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 811-02105
Fidelity Salem Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 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: | February 28 |
Date of reporting period: | August 31, 2023 |
Item 1.
Reports to Stockholders
Contents
Coupon Distribution (% of Fund's Investments) | ||
0.01 - 0.99% | 41.8 | |
1 - 1.99% | 23.1 | |
2 - 2.99% | 13.3 | |
3 - 3.99% | 5.7 | |
4 - 4.99% | 6.5 | |
6 - 6.99% | 3.7 | |
7 - 7.99% | 2.0 | |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Asset Allocation (% of Fund's net assets) |
U.S. Government and Government Agency Obligations - 99.1% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Obligations - 99.1% | |||
U.S. Treasury Bonds: | |||
6% 2/15/26 | 90,800,000 | 93,481,438 | |
6.5% 11/15/26 | 15,700,000 | 16,624,828 | |
6.625% 2/15/27 | 43,850,000 | 46,861,262 | |
7.5% 11/15/24 | 81,650,000 | 83,853,912 | |
U.S. Treasury Notes: | |||
0.125% 10/15/23 | 34,000 | 33,782 | |
0.125% 1/15/24 | 685,000 | 671,889 | |
0.25% 11/15/23 | 49,000 | 48,483 | |
0.25% 5/15/24 | 4,000 | 3,857 | |
0.25% 6/15/24 | 4,052,000 | 3,892,453 | |
0.25% 5/31/25 | 70,999,000 | 65,424,470 | |
0.25% 6/30/25 (b) | 186,797,000 | 171,663,516 | |
0.25% 7/31/25 | 66,709,000 | 61,109,092 | |
0.25% 8/31/25 | 1,777,000 | 1,622,484 | |
0.25% 9/30/25 | 73,948,000 | 67,373,561 | |
0.25% 10/31/25 | 65,108,000 | 59,108,399 | |
0.375% 7/15/24 | 3,789,000 | 3,628,116 | |
0.375% 9/15/24 | 28,200,000 | 26,793,305 | |
0.375% 4/30/25 | 48,530,000 | 44,971,765 | |
0.375% 11/30/25 | 74,272,000 | 67,413,445 | |
0.375% 12/31/25 | 101,056,000 | 91,566,210 | |
0.375% 1/31/26 | 53,641,000 | 48,413,098 | |
0.375% 7/31/27 | 69,145,000 | 59,264,828 | |
0.375% 9/30/27 | 57,950,000 | 49,397,848 | |
0.5% 3/31/25 | 30,156,000 | 28,089,843 | |
0.5% 2/28/26 | 156,251,000 | 141,077,562 | |
0.5% 5/31/27 | 38,450,000 | 33,307,313 | |
0.5% 6/30/27 | 42,550,000 | 36,767,521 | |
0.5% 8/31/27 | 4,638,000 | 3,985,057 | |
0.5% 10/31/27 | 41,550,000 | 35,500,904 | |
0.625% 10/15/24 | 68,350,000 | 64,903,131 | |
0.625% 7/31/26 | 88,662,000 | 79,286,686 | |
0.625% 3/31/27 | 42,900,000 | 37,547,555 | |
0.625% 11/30/27 | 17,100,000 | 14,653,898 | |
0.625% 12/31/27 | 72,400,000 | 61,893,515 | |
0.75% 11/15/24 | 31,100,000 | 29,480,613 | |
0.75% 3/31/26 | 37,599,000 | 34,124,030 | |
0.75% 4/30/26 | 111,232,000 | 100,595,440 | |
0.75% 5/31/26 | 28,334,000 | 25,553,726 | |
0.75% 8/31/26 | 99,555,000 | 89,128,947 | |
0.75% 1/31/28 | 70,000,000 | 60,038,672 | |
0.875% 6/30/26 | 58,618,000 | 52,987,466 | |
0.875% 9/30/26 | 6,650,000 | 5,967,596 | |
1% 12/15/24 | 26,845,000 | 25,449,270 | |
1% 7/31/28 | 75,250,000 | 64,397,539 | |
1.125% 1/15/25 | 49,688,000 | 47,050,266 | |
1.125% 2/28/25 | 33,469,000 | 31,569,373 | |
1.125% 10/31/26 | 52,000,000 | 46,877,188 | |
1.125% 2/29/28 | 6,900,000 | 6,007,043 | |
1.25% 8/31/24 | 2,718,000 | 2,608,961 | |
1.25% 11/30/26 | 33,550,000 | 30,301,154 | |
1.25% 12/31/26 | 54,250,000 | 48,926,719 | |
1.25% 3/31/28 | 77,550,000 | 67,774,459 | |
1.25% 4/30/28 | 62,800,000 | 54,768,469 | |
1.25% 5/31/28 | 189,650,000 | 165,091,806 | |
1.375% 1/31/25 | 19,747,000 | 18,738,823 | |
1.5% 9/30/24 | 25,352,000 | 24,341,881 | |
1.5% 10/31/24 | 62,498,000 | 59,858,924 | |
1.5% 11/30/24 | 20,762,000 | 19,831,765 | |
1.5% 2/15/25 | 650,000 | 617,145 | |
1.5% 1/31/27 | 43,913,000 | 39,832,179 | |
1.625% 10/31/23 | 1,735,000 | 1,724,224 | |
1.625% 2/15/26 | 18,261,000 | 16,974,170 | |
1.625% 5/15/26 | 1,845,000 | 1,706,193 | |
1.625% 10/31/26 | 57,250,000 | 52,428,477 | |
1.75% 12/31/24 | 116,456,000 | 111,333,755 | |
1.875% 8/31/24 | 3,571,000 | 3,449,921 | |
1.875% 7/31/26 | 8,900,000 | 8,255,793 | |
1.875% 2/28/27 | 23,400,000 | 21,466,758 | |
2% 4/30/24 | 1,027,000 | 1,004,334 | |
2% 5/31/24 | 28,000 | 27,297 | |
2% 6/30/24 | 3,977,000 | 3,867,788 | |
2% 2/15/25 | 7,900,000 | 7,556,844 | |
2% 8/15/25 | 22,242,000 | 21,055,181 | |
2.125% 11/30/23 | 45,000 | 44,634 | |
2.125% 7/31/24 | 3,576,000 | 3,471,653 | |
2.125% 9/30/24 | 17,000 | 16,428 | |
2.125% 11/30/24 | 37,262,000 | 35,866,130 | |
2.125% 5/15/25 | 12,159,000 | 11,591,422 | |
2.125% 5/31/26 | 2,400,000 | 2,248,969 | |
2.25% 12/31/23 | 1,861,000 | 1,841,736 | |
2.25% 4/30/24 | 29,000 | 28,401 | |
2.25% 10/31/24 | 2,533,000 | 2,446,918 | |
2.25% 11/15/24 | 31,103,000 | 30,013,180 | |
2.25% 12/31/24 | 2,818,000 | 2,711,995 | |
2.25% 11/15/25 | 34,438,000 | 32,625,969 | |
2.25% 8/15/27 | 14,900,000 | 13,757,473 | |
2.25% 11/15/27 | 24,300,000 | 22,345,559 | |
2.5% 5/15/24 | 24,000 | 23,511 | |
2.5% 1/31/25 | 2,729,000 | 2,630,820 | |
2.5% 3/31/27 | 35,100,000 | 32,889,797 | |
2.625% 12/31/23 | 14,000 | 13,870 | |
2.625% 4/15/25 | 49,000,000 | 47,166,328 | |
2.625% 12/31/25 | 1,150,000 | 1,097,127 | |
2.625% 1/31/26 | 79,600,000 | 75,846,984 | |
2.625% 5/31/27 | 58,650,000 | 55,053,106 | |
2.75% 11/15/23 | 33,000 | 32,818 | |
2.75% 2/28/25 | 36,148,000 | 34,929,417 | |
2.75% 6/30/25 | 34,100,000 | 32,805,266 | |
2.75% 4/30/27 | 15,400,000 | 14,535,555 | |
2.75% 7/31/27 | 14,000,000 | 13,179,141 | |
2.75% 2/15/28 | 31,500,000 | 29,511,563 | |
2.875% 10/31/23 | 30,000 | 29,878 | |
2.875% 11/30/23 | 675,000 | 670,729 | |
2.875% 11/30/25 | 29,550,000 | 28,374,926 | |
3% 6/30/24 | 3,900,000 | 3,823,980 | |
3% 7/15/25 | 7,450,000 | 7,195,652 | |
3.125% 8/15/25 | 30,400,000 | 29,410,813 | |
3.125% 8/31/27 | 6,444,000 | 6,148,986 | |
3.25% 8/31/24 | 3,550,000 | 3,476,643 | |
3.25% 6/30/27 | 47,600,000 | 45,696,000 | |
3.5% 1/31/28 | 79,350,000 | 76,730,830 | |
3.75% 4/15/26 | 11,500,000 | 11,251,582 | |
3.875% 11/30/27 | 56,350,000 | 55,315,449 | |
4% 12/15/25 | 26,650,000 | 26,219,019 | |
4% 2/29/28 | 7,500,000 | 7,407,715 | |
4.125% 6/15/26 | 37,400,000 | 36,967,563 | |
4.125% 9/30/27 | 20,800,000 | 20,607,438 | |
4.125% 10/31/27 | 28,100,000 | 27,837,660 | |
4.375% 8/31/28 | 120,850,000 | 121,595,872 | |
4.5% 11/30/24 | 32,050,000 | 31,762,051 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,193,531,720) | 4,042,253,771 | ||
Money Market Funds - 4.0% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.43% (c) | 25,379,453 | 25,384,529 | |
Fidelity Securities Lending Cash Central Fund 5.44% (c)(d) | 140,083,179 | 140,097,188 | |
TOTAL MONEY MARKET FUNDS (Cost $165,481,717) | 165,481,717 | ||
TOTAL INVESTMENT IN SECURITIES - 103.1% (Cost $4,359,013,437) | 4,207,735,488 |
NET OTHER ASSETS (LIABILITIES) - (3.1)% | (128,383,805) |
NET ASSETS - 100.0% | 4,079,351,683 |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security or a portion of the security is on loan at period end. |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(d) | Investment made with cash collateral received from securities on loan. |
Affiliate | Value, beginning of period ($) | 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 5.43% | 10,146,929 | 321,540,723 | 306,303,123 | 254,796 | - | - | 25,384,529 | 0.1% |
Fidelity Securities Lending Cash Central Fund 5.44% | 201,134,716 | 181,985,631 | 243,023,159 | 9,696 | - | - | 140,097,188 | 0.5% |
Total | 211,281,645 | 503,526,354 | 549,326,282 | 264,492 | - | - | 165,481,717 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 4,042,253,771 | - | 4,042,253,771 | - |
Money Market Funds | 165,481,717 | 165,481,717 | - | - |
Total Investments in Securities: | 4,207,735,488 | 165,481,717 | 4,042,253,771 | - |
Statement of Assets and Liabilities | ||||
August 31, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value (including securities loaned of $137,329,614) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $4,193,531,720) | $ | 4,042,253,771 | ||
Fidelity Central Funds (cost $165,481,717) | 165,481,717 | |||
Total Investment in Securities (cost $4,359,013,437) | $ | 4,207,735,488 | ||
Receivable for investments sold | 166,662,188 | |||
Receivable for fund shares sold | 1,853,679 | |||
Interest receivable | 13,780,133 | |||
Distributions receivable from Fidelity Central Funds | 50,967 | |||
Total assets | 4,390,082,455 | |||
Liabilities | ||||
Payable for investments purchased | $ | 167,883,209 | ||
Payable for fund shares redeemed | 1,627,998 | |||
Distributions payable | 1,020,892 | |||
Accrued management fee | 101,485 | |||
Collateral on securities loaned | 140,097,188 | |||
Total Liabilities | 310,730,772 | |||
Net Assets | $ | 4,079,351,683 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 4,316,153,759 | ||
Total accumulated earnings (loss) | (236,802,076) | |||
Net Assets | $ | 4,079,351,683 | ||
Net Asset Value, offering price and redemption price per share ($4,079,351,683 ÷ 411,444,845 shares) | $ | 9.91 |
Statement of Operations | ||||
Six months ended August 31, 2023 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 54,728,836 | ||
Income from Fidelity Central Funds (including $9,696 from security lending) | 264,492 | |||
Total Income | 54,993,328 | |||
Expenses | ||||
Management fee | $ | 583,868 | ||
Independent trustees' fees and expenses | 6,597 | |||
Total expenses before reductions | 590,465 | |||
Expense reductions | (32) | |||
Total expenses after reductions | 590,433 | |||
Net Investment income (loss) | 54,402,895 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (40,907,952) | |||
Total net realized gain (loss) | (40,907,952) | |||
Change in net unrealized appreciation (depreciation) on investment securities | 62,218,652 | |||
Net gain (loss) | 21,310,700 | |||
Net increase (decrease) in net assets resulting from operations | $ | 75,713,595 |
Statement of Changes in Net Assets | ||||
Six months ended August 31, 2023 (Unaudited) | Year ended February 28, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 54,402,895 | $ | 61,541,099 |
Net realized gain (loss) | (40,907,952) | (89,024,350) | ||
Change in net unrealized appreciation (depreciation) | 62,218,652 | (132,404,510) | ||
Net increase (decrease) in net assets resulting from operations | 75,713,595 | (159,887,761) | ||
Distributions to shareholders | (27,988,819) | (45,142,094) | ||
Share transactions | ||||
Proceeds from sales of shares | 1,333,284,928 | 3,110,410,601 | ||
Reinvestment of distributions | 22,563,339 | 35,908,118 | ||
Cost of shares redeemed | (1,585,469,137) | (2,591,370,911) | ||
Net increase (decrease) in net assets resulting from share transactions | (229,620,870) | 554,947,808 | ||
Total increase (decrease) in net assets | (181,896,094) | 349,917,953 | ||
Net Assets | ||||
Beginning of period | 4,261,247,777 | 3,911,329,824 | ||
End of period | $ | 4,079,351,683 | $ | 4,261,247,777 |
Other Information | ||||
Shares | ||||
Sold | 133,922,211 | 313,032,641 | ||
Issued in reinvestment of distributions | 2,267,949 | 3,615,322 | ||
Redeemed | (158,590,528) | (259,451,335) | ||
Net increase (decrease) | (22,400,368) | 57,196,628 | ||
Fidelity® Short-Term Treasury Bond Index Fund |
Six months ended (Unaudited) August 31, 2023 | Years ended February 28, 2023 | 2022 | 2021 | 2020 A | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.82 | $ | 10.38 | $ | 10.76 | $ | 10.72 | $ | 10.30 | $ | 10.22 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) B,C | .139 | .164 | .087 | .127 | .217 | .191 | ||||||
Net realized and unrealized gain (loss) | .022 | (.606) | (.333) | .068 | .402 | .065 | ||||||
Total from investment operations | .161 | (.442) | (.246) | .195 | .619 | .256 | ||||||
Distributions from net investment income | (.071) | (.118) | (.086) | (.125) | (.199) | (.176) | ||||||
Distributions from net realized gain | - | - | (.048) | (.030) | - | - | ||||||
Total distributions | (.071) | (.118) | (.134) | (.155) | (.199) | (.176) | ||||||
Net asset value, end of period | $ | 9.91 | $ | 9.82 | $ | 10.38 | $ | 10.76 | $ | 10.72 | $ | 10.30 |
Total Return D,E | 1.64% | (4.26)% | (2.31)% | 1.82% | 6.06% | 2.53% | ||||||
Ratios to Average Net Assets C,F,G | ||||||||||||
Expenses before reductions | .03% H | .03% | .03% | .03% | .03% | .03% | ||||||
Expenses net of fee waivers, if any | .03% H | .03% | .03% | .03% | .03% | .03% | ||||||
Expenses net of all reductions | .03% H | .03% | .03% | .03% | .03% | .03% | ||||||
Net investment income (loss) | 2.78% H | 1.65% | .82% | 1.17% | 2.07% | 1.85% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 4,079,352 | $ | 4,261,248 | $ | 3,911,330 | $ | 3,870,957 | $ | 2,570,535 | $ | 1,886,881 |
Portfolio turnover rate I | 81% H | 60% | 48% | 54% | 46% | 46% |
Coupon Distribution (% of Fund's Investments) | ||
0.01 - 0.99% | 15.7 | |
1 - 1.99% | 37.8 | |
2 - 2.99% | 15.4 | |
3 - 3.99% | 17.6 | |
4 - 4.99% | 5.0 | |
5 - 5.99% | 4.8 | |
6 - 6.99% | 3.1 | |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Asset Allocation (% of Fund's net assets) |
U.S. Government and Government Agency Obligations - 99.2% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Obligations - 99.2% | |||
U.S. Treasury Bonds: | |||
5.25% 11/15/28 | 66,871,000 | 69,827,952 | |
5.25% 2/15/29 | 214,194,000 | 224,209,242 | |
5.375% 2/15/31 | 59,700,000 | 64,310,426 | |
5.5% 8/15/28 | 41,000 | 43,183 | |
6.125% 8/15/29 | 138,750,000 | 152,245,605 | |
6.25% 5/15/30 | 73,054,000 | 81,654,967 | |
6.375% 8/15/27 | 3,000 | 3,214 | |
6.625% 2/15/27 | 315,000 | 336,632 | |
U.S. Treasury Notes: | |||
0.375% 7/31/27 | 17,000 | 14,571 | |
0.375% 9/30/27 | 28,000 | 23,868 | |
0.5% 4/30/27 | 48,000 | 41,700 | |
0.5% 5/31/27 | 4,496,000 | 3,894,660 | |
0.5% 6/30/27 | 26,000 | 22,467 | |
0.5% 10/31/27 | 38,000 | 32,468 | |
0.625% 11/30/27 | 115,000 | 98,550 | |
0.625% 12/31/27 | 2,000 | 1,710 | |
0.625% 5/15/30 | 319,155,000 | 253,192,144 | |
0.625% 8/15/30 | 516,322,000 | 406,825,433 | |
0.75% 1/31/28 | 4,943,000 | 4,239,588 | |
0.875% 11/15/30 | 639,741,000 | 512,092,676 | |
1% 7/31/28 | 1,043,000 | 892,580 | |
1.125% 2/15/31 | 315,488,000 | 256,321,677 | |
1.25% 3/31/28 | 77,000 | 67,294 | |
1.25% 4/30/28 | 3,695,000 | 3,222,444 | |
1.25% 5/31/28 | 34,000 | 29,597 | |
1.25% 6/30/28 | 6,223,000 | 5,406,717 | |
1.25% 9/30/28 | 153,750,000 | 132,687,451 | |
1.25% 8/15/31 | 411,908,000 | 332,615,710 | |
1.375% 10/31/28 | 82,750,000 | 71,730,674 | |
1.375% 12/31/28 | 265,150,000 | 229,033,669 | |
1.375% 11/15/31 | 360,735,000 | 292,350,354 | |
1.5% 11/30/28 | 176,150,000 | 153,436,284 | |
1.5% 2/15/30 | 317,987,000 | 269,754,830 | |
1.625% 8/15/29 | 280,176,000 | 242,636,792 | |
1.625% 5/15/31 | 159,966,000 | 133,990,271 | |
1.75% 1/31/29 | 187,020,000 | 164,446,103 | |
1.75% 11/15/29 | 253,086,000 | 220,085,960 | |
1.875% 2/28/29 | 98,082,000 | 86,729,775 | |
1.875% 2/15/32 | 296,922,000 | 249,508,248 | |
2.25% 8/15/27 | 3,419,000 | 3,156,832 | |
2.375% 5/15/27 | 1,219,000 | 1,134,432 | |
2.375% 3/31/29 | 160,125,000 | 145,219,614 | |
2.375% 5/15/29 | 255,148,000 | 231,108,274 | |
2.625% 2/15/29 | 46,053,000 | 42,397,543 | |
2.625% 7/31/29 | 149,350,000 | 136,783,598 | |
2.75% 5/31/29 | 64,500,000 | 59,581,875 | |
2.75% 8/15/32 | 273,450,000 | 245,453,421 | |
2.875% 5/15/28 | 20,000 | 18,796 | |
2.875% 4/30/29 | 45,236,000 | 42,103,054 | |
2.875% 5/15/32 | 275,400,000 | 250,280,507 | |
3.125% 11/15/28 | 195,940,000 | 185,523,034 | |
3.125% 8/31/29 | 62,800,000 | 59,108,047 | |
3.25% 6/30/29 | 134,750,000 | 127,791,426 | |
3.375% 5/15/33 | 396,350,000 | 373,374,086 | |
3.5% 2/15/33 | 432,950,000 | 412,317,227 | |
3.625% 3/31/30 | 91,350,000 | 88,238,391 | |
3.875% 9/30/29 | 14,550,000 | 14,258,432 | |
3.875% 11/30/29 | 38,250,000 | 37,483,506 | |
3.875% 12/31/29 | 26,700,000 | 26,162,871 | |
4% 10/31/29 | 14,700,000 | 14,503,043 | |
4% 2/28/30 | 43,100,000 | 42,551,148 | |
4% 7/31/30 | 37,450,000 | 37,005,281 | |
4.125% 11/15/32 | 279,600,000 | 279,468,938 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $7,932,471,896) | 7,473,080,862 | ||
Money Market Funds - 0.7% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.43% (b) (Cost $57,766,856) | 57,755,305 | 57,766,856 | |
TOTAL INVESTMENT IN SECURITIES - 99.9% (Cost $7,990,238,752) | 7,530,847,718 |
NET OTHER ASSETS (LIABILITIES) - 0.1% | 3,974,046 |
NET ASSETS - 100.0% | 7,534,821,764 |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | 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 5.43% | 24,956,860 | 528,455,669 | 495,645,673 | 755,389 | - | - | 57,766,856 | 0.1% |
Fidelity Securities Lending Cash Central Fund 5.44% | - | 793,727,677 | 793,727,677 | 32,318 | - | - | - | 0.0% |
Total | 24,956,860 | 1,322,183,346 | 1,289,373,350 | 787,707 | - | - | 57,766,856 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 7,473,080,862 | - | 7,473,080,862 | - |
Money Market Funds | 57,766,856 | 57,766,856 | - | - |
Total Investments in Securities: | 7,530,847,718 | 57,766,856 | 7,473,080,862 | - |
Statement of Assets and Liabilities | ||||
August 31, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $7,932,471,896) | $ | 7,473,080,862 | ||
Fidelity Central Funds (cost $57,766,856) | 57,766,856 | |||
Total Investment in Securities (cost $7,990,238,752) | $ | 7,530,847,718 | ||
Receivable for investments sold | 358,418,494 | |||
Receivable for fund shares sold | 8,683,681 | |||
Interest receivable | 32,678,861 | |||
Distributions receivable from Fidelity Central Funds | 225,545 | |||
Total assets | 7,930,854,299 | |||
Liabilities | ||||
Payable for investments purchased | $ | 388,772,412 | ||
Payable for fund shares redeemed | 5,044,145 | |||
Distributions payable | 2,032,220 | |||
Accrued management fee | 183,758 | |||
Total Liabilities | 396,032,535 | |||
Net Assets | $ | 7,534,821,764 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 8,287,081,966 | ||
Total accumulated earnings (loss) | (752,260,202) | |||
Net Assets | $ | 7,534,821,764 | ||
Net Asset Value, offering price and redemption price per share ($7,534,821,764 ÷ 791,144,072 shares) | $ | 9.52 |
Statement of Operations | ||||
Six months ended August 31, 2023 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 100,474,791 | ||
Income from Fidelity Central Funds (including $32,318 from security lending) | 787,707 | |||
Total Income | 101,262,498 | |||
Expenses | ||||
Management fee | $ | 987,665 | ||
Independent trustees' fees and expenses | 10,036 | |||
Total expenses before reductions | 997,701 | |||
Expense reductions | (6) | |||
Total expenses after reductions | 997,695 | |||
Net Investment income (loss) | 100,264,803 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (126,158,088) | |||
Total net realized gain (loss) | (126,158,088) | |||
Change in net unrealized appreciation (depreciation) on investment securities | 48,714,839 | |||
Net gain (loss) | (77,443,249) | |||
Net increase (decrease) in net assets resulting from operations | $ | 22,821,554 |
Statement of Changes in Net Assets | ||||
Six months ended August 31, 2023 (Unaudited) | Year ended February 28, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 100,264,803 | $ | 87,716,548 |
Net realized gain (loss) | (126,158,088) | (204,344,494) | ||
Change in net unrealized appreciation (depreciation) | 48,714,839 | (394,241,058) | ||
Net increase (decrease) in net assets resulting from operations | 22,821,554 | (510,869,004) | ||
Distributions to shareholders | (71,624,353) | (74,113,793) | ||
Share transactions | ||||
Proceeds from sales of shares | 2,887,527,427 | 4,023,207,126 | ||
Reinvestment of distributions | 60,778,361 | 62,294,822 | ||
Cost of shares redeemed | (1,007,179,282) | (2,254,532,105) | ||
Net increase (decrease) in net assets resulting from share transactions | 1,941,126,506 | 1,830,969,843 | ||
Total increase (decrease) in net assets | 1,892,323,707 | 1,245,987,046 | ||
Net Assets | ||||
Beginning of period | 5,642,498,057 | 4,396,511,011 | ||
End of period | $ | 7,534,821,764 | $ | 5,642,498,057 |
Other Information | ||||
Shares | ||||
Sold | 297,630,776 | 407,895,188 | ||
Issued in reinvestment of distributions | 6,269,931 | 6,332,883 | ||
Redeemed | (103,507,729) | (228,090,762) | ||
Net increase (decrease) | 200,392,978 | 186,137,309 | ||
Fidelity® Intermediate Treasury Bond Index Fund |
Six months ended (Unaudited) August 31, 2023 | Years ended February 28, 2023 | 2022 | 2021 | 2020 A | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 9.55 | $ | 10.87 | $ | 11.38 | $ | 11.65 | $ | 10.54 | $ | 10.37 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) B,C | .147 | .196 | .151 | .174 | .255 | .258 | ||||||
Net realized and unrealized gain (loss) | (.072) | (1.352) | (.443) | (.092) | 1.092 | .153 | ||||||
Total from investment operations | .075 | (1.156) | (.292) | .082 | 1.347 | .411 | ||||||
Distributions from net investment income | (.105) | (.164) | (.148) | (.171) | (.237) | (.241) | ||||||
Distributions from net realized gain | - | - | (.070) | (.181) | - | - | ||||||
Total distributions | (.105) | (.164) | (.218) | (.352) | (.237) | (.241) | ||||||
Net asset value, end of period | $ | 9.52 | $ | 9.55 | $ | 10.87 | $ | 11.38 | $ | 11.65 | $ | 10.54 |
Total Return D,E | .77% | (10.67)% | (2.60)% | .63% | 12.91% | 4.02% | ||||||
Ratios to Average Net Assets C,F,G | ||||||||||||
Expenses before reductions | .03% H | .03% | .03% | .03% | .03% | .03% | ||||||
Expenses net of fee waivers, if any | .03% H | .03% | .03% | .03% | .03% | .03% | ||||||
Expenses net of all reductions | .03% H | .03% | .03% | .03% | .03% | .03% | ||||||
Net investment income (loss) | 3.03% H | 1.97% | 1.35% | 1.46% | 2.30% | 2.47% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 7,534,822 | $ | 5,642,498 | $ | 4,396,511 | $ | 4,571,767 | $ | 3,508,883 | $ | 2,292,750 |
Portfolio turnover rate I | 46% H | 41% | 54% | 56% | 58% | 65% |
Coupon Distribution (% of Fund's Investments) | ||
1 - 1.99% | 20.2 | |
2 - 2.99% | 29.9 | |
3 - 3.99% | 39.2 | |
4 - 4.99% | 9.4 | |
5 - 5.99% | 0.3 | |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Asset Allocation (% of Fund's net assets) |
U.S. Government and Government Agency Obligations - 99.1% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Obligations - 99.1% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 44,059,000 | 27,287,322 | |
1.125% 8/15/40 | 89,354,000 | 54,858,469 | |
1.25% 5/15/50 | 121,953,000 | 63,744,261 | |
1.375% 11/15/40 | 120,088,000 | 76,663,992 | |
1.375% 8/15/50 | 195,345,000 | 105,585,498 | |
1.625% 11/15/50 | 59,531,000 | 34,434,963 | |
1.75% 8/15/41 | 87,455,000 | 58,762,244 | |
1.875% 2/15/41 | 142,248,000 | 98,717,890 | |
1.875% 2/15/51 | 166,060,000 | 102,444,749 | |
1.875% 11/15/51 | 198,350,000 | 121,876,772 | |
2% 11/15/41 | 161,000,000 | 112,655,976 | |
2% 2/15/50 | 95,816,900 | 61,356,501 | |
2% 8/15/51 | 85,854,000 | 54,507,229 | |
2.25% 5/15/41 | 100,627,000 | 74,145,590 | |
2.25% 8/15/46 | 4,263,000 | 2,936,474 | |
2.25% 8/15/49 | 70,459,000 | 47,931,386 | |
2.25% 2/15/52 | 114,400,000 | 77,175,313 | |
2.375% 2/15/42 | 73,700,000 | 54,791,226 | |
2.375% 11/15/49 | 87,745,000 | 61,363,232 | |
2.375% 5/15/51 | 160,647,000 | 111,655,940 | |
2.5% 2/15/45 | 7,714,000 | 5,664,667 | |
2.5% 2/15/46 | 23,223,000 | 16,883,847 | |
2.5% 5/15/46 | 41,712,000 | 30,288,452 | |
2.75% 8/15/42 | 20,787,000 | 16,345,403 | |
2.75% 11/15/42 | 30,225,000 | 23,698,289 | |
2.75% 8/15/47 | 21,492,000 | 16,289,425 | |
2.75% 11/15/47 | 2,325,000 | 1,760,461 | |
2.875% 5/15/43 | 79,168,000 | 63,059,168 | |
2.875% 8/15/45 | 72,287,500 | 56,562,145 | |
2.875% 11/15/46 | 72,529,000 | 56,416,796 | |
2.875% 5/15/49 | 103,640,000 | 80,333,146 | |
2.875% 5/15/52 | 96,900,000 | 75,222,410 | |
3% 5/15/42 | 40,201,000 | 32,975,813 | |
3% 11/15/44 | 45,937,000 | 36,952,369 | |
3% 5/15/45 | 57,614,000 | 46,167,718 | |
3% 11/15/45 | 57,132,000 | 45,643,112 | |
3% 2/15/47 | 39,540,000 | 31,432,756 | |
3% 5/15/47 | 11,507,000 | 9,144,919 | |
3% 2/15/48 | 85,947,000 | 68,223,788 | |
3% 8/15/48 | 93,441,000 | 74,150,544 | |
3% 2/15/49 | 111,284,000 | 88,336,022 | |
3% 8/15/52 | 95,650,000 | 76,224,830 | |
3.125% 11/15/41 | 64,820,000 | 54,684,279 | |
3.125% 2/15/42 | 127,856,000 | 107,438,995 | |
3.125% 2/15/43 | 47,347,000 | 39,327,602 | |
3.125% 8/15/44 | 6,484,300 | 5,335,363 | |
3.125% 5/15/48 | 88,953,000 | 72,246,515 | |
3.25% 5/15/42 | 70,450,000 | 60,160,447 | |
3.375% 8/15/42 | 45,700,000 | 39,657,246 | |
3.375% 5/15/44 | 12,779,300 | 10,958,250 | |
3.375% 11/15/48 | 49,944,000 | 42,444,596 | |
3.5% 2/15/39 | 681,000 | 625,961 | |
3.625% 8/15/43 | 119,853,000 | 107,123,300 | |
3.625% 2/15/44 | 67,975,000 | 60,635,824 | |
3.625% 2/15/53 | 64,600,000 | 58,200,563 | |
3.625% 5/15/53 | 111,100,000 | 100,198,313 | |
3.75% 8/15/41 | 84,031,000 | 77,840,278 | |
3.75% 11/15/43 | 80,368,000 | 73,106,626 | |
3.875% 8/15/40 | 19,822,000 | 18,816,188 | |
3.875% 2/15/43 | 7,850,000 | 7,304,180 | |
4% 11/15/42 | 9,900,000 | 9,393,012 | |
4% 11/15/52 | 79,100,000 | 76,322,230 | |
4.125% 8/15/53 | 35,950,000 | 35,466,922 | |
4.25% 5/15/39 | 10,481,000 | 10,510,478 | |
4.25% 11/15/40 | 37,399,000 | 37,245,606 | |
4.375% 11/15/39 | 22,043,000 | 22,344,369 | |
4.375% 5/15/40 | 23,064,000 | 23,343,291 | |
4.375% 5/15/41 | 38,303,000 | 38,594,761 | |
4.5% 2/15/36 | 18,065,000 | 18,876,514 | |
4.5% 5/15/38 | 460,000 | 476,280 | |
4.5% 8/15/39 | 3,983,000 | 4,105,291 | |
4.625% 2/15/40 | 15,872,000 | 16,577,560 | |
4.75% 2/15/37 | 17,878,000 | 19,088,955 | |
4.75% 2/15/41 | 33,921,000 | 35,837,007 | |
5% 5/15/37 | 10,719,000 | 11,717,626 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,581,743,454) | 3,650,675,535 | ||
Money Market Funds - 1.0% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.43% (b) (Cost $36,975,832) | 36,968,438 | 36,975,832 | |
TOTAL INVESTMENT IN SECURITIES - 100.1% (Cost $4,618,719,286) | 3,687,651,367 |
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (4,971,281) |
NET ASSETS - 100.0% | 3,682,680,086 |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | 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 5.43% | 30,440,344 | 382,491,498 | 375,956,010 | 381,382 | - | - | 36,975,832 | 0.1% |
Fidelity Securities Lending Cash Central Fund 5.44% | - | 51,251,838 | 51,251,838 | 1,590 | - | - | - | 0.0% |
Total | 30,440,344 | 433,743,336 | 427,207,848 | 382,972 | - | - | 36,975,832 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 3,650,675,535 | - | 3,650,675,535 | - |
Money Market Funds | 36,975,832 | 36,975,832 | - | - |
Total Investments in Securities: | 3,687,651,367 | 36,975,832 | 3,650,675,535 | - |
Statement of Assets and Liabilities | ||||
August 31, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $4,581,743,454) | $ | 3,650,675,535 | ||
Fidelity Central Funds (cost $36,975,832) | 36,975,832 | |||
Total Investment in Securities (cost $4,618,719,286) | $ | 3,687,651,367 | ||
Receivable for investments sold | 22,174,623 | |||
Receivable for fund shares sold | 4,725,797 | |||
Interest receivable | 21,719,325 | |||
Distributions receivable from Fidelity Central Funds | 116,914 | |||
Total assets | 3,736,388,026 | |||
Liabilities | ||||
Payable for investments purchased | $ | 51,189,931 | ||
Payable for fund shares redeemed | 1,805,712 | |||
Distributions payable | 621,640 | |||
Accrued management fee | 90,657 | |||
Total Liabilities | 53,707,940 | |||
Net Assets | $ | 3,682,680,086 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 4,884,128,895 | ||
Total accumulated earnings (loss) | (1,201,448,809) | |||
Net Assets | $ | 3,682,680,086 | ||
Net Asset Value, offering price and redemption price per share ($3,682,680,086 ÷ 373,583,124 shares) | $ | 9.86 |
Statement of Operations | ||||
Six months ended August 31, 2023 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 58,629,257 | ||
Income from Fidelity Central Funds (including $1,590 from security lending) | 382,972 | |||
Total Income | 59,012,229 | |||
Expenses | ||||
Management fee | $ | 520,100 | ||
Independent trustees' fees and expenses | 5,600 | |||
Total expenses before reductions | 525,700 | |||
Expense reductions | (259) | |||
Total expenses after reductions | 525,441 | |||
Net Investment income (loss) | 58,486,788 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (49,854,465) | |||
Total net realized gain (loss) | (49,854,465) | |||
Change in net unrealized appreciation (depreciation) on investment securities | (118,215,855) | |||
Net gain (loss) | (168,070,320) | |||
Net increase (decrease) in net assets resulting from operations | $ | (109,583,532) |
Statement of Changes in Net Assets | ||||
Six months ended August 31, 2023 (Unaudited) | Year ended February 28, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 58,486,788 | $ | 92,144,080 |
Net realized gain (loss) | (49,854,465) | (214,222,439) | ||
Change in net unrealized appreciation (depreciation) | (118,215,855) | (820,112,215) | ||
Net increase (decrease) in net assets resulting from operations | (109,583,532) | (942,190,574) | ||
Distributions to shareholders | (54,519,915) | (88,406,732) | ||
Share transactions | ||||
Proceeds from sales of shares | 1,036,109,864 | 1,586,555,265 | ||
Reinvestment of distributions | 51,554,489 | 83,448,932 | ||
Cost of shares redeemed | (444,168,285) | (1,294,379,641) | ||
Net increase (decrease) in net assets resulting from share transactions | 643,496,068 | 375,624,556 | ||
Total increase (decrease) in net assets | 479,392,621 | (654,972,750) | ||
Net Assets | ||||
Beginning of period | 3,203,287,465 | 3,858,260,215 | ||
End of period | $ | 3,682,680,086 | $ | 3,203,287,465 |
Other Information | ||||
Shares | ||||
Sold | 100,111,965 | 142,018,890 | ||
Issued in reinvestment of distributions | 4,970,282 | 7,594,098 | ||
Redeemed | (42,861,023) | (114,947,506) | ||
Net increase (decrease) | 62,221,224 | 34,665,482 | ||
Fidelity® Long-Term Treasury Bond Index Fund |
Six months ended (Unaudited) August 31, 2023 | Years ended February 28, 2023 | 2022 | 2021 | 2020 A | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 10.29 | $ | 13.94 | $ | 14.49 | $ | 16.10 | $ | 12.53 | $ | 12.42 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) B,C | .174 | .320 | .310 | .336 | .378 | .381 | ||||||
Net realized and unrealized gain (loss) | (.441) | (3.663) | (.448) | (1.296) | 3.562 | .101 | ||||||
Total from investment operations | (.267) | (3.343) | (.138) | (.960) | 3.940 | .482 | ||||||
Distributions from net investment income | (.163) | (.307) | (.301) | (.330) | (.370) | (.372) | ||||||
Distributions from net realized gain | - | - | (.111) | (.320) | - | - | ||||||
Total distributions | (.163) | (.307) | (.412) | (.650) | (.370) | (.372) | ||||||
Net asset value, end of period | $ | 9.86 | $ | 10.29 | $ | 13.94 | $ | 14.49 | $ | 16.10 | $ | 12.53 |
Total Return D,E | (2.67)% | (24.10)% | (1.02)% | (6.32)% | 31.86% | 3.94% | ||||||
Ratios to Average Net Assets C,F,G | ||||||||||||
Expenses before reductions | .03% H | .03% | .03% | .03% | .03% | .03% | ||||||
Expenses net of fee waivers, if any | .03% H | .03% | .03% | .03% | .03% | .03% | ||||||
Expenses net of all reductions | .03% H | .03% | .03% | .03% | .03% | .03% | ||||||
Net investment income (loss) | 3.35% H | 2.85% | 2.15% | 2.04% | 2.69% | 3.04% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 3,682,680 | $ | 3,203,287 | $ | 3,858,260 | $ | 3,011,856 | $ | 2,691,210 | $ | 2,366,042 |
Portfolio turnover rate I | 12% H | 26% | 22% | 41% | 54% | 34% |
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% |
Tax cost | Gross unrealized appreciation | Gross unrealized depreciation | Net unrealized appreciation (depreciation) | |
Fidelity Short-Term Treasury Bond Index Fund | $4,327,455,419 | $11,751,200 | $(131,471,131) | $(119,719,931) |
Fidelity Intermediate Treasury Bond Index Fund | 7,985,797,632 | 3,011,175 | (457,961,089) | (454,949,914) |
Fidelity Long-Term Treasury Bond Index Fund | 4,642,925,567 | 2,670,134 | (957,944,334) | (955,274,200) |
Short-term | Long-term | Total capital loss carryforward | |
Fidelity Short-Term Treasury Bond Index Fund | $(34,962,145) | $(50,963,438) | $(85,925,583) |
Fidelity Intermediate Treasury Bond Index Fund | (46,165,634) | (145,012,924) | (191,178,558) |
Fidelity Long-Term Treasury Bond Index Fund | (35,021,005) | (163,246,327) | (198,267,332) |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Short-Term Treasury Bond Index Fund | $2,049 | $- | $- |
Fidelity Intermediate Treasury Bond Index Fund | $3,510 | $- | $- |
Fidelity Long-Term Treasury Bond Index Fund | $167 | $- | $- |
Custodian credits | |
Fidelity Short-Term Treasury Bond Index Fund | $32 |
Fidelity Intermediate Treasury Bond Index Fund | 6 |
Fidelity Long-Term Treasury Bond Index Fund | 259 |
Strategic Advisers Fidelity Core Income Fund | Fidelity Multi-Asset Index Fund | |
Fidelity Intermediate Treasury Bond Index Fund | 25% | - |
Fidelity Long-Term Treasury Bond Index Fund | - | 10% |
Fidelity Short-Term Treasury Bond Index Fund | 24% | - |
Fund | % of shares held |
Fidelity Long-Term Treasury Bond Index Fund | 24% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Expenses Paid During Period- C March 1, 2023 to August 31, 2023 | |||||||
Fidelity® Short-Term Treasury Bond Index Fund | .03% | |||||||||
Actual | $ 1,000 | $ 1,016.40 | $ .15 | |||||||
Hypothetical-B | $ 1,000 | $ 1,024.99 | $ .15 | |||||||
Fidelity® Intermediate Treasury Bond Index Fund | .03% | |||||||||
Actual | $ 1,000 | $ 1,007.70 | $ .15 | |||||||
Hypothetical-B | $ 1,000 | $ 1,024.99 | $ .15 | |||||||
Fidelity® Long-Term Treasury Bond Index Fund | .03% | |||||||||
Actual | $ 1,000 | $ 973.30 | $ .15 | |||||||
Hypothetical-B | $ 1,000 | $ 1,024.99 | $ .15 | |||||||
Contents
Coupon Distribution (% of Fund's Investments) | ||
0.01 - 0.99% | 19.7 | |
1 - 1.99% | 28.6 | |
2 - 2.99% | 24.4 | |
3 - 3.99% | 15.0 | |
4 - 4.99% | 6.8 | |
5 - 5.99% | 1.1 | |
6 - 6.99% | 3.7 | |
7 - 7.99% | 0.1 | |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Asset Allocation (% of Fund's net assets) |
U.S. Government and Government Agency Obligations - 99.5% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Obligations - 99.5% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 37,584,000 | 23,277,122 | |
1.125% 8/15/40 | 140,737,000 | 86,404,821 | |
1.25% 5/15/50 | 27,772,000 | 14,516,294 | |
1.375% 11/15/40 | 98,334,300 | 62,776,464 | |
1.375% 8/15/50 | 79,970,000 | 43,224,410 | |
1.625% 11/15/50 | 21,637,500 | 12,515,941 | |
1.75% 8/15/41 | 194,327,000 | 130,571,044 | |
1.875% 2/15/41 | 14,329,000 | 9,944,102 | |
1.875% 2/15/51 | 108,131,000 | 66,707,534 | |
1.875% 11/15/51 | 90,363,000 | 55,523,827 | |
2% 11/15/41 | 95,700,000 | 66,963,832 | |
2% 2/15/50 | 109,278,000 | 69,976,338 | |
2% 8/15/51 | 125,145,000 | 79,452,409 | |
2.25% 5/15/41 | 75,633,000 | 55,729,113 | |
2.25% 8/15/46 | 11,800,000 | 8,128,172 | |
2.25% 8/15/49 | 71,080,000 | 48,353,836 | |
2.25% 2/15/52 | 138,800,000 | 93,635,782 | |
2.375% 2/15/42 | 113,500,000 | 84,379,975 | |
2.375% 11/15/49 | 45,460,000 | 31,791,812 | |
2.375% 5/15/51 | 144,737,000 | 100,597,868 | |
2.5% 2/15/45 | 4,601,000 | 3,378,680 | |
2.5% 2/15/46 | 36,723,000 | 26,698,769 | |
2.5% 5/15/46 | 21,383,000 | 15,526,898 | |
2.75% 8/15/42 | 43,638,000 | 34,313,787 | |
2.75% 11/15/42 | 32,626,000 | 25,580,823 | |
2.75% 8/15/47 | 12,031,000 | 9,118,652 | |
2.75% 11/15/47 | 318,000 | 240,786 | |
2.875% 5/15/43 | 56,884,000 | 45,309,439 | |
2.875% 8/15/45 | 64,254,000 | 50,276,245 | |
2.875% 11/15/46 | 12,089,000 | 9,403,448 | |
2.875% 5/15/49 | 11,811,000 | 9,154,909 | |
2.875% 5/15/52 | 60,400,000 | 46,887,859 | |
3% 5/15/42 | 31,038,000 | 25,459,647 | |
3% 11/15/44 | 29,700,000 | 23,891,098 | |
3% 5/15/45 | 39,700,000 | 31,812,726 | |
3% 11/15/45 | 79,600,000 | 63,592,938 | |
3% 2/15/47 | 77,389,000 | 61,521,232 | |
3% 5/15/47 | 82,292,000 | 65,399,638 | |
3% 2/15/48 | 39,359,000 | 31,242,744 | |
3% 8/15/48 | 104,508,000 | 82,932,814 | |
3% 2/15/49 | 116,111,000 | 92,167,642 | |
3% 8/15/52 | 93,700,000 | 74,670,847 | |
3.125% 11/15/41 | 63,264,000 | 53,371,586 | |
3.125% 2/15/42 | 11,800,000 | 9,915,688 | |
3.125% 2/15/43 | 24,101,000 | 20,018,893 | |
3.125% 5/15/48 | 115,704,500 | 93,973,749 | |
3.25% 5/15/42 | 64,100,000 | 54,737,894 | |
3.375% 8/15/42 | 24,200,000 | 21,000,117 | |
3.375% 5/15/44 | 16,600,000 | 14,234,500 | |
3.375% 11/15/48 | 32,191,300 | 27,357,575 | |
3.5% 2/15/39 | 315,000 | 289,542 | |
3.625% 8/15/43 | 40,901,000 | 36,556,866 | |
3.625% 2/15/44 | 38,656,000 | 34,482,360 | |
3.625% 2/15/53 | 37,800,000 | 34,055,438 | |
3.625% 5/15/53 | 81,600,000 | 73,593,000 | |
3.75% 8/15/41 | 8,145,000 | 7,544,943 | |
3.75% 11/15/43 | 12,484,000 | 11,356,051 | |
3.875% 8/15/40 | 2,574,000 | 2,443,390 | |
3.875% 2/15/43 | 57,200,000 | 53,222,813 | |
4% 11/15/42 | 77,400,000 | 73,436,273 | |
4% 11/15/52 | 130,600,000 | 126,013,695 | |
4.125% 8/15/53 | 38,500,000 | 37,982,656 | |
4.25% 5/15/39 | 28,898,000 | 28,979,276 | |
4.25% 11/15/40 | 19,380,000 | 19,300,512 | |
4.375% 2/15/38 | 6,284,000 | 6,433,245 | |
4.375% 11/15/39 | 4,140,000 | 4,196,602 | |
4.375% 5/15/41 | 35,617,000 | 35,888,301 | |
4.5% 2/15/36 | 24,732,200 | 25,843,217 | |
4.5% 8/15/39 | 3,831,000 | 3,948,624 | |
4.625% 2/15/40 | 4,405,000 | 4,600,816 | |
4.75% 2/15/37 | 13,000 | 13,881 | |
4.75% 2/15/41 | 41,200,000 | 43,527,156 | |
5% 5/15/37 | 1,967,000 | 2,150,254 | |
5.25% 11/15/28 | 31,601,000 | 32,998,357 | |
5.25% 2/15/29 | 10,374,000 | 10,859,066 | |
5.375% 2/15/31 | 42,262,000 | 45,525,749 | |
5.5% 8/15/28 | 66,565,000 | 70,109,066 | |
6% 2/15/26 | 3,771,000 | 3,882,362 | |
6.125% 11/15/27 | 139,604,000 | 149,087,256 | |
6.125% 8/15/29 | 47,344,000 | 51,948,944 | |
6.25% 5/15/30 | 201,878,000 | 225,645,975 | |
6.375% 8/15/27 | 33,400,000 | 35,777,141 | |
6.5% 11/15/26 | 39,000 | 41,297 | |
6.625% 2/15/27 | 24,450,000 | 26,129,027 | |
6.75% 8/15/26 | 56,623,000 | 60,035,863 | |
6.875% 8/15/25 | 91,000 | 94,373 | |
7.5% 11/15/24 | 67,000 | 68,808 | |
7.625% 2/15/25 (b) | 20,938,000 | 21,668,376 | |
U.S. Treasury Notes: | |||
0.125% 9/15/23 | 56,000 | 55,887 | |
0.125% 10/15/23 | 6,857,000 | 6,813,072 | |
0.125% 1/15/24 | 63,000 | 61,794 | |
0.125% 2/15/24 | 14,041,000 | 13,710,269 | |
0.25% 11/15/23 | 72,000 | 71,241 | |
0.25% 3/15/24 | 7,837,000 | 7,624,850 | |
0.25% 5/15/24 | 15,780,000 | 15,215,988 | |
0.25% 5/31/25 | 99,744,000 | 91,912,538 | |
0.25% 6/30/25 (b) | 115,476,400 | 106,121,008 | |
0.25% 7/31/25 | 187,626,000 | 171,875,677 | |
0.25% 8/31/25 | 124,344,000 | 113,531,901 | |
0.25% 9/30/25 | 150,380,000 | 137,010,278 | |
0.25% 10/31/25 | 127,321,300 | 115,588,841 | |
0.375% 4/15/24 | 49,000 | 47,486 | |
0.375% 7/15/24 | 31,538,000 | 30,198,867 | |
0.375% 9/15/24 | 94,577,000 | 89,859,233 | |
0.375% 4/30/25 | 11,267,000 | 10,440,900 | |
0.375% 11/30/25 | 32,600,000 | 29,589,594 | |
0.375% 12/31/25 | 86,183,100 | 78,089,968 | |
0.375% 1/31/26 | 13,705,000 | 12,369,298 | |
0.375% 7/31/27 | 141,814,000 | 121,550,110 | |
0.375% 9/30/27 | 124,126,000 | 105,807,718 | |
0.5% 3/31/25 | 97,681,000 | 90,988,326 | |
0.5% 2/28/26 | 58,511,000 | 52,829,033 | |
0.5% 4/30/27 | 30,144,000 | 26,187,600 | |
0.5% 5/31/27 | 38,920,000 | 33,714,450 | |
0.5% 6/30/27 | 38,381,000 | 33,165,082 | |
0.5% 8/31/27 | 76,109,000 | 65,394,280 | |
0.625% 10/15/24 | 114,674,000 | 108,891,026 | |
0.625% 7/31/26 | 129,205,000 | 115,542,580 | |
0.625% 3/31/27 | 17,704,000 | 15,495,149 | |
0.625% 11/30/27 | 77,400,700 | 66,328,771 | |
0.625% 12/31/27 | 57,239,900 | 48,933,407 | |
0.625% 5/15/30 | 245,327,000 | 194,622,892 | |
0.625% 8/15/30 | 182,194,900 | 143,556,771 | |
0.75% 3/31/26 | 157,216,000 | 142,685,802 | |
0.75% 4/30/26 | 79,288,000 | 71,706,085 | |
0.75% 5/31/26 | 144,299,000 | 130,139,661 | |
0.75% 8/31/26 | 57,499,000 | 51,477,328 | |
0.75% 1/31/28 | 154,028,000 | 132,109,093 | |
0.875% 6/30/26 | 55,301,000 | 49,989,080 | |
0.875% 9/30/26 | 3,677,000 | 3,299,677 | |
0.875% 11/15/30 | 144,580,900 | 115,732,492 | |
1% 12/15/24 | 168,400,000 | 159,644,515 | |
1% 7/31/28 | 142,409,000 | 121,870,952 | |
1.125% 1/15/25 | 38,000,000 | 35,982,734 | |
1.125% 2/28/25 | 143,825,900 | 135,662,657 | |
1.125% 10/31/26 | 114,815,000 | 103,503,929 | |
1.125% 2/28/27 | 89,038,000 | 79,605,537 | |
1.125% 2/29/28 | 50,970,000 | 44,373,765 | |
1.125% 8/31/28 | 142,807,000 | 122,741,501 | |
1.125% 2/15/31 | 107,598,000 | 87,419,172 | |
1.25% 11/30/26 | 76,047,000 | 68,682,917 | |
1.25% 12/31/26 | 85,700,000 | 77,290,688 | |
1.25% 3/31/28 | 102,808,000 | 89,848,569 | |
1.25% 4/30/28 | 120,599,000 | 105,175,519 | |
1.25% 5/31/28 | 196,074,000 | 170,683,948 | |
1.25% 6/30/28 | 159,735,000 | 138,782,260 | |
1.25% 9/30/28 | 131,538,000 | 113,518,321 | |
1.25% 8/15/31 | 211,866,000 | 171,081,795 | |
1.375% 9/30/23 | 6,179,000 | 6,159,062 | |
1.375% 8/31/26 | 132,600,000 | 120,976,781 | |
1.375% 10/31/28 | 9,200,000 | 7,974,891 | |
1.375% 12/31/28 | 26,100,000 | 22,544,894 | |
1.375% 11/15/31 | 85,946,000 | 69,653,190 | |
1.5% 2/29/24 | 200,000 | 196,188 | |
1.5% 9/30/24 | 106,723,000 | 102,470,755 | |
1.5% 10/31/24 | 111,515,000 | 106,806,105 | |
1.5% 2/15/25 | 47,500,000 | 45,099,023 | |
1.5% 8/15/26 | 102,770,000 | 94,199,142 | |
1.5% 1/31/27 | 129,900,000 | 117,828,433 | |
1.5% 11/30/28 | 78,300,000 | 68,203,582 | |
1.5% 2/15/30 | 53,393,000 | 45,294,366 | |
1.625% 2/15/26 | 29,244,000 | 27,183,212 | |
1.625% 5/15/26 | 35,738,000 | 33,049,274 | |
1.625% 9/30/26 | 55,500,000 | 50,971,113 | |
1.625% 10/31/26 | 87,777,000 | 80,384,531 | |
1.625% 11/30/26 | 9,625,000 | 8,800,107 | |
1.625% 8/15/29 | 116,062,000 | 100,511,505 | |
1.625% 5/15/31 | 175,793,000 | 147,247,239 | |
1.75% 6/30/24 | 12,865,800 | 12,487,867 | |
1.75% 12/31/24 | 90,883,000 | 86,885,568 | |
1.75% 3/15/25 | 127,700,000 | 121,432,586 | |
1.75% 12/31/26 | 39,400,000 | 36,115,640 | |
1.75% 1/31/29 | 99,200,000 | 87,226,251 | |
1.75% 11/15/29 | 55,407,000 | 48,182,447 | |
1.875% 8/31/24 | 1,000 | 966 | |
1.875% 6/30/26 | 46,405,000 | 43,158,463 | |
1.875% 7/31/26 | 63,142,000 | 58,571,605 | |
1.875% 2/28/27 | 99,400,000 | 91,187,851 | |
1.875% 2/28/29 | 2,900,000 | 2,564,348 | |
1.875% 2/15/32 | 141,000,000 | 118,484,528 | |
2% 4/30/24 | 2,462,000 | 2,407,663 | |
2% 5/31/24 | 43,408,000 | 42,317,713 | |
2% 6/30/24 | 12,775,000 | 12,424,186 | |
2% 2/15/25 | 6,597,000 | 6,310,443 | |
2% 8/15/25 | 54,627,000 | 51,712,137 | |
2% 11/15/26 | 54,650,000 | 50,593,945 | |
2.125% 11/30/23 | 2,629,000 | 2,607,639 | |
2.125% 7/31/24 | 12,095,000 | 11,742,072 | |
2.125% 9/30/24 | 30,004,000 | 28,993,709 | |
2.125% 11/30/24 | 124,946,000 | 120,265,405 | |
2.125% 5/15/25 | 5,400,000 | 5,147,930 | |
2.125% 5/31/26 | 37,900,000 | 35,514,965 | |
2.25% 12/31/23 | 29,000 | 28,700 | |
2.25% 1/31/24 | 60,000 | 59,222 | |
2.25% 4/30/24 | 1,000 | 979 | |
2.25% 10/31/24 | 27,138,000 | 26,215,732 | |
2.25% 11/15/24 | 10,322,000 | 9,960,327 | |
2.25% 12/31/24 | 6,055,000 | 5,827,228 | |
2.25% 11/15/25 | 54,523,000 | 51,654,153 | |
2.25% 3/31/26 | 13,873,000 | 13,080,180 | |
2.25% 2/15/27 | 44,880,000 | 41,733,141 | |
2.25% 8/15/27 | 28,284,000 | 26,115,192 | |
2.25% 11/15/27 | 43,000,000 | 39,541,523 | |
2.375% 8/15/24 | 11,698,000 | 11,367,623 | |
2.375% 4/30/26 | 44,609,000 | 42,131,109 | |
2.375% 5/15/27 | 7,901,000 | 7,352,868 | |
2.375% 3/31/29 | 10,000,000 | 9,069,141 | |
2.375% 5/15/29 | 124,499,000 | 112,768,860 | |
2.5% 4/30/24 | 14,100,000 | 13,833,973 | |
2.5% 5/15/24 | 16,226,000 | 15,895,142 | |
2.5% 5/31/24 | 25,000,000 | 24,462,891 | |
2.5% 1/31/25 | 5,697,000 | 5,492,042 | |
2.5% 2/28/26 | 2,000 | 1,899 | |
2.625% 3/31/25 | 16,295,000 | 15,694,122 | |
2.625% 4/15/25 | 118,500,000 | 114,065,507 | |
2.625% 12/31/25 | 83,200,000 | 79,374,750 | |
2.625% 1/31/26 | 28,504,000 | 27,160,081 | |
2.625% 5/31/27 | 123,900,000 | 116,301,446 | |
2.625% 2/15/29 | 76,744,000 | 70,652,445 | |
2.625% 7/31/29 | 55,000,000 | 50,372,266 | |
2.75% 11/15/23 | 59,000 | 58,675 | |
2.75% 2/28/25 | 66,280,000 | 64,045,639 | |
2.75% 5/15/25 | 11,800,000 | 11,369,945 | |
2.75% 6/30/25 | 182,760,000 | 175,820,831 | |
2.75% 8/31/25 | 28,037,000 | 26,913,330 | |
2.75% 4/30/27 | 152,400,000 | 143,845,360 | |
2.75% 7/31/27 | 30,200,000 | 28,429,289 | |
2.75% 2/15/28 | 86,418,200 | 80,963,051 | |
2.75% 5/31/29 | 53,900,000 | 49,790,125 | |
2.75% 8/15/32 | 111,000,000 | 99,635,508 | |
2.875% 4/30/25 | 80,986,000 | 78,224,251 | |
2.875% 5/31/25 | 5,889,000 | 5,681,965 | |
2.875% 6/15/25 | 84,100,000 | 81,120,363 | |
2.875% 7/31/25 | 125,197,000 | 120,585,251 | |
2.875% 11/30/25 | 93,000,000 | 89,301,797 | |
2.875% 5/15/28 | 73,985,000 | 69,531,450 | |
2.875% 8/15/28 | 92,876,000 | 87,078,505 | |
2.875% 4/30/29 | 74,400,000 | 69,247,219 | |
2.875% 5/15/32 | 180,800,000 | 164,309,062 | |
3% 7/15/25 | 28,400,000 | 27,430,406 | |
3% 9/30/25 | 82,060,000 | 79,098,147 | |
3% 10/31/25 | 72,984,000 | 70,304,119 | |
3.125% 8/15/25 | 31,000,000 | 29,991,289 | |
3.125% 8/31/27 | 9,600,000 | 9,160,500 | |
3.125% 11/15/28 | 26,503,000 | 25,093,993 | |
3.125% 8/31/29 | 33,800,000 | 31,812,930 | |
3.25% 6/30/27 | 46,500,000 | 44,640,000 | |
3.25% 6/30/29 | 61,300,000 | 58,134,430 | |
3.375% 5/15/33 | 103,200,000 | 97,217,625 | |
3.5% 1/31/28 | 30,900,000 | 29,880,059 | |
3.5% 1/31/30 | 73,500,000 | 70,505,449 | |
3.5% 2/15/33 | 195,600,000 | 186,278,438 | |
3.625% 3/31/28 | 128,600,000 | 125,013,266 | |
3.875% 1/15/26 | 34,100,000 | 33,455,297 | |
3.875% 11/30/27 | 6,500,000 | 6,380,664 | |
3.875% 12/31/27 | 35,600,000 | 34,940,873 | |
3.875% 9/30/29 | 4,900,000 | 4,801,809 | |
3.875% 11/30/29 | 32,200,000 | 31,554,742 | |
3.875% 12/31/29 | 91,300,000 | 89,463,301 | |
3.875% 8/15/33 | 59,500,000 | 58,440,156 | |
4% 12/15/25 | 53,800,000 | 52,929,953 | |
4% 6/30/28 | 75,600,000 | 74,696,344 | |
4% 10/31/29 | 33,100,000 | 32,656,512 | |
4% 2/28/30 | 28,500,000 | 28,137,070 | |
4.125% 9/30/27 | 94,400,000 | 93,526,063 | |
4.125% 11/15/32 | 155,600,000 | 155,527,063 | |
4.25% 12/31/24 | 56,200,000 | 55,512,867 | |
4.25% 10/15/25 | 7,500,000 | 7,415,918 | |
4.5% 11/15/25 | 13,300,000 | 13,218,953 | |
4.625% 6/30/25 | 94,800,000 | 94,274,156 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $16,351,123,209) | 14,903,142,642 | ||
Money Market Funds - 0.7% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.43% (c) | 17,565,202 | 17,568,715 | |
Fidelity Securities Lending Cash Central Fund 5.44% (c)(d) | 92,072,980 | 92,082,188 | |
TOTAL MONEY MARKET FUNDS (Cost $109,650,903) | 109,650,903 | ||
TOTAL INVESTMENT IN SECURITIES - 100.2% (Cost $16,460,774,112) | 15,012,793,545 |
NET OTHER ASSETS (LIABILITIES) - (0.2)% | (31,565,625) |
NET ASSETS - 100.0% | 14,981,227,920 |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security or a portion of the security is on loan at period end. |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(d) | Investment made with cash collateral received from securities on loan. |
Affiliate | Value, beginning of period ($) | 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 5.43% | 58,458,024 | 757,852,481 | 798,741,790 | 720,083 | - | - | 17,568,715 | 0.0% |
Fidelity Securities Lending Cash Central Fund 5.44% | 104,033,885 | 686,265,420 | 698,217,117 | 42,218 | - | - | 92,082,188 | 0.3% |
Total | 162,491,909 | 1,444,117,901 | 1,496,958,907 | 762,301 | - | - | 109,650,903 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 14,903,142,642 | - | 14,903,142,642 | - |
Money Market Funds | 109,650,903 | 109,650,903 | - | - |
Total Investments in Securities: | 15,012,793,545 | 109,650,903 | 14,903,142,642 | - |
Statement of Assets and Liabilities | ||||
August 31, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value (including securities loaned of $90,070,691) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $16,351,123,209) | $ | 14,903,142,642 | ||
Fidelity Central Funds (cost $109,650,903) | 109,650,903 | |||
Total Investment in Securities (cost $16,460,774,112) | $ | 15,012,793,545 | ||
Receivable for investments sold | 320,401,709 | |||
Receivable for fund shares sold | 5,825,691 | |||
Interest receivable | 68,650,852 | |||
Distributions receivable from Fidelity Central Funds | 100,971 | |||
Prepaid expenses | 22,455 | |||
Receivable from investment adviser for expense reductions | 179,981 | |||
Total assets | 15,407,975,204 | |||
Liabilities | ||||
Payable for investments purchased | $ | 322,380,786 | ||
Payable for fund shares redeemed | 7,679,468 | |||
Distributions payable | 3,841,239 | |||
Accrued management fee | 494,170 | |||
Other payables and accrued expenses | 269,433 | |||
Collateral on securities loaned | 92,082,188 | |||
Total Liabilities | 426,747,284 | |||
Net Assets | $ | 14,981,227,920 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 17,023,966,532 | ||
Total accumulated earnings (loss) | (2,042,738,612) | |||
Net Assets | $ | 14,981,227,920 | ||
Net Asset Value, offering price and redemption price per share ($14,981,227,920 ÷ 1,738,350,818 shares) | $ | 8.62 |
Statement of Operations | ||||
Six months ended August 31, 2023 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 206,300,594 | ||
Income from Fidelity Central Funds (including $42,218 from security lending) | 762,301 | |||
Total Income | 207,062,895 | |||
Expenses | ||||
Management fee | $ | 2,915,682 | ||
Custodian fees and expenses | 61,433 | |||
Independent trustees' fees and expenses | 23,336 | |||
Registration fees | 299,774 | |||
Audit | 29,312 | |||
Legal | 4,261 | |||
Miscellaneous | 44,768 | |||
Total expenses before reductions | 3,378,566 | |||
Expense reductions | (1,149,023) | |||
Total expenses after reductions | 2,229,543 | |||
Net Investment income (loss) | 204,833,352 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (47,511,382) | |||
Total net realized gain (loss) | (47,511,382) | |||
Change in net unrealized appreciation (depreciation) on investment securities | (96,649,654) | |||
Net gain (loss) | (144,161,036) | |||
Net increase (decrease) in net assets resulting from operations | $ | 60,672,316 |
Statement of Changes in Net Assets | ||||
Six months ended August 31, 2023 (Unaudited) | Year ended February 28, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 204,833,352 | $ | 263,915,621 |
Net realized gain (loss) | (47,511,382) | (563,513,094) | ||
Change in net unrealized appreciation (depreciation) | (96,649,654) | (1,059,635,332) | ||
Net increase (decrease) in net assets resulting from operations | 60,672,316 | (1,359,232,805) | ||
Distributions to shareholders | (150,515,128) | (209,327,205) | ||
Share transactions | ||||
Proceeds from sales of shares | 3,960,218,751 | 13,241,194,566 | ||
Reinvestment of distributions | 129,922,752 | 182,738,336 | ||
Cost of shares redeemed | (2,476,251,516) | (9,625,546,014) | ||
Net increase (decrease) in net assets resulting from share transactions | 1,613,889,987 | 3,798,386,888 | ||
Total increase (decrease) in net assets | 1,524,047,175 | 2,229,826,878 | ||
Net Assets | ||||
Beginning of period | 13,457,180,745 | 11,227,353,867 | ||
End of period | $ | 14,981,227,920 | $ | 13,457,180,745 |
Other Information | ||||
Shares | ||||
Sold | 450,776,086 | 1,470,547,195 | ||
Issued in reinvestment of distributions | 14,821,204 | 20,547,113 | ||
Redeemed | (281,915,644) | (1,083,249,754) | ||
Net increase (decrease) | 183,681,646 | 407,844,554 | ||
Fidelity® SAI U.S. Treasury Bond Index Fund |
Six months ended (Unaudited) August 31, 2023 | Years ended February 28, 2023 | 2022 | 2021 | 2020 A | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 8.66 | $ | 9.79 | $ | 10.10 | $ | 10.60 | $ | 9.65 | $ | 9.55 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) B,C | .123 | .184 | .106 | .168 | .229 | .233 | ||||||
Net realized and unrealized gain (loss) | (.073) | (1.170) | (.316) | (.191) | .937 | .072 | ||||||
Total from investment operations | .050 | (.986) | (.210) | (.023) | 1.166 | .305 | ||||||
Distributions from net investment income | (.090) | (.144) | (.098) | (.175) | (.216) | (.205) | ||||||
Distributions from net realized gain | - | - | (.002) | (.302) | - | - | ||||||
Total distributions | (.090) | (.144) | (.100) | (.477) | (.216) | (.205) | ||||||
Net asset value, end of period | $ | 8.62 | $ | 8.66 | $ | 9.79 | $ | 10.10 | $ | 10.60 | $ | 9.65 |
Total Return D,E | .57% | (10.10)% | (2.09)% | (.33)% | 12.21% | 3.23% | ||||||
Ratios to Average Net Assets C,F,G | ||||||||||||
Expenses before reductions | .05% H,I | .05% | .05% | .05% | .08% | .15% | ||||||
Expenses net of fee waivers, if any | .03% I | .03% | .03% | .03% | .03% | .03% | ||||||
Expenses net of all reductions | .03% I | .03% | .03% | .03% | .03% | .03% | ||||||
Net investment income (loss) | 2.80% I | 2.05% | 1.06% | 1.56% | 2.27% | 2.45% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 14,981,228 | $ | 13,457,181 | $ | 11,227,354 | $ | 9,575,368 | $ | 9,284,624 | $ | 2,897,538 |
Portfolio turnover rate J | 20% I | 60% | 45% | 167% | 23% | 73% |
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 | $7,213,587 |
Gross unrealized depreciation | (1,367,577,233) |
Net unrealized appreciation (depreciation) | $(1,360,363,646) |
Tax cost | $16,373,157,191 |
Short-term | $(323,894,925) |
Long-term | (316,088,692) |
Total capital loss carryforward | $(639,983,617) |
Amount | |
Fidelity SAI U.S. Treasury Bond Index Fund | $13,136 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity SAI U.S. Treasury Bond Index Fund | $5,193 | $ - | $- |
Strategic Advisers Core Income Fund | Strategic Advisers Fidelity Core Income Fund | |
Fidelity SAI U.S. Treasury Bond Index Fund | 15% | 43% |
Fund | % of shares held |
Fidelity SAI U.S. Treasury Bond Index Fund | 58% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Expenses Paid During Period- C March 1, 2023 to August 31, 2023 | |||||||
Fidelity® SAI U.S. Treasury Bond Index Fund | .03% | |||||||||
Actual | $ 1,000 | $ 1,005.70 | $ .15 | |||||||
Hypothetical-B | $ 1,000 | $ 1,024.99 | $ .15 | |||||||
Contents
Coupon Distribution (% of Fund's Investments) | ||
1 - 1.99% | 16.3 | |
2 - 2.99% | 39.9 | |
3 - 3.99% | 35.1 | |
4 - 4.99% | 7.6 | |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Asset Allocation (% of Fund's net assets) |
U.S. Government and Government Agency Obligations - 99.3% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Obligations - 99.3% | |||
U.S. Treasury Bonds: | |||
1.25% 5/15/50 | 160,653,000 | 83,972,570 | |
1.375% 8/15/50 | 185,848,000 | 100,452,295 | |
1.625% 11/15/50 | 153,442,000 | 88,756,607 | |
1.875% 2/15/51 | 262,813,000 | 162,133,035 | |
1.875% 11/15/51 | 211,300,000 | 129,833,944 | |
2% 2/15/50 | 169,443,800 | 108,503,602 | |
2% 8/15/51 | 223,188,000 | 141,698,225 | |
2.25% 8/15/46 | 113,154,000 | 77,943,657 | |
2.25% 8/15/49 | 94,513,000 | 64,294,684 | |
2.25% 2/15/52 | 194,700,000 | 131,346,446 | |
2.375% 11/15/49 | 58,325,000 | 40,788,769 | |
2.375% 5/15/51 | 199,070,000 | 138,361,426 | |
2.5% 2/15/45 | 98,179,700 | 72,096,882 | |
2.5% 2/15/46 | 108,485,000 | 78,871,985 | |
2.5% 5/15/46 | 56,200,000 | 40,808,664 | |
2.75% 8/15/42 | 3,500 | 2,752 | |
2.75% 11/15/42 | 6,319,100 | 4,954,569 | |
2.75% 8/15/47 | 94,057,000 | 71,288,593 | |
2.75% 11/15/47 | 70,354,000 | 53,271,169 | |
2.875% 5/15/43 | 9,120,200 | 7,264,453 | |
2.875% 8/15/45 | 88,859,100 | 69,528,775 | |
2.875% 11/15/46 | 36,996,000 | 28,777,396 | |
2.875% 5/15/49 | 154,018,000 | 119,381,999 | |
2.875% 5/15/52 | 172,600,000 | 133,987,492 | |
3% 5/15/42 | 70,700 | 57,993 | |
3% 11/15/44 | 800 | 644 | |
3% 5/15/45 | 36,846,800 | 29,526,377 | |
3% 11/15/45 | 70,806,000 | 56,567,356 | |
3% 2/15/47 | 91,646,000 | 72,854,990 | |
3% 5/15/47 | 55,348,000 | 43,986,526 | |
3% 2/15/48 | 128,187,000 | 101,753,438 | |
3% 8/15/48 | 116,755,000 | 92,651,478 | |
3% 2/15/49 | 107,459,000 | 85,299,779 | |
3% 8/15/52 | 174,900,000 | 139,380,269 | |
3.125% 2/15/42 | 68,100 | 57,225 | |
3.125% 2/15/43 | 13,154,600 | 10,926,540 | |
3.125% 8/15/44 | 63,564,300 | 52,301,501 | |
3.125% 5/15/48 | 152,214,000 | 123,626,308 | |
3.375% 5/15/44 | 17,923,800 | 15,369,659 | |
3.375% 11/15/48 | 77,547,000 | 65,902,833 | |
3.625% 8/15/43 | 2,597,600 | 2,321,706 | |
3.625% 2/15/44 | 80,388,500 | 71,709,054 | |
3.625% 2/15/53 | 125,200,000 | 112,797,375 | |
3.625% 5/15/53 | 88,000,000 | 79,365,000 | |
3.75% 11/15/43 | 65,182,100 | 59,292,796 | |
4% 11/15/52 | 185,100,000 | 178,599,808 | |
4.125% 8/15/53 | 84,700,000 | 83,561,844 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,169,278,508) | 3,426,230,488 | ||
Money Market Funds - 1.1% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.43% (b) (Cost $37,631,321) | 37,623,797 | 37,631,321 | |
TOTAL INVESTMENT IN SECURITIES - 100.4% (Cost $4,206,909,829) | 3,463,861,809 |
NET OTHER ASSETS (LIABILITIES) - (0.4)% | (12,268,230) |
NET ASSETS - 100.0% | 3,451,593,579 |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | 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 5.43% | 36,864,367 | 72,157,505 | 71,390,551 | 292,775 | - | - | 37,631,321 | 0.1% |
Fidelity Securities Lending Cash Central Fund 5.44% | - | 78,756,729 | 78,756,729 | 2,805 | - | - | - | 0.0% |
Total | 36,864,367 | 150,914,234 | 150,147,280 | 295,580 | - | - | 37,631,321 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 3,426,230,488 | - | 3,426,230,488 | - |
Money Market Funds | 37,631,321 | 37,631,321 | - | - |
Total Investments in Securities: | 3,463,861,809 | 37,631,321 | 3,426,230,488 | - |
Statement of Assets and Liabilities | ||||
August 31, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $4,169,278,508) | $ | 3,426,230,488 | ||
Fidelity Central Funds (cost $37,631,321) | 37,631,321 | |||
Total Investment in Securities (cost $4,206,909,829) | $ | 3,463,861,809 | ||
Receivable for investments sold | 48,600,133 | |||
Receivable for fund shares sold | 51,089 | |||
Interest receivable | 19,258,331 | |||
Distributions receivable from Fidelity Central Funds | 109,893 | |||
Prepaid expenses | 5,281 | |||
Receivable from investment adviser for expense reductions | 31,390 | |||
Total assets | 3,531,917,926 | |||
Liabilities | ||||
Payable for investments purchased | $ | 80,035,859 | ||
Payable for fund shares redeemed | 132,226 | |||
Distributions payable | 8,967 | |||
Accrued management fee | 111,347 | |||
Other payables and accrued expenses | 35,948 | |||
Total Liabilities | 80,324,347 | |||
Net Assets | $ | 3,451,593,579 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 6,256,537,141 | ||
Total accumulated earnings (loss) | (2,804,943,562) | |||
Net Assets | $ | 3,451,593,579 | ||
Net Asset Value, offering price and redemption price per share ($3,451,593,579 ÷ 469,161,130 shares) | $ | 7.36 |
Statement of Operations | ||||
Six months ended August 31, 2023 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 61,357,651 | ||
Income from Fidelity Central Funds (including $2,805 from security lending) | 295,580 | |||
Total Income | 61,653,231 | |||
Expenses | ||||
Management fee | $ | 682,363 | ||
Custodian fees and expenses | 4,031 | |||
Independent trustees' fees and expenses | 5,579 | |||
Registration fees | 18,217 | |||
Audit | 29,429 | |||
Legal | 1,021 | |||
Miscellaneous | 16,367 | |||
Total expenses before reductions | 757,007 | |||
Expense reductions | (231,408) | |||
Total expenses after reductions | 525,599 | |||
Net Investment income (loss) | 61,127,632 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (43,744,117) | |||
Total net realized gain (loss) | (43,744,117) | |||
Change in net unrealized appreciation (depreciation) on investment securities | (132,062,178) | |||
Net gain (loss) | (175,806,295) | |||
Net increase (decrease) in net assets resulting from operations | $ | (114,678,663) |
Statement of Changes in Net Assets | ||||
Six months ended August 31, 2023 (Unaudited) | Year ended February 28, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 61,127,632 | $ | 141,418,609 |
Net realized gain (loss) | (43,744,117) | (1,997,160,741) | ||
Change in net unrealized appreciation (depreciation) | (132,062,178) | (377,370,992) | ||
Net increase (decrease) in net assets resulting from operations | (114,678,663) | (2,233,113,124) | ||
Distributions to shareholders | (54,896,856) | (133,766,281) | ||
Share transactions | ||||
Proceeds from sales of shares | 357,360,956 | 4,729,413,945 | ||
Reinvestment of distributions | 54,844,540 | 133,514,177 | ||
Cost of shares redeemed | (29,886,832) | (6,343,836,524) | ||
Net increase (decrease) in net assets resulting from share transactions | 382,318,664 | (1,480,908,402) | ||
Total increase (decrease) in net assets | 212,743,145 | (3,847,787,807) | ||
Net Assets | ||||
Beginning of period | 3,238,850,434 | 7,086,638,241 | ||
End of period | $ | 3,451,593,579 | $ | 3,238,850,434 |
Other Information | ||||
Shares | ||||
Sold | 46,990,452 | 534,586,650 | ||
Issued in reinvestment of distributions | 7,044,352 | 16,005,056 | ||
Redeemed | (3,778,206) | (793,669,358) | ||
Net increase (decrease) | 50,256,598 | (243,077,652) | ||
Fidelity® SAI Long-Term Treasury Bond Index Fund |
Six months ended (Unaudited) August 31, 2023 | Years ended February 28, 2023 | 2022 | 2021 | 2020 A | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 7.73 | $ | 10.71 | $ | 11.04 | $ | 12.59 | $ | 9.72 | $ | 9.59 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) B,C | .139 | .243 | .219 | .227 | .251 | .292 | ||||||
Net realized and unrealized gain (loss) | (.384) | (2.991) | (.309) | (.965) | 2.876 | .123 | ||||||
Total from investment operations | (.245) | (2.748) | (.090) | (.738) | 3.127 | .415 | ||||||
Distributions from net investment income | (.125) | (.232) | (.213) | (.226) | (.257) | (.285) | ||||||
Distributions from net realized gain | - | - | (.027) | (.586) | - | - | ||||||
Total distributions | (.125) | (.232) | (.240) | (.812) | (.257) | (.285) | ||||||
Net asset value, end of period | $ | 7.36 | $ | 7.73 | $ | 10.71 | $ | 11.04 | $ | 12.59 | $ | 9.72 |
Total Return D,E | (3.25)% | (25.78)% | (.85)% | (6.39)% | 32.55% | 4.38% | ||||||
Ratios to Average Net Assets C,F,G | ||||||||||||
Expenses before reductions | .04% H,I | .04% | .08% | .05% | .08% | .20% | ||||||
Expenses net of fee waivers, if any | .03% I | .03% | .03% | .03% | .03% | .03% | ||||||
Expenses net of all reductions | .03% I | .03% | .03% | .03% | .03% | .03% | ||||||
Net investment income (loss) | 3.56% I | 2.85% | 1.97% | 1.77% | 2.21% | 2.99% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 3,451,594 | $ | 3,238,850 | $ | 7,086,638 | $ | 1,174,635 | $ | 1,055,440 | $ | 60,238 |
Portfolio turnover rate J | 16% I | 107% | 62% | 47% | 18% | 57% |
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 | $2,029,361 |
Gross unrealized depreciation | (753,044,336) |
Net unrealized appreciation (depreciation) | $(751,014,975) |
Tax cost | $4,214,876,784 |
Short-term | $(820,146,040) |
Long-term | (1,185,486,530) |
Total capital loss carryforward | $(2,005,632,570) |
Amount | |
Fidelity SAI Long-Term Treasury Bond Index Fund | $3,185 |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity SAI Long-Term Treasury Bond Index Fund | $293 | $- | $- |
Strategic Advisers Core Income Fund | Strategic Advisers Fidelity Core Income Fund | |
Fidelity SAI Long-Term Treasury Bond Index Fund | 13% | 82% |
Fund | % of shares held |
Fidelity SAI Long-Term Treasury Bond Index Fund | 95% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Expenses Paid During Period- C March 1, 2023 to August 31, 2023 | |||||||
Fidelity® SAI Long-Term Treasury Bond Index Fund | .03% | |||||||||
Actual | $ 1,000 | $ 967.50 | $ .15 | |||||||
Hypothetical-B | $ 1,000 | $ 1,024.99 | $ .15 | |||||||
Contents
Coupon Distribution (% of Fund's Investments) | ||
1 - 1.99% | 14.6 | |
2 - 2.99% | 42.1 | |
3 - 3.99% | 34.3 | |
4 - 4.99% | 6.8 | |
5 - 5.99% | 0.9 | |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Asset Allocation (% of Fund's net assets) |
U.S. Government and Government Agency Obligations - 99.0% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Obligations - 99.0% | |||
U.S. Treasury Bonds: | |||
1.125% 5/15/40 | 229,417,000 | 142,086,193 | |
1.125% 8/15/40 | 117,470,000 | 72,120,156 | |
1.25% 5/15/50 | 51,868,000 | 27,111,160 | |
1.375% 11/15/40 | 1,033,963,000 | 660,080,366 | |
1.375% 8/15/50 | 270,328,000 | 146,114,395 | |
1.625% 11/15/50 | 200,693,000 | 116,088,357 | |
1.75% 8/15/41 | 455,540,000 | 306,083,731 | |
1.875% 2/15/41 | 633,606,000 | 439,712,667 | |
1.875% 2/15/51 | 637,405,000 | 393,224,106 | |
1.875% 11/15/51 | 709,520,000 | 435,966,778 | |
2% 11/15/41 | 915,080,000 | 640,305,781 | |
2% 2/15/50 | 424,749,000 | 271,988,685 | |
2% 8/15/51 | 861,520,000 | 546,964,238 | |
2.25% 5/15/41 | 881,582,000 | 649,581,302 | |
2.25% 8/15/46 | 172,941,000 | 119,126,624 | |
2.25% 8/15/49 | 311,947,000 | 212,209,259 | |
2.25% 2/15/52 | 1,376,240,000 | 928,424,413 | |
2.375% 2/15/42 | 1,538,360,000 | 1,143,672,048 | |
2.375% 11/15/49 | 781,892,000 | 546,805,177 | |
2.375% 5/15/51 | 635,974,000 | 442,026,771 | |
2.5% 2/15/45 | 707,149,000 | 519,284,926 | |
2.5% 2/15/46 | 117,718,000 | 85,584,665 | |
2.5% 5/15/46 | 136,970,000 | 99,458,411 | |
2.75% 8/15/42 | 252,260,000 | 198,359,132 | |
2.75% 11/15/42 | 193,274,000 | 151,538,896 | |
2.75% 8/15/47 | 458,264,000 | 347,331,891 | |
2.75% 11/15/47 | 137,257,000 | 103,929,285 | |
2.875% 5/15/43 | 241,482,000 | 192,346,073 | |
2.875% 8/15/45 | 36,432,000 | 28,506,617 | |
2.875% 11/15/46 | 25,000 | 19,446 | |
2.875% 5/15/49 | 638,599,000 | 494,989,062 | |
2.875% 5/15/52 | 237,580,000 | 184,430,755 | |
3% 5/15/42 | 119,579,000 | 98,087,478 | |
3% 11/15/44 | 172,537,000 | 138,791,189 | |
3% 5/15/45 | 158,044,000 | 126,645,101 | |
3% 11/15/45 | 362,162,000 | 289,333,485 | |
3% 2/15/47 | 489,794,000 | 389,367,099 | |
3% 5/15/47 | 210,762,000 | 167,498,159 | |
3% 2/15/48 | 595,209,000 | 472,470,393 | |
3% 8/15/48 | 90,882,000 | 72,119,837 | |
3% 2/15/49 | 1,063,887,000 | 844,501,862 | |
3% 8/15/52 | 657,180,000 | 523,715,982 | |
3.125% 11/15/41 | 59,163,000 | 49,911,848 | |
3.125% 2/15/42 | 154,840,000 | 130,113,988 | |
3.125% 2/15/43 | 139,421,000 | 115,806,568 | |
3.125% 8/15/44 | 77,966,000 | 64,151,399 | |
3.125% 5/15/48 | 307,342,000 | 249,619,331 | |
3.25% 5/15/42 | 290,700,000 | 248,241,902 | |
3.375% 8/15/42 | 493,460,000 | 428,211,482 | |
3.375% 5/15/44 | 122,930,000 | 105,412,475 | |
3.375% 11/15/48 | 116,091,000 | 98,659,211 | |
3.5% 2/15/39 | 128,034,000 | 117,686,252 | |
3.625% 8/15/43 | 352,032,000 | 314,642,350 | |
3.625% 2/15/44 | 142,857,000 | 127,432,908 | |
3.625% 2/15/53 | 385,980,000 | 347,743,856 | |
3.625% 5/15/53 | 790,000,000 | 712,481,250 | |
3.75% 8/15/41 | 107,358,000 | 99,448,734 | |
3.75% 11/15/43 | 85,269,000 | 77,564,813 | |
3.875% 2/15/43 | 10,900,000 | 10,142,109 | |
3.875% 5/15/43 | 18,000,000 | 16,736,368 | |
4% 11/15/42 | 154,420,000 | 146,512,007 | |
4% 11/15/52 | 371,200,000 | 358,164,499 | |
4.25% 5/15/39 | 7,357,000 | 7,377,692 | |
4.25% 11/15/40 | 47,867,000 | 47,670,671 | |
4.375% 2/15/38 | 82,124,000 | 84,074,445 | |
4.375% 11/15/39 | 17,280,000 | 17,516,250 | |
4.375% 5/15/40 | 196,523,000 | 198,902,772 | |
4.375% 5/15/41 | 84,468,000 | 85,111,409 | |
4.375% 8/15/43 | 119,870,000 | 119,551,595 | |
4.5% 2/15/36 | 104,918,000 | 109,631,114 | |
4.5% 8/15/39 | 1,044,000 | 1,076,054 | |
4.625% 2/15/40 | 35,743,000 | 37,331,888 | |
4.75% 2/15/37 | 35,563,000 | 37,971,838 | |
4.75% 2/15/41 | 21,373,000 | 22,580,241 | |
5% 5/15/37 | 148,227,000 | 162,036,429 | |
U.S. Treasury Notes: | |||
2.75% 8/15/32 | 19,400,000 | 17,413,773 | |
3.5% 2/15/33 | 21,640,000 | 20,608,719 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $23,784,572,675) | 18,555,540,191 | ||
Money Market Funds - 1.4% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.43% (b) (Cost $260,497,013) | 260,444,924 | 260,497,013 | |
TOTAL INVESTMENT IN SECURITIES - 100.4% (Cost $24,045,069,688) | 18,816,037,204 |
NET OTHER ASSETS (LIABILITIES) - (0.4)% | (70,120,280) |
NET ASSETS - 100.0% | 18,745,916,924 |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | 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 5.43% | 220,005,277 | 631,652,796 | 591,161,060 | 2,949,399 | - | - | 260,497,013 | 0.7% |
Fidelity Securities Lending Cash Central Fund 5.44% | 91,383,143 | 780,106,674 | 871,489,817 | 24,224 | - | - | - | 0.0% |
Total | 311,388,420 | 1,411,759,470 | 1,462,650,877 | 2,973,623 | - | - | 260,497,013 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 18,555,540,191 | - | 18,555,540,191 | - |
Money Market Funds | 260,497,013 | 260,497,013 | - | - |
Total Investments in Securities: | 18,816,037,204 | 260,497,013 | 18,555,540,191 | - |
Statement of Assets and Liabilities | ||||
August 31, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $23,784,572,675) | $ | 18,555,540,191 | ||
Fidelity Central Funds (cost $260,497,013) | 260,497,013 | |||
Total Investment in Securities (cost $24,045,069,688) | $ | 18,816,037,204 | ||
Receivable for investments sold | 78,379,914 | |||
Receivable for fund shares sold | 100,789,218 | |||
Interest receivable | 98,642,550 | |||
Distributions receivable from Fidelity Central Funds | 809,581 | |||
Total assets | 19,094,658,467 | |||
Liabilities | ||||
Payable for investments purchased | $ | 348,089,906 | ||
Payable for fund shares redeemed | 600,182 | |||
Other payables and accrued expenses | 51,455 | |||
Total Liabilities | 348,741,543 | |||
Net Assets | $ | 18,745,916,924 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 24,686,919,477 | ||
Total accumulated earnings (loss) | (5,941,002,553) | |||
Net Assets | $ | 18,745,916,924 | ||
Net Asset Value, offering price and redemption price per share ($18,745,916,924 ÷ 3,290,748,515 shares) | $ | 5.70 |
Statement of Operations | ||||
Six months ended August 31, 2023 (Unaudited) | ||||
Investment Income | ||||
Interest | $ | 299,831,635 | ||
Income from Fidelity Central Funds (including $24,224 from security lending) | 2,973,623 | |||
Total Income | 302,805,258 | |||
Expenses | ||||
Custodian fees and expenses | $ | 77,906 | ||
Independent trustees' fees and expenses | 29,922 | |||
Miscellaneous | 83 | |||
Total expenses before reductions | 107,911 | |||
Expense reductions | (47) | |||
Total expenses after reductions | 107,864 | |||
Net Investment income (loss) | 302,697,394 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (274,120,960) | |||
Total net realized gain (loss) | (274,120,960) | |||
Change in net unrealized appreciation (depreciation) on investment securities | (544,061,687) | |||
Net gain (loss) | (818,182,647) | |||
Net increase (decrease) in net assets resulting from operations | $ | (515,485,253) |
Statement of Changes in Net Assets | ||||
Six months ended August 31, 2023 (Unaudited) | Year ended February 28, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 302,697,394 | $ | 475,693,836 |
Net realized gain (loss) | (274,120,960) | (466,967,551) | ||
Change in net unrealized appreciation (depreciation) | (544,061,687) | (4,409,523,731) | ||
Net increase (decrease) in net assets resulting from operations | (515,485,253) | (4,400,797,446) | ||
Distributions to shareholders | (281,088,582) | (449,770,175) | ||
Share transactions | ||||
Proceeds from sales of shares | 2,706,837,306 | 9,182,425,036 | ||
Reinvestment of distributions | 281,088,582 | 449,255,711 | ||
Cost of shares redeemed | (991,172,950) | (2,364,393,486) | ||
Net increase (decrease) in net assets resulting from share transactions | 1,996,752,938 | 7,267,287,261 | ||
Total increase (decrease) in net assets | 1,200,179,103 | 2,416,719,640 | ||
Net Assets | ||||
Beginning of period | 17,545,737,821 | 15,129,018,181 | ||
End of period | $ | 18,745,916,924 | $ | 17,545,737,821 |
Other Information | ||||
Shares | ||||
Sold | 454,433,383 | 1,373,818,678 | ||
Issued in reinvestment of distributions | 46,885,894 | 71,082,578 | ||
Redeemed | (164,029,574) | (369,851,700) | ||
Net increase (decrease) | 337,289,703 | 1,075,049,556 | ||
Fidelity® Series Long-Term Treasury Bond Index Fund |
Six months ended (Unaudited) August 31, 2023 | Years ended February 28, 2023 | 2022 | 2021 | 2020 A | 2019 | |||||||
Selected Per-Share Data | ||||||||||||
Net asset value, beginning of period | $ | 5.94 | $ | 8.05 | $ | 8.33 | $ | 10.06 | $ | 8.43 | $ | 8.36 |
Income from Investment Operations | ||||||||||||
Net investment income (loss) B,C | .100 | .185 | .175 | .201 | .249 | .248 | ||||||
Net realized and unrealized gain (loss) | (.247) | (2.121) | (.253) | (.752) | 2.319 | .069 | ||||||
Total from investment operations | (.147) | (1.936) | (.078) | (.551) | 2.568 | .317 | ||||||
Distributions from net investment income | (.093) | (.174) | (.169) | (.199) | (.243) | (.247) | ||||||
Distributions from net realized gain | - | - | (.033) | (.980) | (.695) | - | ||||||
Total distributions | (.093) | (.174) | (.202) | (1.179) | (.938) | (.247) | ||||||
Net asset value, end of period | $ | 5.70 | $ | 5.94 | $ | 8.05 | $ | 8.33 | $ | 10.06 | $ | 8.43 |
Total Return D,E | (2.55)% | (24.16)% | (1.01)% | (6.47)% | 31.91% | 3.84% | ||||||
Ratios to Average Net Assets C,F,G | ||||||||||||
Expenses before reductions H | -% I | -% | -% | -% | -% | -% | ||||||
Expenses net of fee waivers, if any H | -% I | -% | -% | -% | -% | -% | ||||||
Expenses net of all reductions H | -% I | -% | -% | -% | -% | -% | ||||||
Net investment income (loss) | 3.32% I | 2.87% | 2.10% | 2.03% | 2.68% | 2.98% | ||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 18,745,917 | $ | 17,545,738 | $ | 15,129,018 | $ | 9,356,431 | $ | 7,414,223 | $ | 10,466,444 |
Portfolio turnover rate J | 9% I | 10% | 18% | 56% | 33% K | 23% |
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 | $8,108,614 |
Gross unrealized depreciation | (5,211,829,632) |
Net unrealized appreciation (depreciation) | $(5,203,721,018) |
Tax cost | $24,019,758,222 |
Short-term | $(130,110,565) |
Long-term | (329,978,855) |
Total capital loss carryforward | $(460,089,420) |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Series Long-Term Treasury Bond Index Fund | $2,581 | - | - |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2023 to August 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value March 1, 2023 | Ending Account Value August 31, 2023 | Expenses Paid During Period- C March 1, 2023 to August 31, 2023 | |||||||
Fidelity® Series Long-Term Treasury Bond Index Fund | -%-D | |||||||||
Actual | $ 1,000 | $ 974.50 | $-E | |||||||
Hypothetical-B | $ 1,000 | $ 1,025.14 | $-E | |||||||
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
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 Fidelity Salem Street 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 Fidelity Salem Street Trust’s (the “Trust”) 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) | Not applicable. |
(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 Salem Street Trust
By: | /s/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | October 23, 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: | October 23, 2023 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | October 23, 2023 |