Form NPORT-P Variable Insurance Produ For: Mar 31

May 25, 2022 12:14 PM EDT

Get inside Wall Street with StreetInsider Premium. Claim your 1-week free trial here.

  
    NPORT-P
    false
    
      
      
        
          0000823535
          XXXXXXXX
        
      
      
      
      
        S000018574
        C000051545
        C000051546
        C000051547
      
      
      
    
  
  
    
      Variable Insurance Products Fund V
      811-05361
      0000823535
      S8GYVGVVOPTJ8G3T5C60
      245 Summer Street
      Boston
      
      02210
      1-800-FIDELITY
      VIP FundsManager 60% Portfolio
      S000018574
      549300P6ZIS3Z71CI244
      2022-12-31
      2022-03-31
      N
    
    
      6793656888.16
      1189554.48
      6792467333.68
      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
      25648.93000000
      N
      
        
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Fidelity Select Portfolios
        Z57125JG1LHEQKDYS630
        Fidelity Real Estate Investment Portfolio
        316138205
        
          
        
        1383602.63100000
        NS
        USD
        70356193.79000000
        1.035797308014
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Investment Trust
        MXNTE4GH7BW81YELH558
        Fidelity International Small Cap Fund
        315910737
        
          
        
        1729673.64000000
        NS
        USD
        52011286.35000000
        0.765720080715
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UST BILLS
        N/A
        UST BILLS 0% 06/23/2022
        912796R43
        
          
        
        4050000.00000000
        PA
        USD
        4045646.37000000
        0.059560777715
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-06-23
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fidelity Summer Street Trust
        P1TJ3M056NR1SYX5LY49
        FIDELITY US LOW VOLATILITY EQUITY FUND
        31641Q599
        
          
        
        13771153.29400000
        NS
        USD
        157266570.62000000
        2.315308457063
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Investment Trust
        MXNTE4GH7BW81YELH558
        Fidelity International Small Cap Opportunities Fund
        315910562
        
          
        
        2486412.00600000
        NS
        USD
        54129189.37000000
        0.796900253043
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Puritan Trust
        WDA1I420M36T9HTVU696
        Fidelity Low-Priced Stock Fund
        316345305
        
          
        
        3510448.94700000
        NS
        USD
        184474092.16000000
        2.715862780013
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UST BILLS
        N/A
        UST BILLS 0% 04/21/2022
        912796G45
        
          
        
        1660000.00000000
        PA
        USD
        1659887.02000000
        0.024437173393
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-04-21
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fidelity Investment Trust
        MXNTE4GH7BW81YELH558
        Fidelity International Capital Appreciation Fund
        315910810
        
          
        
        3829448.36800000
        NS
        USD
        94625669.17000000
        1.393097154855
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Oxford Street Trust
        Z2ZIGDKL3355UQRAKY22
        Fidelity Commodity Strategy Fund
        31634R307
        
          
        
        2558610.55300000
        NS
        USD
        27863268.92000000
        0.410208360986
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ICE FUTURES US
        N/A
        MSCI EAFE FUT JUN22 MFSM2
        N/A
        
          
        
        -951.00000000
        NC
        USD
        -5913402.16000000
        -0.08705823479
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              ICE FUTURES US
              N/A
            
            Short
            
              
                MSCI EAFE INDX(UN FOR FUTURES)
                EI09MXEA
              
            
            2022-06-17
            -96052817.84000000
            USD
            -5913402.16000000
          
        
        
          N
          N
          N
        
      
      
        Fidelity Investment Trust
        MXNTE4GH7BW81YELH558
        FIDELITY EMERGING MARKETS FUND
        315910869
        
          
        
        2392398.59000000
        NS
        USD
        90097730.90000000
        1.326435983773
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Investment Trust
        MXNTE4GH7BW81YELH558
        FIDELITY ADVISOR INTERNATIONAL VALUE FUND
        315910489
        
          
        
        7846323.12700000
        NS
        USD
        72029246.31000000
        1.060428306410
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UST BILLS
        N/A
        UST BILLS 0% 04/14/2022
        912796P29
        
          
        
        1690000.00000000
        PA
        USD
        1689913.79000000
        0.024879233229
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-04-14
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fidelity Summer Street Trust
        P1TJ3M056NR1SYX5LY49
        Fidelity High Income Fund
        316146406
        
          
        
        6287760.45400000
        NS
        USD
        51874023.75000000
        0.763699274529
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Investment Trust
        MXNTE4GH7BW81YELH558
        Fidelity Global Commodity Stock Fund
        31618H606
        
          
        
        7136564.23500000
        NS
        USD
        150795602.29000000
        2.220041626733
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ICE FUTURES US
        N/A
        MSCI EMGMKT FUT JUN22 MESM2
        N/A
        
          
        
        -1153.00000000
        NC
        USD
        -5352575.70000000
        -0.07880164065
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              ICE FUTURES US
              N/A
            
            Short
            
              
                MSCI EMERGING MARKETS INDEX
                MXEF
              
            
            2022-06-17
            -59532499.30000000
            USD
            -5352575.70000000
          
        
        
          N
          N
          N
        
      
      
        Fidelity Summer Street Trust
        P1TJ3M056NR1SYX5LY49
        Fidelity New Markets Income Fund
        315910836
        
          
        
        1258813.10200000
        NS
        USD
        16414922.85000000
        0.241663625949
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Salem Street Trust
        S4W85DGKOEJ24DPRB829
        Fidelity Long-Term Treasury Bond Index Fund
        31635V232
        
          
        
        12405550.76200000
        NS
        USD
        163505159.04000000
        2.407154146023
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCH INC
        SNZ2OJLFK8MNNCLQOF39
        S and P500 EMINI FUT JUN22 ESM2
        N/A
        
          
        
        -747.00000000
        NC
        USD
        -9630317.76000000
        -0.14177937540
        N/A
        DE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCH INC
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                S and P 500 INDX
                783786106
              
            
            2022-06-17
            -159593194.74000000
            USD
            -9630317.76000000
          
        
        
          N
          N
          N
        
      
      
        Fidelity Salem Street Trust
        S4W85DGKOEJ24DPRB829
        Fidelity U.S. Bond Index Fund
        316146356
        
          
        
        131833841.54000000
        NS
        USD
        1479175702.08000000
        21.77670689331
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Revere Street Trust
        549300BDV45LJNXBZC55
        Fidelity Cash Central Fund
        31635A105
        
          
        
        124446208.59000000
        NS
        USD
        124471097.83000000
        1.832487249704
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Puritan Trust
        WDA1I420M36T9HTVU696
        Fidelity Value Discovery Fund
        316345503
        
          
        
        2244210.54800000
        NS
        USD
        85594190.30000000
        1.260133999844
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Investment Trust
        MXNTE4GH7BW81YELH558
        Fidelity International Discovery Fund
        315910208
        
          
        
        2647020.41500000
        NS
        USD
        122715866.44000000
        1.806646398305
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Contrafund
        S5Y3O6VQ0TG5C3WLJP73
        Fidelity Contrafund
        316071109
        
          
        
        4802907.20100000
        NS
        USD
        80208550.26000000
        1.180845579665
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Commonwealth Trust II
        PJO8XCGPPRYUY4CZV047
        Fidelity Large Cap Value Enhanced Index Fund
        31606X209
        
          
        
        4542387.65100000
        NS
        USD
        72905321.80000000
        1.073326056917
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UST BILLS
        N/A
        UST BILLS 0% 06/30/2022
        912796R50
        
          
        
        8220000.00000000
        PA
        USD
        8209493.77000000
        0.120861733545
        Long
        DBT
        UST
        US
        N
        
        2
        
          2022-06-30
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fidelity Investment Trust
        MXNTE4GH7BW81YELH558
        Fidelity Emerging Markets Discovery Fund
        31618H549
        
          
        
        1486911.20500000
        NS
        USD
        22749741.44000000
        0.334926033831
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Salem Street Trust
        S4W85DGKOEJ24DPRB829
        Fidelity Inflation-Protected Bond Index Fund
        31635T104
        
          
        
        13770915.29640000
        NS
        USD
        149001303.51000000
        2.193625617766
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Devonshire Trust
        2YVQGEKVQ2H3HLS69325
        FIDELITY EQUITY-INCOME FUND INC
        316138106
        
          
        
        2440429.65900000
        NS
        USD
        169634265.60000000
        2.497388022153
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Advisor Series I
        C7J4FOV6ELAVE39B7M82
        Fidelity Floating Rate High Income Fund
        315916783
        
          
        
        26050807.56800000
        NS
        USD
        244877591.14000000
        3.605134616191
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Commonwealth Trust II
        PJO8XCGPPRYUY4CZV047
        Fidelity International Enhanced Index Fund
        31606X407
        
          
        
        11022606.60200000
        NS
        USD
        114855560.79000000
        1.690925478883
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Investment Trust
        MXNTE4GH7BW81YELH558
        Fidelity Overseas Fund
        316343102
        
          
        
        8086234.31600000
        NS
        USD
        476683512.93000000
        7.017825622309
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fidelity Investment Trust
        MXNTE4GH7BW81YELH558
        Fidelity Japan Smaller Companies Fund
        315910760
        
          
        
        2910366.72600000
        NS
        USD
        41239896.51000000
        0.607141624450
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Variable Insurance Products Fund
        549300DXU3EB0NDEJ256
        VIP Stock Selector All Cap Portfolio - Investor Class
        922174362
        
          
        
        250756445.67600000
        NS
        USD
        2399739185.12000000
        35.32941812205
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
    
    
      2022-04-30
      Laura M. Del Prato
      Laura M. Del Prato
      Laura M. Del Prato
      President and Treasurer
    
  
  XXXX



Quarterly Holdings Report
for
Fidelity® Variable Insurance Products:
FundsManager 60% Portfolio
March 31, 2022
VIPFM-60-NPRT1-0522
1.856870.114
Equity Funds - 66.8%
 
 
Shares
Value ($)
 
Fidelity Commodity Strategy Fund (a)
 
2,558,611
27,863,269
Fidelity Contrafund (a)
 
4,803,827
80,223,912
Fidelity Emerging Markets Discovery Fund (a)
 
1,487,032
22,751,585
Fidelity Emerging Markets Fund (a)
 
2,392,594
90,105,104
Fidelity Equity-Income Fund (a)
 
2,440,900
169,666,954
Fidelity Global Commodity Stock Fund (a)
 
7,137,873
150,823,253
Fidelity International Capital Appreciation Fund (a)
 
3,830,125
94,642,382
Fidelity International Discovery Fund (a)
 
2,647,492
122,737,741
Fidelity International Enhanced Index Fund (a)
 
11,024,470
114,874,977
Fidelity International Small Cap Fund (a)
 
1,729,960
52,019,889
Fidelity International Small Cap Opportunities Fund (a)
 
2,486,937
54,140,618
Fidelity International Value Fund (a)
 
7,847,568
72,040,675
Fidelity Japan Smaller Companies Fund (a)
 
2,910,367
41,239,897
Fidelity Large Cap Value Enhanced Index Fund (a)
 
4,543,375
72,921,175
Fidelity Low-Priced Stock Fund (a)
 
3,511,211
184,514,154
Fidelity Overseas Fund (a)
 
8,087,635
476,766,095
Fidelity Real Estate Investment Portfolio (a)
 
1,383,844
70,368,483
Fidelity U.S. Low Volatility Equity Fund (a)
 
13,773,553
157,293,975
Fidelity Value Discovery Fund (a)
 
2,244,671
85,611,764
VIP Stock Selector All Cap Portfolio Investor Class (a)
 
250,796,741
2,400,124,814
 
TOTAL EQUITY FUNDS
 (Cost $4,190,901,959)
 
 
4,540,730,716
 
 
 
 
Fixed-Income Funds - 31.1%
 
 
Shares
Value ($)
 
Fidelity Floating Rate High Income Fund (a)
 
26,126,531
245,589,393
Fidelity High Income Fund (a)
 
6,312,693
52,079,718
Fidelity Inflation-Protected Bond Index Fund (a)
 
13,773,471
149,028,954
Fidelity Long-Term Treasury Bond Index Fund (a)
 
12,433,006
163,867,020
Fidelity New Markets Income Fund (a)
 
1,263,470
16,475,654
Fidelity U.S. Bond Index Fund (a)
 
132,074,319
1,481,873,858
 
TOTAL FIXED-INCOME FUNDS
 (Cost $2,121,544,611)
 
 
2,108,914,597
 
 
 
 
Money Market Funds - 1.8%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 0.31% (b)
 
 (Cost $124,471,098)
 
 
124,446,209
124,471,098
 
 
 
 
U.S. Treasury Obligations - 0.2%
 
 
Principal
Amount (c)
 
Value ($)
 
U.S. Treasury Bills, yield at date of purchase 0.11% to 0.5% 4/14/22 to 6/30/22 (d)
 
 (Cost $15,604,858)
 
 
15,620,000
15,604,941
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 99.9%
 (Cost $6,452,522,526)
 
 
 
6,789,721,352
NET OTHER ASSETS (LIABILITIES) - 0.1%  
4,101,304
NET ASSETS - 100.0%
6,793,822,656
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Sold
 
 
 
 
 
 
 
 
 
 
 
Equity Index Contracts
 
 
 
 
 
CME Micro E-mini S&P 500 Index Contracts (United States)
747
Jun 2022
169,223,513
(9,630,318)
(9,630,318)
ICE E-mini MSCI EAFE Index Contracts (United States)
951
Jun 2022
101,966,220
(5,913,402)
(5,913,402)
ICE E-mini MSCI Emerging Markets Index Contracts (United States)
1,153
Jun 2022
64,885,075
(5,352,576)
(5,352,576)
 
 
 
 
 
 
TOTAL FUTURES CONTRACTS
 
 
 
 
(20,896,296)
The notional amount of futures sold as a percentage of Net Assets is 5.0%
 
Legend
 
(a)
Affiliated Fund
 
(b)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
(c)
Amount is stated in United States dollars unless otherwise noted.
 
(d)
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $15,604,941.
 
 
 
 
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%
36,080,874
209,321,215
120,930,991
36,134
-
-
124,471,098
0.2%
Total
36,080,874
209,321,215
120,930,991
36,134
-
-
124,471,098
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
 
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
Fidelity Commodity Strategy Fund
42,400,536
-
26,180,035
-
7,017,014
4,625,754
27,863,269
Fidelity Contrafund
89,376,965
1,822,173
1,159,706
1,023,400
(59,670)
(9,755,850)
80,223,912
Fidelity Emerging Markets Discovery Fund
23,860,340
43,324
64,907
-
(3,563)
(1,083,609)
22,751,585
Fidelity Emerging Markets Fund
104,537,123
173,290
259,626
-
(30,464)
(14,315,219)
90,105,104
Fidelity Equity-Income Fund
172,261,174
1,741,371
2,529,910
-
(9,321)
(1,796,360)
169,666,954
Fidelity Floating Rate High Income Fund
246,611,909
4,200,213
3,394,570
1,853,804
(21,051)
(1,807,108)
245,589,393
Fidelity Global Commodity Stock Fund
132,927,542
1,549,343
19,714,281
-
2,764,647
33,296,002
150,823,253
Fidelity High Income Fund
54,508,561
1,049,271
716,757
555,653
(13,518)
(2,747,839)
52,079,718
Fidelity Inflation-Protected Bond Index Fund
214,135,399
1,717,829
61,063,498
-
4,519,239
(10,280,015)
149,028,954
Fidelity International Capital Appreciation Fund
109,359,281
922,117
1,434,229
-
(94,201)
(14,110,586)
94,642,382
Fidelity International Discovery Fund
140,880,985
1,207,862
1,876,463
-
(151,799)
(17,322,844)
122,737,741
Fidelity International Enhanced Index Fund
123,444,638
1,073,124
1,666,215
-
(56,388)
(7,920,182)
114,874,977
Fidelity International Small Cap Fund
56,155,938
474,895
736,504
-
(18,775)
(3,855,665)
52,019,889
Fidelity International Small Cap Opportunities Fund
65,279,771
626,270
-
-
-
(11,765,423)
54,140,618
Fidelity International Value Fund
73,425,016
626,270
975,422
-
(19,441)
(1,015,748)
72,040,675
Fidelity Japan Smaller Companies Fund
45,867,380
-
-
-
-
(4,627,483)
41,239,897
Fidelity Large Cap Value Enhanced Index Fund
73,224,609
845,913
1,228,758
-
(405)
79,816
72,921,175
Fidelity Long-Term Treasury Bond Index Fund
225,253,707
2,971,132
42,536,867
1,052,751
(7,411,159)
(14,409,793)
163,867,020
Fidelity Low-Priced Stock Fund
189,869,467
2,133,158
3,099,254
-
(32,939)
(4,356,278)
184,514,154
Fidelity New Markets Income Fund
17,893,733
330,377
238,919
165,838
(9,607)
(1,499,930)
16,475,654
Fidelity Overseas Fund
550,550,664
4,555,761
7,077,235
-
(446,784)
(70,816,311)
476,766,095
Fidelity Real Estate Investment Portfolio
97,561,501
727,549
21,264,230
-
2,169,850
(8,826,187)
70,368,483
Fidelity U.S. Bond Index Fund
1,468,036,781
135,308,793
26,224,995
7,154,992
(378,772)
(94,867,949)
1,481,873,858
Fidelity U.S. Low Volatility Equity Fund
165,575,072
1,458,365
2,118,971
-
(47,970)
(7,572,521)
157,293,975
Fidelity Value Discovery Fund
86,361,718
938,056
1,362,553
-
(5,719)
(319,738)
85,611,764
VIP Stock Selector All Cap Portfolio Investor Class
2,558,075,715
20,557,012
29,866,119
-
(1,466,454)
(147,175,340)
2,400,124,814
 
7,127,435,525
187,053,468
256,790,024
11,806,438
6,192,750
(414,246,406)
6,649,645,313
 
 
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 Trustees (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. U.S. Treasury 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. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
 
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
 
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
 
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.  
 
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
 
Equity Risk - Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
 
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.  
 
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
 
The Fund used futures contracts to manage its exposure to the stock market.
 
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
 
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
 
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
 
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.


Serious News for Serious Traders! Try StreetInsider.com Premium Free!

You May Also Be Interested In





Related Categories

SEC Filings