Semi-Annual Report and Accounts - chartbook.fid-intl.com

Fidelity
Funds
Express Scripts Holding 2.10% 12/02/2015 144A US USD 29,797 23,578 0.01
2,057,157 0.51
Telecommunication Services
Deutsche Telekom Int’l Finance 3.125% 11/04/2016 144A NL USD 1,986,500 1,615,274 0.40
1,615,274 0.40
Financials
FADE 5.00% 17/06/2015 ES EUR 4,966,250 5,108,334 1.27
Credit Suisse (Guernsey) 1.625% 06/03/2015 144A CH USD 3,575,700 2,813,940 0.70
UBS London 2.25% 30/03/2017 144A CH USD 3,476,375 2,785,959 0.69
ABN Amro Bank 4.25% 02/02/2017 144A NL USD 2,582,450 2,157,596 0.54
BAT Int’l Finance 2.125% 07/06/2017 144A GB USD 2,483,125 1,959,217 0.49
Intesa Sanpaolo 3.625% 12/08/2015 144A IT USD 1,663,694 1,283,330 0.32
BNP Paribas 3.60% 23/02/2016 MTN FR USD 1,489,875 1,217,362 0.30
Volkswagen Car Lease (A) 0.76% FRN 21/07/2017 LU EUR 573,203 575,955 0.14
Clock Finance 2007-1 B2 0.515% FRN 25/02/2015 NL EUR 397,300 394,757 0.10
HSBC Bank 3.10% 24/05/2016 144A GB USD 446,962 361,549 0.09
Proud 1 A 0.569% FRN 18/08/2017 FR EUR 220,473 208,027 0.05
Granite Master Issuer 2005-4 B4 0.47% FRN 20/12/2054 GB EUR 99,325 92,328 0.02
Bavarian Sky 2 A 0.961% FRN 15/01/2018 LU EUR 18,280 18,333 0.00
Lambda Finance 2007-1X A2 0.404% FRN 20/09/2031 NL EUR 5,323 5,237 0.00
European Loan Conduit 23X D 0.755% FRN 15/02/2019* IE EUR 31,665 4,895 0.00
18,986,819 4.72
Open Ended Fund
Fidelity Institutional Liquidity Fund - A-ACC-EUR IE EUR 424 5,960,783 1.48
5,960,783 1.48
Fractions 1 0.00
Total Investments (Cost EUR 380,208,930) 386,778,570 96.09
Credit Default Swaps
Euro Short Term Bond Fund - continued
Schedule of Investments as at 31 October 2012
Ccy Underlying Unrealised % Net
exposure gain / (loss) Assets
EUR
Bought protection on Spain 5.50% 20/12/2017 USD 4,072,325 279,841 0.07
Bought protection on Itraxx Europe Senior Fin. 20/06/2017 EUR 2,979,750 91,853 0.02
Bought protection on Itraxx Europe 20/12/2017 EUR 3,774,350 51,665 0.01
Bought protection on Itraxx Europe Sub Fin. 20/12/2016 EUR 1,241,562 (118,221) (0.03)
305,138 0.08
Forward Foreign Exchange Contracts
Country Ccy Shares or Market % Net
Code Nominal Value Assets
EUR
Underlying Unrealised % Net
exposure gain / (loss) Assets
EUR EUR
Bought EUR Sold USD at 0.81231 20/11/2012 45,792,010 2,465,999 0.61
Bought EUR Sold GBP at 1.26862 20/11/2012 10,203,819 207,992 0.05
Bought EUR Sold SEK at 0.12044 20/11/2012 3,194,102 114,737 0.03
Bought EUR Sold USD at 0.81301 20/11/2012 1,852,750 101,457 0.03
Bought EUR Sold USD at 0.81174 20/11/2012 1,439,326 76,447 0.02
Bought EUR Sold USD at 0.81142 20/11/2012 1,148,399 60,509 0.02
Bought EUR Sold PLN at 0.24278 20/11/2012 7,169,767 49,390 0.01
Bought EUR Sold GBP at 1.26951 20/11/2012 1,264,518 26,683 0.01
Bought EUR Sold CZK at 0.04022 20/11/2012 1,740,071 17,032 0.00
Bought EUR Sold USD at 0.77525 20/11/2012 2,390,966 13,809 0.00
Bought EUR Sold USD at 0.77482 20/11/2012 2,331,249 12,158 0.00
Bought EUR Sold USD at 0.77234 20/11/2012 2,844,966 5,669 0.00
Bought EUR Sold USD at 0.77358 20/11/2012 1,295,394 4,674 0.00
Bought USD Sold EUR at 1.29543 20/11/2012 1,065,762 (1,579) (0.00)
Bought EUR Sold USD at 0.76623 20/11/2012 1,155,289 (6,860) (0.00)
Bought EUR Sold GBP at 1.23888 20/11/2012 2,501,868 (8,835) (0.00)
Bought CHF Sold EUR at 1.20002 20/11/2012 1,870,597 (10,239) (0.00)
Bought GBP Sold EUR at 0.79463 20/11/2012 967,459 (11,661) (0.00)
Bought EUR Sold SEK at 0.11594 20/11/2012 4,115,760 (11,693) (0.00)
Bought CZK Sold EUR at 24.98949 20/11/2012 3,663,692 (17,077) (0.00)
Bought EUR Sold USD at 0.76070 20/11/2012 1,626,898 (21,315) (0.01)
Bought EUR Sold CZK at 0.03970 20/11/2012 6,932,471 (23,114) (0.01)
Bought USD Sold EUR at 1.28663 20/11/2012 2,846,294 (23,530) (0.01)
Bought USD Sold EUR at 1.24826 20/11/2012 1,053,514 (39,861) (0.01)
2,980,792 0.74
227
Futures
Euro Bobl Future 06/12/2012 EUR (11,623,199) 11,884 0.00
US Treasury Note 2 Year Future 19/12/2012 USD (21,665,248) 6,976 0.00
US Treasury Note 5 Year Future 19/12/2012 USD (42,434,802) (19,264) (0.00)
(404) (0.00)
Interest Rate Swaps
Ccy Underlying Unrealised % Net
exposure gain / (loss) Assets
EUR
Pay fixed 3.128% receive float. (6m EURIBOR) 05/04/2016 EUR 4,966,250 411,736 0.10
Pay fixed 2.009% receive float. (6m EURIBOR) 31/10/2016 EUR 4,966,250 243,710 0.06
Pay fixed 1.915% receive float. (6m GBPLIBOR) 27/10/2016 GBP 4,221,312 (210,531) (0.05)
Pay fixed 3.03% float. (6m GBPLIBOR) 01/04/2016 GBP 4,221,312 (386,134) (0.10)
58,781 0.01
Other Assets and Liabilities 12,413,351 3.08
Net Assets 402,536,228 100.00
GEOGRAPHICAL SPLIT
Ccy Underlying Unrealised % Net
exposure gain / (loss) Assets
EUR
Country Country Code % Net Assets
Germany DE 21.96
USA US 9.22
Netherlands NL 8.44
Spain ES 7.27
Italy IT 6.77
Austria AT 6.14
Finland FI 6.02
UK GB 4.77
Sweden SE 4.73
France FR 3.50
Czech Republic CZ 2.99
Switzerland CH 2.92
Ireland IE 2.30
Poland PL 2.16
Luxembourg LU 1.53
Belgium BE 1.32
Japan JP 0.92
Cayman Islands KY 0.80
Norway NO 0.57
Portugal PT 0.44
Canada CA 0.44
United Arab Emirates AE 0.27
Denmark DK 0.26
Australia AU 0.20
Korea KR 0.13
Cash and other net assets 3.91