOTAL CHINA
  
  
9,629,015
Colombia - 4.5%
 
  
  
Colombian Republic:
  
  
  
 5.75% 11/3/27
COP
3,350,000,000
751,984
 6% 4/28/28
COP
500,000,000
112,100
 7% 6/30/32
COP
5,050,000,000
1,104,182
 7.25% 10/26/50
COP
650,000,000
127,465
 7.5% 8/26/26
COP
3,400,000,000
843,900
 10% 7/24/24
COP
4,200,000,000
1,141,120
TOTAL COLOMBIA
  
  
4,080,751
Czech Republic - 2.9%
 
  
  
Czech Republic:
  
  
  
 0.95% 5/15/30 (Reg. S)
CZK
24,750,000
901,440
 1.2% 3/13/31
CZK
25,000,000
914,035
 2% 10/13/33
CZK
22,000,000
836,723
TOTAL CZECH REPUBLIC
  
  
2,652,198
Dominican Republic - 1.4%
 
  
  
Dominican Republic:
  
  
  
 8.9% 2/15/23(Reg. S)
DOP
46,000,000
849,725
 9.75% 6/5/26 (Reg. S)
DOP
20,000,000
368,015
TOTAL DOMINICAN REPUBLIC
  
  
1,217,740
Egypt - 1.1%
 
  
  
Arab Republic of Egypt:
  
  
  
 14.06% 1/12/26
EGP
4,000,000
213,509
 14.531% 9/14/24
EGP
3,750,000
203,160
 14.556% 10/13/27
EGP
7,000,000
378,006
 15.9% 7/2/24
EGP
3,750,000
208,809
TOTAL EGYPT
  
  
1,003,484
Hungary - 2.1%
 
  
  
Hungarian Republic:
  
  
  
 2.25% 6/22/34
HUF
100,000,000
204,935
 3% 6/26/24
HUF
75,000,000
209,954
 3% 10/27/38
HUF
160,000,000
332,353
 3.25% 10/22/31
HUF
223,000,000
537,277
 6.75% 10/22/28
HUF
198,000,000
608,690
TOTAL HUNGARY
  
  
1,893,209
Indonesia - 9.7%
 
  
  
Indonesian Republic:
  
  
  
 6.5% 6/15/25
IDR
12,750,000,000
923,681
 7.5% 4/15/40
IDR
12,000,000,000
850,966
 8.125% 5/15/24
IDR
2,500,000,000
186,945
 8.25% 5/15/29
IDR
26,000,000,000
1,970,479
 8.25% 5/15/36
IDR
8,750,000,000
661,010
 8.375% 9/15/26
IDR
32,400,000,000
2,497,253
 8.375% 3/15/34
IDR
15,800,000,000
1,205,695
 8.375% 4/15/39
IDR
6,000,000,000
462,037
TOTAL INDONESIA
  
  
8,758,066
Kazakhstan - 0.9%
 
  
  
Kazakhstan Republic:
  
  
  
 7.2% 5/27/25
KZT
200,000,000
339,859
 8.05% 5/20/24
KZT
140,000,000
260,650
 10.5% 8/4/26
KZT
90,000,000
164,441
TOTAL KAZAKHSTAN
  
  
764,950
Malaysia - 4.3%
 
  
  
Malaysian Government:
  
  
  
 3.828% 7/5/34
MYR
4,450,000
1,015,610
 3.885% 8/15/29
MYR
4,800,000
1,140,277
 4.065% 6/15/50
MYR
3,750,000
824,006
 4.762% 4/7/37
MYR
3,550,000
893,441
TOTAL MALAYSIA
  
  
3,873,334
Mexico - 8.8%
 
  
  
United Mexican States:
  
  
  
 5.75% 3/5/26
MXN
53,750,000
2,464,643
 7.75% 11/23/34
MXN
4,500,000
216,841
 7.75% 11/13/42
MXN
38,250,000
1,798,380
 8% 12/7/23
MXN
26,000,000
1,299,886
 8.5% 5/31/29
MXN
43,000,000
2,182,493
TOTAL MEXICO
  
  
7,962,243
Peru - 2.4%
 
  
  
Peruvian Republic:
  
  
  
 5.35% 8/12/40
PEN
500,000
112,023
 5.4% 8/12/34(Reg. S)
PEN
3,250,000
773,643
 6.35% 8/12/28
PEN
2,825,000
765,557
 6.95% 8/12/31
PEN
1,750,000
487,133
TOTAL PERU
  
  
2,138,356
Philippines - 0.2%
 
  
  
Philippine Republic 6.25% 1/14/36
PHP
10,000,000
200,264
Poland - 4.5%
 
  
  
Polish Government:
  
  
  
 2.5% 1/25/23
PLN
2,750,000
641,786
 2.5% 7/25/26
PLN
6,950,000
1,460,000
 2.75% 10/25/29
PLN
9,500,000
1,925,571
TOTAL POLAND
  
  
4,027,357
Romania - 1.7%
 
  
  
Romanian Republic:
  
  
  
 3.65% 9/24/31
RON
2,475,000
456,769
 4.25% 6/28/23
RON
3,750,000
831,822
 5% 2/12/29
RON
1,000,000
210,261
TOTAL ROMANIA
  
  
1,498,852
Russia - 0.1%
 
  
  
Ministry of Finance of the Russian Federation:
  
  
  
 6.9% 5/23/29 (c)
RUB
45,000,000
16,615
 7.05% 1/19/28 (c)
RUB
42,750,000
15,785
 7.25% 5/10/34 (c)
RUB
61,000,000
22,523
 7.7% 3/16/39 (c)
RUB
31,500,000
11,631
 8.5% 9/17/31 (c)
RUB
141,000,000
52,062
TOTAL RUSSIA
  
  
118,616
South Africa - 8.9%
 
  
  
South African Republic:
  
  
  
 6.5% 2/28/41
ZAR
29,000,000
1,330,423
 7% 2/28/31
ZAR
4,500,000
256,908
 8% 1/31/30
ZAR
53,500,000
3,345,762
 8.75% 2/28/48
ZAR
24,500,000
1,407,700
 8.875% 2/28/35
ZAR
26,500,000
1,630,953
TOTAL SOUTH AFRICA
  
  
7,971,746
Thailand - 4.3%
 
  
  
Kingdom of Thailand:
  
  
  
 1.585% 12/17/35
THB
11,000,000
280,988
 1.6% 12/17/29
THB
24,000,000
689,537
 1.6% 6/17/35
THB
36,250,000
938,708
 2% 12/17/22
THB
6,000,000
182,193
 2.875% 6/17/46
THB
4,500,000
121,783
 3.3% 6/17/38
THB
35,250,000
1,079,738
 4.875% 6/22/29
THB
15,000,000
533,116
TOTAL THAILAND
  
  
3,826,063
Turkey - 0.6%
 
  
  
Turkish Republic:
  
  
  
 8% 3/12/25
TRY
7,250,000
332,314
 11% 2/24/27
TRY
750,000
31,681
 12.4% 3/8/28
TRY
4,000,000
174,553
TOTAL TURKEY
  
  
538,548
Ukraine - 0.1%
 
  
  
Ukraine Government 11.15% 8/26/22 (c)
UAH
9,000,000
124,979
Uruguay - 0.4%
 
  
  
Uruguay Republic:
  
  
  
 8.25% 5/21/31
UYU
6,500,000
151,630
 9.875% 6/20/22
UYU
8,500,000
206,981
TOTAL URUGUAY
  
  
358,611
 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $81,217,402)
  
  
  
73,798,432
 
  
  
  
Supranational Obligations - 0.9%
 
  
Principal
Amount (a)
 
Value ($)
 
Asian Infrastructure Investment Bank 2.375% 2/10/25 (Reg. S)
PHP
19,400,000
353,628
Inter-American Development Bank 5.7% 11/12/24
INR
20,000,000
257,301
International Finance Corp. 5.85% 11/25/22
INR
17,500,000
230,296
 
TOTAL SUPRANATIONAL OBLIGATIONS
 (Cost $913,533)
  
  
841,225
 
  
  
  
Money Market Funds - 15.6%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 0.31% (d)
 
 (Cost $14,081,478)
 
  
14,078,663
14,081,478
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 98.5%
 (Cost $96,212,413)
 
  
 
88,721,135
NET OTHER ASSETS (LIABILITIES) - 1.5% (e)
1,312,835
NET ASSETS - 100.0%
90,033,970
 
  
 Forward Foreign Currency Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized  
Appreciation/
(Depreciation) ($)
 
  
  
  
  
  
  
BRL
1,035,000
USD
210,046
Bank Of America NA
5/18/22
4,592
BRL
1,559,000
USD
302,366
Citibank NA
5/18/22
20,938
BRL
2,991,000
USD
573,065
Goldman Sachs Bank USA
5/18/22
47,206
BRL
1,074,000
USD
208,787
HSBC Bank USA
5/18/22
13,938
BRL
682,000
USD
141,803
JPMorgan Chase Bank, N.A.
5/18/22
(370)
CLP
175,225,000
USD
217,320
Citibank NA
5/18/22
3,645
CLP
190,671,000
USD
240,321
Citibank NA
5/18/22
122
CLP
192,066,000
USD
236,943
Citibank NA
5/18/22
5,259
CNY
957,000
USD
150,106
BNP Paribas
5/18/22
433
CNY
5,420,000
USD
847,802
BNP Paribas
5/18/22
4,779
CNY
5,706,000
USD
889,339
State Street Bank And Trust Co
5/18/22
8,231
COP
2,062,500,000
USD
522,946
BNP Paribas
5/18/22
20,417
COP
821,800,000
USD
215,724
Bank Of America NA
5/18/22
779
COP
2,021,300,000
USD
521,021
Citibank NA
5/18/22
11,489
COP
886,100,000
USD
233,184
Citibank NA
5/18/22
258
COP
823,500,000
USD
216,397
Citibank NA
5/18/22
553
COP
326,700,000
USD
86,589
Goldman Sachs Bank USA
5/18/22
(521)
CZK
4,536,000
USD
203,192
BNP Paribas
5/18/22
1,272
CZK
40,613,000
USD
1,855,778
Goldman Sachs Bank USA
5/18/22
(25,113)
CZK
2,462,000
USD
105,901
HSBC Bank USA
5/18/22
5,076
CZK
5,274,000
USD
232,547
State Street Bank And Trust Co
5/18/22
5,183
EGP
15,974,000
USD
997,440
BNP Paribas
5/18/22
(128,370)
EGP
3,450,000
USD
186,185
Citibank NA
5/18/22
1,514
EGP
8,820,000
USD
550,562
Goldman Sachs Bank USA
5/18/22
(70,707)
HUF
133,680,000
USD
420,244
Goldman Sachs Bank USA
5/18/22
(20,245)
HUF
17,215,000
USD
49,602
HSBC Bank USA
5/18/22
1,909
HUF
226,205,000
USD
645,423
JPMorgan Chase Bank, N.A.
5/18/22
31,431
IDR
3,326,100,000
USD
231,784
BNP Paribas
5/18/22
(627)
IDR
1,836,500,000
USD
128,455
HSBC Bank USA
5/18/22
(822)
IDR
7,591,700,000
USD
528,376
State Street Bank And Trust Co
5/18/22
(768)
IDR
1,684,800,000
USD
117,983
State Street Bank And Trust Co
5/18/22
(893)
INR
17,734,000
USD
233,958
Citibank NA
5/18/22
(1,503)
INR
16,650,000
USD
216,726
Citibank NA
5/18/22
1,520
INR
38,627,000
USD
507,549
HSBC Bank USA
5/18/22
(1,231)
KZT
104,706,000
USD
239,191
Goldman Sachs Bank USA
5/18/22
(20,475)
MXN
2,293,000
USD
110,675
Bank Of America NA
5/18/22
3,690
MXN
2,638,000
USD
124,395
Brown Brothers Harriman & Co.
5/18/22
7,177
MXN
1,399,000
USD
66,817
Goldman Sachs Bank USA
5/18/22
2,959
MXN
4,624,000
USD
224,423
Goldman Sachs Bank USA
5/18/22
6,203
MXN
20,900,000
USD
1,030,391
State Street Bank And Trust Co
5/18/22
12,013
MYR
1,304,000
USD
310,343
Goldman Sachs Bank USA
5/18/22
(625)
MYR
10,281,000
USD
2,447,274
Goldman Sachs Bank USA
5/18/22
(5,390)
MYR
1,858,000
USD
442,170
Goldman Sachs Bank USA
5/18/22
(869)
MYR
663,000
USD
158,083
Goldman Sachs Bank USA
5/18/22
(611)
MYR
2,177,000
USD
518,333
Goldman Sachs Bank USA
5/18/22
(1,265)
MYR
914,000
USD
217,128
Goldman Sachs Bank USA
5/18/22
(40)
MYR
908,000
USD
216,190
Goldman Sachs Bank USA
5/18/22
(528)
MYR
926,000
USD
219,068
Goldman Sachs Bank USA
5/18/22
870
MYR
2,536,000
USD
602,089
Goldman Sachs Bank USA
5/18/22
247
PEN
671,000
USD
180,936
Citibank NA
5/18/22
766
PEN
823,000
USD
222,072
JPMorgan Chase Bank, N.A.
5/18/22
789
PEN
604,000
USD
157,888
JPMorgan Chase Bank, N.A.
5/18/22
5,670
PHP
23,608,000
USD
450,019
Goldman Sachs Bank USA
5/18/22
5,171
PLN
6,205,000
USD
1,537,932
BNP Paribas
5/18/22
(67,630)
PLN
883,000
USD
200,445
BNP Paribas
5/18/22
8,786
PLN
7,760,000
USD
1,798,911
BNP Paribas
5/18/22
39,855
PLN
903,000
USD
210,195
Citibank NA
5/18/22
3,775
RON
788,000
USD
176,158
Goldman Sachs Bank USA
5/18/22
(827)
RON
954,000
USD
216,224
Goldman Sachs Bank USA
5/18/22
(3,958)
RUB
207,868,000
USD
2,629,909
BNP Paribas
5/18/22
(189,736)
RUB
38,547,000
USD
488,680
Goldman Sachs Bank USA
5/18/22
(36,174)
THB
10,303,000
USD
310,160
JPMorgan Chase Bank, N.A.
5/18/22
(315)
THB
167,774,000
USD
5,179,073
JPMorgan Chase Bank, N.A.
5/18/22
(133,557)
THB
7,840,000
USD
243,240
JPMorgan Chase Bank, N.A.
5/18/22
(7,466)
THB
5,811,000
USD
177,974
JPMorgan Chase Bank, N.A.
5/18/22
(3,219)
THB
14,271,000
USD
427,148
JPMorgan Chase Bank, N.A.
5/18/22
2,028
THB
14,457,000
USD
435,452
JPMorgan Chase Bank, N.A.
5/18/22
(682)
TRY
3,619,000
USD
242,682
Citibank NA
5/18/22
(4,358)
TRY
2,377,000
USD
157,020
Citibank NA
5/18/22
(487)
TRY
900,000
USD
55,652
Citibank NA
5/18/22
3,616
TRY
1,082,000
USD
75,808
Goldman Sachs Bank USA
5/18/22
(4,554)
USD
67,730
BRL
361,000
Citibank NA
5/18/22
(7,134)
USD
244,152
BRL
1,289,000
Citibank NA
5/18/22
(23,160)
USD
453,094
BRL
2,200,000
Citibank NA
5/18/22
(3,140)
USD
481,799
BRL
2,528,000
HSBC Bank USA
5/18/22
(42,456)
USD
193,627
CLP
158,677,000
Citibank NA
5/18/22
(6,471)
USD
502,736
CLP
394,648,000
Citibank NA
5/18/22
5,071
USD
192,914
CLP
153,087,000
JPMorgan Chase Bank, N.A.
5/18/22
(134)
USD
435,494
CNY
2,795,000
BNP Paribas
5/18/22
(4,168)
USD
443,511
CNY
2,850,000
BNP Paribas
5/18/22
(4,802)
USD
222,639
CNY
1,425,000
BNP Paribas
5/18/22
(1,518)
USD
545,855
CNY
3,470,000
Citibank NA
5/18/22
14
USD
212,975
CNY
1,364,000
Citibank NA
5/18/22
(1,586)
USD
154,832
COP
618,300,000
Citibank NA
5/18/22
(8,059)
USD
243,887
COP
978,900,000
Citibank NA
5/18/22
(14,004)
USD
449,679
COP
1,718,000,000
Citibank NA
5/18/22
(2,926)
USD
424,967
COP
1,625,072,000
Citibank NA
5/18/22
(3,157)
USD
271,395
COP
1,081,100,000
Goldman Sachs Bank USA
5/18/22
(13,420)
USD
197,852
CZK
4,463,000
HSBC Bank USA
5/18/22
(3,322)
USD
224,120
EGP
3,596,000
BNP Paribas
5/18/22
28,478
USD
681,304
EGP
11,078,000
Citibank NA
5/18/22
78,602
USD
234,875
EGP
3,758,000
Goldman Sachs Bank USA
5/18/22
30,420
USD
247,224
EGP
3,963,000
Goldman Sachs Bank USA
5/18/22
31,616
USD
101,054
HUF
33,712,000
HSBC Bank USA
5/18/22
180
USD
432,430
HUF
152,002,000
JPMorgan Chase Bank, N.A.
5/18/22
(22,393)
USD
345,205
IDR
4,989,600,000
Citibank NA
5/18/22
(1,562)
USD
205,293
IDR
2,951,700,000
Citibank NA
5/18/22
156
USD
93,924
IDR
1,358,800,000
State Street Bank And Trust Co
5/18/22
(510)
USD
1,008,162
INR
77,079,000
State Street Bank And Trust Co
5/18/22
(2,179)
USD
490,782
KZT
267,476,000
Goldman Sachs Bank USA
5/18/22
(67,939)
USD
175,849
MXN
3,692,000
Citibank NA
5/18/22
(8,293)
USD
477,129
MXN
10,134,000
Goldman Sachs Bank USA
5/18/22
(28,312)
USD
435,971
MXN
8,762,000
HSBC Bank USA
5/18/22
(1,041)
USD
177,022
PEN
671,000
BNP Paribas
5/18/22
(4,680)
USD
157,682
PEN
604,000
HSBC Bank USA
5/18/22
(5,877)
USD
234,688
PHP
12,239,000
Citibank NA
5/18/22
(1,294)
USD
219,183
PHP
11,369,000
State Street Bank And Trust Co
5/18/22
(25)
USD
484,063
PLN
2,013,000
BNP Paribas
5/18/22
7,074
USD
233,069
PLN
937,000
Bank Of America NA
5/18/22
11,042
USD
307,527
PLN
1,294,000
HSBC Bank USA
5/18/22
908
USD
276,481
PLN
1,182,000
HSBC Bank USA
5/18/22
(3,599)
USD
666,837
PLN
2,875,000
HSBC Bank USA
5/18/22
(14,407)
USD
526,731
RUB
40,576,000
BNP Paribas
5/18/22
50,408
USD
484,364
RUB
40,581,000
BNP Paribas
5/18/22
7,982
USD
679,274
RUB
76,758,000
Goldman Sachs Bank USA
5/18/22
(221,792)
USD
719,512
RUB
88,500,000
Goldman Sachs Bank USA
5/18/22
(319,394)
USD
464,159
THB
14,932,000
JPMorgan Chase Bank, N.A.
5/18/22
15,105
USD
569,440
THB
18,652,000
JPMorgan Chase Bank, N.A.
5/18/22
8,513
USD
420,846
THB
14,031,000
JPMorgan Chase Bank, N.A.
5/18/22
(1,113)
USD
446,177
THB
14,996,000
JPMorgan Chase Bank, N.A.
5/18/22
(4,802)
USD
227,155
THB
7,684,000
JPMorgan Chase Bank, N.A.
5/18/22
(3,928)
USD
205,544
TRY
3,150,000
Goldman Sachs Bank USA
5/18/22
(1,894)
USD
166,514
ZAR
2,599,000
Brown Brothers Harriman & Co.
5/18/22
(10,326)
USD
64,174
ZAR
944,000
Citibank NA
5/18/22
(57)
ZAR
2,599,000
USD
169,839
Brown Brothers Harriman & Co.
5/18/22
7,000
ZAR
4,728,000
USD
305,643
HSBC Bank USA
5/18/22
16,056
ZAR
3,725,000
USD
241,884
HSBC Bank USA
5/18/22
11,570
 
  
  
  
  
  
  
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
  
(994,456)
 
  
  
  
  
  
  
Unrealized Appreciation
  
  
604,354
Unrealized Depreciation
  
  
(1,598,810)
Currency Abbreviations
         BRL
-
Brazilian real
         CLP
-
Chilean peso
         CNY
-
Chinese yuan
         COP
-
Colombian peso
         CZK
-
Czech koruna
         DOP
-
Dominican Republic peso
         EGP
-
Egyptian pound
         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)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $726,038 or 0.8% of net assets.
 
(c)
Level 3 security
 
(d)
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.
 
(e)
Includes $900,000 of cash collateral segregated for open forward foreign currency contracts
 
 
 
 
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 0.31%
9,588,114
11,871,148
7,377,784
3,114
-
-
14,081,478
0.0%
Total
9,588,114
11,871,148
7,377,784
3,114
-
-
14,081,478
  
 
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 - 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 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.
 
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.