UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-03480
Fidelity Oxford Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Margaret Carey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | July 31 |
|
|
Date of reporting period: | July 31, 2023 |
Item 1.
Reports to Stockholders
Contents
Average Annual Total Returns | |||
Periods ended July 31, 2023 | Past 1 year | Past 5 years | Life of Fund A |
Fidelity® Commodity Strategy Fund | -8.66% | 5.51% | 4.99% |
$10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Fidelity® Commodity Strategy Fund, on May 30, 2017, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Commodity Index performed over the same period. |
Commodity Instruments (% of Fund's net assets)* |
Commodity Sector Diversification (% of Fund's net assets)* |
* The Fund does not invest directly in physical commodities. |
Money Market Funds - 87.6% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.32% (a) (Cost $47,197,913) | 47,188,476 | 47,197,913 | |
TOTAL INVESTMENT IN SECURITIES - 87.6% (Cost $47,197,913) | 47,197,913 |
NET OTHER ASSETS (LIABILITIES) - 12.4% | 6,675,705 |
NET ASSETS - 100.0% | 53,873,618 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Commodity Futures Contracts | |||||
CBOT Corn Contracts (United States) | 91 | Sep 2023 | 2,293,200 | (118,644) | (118,644) |
CBOT HRW Wheat Contracts (United States) | 23 | Sep 2023 | 934,663 | 16,724 | 16,724 |
CBOT HRW Wheat Contracts (United States) | 41 | Sep 2023 | 1,364,788 | 51,620 | 51,620 |
CBOT Soybean Contracts (United States) | 47 | Dec 2023 | 1,691,718 | 251,734 | 251,734 |
CBOT Soybean Contracts (United States) | 42 | Nov 2023 | 2,796,675 | 273,258 | 273,258 |
CBOT Soybean Meal Contracts (United States) | 40 | Dec 2023 | 1,583,600 | 101,267 | 101,267 |
CME Lean Hogs Contracts (United States) | 29 | Oct 2023 | 997,600 | 37,715 | 37,715 |
CME Live Cattle Contracts (United States) | 29 | Oct 2023 | 2,082,490 | (16,339) | (16,339) |
COMEX Copper Contracts (United States) | 29 | Sep 2023 | 2,906,850 | 150,710 | 150,710 |
COMEX Gold 100 oz. Contracts (United States) | 43 | Dec 2023 | 8,617,420 | 54,291 | 54,291 |
COMEX Silver Contracts (United States) | 21 | Sep 2023 | 2,613,860 | 62,578 | 62,578 |
ICE Brent Crude Contracts (United Kingdom) | 50 | Sep 2023 | 4,250,380 | 291,464 | 291,464 |
ICE Coffee 'C' Contracts (United States) | 26 | Sep 2023 | 1,605,338 | (179,414) | (179,414) |
ICE Cotton No. 2 Contracts (United States) | 20 | Dec 2023 | 847,200 | 31,492 | 31,492 |
ICE Low Sulphur Gasoil Contracts (United States) | 18 | Sep 2023 | 1,565,000 | 310,558 | 310,558 |
ICE Sugar No. 11 Contracts (United States) | 65 | Sep 2023 | 1,755,208 | (47,860) | (47,860) |
LME Aluminum Contracts (United Kingdom) | 39 | Sep 2023 | 2,211,310 | 27,401 | 27,401 |
LME Lead Contracts (United Kingdom) | 9 | Sep 2023 | 484,875 | 19,187 | 19,187 |
LME Nickel Contracts (United Kingdom) | 9 | Sep 2023 | 1,198,908 | 54,363 | 54,363 |
LME Zinc Contracts (United Kingdom) | 21 | Sep 2023 | 1,346,788 | 88,363 | 88,363 |
NYMEX Gasoline RBOB Contracts (United States) | 13 | Aug 2023 | 1,586,185 | 253,316 | 253,316 |
NYMEX Natural Gas Contracts (United States) | 126 | Aug 2023 | 3,328,600 | 292,329 | 292,329 |
NYMEX NY Harbor ULSD Contracts (United States) | 9 | Aug 2023 | 1,132,564 | 240,121 | 240,121 |
NYMEX WTI Crude Oil Contracts (United States) | 57 | Aug 2023 | 4,666,380 | 632,105 | 632,105 |
TOTAL FUTURES CONTRACTS | 2,878,339 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 100.0% |
(a) | 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.32% | 93,727,718 | 80,899,061 | 127,428,865 | 2,542,366 | - | (1) | 47,197,913 | 0.1% |
Total | 93,727,718 | 80,899,061 | 127,428,865 | 2,542,366 | - | (1) | 47,197,913 | |
Fund | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain /loss ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Geode Commodity Strategy Cayman Ltd. | 19,857,690 | - | - | - | - | (10,656,470) | 9,201,220 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Money Market Funds | 47,197,913 | 47,197,913 | - | - |
Total Investments in Securities: | 47,197,913 | 47,197,913 | - | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 3,240,596 | 3,240,596 | - | - |
Total Assets | 3,240,596 | 3,240,596 | - | - |
Liabilities | ||||
Futures Contracts | (362,257) | (362,257) | - | - |
Total Liabilities | (362,257) | (362,257) | - | - |
Total Derivative Instruments: | 2,878,339 | 2,878,339 | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Commodity Risk | ||
Futures Contracts (a) | 3,240,596 | (362,257) |
Total Commodity Risk | 3,240,596 | (362,257) |
Total Value of Derivatives | 3,240,596 | (362,257) |
Consolidated Statement of Assets and Liabilities | ||||
July 31, 2023 | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Fidelity Central Funds (cost $47,197,913) | $ | 47,197,913 | ||
Total Investment in Securities (cost $47,197,913) | $ | 47,197,913 | ||
Segregated cash with brokers for derivative instruments | 4,063,728 | |||
Receivable for fund shares sold | 2,349,590 | |||
Distributions receivable from Fidelity Central Funds | 200,976 | |||
Receivable for daily variation margin on futures contracts | 172,235 | |||
Prepaid expenses | 6,250 | |||
Total assets | 53,990,692 | |||
Liabilities | ||||
Payable to custodian bank | $ | 71,207 | ||
Payable for fund shares redeemed | 20,363 | |||
Accrued management fee | 16,708 | |||
Transfer agent fee payable | 8,354 | |||
Other payables and accrued expenses | 442 | |||
Total Liabilities | 117,074 | |||
Net Assets | $ | 53,873,618 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 52,531,189 | ||
Total accumulated earnings (loss) | 1,342,429 | |||
Net Assets | $ | 53,873,618 | ||
Net Asset Value, offering price and redemption price per share ($53,873,618 ÷ 535,695 shares) | $ | 100.57 |
Share amounts have been adjusted to reflect the impact of the 1 for 16 reverse share split that occurred on November 18, 2022. See Note 1 of the Notes to Financial Statements.
Consolidated Statement of Operations | ||||
Year ended July 31, 2023 | ||||
Investment Income | ||||
Interest | $ | 230,159 | ||
Income from Fidelity Central Funds | 2,542,366 | |||
Total Income | 2,772,525 | |||
Expenses | ||||
Management fee | $ | 284,090 | ||
Transfer agent fees | 141,406 | |||
Custodian fees and expenses | 1,825 | |||
Independent trustees' fees and expenses | 281 | |||
Subsidiary directors' fees | 15,000 | |||
Total expenses before reductions | 442,602 | |||
Expense reductions | (156) | |||
Total expenses after reductions | 442,446 | |||
Net Investment income (loss) | 2,330,079 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (21) | |||
Futures contracts | (23,288,218) | |||
Total net realized gain (loss) | (23,288,239) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Fidelity Central Funds | (1) | |||
Futures contracts | 12,233,930 | |||
Total change in net unrealized appreciation (depreciation) | 12,233,929 | |||
Net gain (loss) | (11,054,310) | |||
Net increase (decrease) in net assets resulting from operations | $ | (8,724,231) |
Consolidated Statement of Changes in Net Assets | ||||
Year ended July 31, 2023 | Year ended July 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 2,330,079 | $ | (382,196) |
Net realized gain (loss) | (23,288,239) | 44,908,338 | ||
Change in net unrealized appreciation (depreciation) | 12,233,929 | (12,279,112) | ||
Net increase (decrease) in net assets resulting from operations | (8,724,231) | 32,247,030 | ||
Distributions to shareholders | (34,748,485) | (20,670,544) | ||
Share transactions | ||||
Proceeds from sales of shares | 10,120,553 | 32,892,985 | ||
Reinvestment of distributions | 34,748,487 | 20,670,544 | ||
Cost of shares redeemed | (52,264,227) | (114,367,695) | ||
Net increase (decrease) in net assets resulting from share transactions | (7,395,187) | (60,804,166) | ||
Total increase (decrease) in net assets | (50,867,903) | (49,227,680) | ||
Net Assets | ||||
Beginning of period | 104,741,521 | 153,969,201 | ||
End of period | $ | 53,873,618 | $ | 104,741,521 |
Other Information | ||||
Shares | ||||
Sold | 101,775 | 174,916 | ||
Issued in reinvestment of distributions | 320,935 | 150,222 | ||
Redeemed | (500,314) | (690,187) | ||
Net increase (decrease) | (77,604) | (365,049) | ||
Fidelity® Commodity Strategy Fund |
Years ended July 31, | 2023 A | 2022 A | 2021 A | 2020 A | 2019 A | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 170.72 | $ | 157.44 | $ | 113.44 | $ | 138.08 | $ | 164.64 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | 3.52 | (.48) | (.80) | 1.92 | 2.56 | |||||
Net realized and unrealized gain (loss) | (14.51) | 34.88 | 44.80 | (17.28) | (12.48) | |||||
Total from investment operations | (10.99) | 34.40 | 44.00 | (15.36) | (9.92) | |||||
Distributions from net investment income | (59.16) | (21.12) | - | (9.12) | (3.36) | |||||
Distributions from net realized gain | - | - | - | - | (13.28) | |||||
Tax return of capital | - | - | - | (.16) | - | |||||
Total distributions | (59.16) | (21.12) | - | (9.28) | (16.64) | |||||
Net asset value, end of period | $ | 100.57 | $ | 170.72 | $ | 157.44 | $ | 113.44 | $ | 138.08 |
Total Return D,E | (8.66)% | 25.08% | 38.98% | (12.10)% | (6.32)% | |||||
Ratios to Average Net Assets C,F,G | ||||||||||
Expenses before reductions | .62% | .61% | .62% | .61% | .61% | |||||
Expenses net of fee waivers, if any | .62% | .61% | .62% | .61% | .60% | |||||
Expenses net of all reductions | .62% | .61% | .62% | .61% | .60% | |||||
Net investment income (loss) | 3.27% | (.31)% | (.56)% | 1.41% | 1.78% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 53,874 | $ | 104,742 | $ | 153,969 | $ | 22,221 | $ | 603,679 |
Portfolio turnover rate H | -% | -% | -% | -% | -% |
Subsidiary Name | Net Assets of Subsidiary | % of Fund's Net Assets | |
Fidelity Commodity Strategy Fund | Geode Commodity Strategy Cayman Ltd. | 9,201,220 | 17.1 |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $189,314 |
Gross unrealized depreciation | - |
Net unrealized appreciation (depreciation) | $189,314 |
Tax Cost | $47,197,913 |
Undistributed ordinary income | $1,153,189 |
Capital loss carryforward | $(77) |
Net unrealized appreciation (depreciation) on securities and other investments | $189,314 |
Short-term | $(19) |
Long-term | (58) |
Total capital loss carryforward | $(77) |
July 31, 2023 | July 31, 2022 | |
Ordinary Income | $34,748,485 | $20,670,544 |
Total | $34,748,485 | $20,670,544 |
Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 | |||||||
Fidelity® Commodity Strategy Fund | .63% | |||||||||
Actual | $ 1,000 | $ 979.90 | $ 3.09 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.67 | $ 3.16 | |||||||
Contents
Average Annual Total Returns | |||
Periods ended July 31, 2023 | Past 1 year | Life of Fund A |
Fidelity® SAI Inflation-Focused Fund | -13.81% | 9.70% |
$10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Fidelity® SAI Inflation-Focused Fund, on December 20, 2018, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Commodity Index performed over the same period. |
Commodity Instruments (% of Fund's net assets)* |
Commodity Sector Diversification (% of Fund's net assets)* |
* The Fund does not invest directly in physical commodities. |
U.S. Treasury Inflation-Protected Obligations - 94.4% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Inflation-Indexed Bonds: | |||
1.75% 1/15/28 (b) | 54,428,588 | 53,982,951 | |
2% 1/15/26 (b) | 59,840,912 | 59,059,651 | |
2.375% 1/15/25 (b) | 92,694,780 | 91,637,635 | |
2.375% 1/15/27 (b) | 57,872,570 | 58,238,127 | |
3.625% 4/15/28 | 55,658,064 | 59,859,612 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 7/15/24 (b) | 148,754,315 | 144,464,252 | |
0.125% 10/15/24 (b) | 132,731,740 | 128,082,737 | |
0.125% 4/15/25 (b) | 108,717,330 | 103,606,259 | |
0.125% 10/15/25 (b) | 132,324,186 | 125,732,361 | |
0.125% 4/15/26 (b) | 102,184,044 | 96,047,230 | |
0.125% 7/15/26 (b) | 125,258,049 | 117,892,437 | |
0.125% 10/15/26 (b) | 141,454,035 | 132,634,750 | |
0.125% 4/15/27 (b) | 144,527,414 | 134,291,742 | |
0.25% 1/15/25 (b) | 136,039,126 | 130,510,716 | |
0.375% 7/15/25 (b) | 149,236,023 | 143,003,123 | |
0.375% 1/15/27 (b) | 116,621,764 | 109,678,332 | |
0.375% 7/15/27 (b) | 128,632,444 | 121,028,470 | |
0.5% 4/15/24 (b) | 91,996,265 | 89,859,527 | |
0.5% 1/15/28 (b) | 131,388,084 | 123,433,210 | |
0.625% 1/15/24 (b) | 163,833,377 | 161,331,056 | |
0.625% 1/15/26 (b) | 125,646,888 | 119,993,897 | |
0.75% 7/15/28 | 114,353,767 | 108,905,246 | |
1.625% 10/15/27 (b) | 144,952,072 | 143,291,687 | |
U.S. Treasury Notes U.S. Treasury Inflation-Indexed Notes 1.25% 4/15/28 | 143,221,668 | 139,124,056 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS (Cost $2,799,598,250) | 2,695,689,064 | ||
Money Market Funds - 16.4% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.32% (c) (Cost $467,515,911) | 467,422,427 | 467,515,911 | |
TOTAL INVESTMENT IN SECURITIES - 110.8% (Cost $3,267,114,161) | 3,163,204,975 |
NET OTHER ASSETS (LIABILITIES) - (10.8)% | (308,884,775) |
NET ASSETS - 100.0% | 2,854,320,200 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Commodity Futures Contracts | |||||
CBOT Corn Contracts (United States) | 2,316 | Dec 2023 | 59,405,400 | (4,535,186) | (4,535,186) |
CBOT Corn Contracts (United States) | 1,555 | Jul 2024 | 41,596,250 | (3,564,489) | (3,564,489) |
CBOT KC HRW Wheat Contracts (United States) | 406 | Dec 2023 | 16,838,850 | (819,111) | (819,111) |
CBOT KC HRW Wheat Contracts (United States) | 399 | Mar 2024 | 16,633,313 | (774,165) | (774,165) |
CBOT Soybean Contracts (United States) | 759 | Jan 2024 | 29,699,670 | (745,279) | (745,279) |
CBOT Soybean Contracts (United States) | 2,352 | Dec 2023 | 84,657,888 | 16,667,297 | 16,667,297 |
CBOT Soybean Contracts (United States) | 1,363 | Nov 2023 | 90,758,763 | 10,546,488 | 10,546,488 |
CBOT Soybean Contracts (United States) | 1,167 | Jan 2024 | 78,218,175 | (218,298) | (218,298) |
CBOT Soybean Contracts (United States) | 707 | Jan 2024 | 25,312,014 | (1,006,812) | (1,006,812) |
CBOT Soybean Meal Contracts (United States) | 1,912 | Dec 2023 | 75,696,080 | 3,893,728 | 3,893,728 |
CBOT Wheat Contracts (United States) | 1,505 | Dec 2023 | 52,054,188 | (2,360,837) | (2,360,837) |
CME Lean Hogs Contracts (United States) | 1,646 | Oct 2023 | 56,622,400 | 3,226,947 | 3,226,947 |
CME Lean Hogs Contracts (United States) | 153 | Dec 2023 | 4,730,760 | 72,164 | 72,164 |
CME Lean Hogs Contracts (United States) | 414 | Apr 2024 | 14,034,600 | (41,314) | (41,314) |
CME Live Cattle Contracts (United States) | 138 | Apr 2024 | 10,472,820 | 6,233 | 6,233 |
CME Live Cattle Contracts (United States) | 1,043 | Oct 2023 | 74,897,830 | 3,960,849 | 3,960,849 |
COMEX Copper Contracts (United States) | 1,009 | Dec 2023 | 101,580,825 | 2,779,951 | 2,779,951 |
COMEX Copper Contracts (United States) | 508 | Mar 2024 | 51,320,700 | 2,003,864 | 2,003,864 |
COMEX Gold 100 oz. Contracts (United States) | 2,263 | Dec 2023 | 453,464,260 | 3,029,806 | 3,029,806 |
COMEX Silver Contracts (United States) | 1,090 | Sep 2023 | 135,651,730 | 3,487,162 | 3,487,162 |
ICE Brent Crude Contracts (United Kingdom) | 2,614 | Sep 2023 | 222,216,140 | 28,835,503 | 28,835,503 |
ICE Coffee 'C' Contracts (United States) | 1,363 | Dec 2023 | 84,105,619 | 1,382,088 | 1,382,088 |
ICE Cotton No. 2 Contracts (United States) | 1,037 | Dec 2023 | 43,927,320 | 3,096,732 | 3,096,732 |
ICE Low Sulphur Gasoil Contracts (United States) | 161 | Jan 2024 | 13,283,075 | 2,589,590 | 2,589,590 |
ICE Low Sulphur Gasoil Contracts (United States) | 1,043 | Nov 2023 | 87,188,025 | 2,227,300 | 2,227,300 |
ICE Sugar No. 11 Contracts (United States) | 1,557 | Sep 2023 | 42,043,982 | (1,248,483) | (1,248,483) |
ICE Sugar No. 11 Contracts (United States) | 1,849 | Feb 2024 | 50,301,675 | 51,632 | 51,632 |
LME Aluminum Contracts (United Kingdom) | 933 | Nov 2023 | 53,431,977 | 1,449,523 | 1,449,523 |
LME Aluminum Contracts (United Kingdom) | 672 | Jan 2024 | 38,938,368 | 540,597 | 540,597 |
LME Lead Contracts (United Kingdom) | 163 | Nov 2023 | 8,760,231 | (67,889) | (67,889) |
LME Lead Contracts (United Kingdom) | 164 | Jan 2024 | 8,815,000 | 350,432 | 350,432 |
LME Nickel Contracts (United Kingdom) | 158 | Nov 2023 | 21,185,904 | 366,935 | 366,935 |
LME Nickel Contracts (United Kingdom) | 157 | Jan 2024 | 21,205,362 | 876,158 | 876,158 |
LME Zinc Contracts (United Kingdom) | 724 | Nov 2023 | 46,472,836 | 1,631,937 | 1,631,937 |
LME Zinc Contracts (United Kingdom) | 369 | Jan 2024 | 23,722,641 | 1,651,389 | 1,651,389 |
NYMEX Gasoline RBOB Contracts (United States) | 882 | Oct 2023 | 93,199,042 | 9,170,531 | 9,170,531 |
NYMEX Natural Gas Contracts (United States) | 1,425 | Oct 2023 | 44,901,750 | (307,077) | (307,077) |
NYMEX Natural Gas Contracts (United States) | 4,484 | Aug 2023 | 118,466,000 | 10,864,925 | 10,864,925 |
NYMEX NY Harbor ULSD Contracts (United States) | 350 | Oct 2023 | 42,734,681 | 930,145 | 930,145 |
NYMEX NY Harbor ULSD Contracts (United States) | 340 | Feb 2024 | 39,311,412 | 5,716,830 | 5,716,830 |
NYMEX WTI Crude Oil Contracts (United States) | 3,280 | Oct 2023 | 265,350,980 | 7,343,623 | 7,343,623 |
TOTAL FUTURES CONTRACTS | 113,061,419 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 100.0% |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | 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 $286,117,879. |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | 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 5.32% | 740,451,255 | 3,972,816,598 | 4,245,751,942 | 7,321,064 | - | - | 467,515,911 | 1.2% |
Total | 740,451,255 | 3,972,816,598 | 4,245,751,942 | 7,321,064 | - | - | 467,515,911 | |
Fund | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain /loss ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Geode SAI Inflation-Focused Cayman Ltd. | 752,525,291 | 592,999,529 | 345,000,309 | - | (91,066,622) | (329,091,576) | 580,366,313 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 2,695,689,064 | - | 2,695,689,064 | - |
Money Market Funds | 467,515,911 | 467,515,911 | - | - |
Total Investments in Securities: | 3,163,204,975 | 467,515,911 | 2,695,689,064 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 128,750,359 | 128,750,359 | - | - |
Total Assets | 128,750,359 | 128,750,359 | - | - |
Liabilities | ||||
Futures Contracts | (15,688,940) | (15,688,940) | - | - |
Total Liabilities | (15,688,940) | (15,688,940) | - | - |
Total Derivative Instruments: | 113,061,419 | 113,061,419 | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Commodity Risk | ||
Futures Contracts (a) | 128,750,359 | (15,688,940) |
Total Commodity Risk | 128,750,359 | (15,688,940) |
Total Value of Derivatives | 128,750,359 | (15,688,940) |
Consolidated Statement of Assets and Liabilities | ||||
July 31, 2023 | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $2,799,598,250) | $ | 2,695,689,064 | ||
Fidelity Central Funds (cost $467,515,911) | 467,515,911 | |||
Total Investment in Securities (cost $3,267,114,161) | $ | 3,163,204,975 | ||
Receivable for fund shares sold | 2,209,263 | |||
Interest receivable | 2,510,511 | |||
Distributions receivable from Fidelity Central Funds | 1,336,582 | |||
Prepaid expenses | 1,753 | |||
Total assets | 3,169,263,084 | |||
Liabilities | ||||
Payable for investments purchased | $ | 302,127,689 | ||
Payable for fund shares redeemed | 1,179,725 | |||
Accrued management fee | 874,266 | |||
Payable for daily variation margin on futures contracts | 10,716,155 | |||
Other payables and accrued expenses | 45,049 | |||
Total Liabilities | 314,942,884 | |||
Net Assets | $ | 2,854,320,200 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 3,047,909,449 | ||
Total accumulated earnings (loss) | (193,589,249) | |||
Net Assets | $ | 2,854,320,200 | ||
Net Asset Value, offering price and redemption price per share ($2,854,320,200 ÷ 300,897,413 shares) | $ | 9.49 |
Consolidated Statement of Operations | ||||
Year ended July 31, 2023 | ||||
Investment Income | ||||
Interest | $ | 97,837,401 | ||
Income from Fidelity Central Funds | 7,321,064 | |||
Total Income | 105,158,465 | |||
Expenses | ||||
Management fee | $ | 10,820,825 | ||
Custodian fees and expenses | 1,297 | |||
Independent trustees' fees and expenses | 10,793 | |||
Registration fees | 109,786 | |||
Audit | 67,000 | |||
Subsidiary directors' fees | 15,000 | |||
Legal | 3,307 | |||
Miscellaneous | 17,485 | |||
Total expenses before reductions | 11,045,493 | |||
Expense reductions | (1,559) | |||
Total expenses after reductions | 11,043,934 | |||
Net Investment income (loss) | 94,114,531 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (136,166,055) | |||
Futures contracts | (581,752,565) | |||
Total net realized gain (loss) | (717,918,620) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated Issuers | (20,875,583) | |||
Futures contracts | 162,124,583 | |||
Total change in net unrealized appreciation (depreciation) | 141,249,000 | |||
Net gain (loss) | (576,669,620) | |||
Net increase (decrease) in net assets resulting from operations | $ | (482,555,089) |
Consolidated Statement of Changes in Net Assets | ||||
Year ended July 31, 2023 | Year ended July 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 94,114,531 | $ | 121,779,402 |
Net realized gain (loss) | (717,918,620) | 282,120,919 | ||
Change in net unrealized appreciation (depreciation) | 141,249,000 | (203,802,392) | ||
Net increase (decrease) in net assets resulting from operations | (482,555,089) | 200,097,929 | ||
Distributions to shareholders | (367,599,443) | (391,904,775) | ||
Share transactions | ||||
Proceeds from sales of shares | 1,827,721,666 | 4,044,713,803 | ||
Reinvestment of distributions | 340,697,420 | 390,754,524 | ||
Cost of shares redeemed | (2,374,358,613) | (2,101,467,399) | ||
Net increase (decrease) in net assets resulting from share transactions | (205,939,527) | 2,334,000,928 | ||
Total increase (decrease) in net assets | (1,056,094,059) | 2,142,194,082 | ||
Net Assets | ||||
Beginning of period | 3,910,414,259 | 1,768,220,177 | ||
End of period | $ | 2,854,320,200 | $ | 3,910,414,259 |
Other Information | ||||
Shares | ||||
Sold | 189,919,247 | 337,344,722 | ||
Issued in reinvestment of distributions | 32,306,339 | 37,373,675 | ||
Redeemed | (238,703,909) | (191,156,828) | ||
Net increase (decrease) | (16,478,323) | 183,561,569 | ||
Fidelity® SAI Inflation-Focused Fund |
Years ended July 31, | 2023 | 2022 | 2021 | 2020 | 2019 A | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 12.32 | $ | 13.21 | $ | 9.31 | $ | 10.34 | $ | 10.00 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | .32 | .89 | .50 | .12 | .21 | |||||
Net realized and unrealized gain (loss) | (1.91) | 1.81 | 3.72 | (.93) | .14 | |||||
Total from investment operations | (1.59) | 2.70 | 4.22 | (.81) | .35 | |||||
Distributions from net investment income | (1.22) | (3.54) | (.32) | (.20) | (.01) D | |||||
Distributions from net realized gain | (.01) | (.05) | - | (.02) | - | |||||
Total distributions | (1.24) E | (3.59) | (.32) | (.22) | (.01) | |||||
Net asset value, end of period | $ | 9.49 | $ | 12.32 | $ | 13.21 | $ | 9.31 | $ | 10.34 |
Total Return F,G | (13.81)% | 27.48% | 46.61% | (8.05)% | 3.50% | |||||
Ratios to Average Net Assets C,H,I | ||||||||||
Expenses before reductions | .39% | .40% | .40% | .41% | .52% J | |||||
Expenses net of fee waivers, if any | .39% | .40% | .40% | .41% | .50% J | |||||
Expenses net of all reductions | .39% | .40% | .40% | .41% | .50% J | |||||
Net investment income (loss) | 3.29% | 7.18% | 4.15% | 1.18% | 3.38% J | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 2,854,320 | $ | 3,910,414 | $ | 1,768,220 | $ | 32,230 | $ | 1,230,762 |
Portfolio turnover rate K | 61% | 135% | 101% | 40% | 21% J |
Subsidiary Name | Net Assets of Subsidiary | % of Fund's Net Assets | |
Fidelity SAI Inflation-Focused Fund | Geode SAI Inflation-Focused Cayman Ltd. | 580,366,313 | 20.3 |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $237,280 |
Gross unrealized depreciation | (129,113,792) |
Net unrealized appreciation (depreciation) | $(128,876,512) |
Tax Cost | $3,298,880,567 |
Undistributed ordinary income | $24,937,013 |
Capital loss carryforward | $(89,649,748) |
Net unrealized appreciation (depreciation) on securities and other investments | $(128,876,512) |
Short-term | $(83,705,407) |
Long-term | (5,944,341) |
Total capital loss carryforward | $(89,649,748) |
July 31, 2023 | July 31, 2022 | |
Ordinary Income | $367,599,443 | $391,769,334 |
Long-term Capital Gains | - | 135,441 |
Total | $367,599,443 | $391,904,775 |
Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. |
Amount | |
Fidelity SAI Inflation-Focused Fund | $6,888 |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 | |||||||
Fidelity® SAI Inflation-Focused Fund | .39% | |||||||||
Actual | $ 1,000 | $ 973.30 | $ 1.91 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.86 | $ 1.96 | |||||||
Contents
Average Annual Total Returns | |||
Periods ended July 31, 2023 | Past 1 year | Past 5 years | Past 10 years |
Fidelity® Series Commodity Strategy Fund | -8.29% | 6.16% | -0.96% |
$10,000 Over 10 Years |
Let's say hypothetically that $10,000 was invested in Fidelity® Series Commodity Strategy Fund on July 31, 2013. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Commodity Index performed over the same period. |
Commodity Instruments (% of Fund's net assets)* |
Commodity Sector Diversification (% of Fund's net assets)* |
* Investments in Commodity Swaps and Commodity-Linked Notes provide exposure to the commodities market via the Bloomberg Commodity Index Total Return, an unmanaged index composed of futures contracts on 23 physical commodities. The Fund does not invest directly in physical commodities. |
U.S. Treasury Obligations - 10.7% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.2% to 5.32% 9/7/23 to 10/19/23 (b) (Cost $198,320,826) | 200,000,000 | 198,304,725 | |
Money Market Funds - 86.0% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.32% (c) (Cost $1,596,575,113) | 1,596,531,891 | 1,596,851,197 | |
TOTAL INVESTMENT IN SECURITIES - 96.7% (Cost $1,794,895,939) | 1,795,155,922 |
NET OTHER ASSETS (LIABILITIES) - 3.3% | 61,022,908 |
NET ASSETS - 100.0% | 1,856,178,830 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Commodity Futures Contracts | |||||
CBOT Corn Contracts (United States) | 642 | Sep 2023 | 16,178,400 | (834,326) | (834,326) |
CBOT HRW Wheat Contracts (United States) | 160 | Sep 2023 | 6,502,000 | 118,953 | 118,953 |
CBOT HRW Wheat Contracts (United States) | 286 | Sep 2023 | 9,520,225 | 375,789 | 375,789 |
CBOT Soybean Contracts (United States) | 328 | Dec 2023 | 11,806,032 | 1,830,308 | 1,830,308 |
CBOT Soybean Contracts (United States) | 295 | Nov 2023 | 19,643,313 | 1,954,844 | 1,954,844 |
CBOT Soybean Meal Contracts (United States) | 281 | Dec 2023 | 11,124,790 | 732,217 | 732,217 |
CME Lean Hogs Contracts (United States) | 207 | Oct 2023 | 7,120,800 | 277,392 | 277,392 |
CME Live Cattle Contracts (United States) | 201 | Oct 2023 | 14,433,810 | (106,954) | (106,954) |
COMEX Copper Contracts (United States) | 208 | Sep 2023 | 20,849,513 | 1,120,449 | 1,120,449 |
COMEX Gold 100 oz. Contracts (United States) | 302 | Dec 2023 | 60,508,820 | 413,120 | 413,120 |
COMEX Silver Contracts (United States) | 146 | Sep 2023 | 18,167,650 | 509,778 | 509,778 |
ICE Brent Crude Contracts (United Kingdom) | 350 | Sep 2023 | 29,754,220 | 2,137,387 | 2,137,387 |
ICE Coffee 'C' Contracts (United States) | 181 | Sep 2023 | 11,175,619 | (1,156,225) | (1,156,225) |
ICE Cotton No. 2 Contracts (United States) | 138 | Dec 2023 | 5,845,680 | 232,798 | 232,798 |
ICE Low Sulphur Gasoil Contracts (United States) | 123 | Sep 2023 | 10,706,000 | 2,233,478 | 2,233,478 |
ICE Sugar No. 11 Contracts (United States) | 452 | Sep 2023 | 12,205,446 | (323,807) | (323,807) |
LME Aluminum Contracts (United Kingdom) | 268 | Sep 2023 | 15,195,667 | 217,740 | 217,740 |
LME Lead Contracts (United Kingdom) | 64 | Sep 2023 | 3,448,000 | 152,521 | 152,521 |
LME Nickel Contracts (United Kingdom) | 62 | Sep 2023 | 8,259,144 | 351,790 | 351,790 |
LME Zinc Contracts (United Kingdom) | 144 | Sep 2023 | 9,235,116 | 641,803 | 641,803 |
NYMEX Gasoline RBOB Contracts (United States) | 88 | Aug 2023 | 10,741,517 | 1,859,265 | 1,859,265 |
NYMEX Natural Gas Contracts (United States) | 891 | Aug 2023 | 23,542,700 | 2,125,851 | 2,125,851 |
NYMEX NY Harbor ULSD Contracts (United States) | 65 | Aug 2023 | 8,180,525 | 1,721,079 | 1,721,079 |
NYMEX WTI Crude Oil Contracts (United States) | 399 | Aug 2023 | 32,667,110 | 4,683,709 | 4,683,709 |
TOTAL FUTURES CONTRACTS | 21,268,959 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 20.3% |
Total Return Swaps | |||||||||||
Underlying Reference(1) | Pay/ Receive Reference | Reference Payment Frequency | Financing Rate | Financing Frequency | Counterparty | Maturity Date | Notional Amount ($) | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 12 basis points | At Maturity | Canadian Imperial Bank Of Commerce | Aug 2023 | 30,000,000 | 2,898,770 | 0 | 2,898,770 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 12 basis points | At Maturity | Canadian Imperial Bank Of Commerce | Sep 2023 | 95,000,000 | (770,494) | 0 | (770,494) | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 12 basis points | At Maturity | Citibank, N.A. | Sep 2023 | 91,000,000 | (738,052) | 0 | (738,052) | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 12 basis points | At Maturity | Citibank, N.A. | Sep 2023 | 61,000,000 | 1,428,202 | 0 | 1,428,202 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 12 basis points | At Maturity | Citibank, N.A. | Sep 2023 | 40,000,000 | 1,091,483 | 0 | 1,091,483 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 11 basis points | At Maturity | Goldman Sachs Bank USA | Sep 2023 | 85,000,000 | 3,178,378 | 0 | 3,178,378 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 13 basis points | At Maturity | JPMorgan Chase Bank, N.A. | Aug 2023 | 98,000,000 | 6,091,490 | 0 | 6,091,490 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 13 basis points | At Maturity | JPMorgan Chase Bank, N.A. | Sep 2023 | 106,000,000 | 1,320,966 | 0 | 1,320,966 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 13 basis points | At Maturity | JPMorgan Chase Bank, N.A. | Sep 2023 | 33,000,000 | (51,737) | 0 | (51,737) | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 9 basis points | At Maturity | Macquarie Bank Ltd. | Aug 2023 | 82,000,000 | 4,951,958 | 0 | 4,951,958 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 9 basis points | At Maturity | Macquarie Bank Ltd. | Sep 2023 | 67,000,000 | 2,582,796 | 0 | 2,582,796 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 7 basis points | At Maturity | Merrill Lynch International | Aug 2023 | 90,000,000 | 6,258,968 | 0 | 6,258,968 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 9 basis points | At Maturity | Merrill Lynch International | Sep 2023 | 75,000,000 | 1,311,948 | 0 | 1,311,948 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 9 basis points | At Maturity | Merrill Lynch International | Sep 2023 | 68,000,000 | 2,620,637 | 0 | 2,620,637 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 12 basis points | At Maturity | Royal Bank of Canada | Sep 2023 | 97,000,000 | 2,646,846 | 0 | 2,646,846 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 12 basis points | At Maturity | Royal Bank of Canada | Oct 2023 | 109,000,000 | 444,945 | 0 | 444,945 | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 11 basis points | At Maturity | Societe Generale | Sep 2023 | 118,000,000 | (184,677) | 0 | (184,677) | |
Bloomberg Commodity Index | Receives | At Maturity | 3-month US auction rate T-Bill plus 13 basis points | At Maturity | UBS AG | Sep 2023 | 97,000,000 | 2,270,729 | 0 | 2,270,729 | |
TOTAL RETURN SWAPS | 37,353,156 | 0 | 37,353,156 | ||||||||
(1)Each open total return swap is an agreement to receive the total return of the Bloomberg Commodity Index and pay a floating rate based on the 3-month US auction rate T-Bill plus a specified spread. |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security or a portion of the security has been segregated as collateral for open bi-lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $75,999,111. |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | 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 5.32% | 2,780,025,793 | 1,835,352,400 | 3,018,526,996 | 70,063,816 | 213,007 | (213,007) | 1,596,851,197 | 4.0% |
Total | 2,780,025,793 | 1,835,352,400 | 3,018,526,996 | 70,063,816 | 213,007 | (213,007) | 1,596,851,197 | |
Fund | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain /loss ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Geode Series Commodity Return Cayman Ltd. | 629,487,120 | 315,999,806 | 300,000,113 | - | 4,560,228 | (308,266,305) | 341,780,736 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 198,304,725 | - | 198,304,725 | - |
Money Market Funds | 1,596,851,197 | 1,596,851,197 | - | - |
Total Investments in Securities: | 1,795,155,922 | 1,596,851,197 | 198,304,725 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 23,690,271 | 23,690,271 | - | - |
Swaps | 39,098,116 | - | 39,098,116 | - |
Total Assets | 62,788,387 | 23,690,271 | 39,098,116 | - |
Liabilities | ||||
Futures Contracts | (2,421,312) | (2,421,312) | - | - |
Swaps | (1,744,960) | - | (1,744,960) | - |
Total Liabilities | (4,166,272) | (2,421,312) | (1,744,960) | - |
Total Derivative Instruments: | 58,622,115 | 21,268,959 | 37,353,156 | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Commodity Risk | ||
Futures Contracts (a) | 23,690,271 | (2,421,312) |
Swaps (b) | 39,098,116 | (1,744,960) |
Total Commodity Risk | 62,788,387 | (4,166,272) |
Total Value of Derivatives | 62,788,387 | (4,166,272) |
Counterparty | Value of Derivative Assets ($) | Value of Derivative Liabilities ($) | Collateral Received(a) ($) | Collateral Pledged(a) ($) | Net(b) ($) | |||||
Canadian Imperial Bk. of Comm. | 2,898,770 | (770,494) | - | - | 2,128,276 | |||||
Citibank, N.A. | 2,519,685 | (738,052) | - | - | 1,781,633 | |||||
Goldman Sachs Bank USA | 3,178,378 | - | (2,841,052) | - | 337,326 | |||||
JPMorgan Chase Bank, N.A. | 7,412,456 | (51,737) | - | - | 7,360,719 | |||||
Macquarie Bank Ltd. | 7,534,754 | - | - | - | 7,534,754 | |||||
Merrill Lynch Intl. | 10,191,553 | - | - | - | 10,191,553 | |||||
Royal Bank of Canada | 3,091,791 | - | - | - | 3,091,791 | |||||
Societe Generale S.A. | - | (184,677) | - | 184,677 | - | |||||
UBS AG | 2,270,729 | - | - | - | 2,270,729 | |||||
Total | $ | 39,098,116 | $ | (1,744,960) | $ | (2,841,052) | $ | 184,677 | $ | 34,696,781 |
Consolidated Statement of Assets and Liabilities | ||||
July 31, 2023 | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $198,320,826) | $ | 198,304,725 | ||
Fidelity Central Funds (cost $1,596,575,113) | 1,596,851,197 | |||
Total Investment in Securities (cost $1,794,895,939) | $ | 1,795,155,922 | ||
Segregated cash with brokers for derivative instruments | 30,212,719 | |||
Receivable for fund shares sold | 175,687 | |||
Distributions receivable from Fidelity Central Funds | 6,832,345 | |||
Receivable for daily variation margin on futures contracts | 1,253,633 | |||
Bi-lateral OTC swaps, at value | 39,098,116 | |||
Prepaid expenses | 6,250 | |||
Total assets | 1,872,734,672 | |||
Liabilities | ||||
Payable for fund shares redeemed | $ | 14,807,810 | ||
Bi-lateral OTC swaps, at value | 1,744,960 | |||
Other payables and accrued expenses | 3,072 | |||
Total Liabilities | 16,555,842 | |||
Net Assets | $ | 1,856,178,830 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 1,889,410,077 | ||
Total accumulated earnings (loss) | (33,231,247) | |||
Net Assets | $ | 1,856,178,830 | ||
Net Asset Value, offering price and redemption price per share ($1,856,178,830 ÷ 18,033,209 shares) | $ | 102.93 |
Share amounts have been adjusted to reflect the impact of the 1 for 50 reverse share split that occurred on November 18, 2022. See Note 1 of the Notes to Financial Statements.
Consolidated Statement of Operations | ||||
Year ended July 31, 2023 | ||||
Investment Income | ||||
Interest | $ | 10,567,408 | ||
Income from Fidelity Central Funds | 70,063,816 | |||
Total Income | 80,631,224 | |||
Expenses | ||||
Custodian fees and expenses | $ | 15,043 | ||
Independent trustees' fees and expenses | 8,271 | |||
Subsidiary directors' fees | 15,000 | |||
Total expenses before reductions | 38,314 | |||
Expense reductions | (7,773) | |||
Total expenses after reductions | 30,541 | |||
Net Investment income (loss) | 80,600,683 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 22,506 | |||
Fidelity Central Funds | 213,007 | |||
Futures contracts | (83,889,804) | |||
Swaps | (372,781,877) | |||
Total net realized gain (loss) | (456,436,168) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated Issuers | 430,580 | |||
Fidelity Central Funds | (213,007) | |||
Futures contracts | 48,142,756 | |||
Swaps | 91,816,969 | |||
Total change in net unrealized appreciation (depreciation) | 140,177,298 | |||
Net gain (loss) | (316,258,870) | |||
Net increase (decrease) in net assets resulting from operations | $ | (235,658,187) |
Consolidated Statement of Changes in Net Assets | ||||
Year ended July 31, 2023 | Year ended July 31, 2022 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 80,600,683 | $ | 14,610,339 |
Net realized gain (loss) | (456,436,168) | 1,830,451,174 | ||
Change in net unrealized appreciation (depreciation) | 140,177,298 | (393,073,708) | ||
Net increase (decrease) in net assets resulting from operations | (235,658,187) | 1,451,987,805 | ||
Distributions to shareholders | (1,838,993,555) | (2,301,156,298) | ||
Share transactions | ||||
Proceeds from sales of shares | 467,749,069 | 626,181,192 | ||
Reinvestment of distributions | 1,838,558,731 | 2,301,156,298 | ||
Cost of shares redeemed | (1,858,797,324) | (6,069,565,352) | ||
Net increase (decrease) in net assets resulting from share transactions | 447,510,476 | (3,142,227,862) | ||
Total increase (decrease) in net assets | (1,627,141,266) | (3,991,396,355) | ||
Net Assets | ||||
Beginning of period | 3,483,320,096 | 7,474,716,451 | ||
End of period | $ | 1,856,178,830 | $ | 3,483,320,096 |
Other Information | ||||
Shares | ||||
Sold | 4,555,676 | 2,513,202 | ||
Issued in reinvestment of distributions | 16,569,112 | 11,505,781 | ||
Redeemed | (16,991,884) | (26,558,908) | ||
Net increase (decrease) | 4,132,904 | (12,539,925) | ||
Fidelity® Series Commodity Strategy Fund |
Years ended July 31, | 2023 A | 2022 A | 2021 A | 2020 A | 2019 A | |||||
Selected Per-Share Data | ||||||||||
Net asset value, beginning of period | $ | 250.50 | $ | 282.50 | $ | 203.00 | $ | 233.50 | $ | 266.50 |
Income from Investment Operations | ||||||||||
Net investment income (loss) B,C | 4.47 | .50 | - D | 3.00 | 5.50 | |||||
Net realized and unrealized gain (loss) | (16.96) | 53.00 | 80.50 | (30.00) | (20.50) | |||||
Total from investment operations | (12.49) | 53.50 | 80.50 | (27.00) | (15.00) | |||||
Distributions from net investment income | (135.08) | (85.50) | (1.00) | (3.50) | (4.50) | |||||
Distributions from net realized gain | - | - | - | - | (13.50) | |||||
Total distributions | (135.08) | (85.50) | (1.00) | (3.50) | (18.00) | |||||
Net asset value, end of period | $ | 102.93 | $ | 250.50 | $ | 282.50 | $ | 203.00 | $ | 233.50 |
Total Return E | (8.29)% | 26.51% | 39.82% | (11.72)% | (5.84)% | |||||
Ratios to Average Net Assets C,F,G | ||||||||||
Expenses before reductions | -% H | -% H | -% H | -% H | .01% | |||||
Expenses net of fee waivers, if any | -% H | -% H | -% H | -% H | .01% | |||||
Expenses net of all reductions | -% H | -% H | -% H | -% H | .01% | |||||
Net investment income (loss) | 3.89% | .26% | .07% | 1.30% | 2.36% | |||||
Supplemental Data | ||||||||||
Net assets, end of period (000 omitted) | $ | 1,856,179 | $ | 3,483,320 | $ | 7,474,716 | $ | 5,808,312 | $ | 7,246,626 |
Portfolio turnover rate I | -% | -% | -% | -% | -% |
Subsidiary Name | Net Assets of Subsidiary | % of Fund's Net Assets | |
Fidelity Series Commodity Strategy Fund | Geode Series Commodity Return Cayman Ltd. | 341,780,736 | 18.4 |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $39,922,410 |
Gross unrealized depreciation | - |
Net unrealized appreciation (depreciation) | $39,922,410 |
Tax Cost | $1,793,950,523 |
Undistributed ordinary income | $40,557,609 |
Capital loss carryforward | $(113,711,265) |
Net unrealized appreciation (depreciation) on securities and other investments | $39,922,410 |
Short-term | $(85,407,407) |
Long-term | (28,303,858) |
Total capital loss carryforward | $(113,711,265) |
July 31, 2023 | July 31, 2022 | |
Ordinary Income | $1,838,993,555 | $ 2,301,156,298 |
Total | $1,838,993,555 | $ 2,301,156,298 |
Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)(S) | Change in Net Unrealized Appreciation (Depreciation)($) |
Commodity Risk | ||
Futures Contracts | $(83,889,804) | $48,142,756 |
Swaps | (372,781,877) | 91,816,969 |
Total Commodity Risk | $(456,671,681) | $139,959,725 |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 | |||||||
Fidelity® Series Commodity Strategy Fund | -%-D | |||||||||
Actual | $ 1,000 | $ 981.80 | $-E | |||||||
Hypothetical-B | $ 1,000 | $ 1,024.79 | $-E | |||||||
Item 2.
Code of Ethics
As of the end of the period, July 31, 2023, Fidelity Oxford Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity SAI Inflation-Focused Fund (the “Fund”):
Services Billed by Deloitte Entities
July 31, 2023 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity SAI Inflation-Focused Fund | $45,900 | $- | $11,800 | $1,200 |
July 31, 2022 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity SAI Inflation-Focused Fund | $46,100 | $- | $12,200 | $1,100 |
A Amounts may reflect rounding
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Commodity Strategy Fund and Fidelity Series Commodity Strategy Fund (the “Funds”):
Services Billed by PwC
July 31, 2023 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Commodity Strategy Fund | $70,000 | $6,200 | $17,100 | $2,700 |
Fidelity Series Commodity Strategy Fund | $70,900 | $6,300 | $17,600 | $2,700 |
July 31, 2022 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Commodity Strategy Fund | $66,600 | $6,100 | $16,900 | $2,700 |
Fidelity Series Commodity Strategy Fund | $66,800 | $6,100 | $15,100 | $2,700 |
A Amounts may reflect rounding.
The following table(s) present(s) fees billed by Deloitte Entities and PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Geode Capital Management, LLC ("Geode") and entities controlling, controlled by, or under common control with Geode (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
| July 31, 2023A | July 31, 2022 A |
Audit-Related Fees | $- | $- |
Tax Fees | $- | $- |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
Services Billed by PwC
| July 31, 2023A | July 31, 2022A |
Audit-Related Fees | $8,284,200 | $7,914,600 |
Tax Fees | $1,000 | $353,200 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities and PwC for services rendered to the Fund(s), Geode (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | July 31, 2023A | July 31, 2022A |
Deloitte Entities | $255,600 | $470,900 |
PwC | $13,640,400 | $13,284,800 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities and PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and Geode’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the “PCAOB”) has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.
The Registrant is not a “foreign issuer,” as defined in 17 CFR 240.3b-4.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
|
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Oxford Street Trust
By: | /s/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer |
|
|
Date: | September 21, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer |
|
|
Date: | September 21, 2023 |
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer |
|
|
Date: | September 21, 2023 |