NPORT-EX 2 QTLY_6286_20230930.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity® Emerging Markets Debt Local Currency Central Fund
September 30, 2023
MDL-NPRT3-1123
1.9899757.103
Foreign Government and Government Agency Obligations - 81.6%
 
  
Principal
Amount (a)
 
Value ($)
 
Brazil - 10.9%
 
  
  
Brazil Letras Do Tesouro Nacio, yield at date of purchase 9.9654% to 13.7798% 1/1/24 to 7/1/26
BRL
95,850,000
16,359,429
Brazilian Federative Republic:
  
  
  
 10% 1/1/25
BRL
13,250,000
2,607,709
 10% 1/1/27
BRL
30,750,000
5,968,129
 10% 1/1/29
BRL
11,250,000
2,124,780
 10% 1/1/31
BRL
10,750,000
1,985,015
 10% 1/1/33
BRL
5,400,000
977,783
TOTAL BRAZIL
  
  
30,022,845
Chile - 1.4%
 
  
  
Chilean Republic:
  
  
  
 4.5% 3/1/26
CLP
220,000,000
235,599
 4.7% 9/1/30 (Reg. S) (b)
CLP
1,100,000,000
1,127,762
 5% 3/1/35
CLP
980,000,000
994,378
 6% 4/1/33(Reg. S) (b)
CLP
1,050,000,000
1,160,867
 6% 1/1/43
CLP
225,000,000
253,269
TOTAL CHILE
  
  
3,771,875
China - 4.2%
 
  
  
Peoples Republic of China:
  
  
  
 2.68% 5/21/30
CNY
34,500,000
4,721,681
 2.88% 2/25/33
CNY
19,750,000
2,742,663
 3.12% 10/25/52
CNY
11,000,000
1,521,109
 3.81% 9/14/50
CNY
16,550,000
2,560,170
TOTAL CHINA
  
  
11,545,623
Colombia - 3.7%
 
  
  
Colombian Republic:
  
  
  
 5.75% 11/3/27
COP
3,350,000,000
682,897
 6% 4/28/28
COP
1,000,000,000
201,705
 7% 6/30/32
COP
17,550,000,000
3,218,676
 7.25% 10/18/34
COP
8,000,000,000
1,421,247
 7.25% 10/26/50
COP
1,650,000,000
251,995
 7.5% 8/26/26
COP
12,750,000,000
2,869,105
 9.25% 5/28/42
COP
8,375,000,000
1,632,192
TOTAL COLOMBIA
  
  
10,277,817
Czech Republic - 4.7%
 
  
  
Czech Republic:
  
  
  
 0.95% 5/15/30 (Reg. S)
CZK
64,250,000
2,188,639
 1.2% 3/13/31
CZK
49,250,000
1,671,600
 1.5% 4/24/40
CZK
26,000,000
692,813
 2% 10/13/33
CZK
128,250,000
4,346,083
 2.4% 9/17/25
CZK
63,500,000
2,616,861
 5.7% 5/25/24
CZK
31,500,000
1,369,885
TOTAL CZECH REPUBLIC
  
  
12,885,881
Dominican Republic - 0.1%
 
  
  
Dominican Republic 13.625% 2/3/33 (b)
DOP
17,000,000
351,221
Egypt - 0.1%
 
  
  
Arab Republic of Egypt:
  
  
  
 14.556% 10/13/27
EGP
7,000,000
172,943
 16.1% 5/7/29
EGP
2,500,000
60,690
TOTAL EGYPT
  
  
233,633
Hungary - 3.3%
 
  
  
Hungarian Republic:
  
  
  
 2.25% 6/22/34
HUF
520,000,000
904,269
 2.75% 12/22/26
HUF
1,167,000,000
2,708,822
 3% 6/26/24
HUF
975,000,000
2,542,716
 3% 10/27/38
HUF
350,000,000
584,564
 3.25% 10/22/31
HUF
372,500,000
774,151
 6.75% 10/22/28
HUF
583,000,000
1,531,641
TOTAL HUNGARY
  
  
9,046,163
Indonesia - 8.2%
 
  
  
Indonesian Republic:
  
  
  
 5.125% 4/15/27
IDR
11,000,000,000
680,783
 6.375% 4/15/32
IDR
79,500,000,000
4,976,787
 6.5% 6/15/25
IDR
15,750,000,000
1,020,453
 6.5% 2/15/31
IDR
38,000,000,000
2,397,282
 7.125% 6/15/42
IDR
3,000,000,000
195,326
 7.125% 6/15/43
IDR
23,100,000,000
1,499,893
 7.5% 8/15/32
IDR
8,000,000,000
535,231
 7.5% 4/15/40
IDR
21,700,000,000
1,461,643
 8.125% 5/15/24
IDR
34,200,000,000
2,235,514
 8.25% 5/15/29
IDR
35,500,000,000
2,463,776
 8.25% 5/15/36
IDR
250,000,000
17,834
 8.375% 9/15/26
IDR
18,400,000,000
1,251,688
 8.375% 3/15/34
IDR
33,300,000,000
2,372,261
 8.375% 4/15/39
IDR
19,750,000,000
1,443,675
TOTAL INDONESIA
  
  
22,552,146
Kazakhstan - 0.1%
 
  
  
Kazakhstan Republic 10.5% 8/4/26
KZT
90,000,000
173,257
Malaysia - 8.4%
 
  
  
Malaysian Government:
  
  
  
 3.519% 4/20/28
MYR
28,000,000
5,909,564
 3.582% 7/15/32
MYR
19,750,000
4,084,772
 3.757% 5/22/40
MYR
5,500,000
1,100,984
 3.828% 7/5/34
MYR
3,650,000
761,554
 3.885% 8/15/29
MYR
14,925,000
3,174,962
 3.906% 7/15/26
MYR
16,500,000
3,546,872
 4.065% 6/15/50
MYR
2,750,000
547,839
 4.696% 10/15/42
MYR
1,550,000
346,386
 4.762% 4/7/37
MYR
11,000,000
2,490,366
 4.893% 6/8/38
MYR
4,250,000
978,362
TOTAL MALAYSIA
  
  
22,941,661
Mexico - 10.4%
 
  
  
United Mexican States:
  
  
  
 5.75% 3/5/26
MXN
132,750,000
6,832,921
 7.75% 11/23/34
MXN
110,250,000
5,417,812
 7.75% 11/13/42
MXN
81,500,000
3,784,319
 8% 9/5/24
MXN
88,250,000
4,909,364
 8% 7/31/53
MXN
13,000,000
610,394
 8.5% 5/31/29
MXN
130,500,000
7,022,495
TOTAL MEXICO
  
  
28,577,305
Peru - 2.3%
 
  
  
Peruvian Republic:
  
  
  
 5.35% 8/12/40
PEN
1,850,000
392,205
 5.4% 8/12/34(Reg. S)
PEN
4,100,000
925,551
 5.94% 2/12/29
PEN
3,750,000
960,876
 6.15% 8/12/32
PEN
2,500,000
614,561
 6.35% 8/12/28
PEN
7,325,000
1,935,288
 6.9% 8/12/37
PEN
3,750,000
944,200
 6.95% 8/12/31
PEN
1,750,000
458,642
TOTAL PERU
  
  
6,231,323
Philippines - 0.1%
 
  
  
Philippine Republic 6.25% 1/14/36
PHP
10,000,000
168,144
Poland - 4.8%
 
  
  
Polish Government:
  
  
  
 1.25% 10/25/30
PLN
2,300,000
397,712
 1.75% 4/25/32
PLN
8,000,000
1,335,662
 2.25% 10/25/24
PLN
6,000,000
1,336,436
 2.5% 7/25/26
PLN
8,950,000
1,914,827
 2.5% 7/25/27
PLN
19,000,000
3,960,571
 2.75% 4/25/28
PLN
7,500,000
1,551,297
 2.75% 10/25/29
PLN
10,950,000
2,175,788
 6% 10/25/33
PLN
2,500,000
576,751
TOTAL POLAND
  
  
13,249,044
Romania - 4.5%
 
  
  
Romanian Republic:
  
  
  
 3.25% 6/24/26
RON
30,250,000
5,932,594
 3.65% 9/24/31
RON
1,500,000
257,422
 4.25% 4/28/36
RON
2,000,000
328,547
 4.75% 2/24/25
RON
6,500,000
1,353,778
 5% 2/12/29
RON
20,650,000
4,076,013
 6.7% 2/25/32
RON
1,250,000
259,544
TOTAL ROMANIA
  
  
12,207,898
South Africa - 8.4%
 
  
  
South African Republic:
  
  
  
 6.25% 3/31/36
ZAR
68,000,000
2,196,176
 6.5% 2/28/41
ZAR
91,750,000
2,734,315
 7% 2/28/31
ZAR
103,250,000
4,277,422
 8% 1/31/30
ZAR
188,500,000
8,684,099
 8.75% 2/28/48
ZAR
59,250,000
2,170,581
 8.875% 2/28/35
ZAR
71,000,000
2,956,526
TOTAL SOUTH AFRICA
  
  
23,019,119
Thailand - 4.7%
 
  
  
Kingdom of Thailand:
  
  
  
 1.585% 12/17/35
THB
28,000,000
632,283
 1.6% 6/17/35
THB
112,250,000
2,557,830
 2% 12/17/31
THB
13,000,000
325,715
 2% 6/17/42
THB
97,500,000
2,082,835
 2.875% 6/17/46
THB
9,200,000
219,175
 3.3% 6/17/38
THB
158,500,000
4,223,965
 3.775% 6/25/32
THB
103,500,000
2,950,277
TOTAL THAILAND
  
  
12,992,080
Turkey - 0.6%
 
  
  
Turkish Republic:
  
  
  
 10.5% 8/11/27
TRY
19,000,000
444,882
 10.6% 2/11/26
TRY
18,500,000
481,890
 11.7% 11/13/30
TRY
9,000,000
218,283
 12.6% 10/1/25
TRY
14,000,000
396,586
TOTAL TURKEY
  
  
1,541,641
Uruguay - 0.7%
 
  
  
Uruguay Republic:
  
  
  
 8.25% 5/21/31
UYU
6,500,000
156,035
 8.5% 3/15/28 (Reg. S)
UYU
64,000,000
1,590,035
 9.75% 7/20/33
UYU
3,680,820
96,562
TOTAL URUGUAY
  
  
1,842,632
 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $231,628,482)
  
  
  
223,631,308
 
  
  
  
Supranational Obligations - 0.3%
 
  
Principal
Amount (a)
 
Value ($)
 
Asian Infrastructure Investment Bank 2.375% 2/10/25 (Reg. S)
PHP
19,400,000
323,105
Inter-American Development Bank:
  
  
  
 5.1% 11/17/26
IDR
5,000,000,000
314,412
 5.7% 11/12/24
INR
20,000,000
236,221
 
TOTAL SUPRANATIONAL OBLIGATIONS
 (Cost $1,019,250)
  
  
873,738
 
  
  
  
Money Market Funds - 18.0%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 5.39% (c)
 
 (Cost $49,428,282)
 
  
49,418,398
49,428,282
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 99.9%
 (Cost $282,076,014)
 
  
 
273,933,328
NET OTHER ASSETS (LIABILITIES) - 0.1% (d)
326,571
NET ASSETS - 100.0%
274,259,899
 
  
 Forward Foreign Currency Contracts
Currency
Purchased
Currency
Sold
 
Counterparty
Settlement
Date
Unrealized  
Appreciation/
(Depreciation) ($)
 
  
  
  
  
  
  
IDR
10,816,355,000
USD
699,015
Citigroup Global Markets, Inc.
10/02/23
846
MXN
12,650,329
USD
727,461
BNP Paribas S.A.
10/03/23
(1,578)
BRL
5,507,000
USD
1,100,005
BNP Paribas S.A.
12/07/23
(13,680)
BRL
5,157,000
USD
1,038,775
Bank of America, N.A.
12/07/23
(21,492)
CLP
641,948,000
USD
718,464
BNP Paribas S.A.
12/07/23
258
CLP
722,076,000
USD
804,990
State Street Bank and Trust Co
12/07/23
3,443
CNY
5,393,000
USD
748,145
BNP Paribas S.A.
12/07/23
(4,769)
CNY
5,573,000
USD
771,563
Bank of America, N.A.
12/07/23
(3,376)
CNY
111,615,000
USD
15,476,290
Goldman Sachs Bank USA
12/07/23
(91,177)
COP
4,147,000,000
USD
1,013,193
Bank of America, N.A.
12/07/23
(14,152)
COP
3,038,000,000
USD
763,700
State Street Bank and Trust Co
12/07/23
(31,825)
COP
2,211,800,000
USD
538,151
State Street Bank and Trust Co
12/07/23
(5,313)
CZK
12,712,000
USD
550,403
BNP Paribas S.A.
12/07/23
(737)
CZK
22,391,000
USD
971,859
Goldman Sachs Bank USA
12/07/23
(3,674)
CZK
32,245,000
USD
1,412,736
Goldman Sachs Bank USA
12/07/23
(18,466)
CZK
16,803,000
USD
728,301
Goldman Sachs Bank USA
12/07/23
(1,741)
CZK
33,505,000
USD
1,463,586
State Street Bank and Trust Co
12/07/23
(14,834)
EGP
41,774,000
USD
1,293,313
Citibank, N. A.
12/07/23
15,571
HUF
82,512,000
USD
222,228
Brown Brothers Harriman & Co
12/07/23
(780)
HUF
172,242,000
USD
473,092
JPMorgan Chase Bank, N.A.
12/07/23
(10,823)
IDR
12,225,800,000
USD
795,433
BNP Paribas S.A.
12/07/23
(4,485)
IDR
52,037,500,000
USD
3,381,913
Citibank, N. A.
12/07/23
(15,347)
IDR
12,010,500,000
USD
780,536
State Street Bank and Trust Co
12/07/23
(3,517)
INR
214,507,000
USD
2,579,604
Citibank, N. A.
12/07/23
(4,026)
MXN
14,111,000
USD
815,175
JPMorgan Chase Bank, N.A.
12/07/23
(14,515)
MXN
24,272,000
USD
1,364,139
JPMorgan Chase Bank, N.A.
12/07/23
13,058
MYR
7,140,000
USD
1,536,310
Goldman Sachs Bank USA
12/07/23
(8,420)
MYR
5,400,000
USD
1,156,193
Royal Bank of Canada
12/07/23
(647)
MYR
3,635,000
USD
782,562
State Street Bank and Trust Co
12/07/23
(4,708)
PEN
5,949,000
USD
1,604,153
BNP Paribas S.A.
12/07/23
(39,237)
PLN
19,095,000
USD
4,404,658
Citibank, N. A.
12/07/23
(42,576)
PLN
3,085,000
USD
715,525
JPMorgan Chase Bank, N.A.
12/07/23
(10,784)
PLN
5,600,000
USD
1,291,621
State Street Bank and Trust Co
12/07/23
(12,351)
THB
542,305,000
USD
15,384,539
JPMorgan Chase Bank, N.A.
12/07/23
(466,904)
THB
30,399,000
USD
837,438
JPMorgan Chase Bank, N.A.
12/07/23
(1,227)
TRY
7,059,000
USD
244,408
State Street Bank and Trust Co
12/07/23
(5,610)
USD
2,135,191
BRL
10,664,000
Bank of America, N.A.
12/07/23
31,583
USD
923,870
BRL
4,660,000
State Street Bank and Trust Co
12/07/23
4,626
USD
545,356
CLP
488,830,000
Bank of America, N.A.
12/07/23
(1,936)
USD
1,440,692
CNY
10,409,000
Bank of America, N.A.
12/07/23
5,906
USD
699,426
CNY
5,060,000
Citibank, N. A.
12/07/23
1,951
USD
2,409,822
CNY
17,370,000
Citibank, N. A.
12/07/23
15,526
USD
2,111,705
CZK
48,773,000
Bank of America, N.A.
12/07/23
2,767
USD
681,790
HUF
254,754,000
BNP Paribas S.A.
12/07/23
(1,928)
USD
1,399,892
INR
117,003,000
BNP Paribas S.A.
12/07/23
(4,959)
USD
1,379,013
MXN
24,272,000
Bank of America, N.A.
12/07/23
1,816
USD
799,152
MXN
14,111,000
State Street Bank and Trust Co
12/07/23
(1,508)
USD
639,769
MYR
2,989,000
Goldman Sachs Bank USA
12/07/23
152
USD
703,610
PEN
2,641,000
Citibank, N. A.
12/07/23
8,881
USD
695,025
PEN
2,593,000
Goldman Sachs Bank USA
12/07/23
12,923
USD
1,402,022
PLN
6,103,000
BNP Paribas S.A.
12/07/23
7,846
USD
876,865
PLN
3,835,000
Canadian Imperial Bk. of Comm.
12/07/23
793
USD
1,119,921
THB
39,830,000
JPMorgan Chase Bank, N.A.
12/07/23
24,284
USD
993,265
ZAR
18,949,000
State Street Bank and Trust Co
12/07/23
(1,661)
ZAR
8,132,000
USD
428,948
Goldman Sachs Bank USA
12/07/23
(1,974)
ZAR
18,949,000
USD
996,863
State Street Bank and Trust Co
12/07/23
(1,937)
 
  
  
  
  
  
  
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
  
(736,444)
Unrealized Appreciation
  
  
152,230
Unrealized Depreciation
  
  
(888,674)
 
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
-
Malaysian ringgit
         PEN
-
Peruvian new sol
         PHP
-
Philippine peso
         PLN
-
Polish zloty
         RON
-
Romanian leu (new)
         THB
-
Thai baht
         TRY
-
Turkish Lira
         USD
-
U.S. dollar
         UYU
-
Uruguay peso
         ZAR
-
South African rand
 
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 $2,639,850 or 1.0% of net assets.
 
(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.
 
(d)
Includes $500,000 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 5.39%
13,349,011
258,862,785
222,783,514
1,426,658
-
-
49,428,282
0.1%
Total
13,349,011
258,862,785
222,783,514
1,426,658
-
-
49,428,282
  
 
  
  
  
  
  
  
  
  
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
 
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Directors (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.  
 
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Foreign Government and Government Agency Obligations and Supranational Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. 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 forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service 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 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.
 
 
Credit Risk
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
 
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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