Quarterly Holdings Report
for
Fidelity® Limited Term Government Fund
February 28, 2021
ISG-QTLY-0421
1.968340.107
Schedule of Investments February 28, 2021 (Unaudited)
Showing Percentage of Net Assets
| U.S. Government and Government Agency Obligations - 87.7% | |||
| Principal Amount | Value | ||
| U.S. Government Agency Obligations - 2.5% | |||
| Fannie Mae 0.625% 4/22/25 | 319,000 | 319,713 | |
| Federal Farm Credit Bank 0.375% 4/8/22 | 11,200,000 | 11,231,413 | |
| 11,551,126 | |||
| U.S. Treasury Obligations - 85.0% | |||
| U.S. Treasury Bonds 1.875% 2/15/51 | 1,249,000 | 1,182,647 | |
| U.S. Treasury Notes: | |||
| 0.125% 5/31/22 | $5,647,000 | $5,647,882 | |
| 0.125% 6/30/22 | 26,984,000 | 26,993,487 | |
| 0.125% 7/31/22 | 1,000,000 | 1,000,117 | |
| 0.125% 8/31/22 | 7,700,000 | 7,700,301 | |
| 0.125% 9/30/22 | 34,300,000 | 34,302,680 | |
| 0.125% 10/31/22 | 5,260,000 | 5,260,000 | |
| 0.125% 8/15/23 | 1,320,000 | 1,317,783 | |
| 0.125% 10/15/23 | 574,000 | 572,565 | |
| 0.125% 2/15/24 | 279,000 | 277,779 | |
| 0.25% 7/31/25 | 17,354,000 | 17,086,233 | |
| 0.25% 9/30/25 | 14,373,000 | 14,116,981 | |
| 0.25% 10/31/25 | 5,600,000 | 5,494,781 | |
| 0.375% 3/31/22 | 72,200,000 | 72,397,424 | |
| 0.375% 4/30/25 | 18,223,000 | 18,092,734 | |
| 0.375% 12/31/25 | 1,226,000 | 1,207,323 | |
| 1.125% 2/28/22 | 4,910,000 | 4,960,826 | |
| 1.125% 2/29/28 | 26,932,000 | 26,957,249 | |
| 1.375% 1/31/22 | 34,000,000 | 34,406,406 | |
| 1.375% 1/31/25 | 2,300,000 | 2,378,613 | |
| 1.5% 9/30/21 | 10,372,000 | 10,459,514 | |
| 1.5% 9/30/24 | 7,921,000 | 8,227,939 | |
| 1.5% 10/31/24 | 3,410,000 | 3,542,271 | |
| 1.5% 1/31/27 | 144,000 | 148,843 | |
| 1.625% 11/15/22 | 779,000 | 798,871 | |
| 1.625% 9/30/26 | 552,000 | 575,180 | |
| 1.75% 7/31/21 | 900,000 | 906,363 | |
| 1.75% 6/30/22 (a)(b) | 12,447,000 | 12,719,764 | |
| 1.75% 7/31/24 | 7,660,000 | 8,019,063 | |
| 1.875% 7/31/22 | 7,869,000 | 8,063,573 | |
| 1.875% 9/30/22 (a) | 2,900,000 | 2,980,316 | |
| 1.875% 10/31/22 | 2,508,000 | 2,580,595 | |
| 2% 5/31/24 | 4,240,000 | 4,468,397 | |
| 2.125% 5/31/21 | 6,800,000 | 6,834,579 | |
| 2.125% 3/31/24 | 3,706,000 | 3,913,449 | |
| 2.375% 4/15/21 | 7,830,000 | 7,852,206 | |
| 2.5% 1/15/22 | 26,569,000 | 27,129,440 | |
| 2.625% 12/31/23 | 12,515,000 | 13,351,941 | |
| 403,926,115 | |||
| Other Government Related - 0.2% | |||
| Private Export Funding Corp. Secured 1.75% 11/15/24 | 1,050,000 | 1,093,260 | |
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
| (Cost $413,141,301) | 416,570,501 | ||
| U.S. Government Agency - Mortgage Securities - 1.5% | |||
| Fannie Mae - 0.9% | |||
| 12 month U.S. LIBOR + 1.360% 1.981% 10/1/35 (c)(d) | 2,823 | 2,941 | |
| 12 month U.S. LIBOR + 1.460% 2.017% 1/1/35 (c)(d) | 4,871 | 5,094 | |
| 12 month U.S. LIBOR + 1.480% 2.423% 7/1/34 (c)(d) | 1,416 | 1,480 | |
| 12 month U.S. LIBOR + 1.550% 2.498% 2/1/44 (c)(d) | 5,198 | 5,428 | |
| 12 month U.S. LIBOR + 1.550% 2.553% 6/1/36 (c)(d) | 1,190 | 1,252 | |
| 12 month U.S. LIBOR + 1.550% 2.591% 5/1/44 (c)(d) | 8,611 | 8,994 | |
| 12 month U.S. LIBOR + 1.560% 2.359% 2/1/44 (c)(d) | 8,232 | 8,603 | |
| 12 month U.S. LIBOR + 1.560% 3.565% 3/1/37 (c)(d) | 4,653 | 4,876 | |
| 12 month U.S. LIBOR + 1.570% 2.445% 5/1/44 (c)(d) | 3,623 | 3,786 | |
| 12 month U.S. LIBOR + 1.580% 1.955% 1/1/44 (c)(d) | 6,757 | 7,063 | |
| 12 month U.S. LIBOR + 1.580% 3.58% 4/1/44 (c)(d) | 4,783 | 4,990 | |
| 12 month U.S. LIBOR + 1.590% 3.433% 4/1/44 (c)(d) | 25,805 | 26,986 | |
| 12 month U.S. LIBOR + 1.620% 2.491% 3/1/33 (c)(d) | 6,355 | 6,624 | |
| 12 month U.S. LIBOR + 1.640% 2.727% 6/1/47 (c)(d) | 10,063 | 10,671 | |
| 12 month U.S. LIBOR + 1.670% 2.551% 11/1/36 (c)(d) | 10,297 | 10,820 | |
| 12 month U.S. LIBOR + 1.730% 2.972% 5/1/36 (c)(d) | 1,557 | 1,641 | |
| 12 month U.S. LIBOR + 1.750% 2.577% 7/1/35 (c)(d) | 1,396 | 1,465 | |
| 12 month U.S. LIBOR + 1.770% 2.146% 2/1/37 (c)(d) | 23,216 | 24,466 | |
| 12 month U.S. LIBOR + 1.800% 2.175% 1/1/42 (c)(d) | 17,743 | 18,612 | |
| 12 month U.S. LIBOR + 1.810% 3.141% 2/1/42 (c)(d) | 15,056 | 15,793 | |
| 12 month U.S. LIBOR + 1.890% 2.921% 8/1/35 (c)(d) | 10,189 | 10,743 | |
| 12 month U.S. LIBOR + 1.890% 3.88% 4/1/36 (c)(d) | 20,992 | 22,102 | |
| 6 month U.S. LIBOR + 1.510% 1.792% 2/1/33 (c)(d) | 1,405 | 1,455 | |
| 6 month U.S. LIBOR + 1.530% 2.025% 3/1/35 (c)(d) | 2,843 | 2,957 | |
| 6 month U.S. LIBOR + 1.530% 2.211% 12/1/34 (c)(d) | 2,598 | 2,700 | |
| 6 month U.S. LIBOR + 1.540% 1.795% 4/1/33 (c)(d) | 16,233 | 16,843 | |
| 6 month U.S. LIBOR + 1.550% 1.828% 10/1/33 (c)(d) | 2,126 | 2,208 | |
| 6 month U.S. LIBOR + 1.560% 1.815% 7/1/35 (c)(d) | 1,702 | 1,773 | |
| U.S. TREASURY 1 YEAR INDEX + 2.190% 2.503% 7/1/36 (c)(d) | 10,138 | 10,586 | |
| U.S. TREASURY 1 YEAR INDEX + 2.200% 3.708% 3/1/35 (c)(d) | 1,047 | 1,101 | |
| U.S. TREASURY 1 YEAR INDEX + 2.280% 2.417% 10/1/33 (c)(d) | 2,883 | 3,028 | |
| U.S. TREASURY 1 YEAR INDEX + 2.300% 2.553% 12/1/32 (c)(d) | 42,295 | 44,361 | |
| U.S. TREASURY 1 YEAR INDEX + 2.460% 2.826% 12/1/32 (c)(d) | 92,195 | 96,349 | |
| 3% 9/1/32 to 7/1/33 | 574,659 | 612,762 | |
| 3.5% 7/1/32 | 602,137 | 647,003 | |
| 4% 7/1/46 to 10/1/46 | 1,466,813 | 1,625,815 | |
| 4.5% 11/1/25 to 6/1/41 | 398,534 | 440,094 | |
| 5.5% 8/1/25 | 28,284 | 29,526 | |
| 6% to 6% 1/1/34 to 6/1/36 | 216,142 | 253,959 | |
| 6.5% 2/1/22 to 8/1/36 | 215,785 | 251,904 | |
| 4,248,854 | |||
| Freddie Mac - 0.3% | |||
| 12 month U.S. LIBOR + 1.510% 2.015% 11/1/35 (c)(d) | 3,873 | 4,055 | |
| 12 month U.S. LIBOR + 1.600% 2.6% 7/1/35 (c)(d) | 5,155 | 5,418 | |
| 12 month U.S. LIBOR + 1.750% 2.328% 9/1/41 (c)(d) | 50,629 | 53,157 | |
| 12 month U.S. LIBOR + 1.790% 2.168% 4/1/37 (c)(d) | 1,387 | 1,458 | |
| 12 month U.S. LIBOR + 1.880% 2.38% 10/1/41 (c)(d) | 50,592 | 53,174 | |
| 12 month U.S. LIBOR + 1.890% 2.664% 10/1/42 (c)(d) | 19,084 | 20,139 | |
| 12 month U.S. LIBOR + 2.040% 2.569% 3/1/33 (c)(d) | 214 | 224 | |
| 12 month U.S. LIBOR + 2.040% 2.97% 7/1/36 (c)(d) | 9,297 | 9,839 | |
| 6 month U.S. LIBOR + 1.660% 1.956% 7/1/35 (c)(d) | 30,526 | 31,818 | |
| 6 month U.S. LIBOR + 1.720% 1.97% 8/1/37 (c)(d) | 2,024 | 2,122 | |
| 6 month U.S. LIBOR + 1.840% 2.72% 2/1/37 (c)(d) | 908 | 954 | |
| 6 month U.S. LIBOR + 1.850% 2.438% 10/1/36 (c)(d) | 23,462 | 24,580 | |
| 6 month U.S. LIBOR + 1.860% 2.401% 10/1/35 (c)(d) | 13,816 | 14,468 | |
| 6 month U.S. LIBOR + 2.010% 2.26% 5/1/37 (c)(d) | 2,836 | 2,976 | |
| 6 month U.S. LIBOR + 2.010% 2.26% 5/1/37 (c)(d) | 4,229 | 4,438 | |
| 6 month U.S. LIBOR + 2.680% 2.933% 10/1/35 (c)(d) | 1,181 | 1,245 | |
| U.S. TREASURY 1 YEAR INDEX + 2.030% 2.967% 6/1/33 (c)(d) | 17,269 | 18,132 | |
| U.S. TREASURY 1 YEAR INDEX + 2.230% 3.73% 4/1/34 (c)(d) | 28,775 | 30,309 | |
| U.S. TREASURY 1 YEAR INDEX + 2.310% 2.41% 2/1/36 (c)(d) | 203 | 212 | |
| U.S. TREASURY 1 YEAR INDEX + 2.540% 2.973% 7/1/35 (c)(d) | 13,401 | 14,144 | |
| 3% 4/1/33 to 7/1/33 | 832,340 | 888,757 | |
| 3.5% 7/1/32 | 200,855 | 215,888 | |
| 5% 9/1/35 | 807 | 922 | |
| 6% 1/1/24 | 16,904 | 17,754 | |
| 6.5% 12/1/21 | 1,411 | 1,434 | |
| 9.5% 12/1/22 | 9 | 9 | |
| 1,417,626 | |||
| Ginnie Mae - 0.3% | |||
| 6% 6/15/36 | 187,681 | 218,406 | |
| 8% 12/15/23 | 6,606 | 6,931 | |
| 3.5% 2/20/50 to 11/20/50 | 582,375 | 619,705 | |
| 4% 7/20/47 | 628,691 | 680,031 | |
| 4.5% 3/20/47 | 81,519 | 89,546 | |
| 4.7% 1/20/62 (c)(e) | 29 | 28 | |
| 4.7% 2/20/62 (c)(e) | 3,613 | 3,648 | |
| 5.47% 8/20/59 (c)(e) | 102 | 105 | |
| 1,618,400 | |||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
| (Cost $6,912,079) | 7,284,880 | ||
| Asset-Backed Securities - 0.0% | |||
| Brazos Higher Education Authority, Inc. Series 2010-1 Class A1, 3 month U.S. LIBOR + 0.900% 1.1065% 5/25/29 (Cost $102,335)(c)(d) | $101,600 | $101,739 | |
| Collateralized Mortgage Obligations - 4.0% | |||
| U.S. Government Agency - 4.0% | |||
| Fannie Mae: | |||
| floater: | $ | $ | |
| Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 0.61% 4/25/24 (c)(d) | 46,965 | 46,677 | |
| Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 1.0976% 8/25/31 (c)(d) | 20,198 | 20,619 | |
| Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 0.7083% 11/18/31 (c)(d) | 20,986 | 21,281 | |
| Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.1176% 4/25/32 (c)(d) | 4,412 | 4,523 | |
| Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 0.5676% 11/25/32 (c)(d) | 136,535 | 137,253 | |
| Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 1.1176% 11/25/32 (c)(d) | 9,037 | 9,266 | |
| Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 1.0476% 6/25/36 (c)(d) | 259,643 | 265,277 | |
| planned amortization class Series 2005-64 Class PX, 5.5% 6/25/35 | 40,700 | 43,713 | |
| sequential payer: | |||
| Series 2003-117 Class MD, 5% 12/25/23 | 18,353 | 19,204 | |
| Series 2004-52 Class KZ, 5.5% 7/25/34 | 429,041 | 489,387 | |
| Series 2010-139 Class NI, 4.5% 2/25/40 (f) | 86,813 | 5,030 | |
| Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 1.0376% 3/25/36 (c)(d) | 178,098 | 182,868 | |
| Series 2011-67 Class AI, 4% 7/25/26 (f) | 23,683 | 1,263 | |
| Freddie Mac: | |||
| floater: | |||
| Series 2448 Class FT, 1 month U.S. LIBOR + 1.000% 1.1123% 3/15/32 (c)(d) | 22,032 | 22,521 | |
| Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 0.5123% 11/15/32 (c)(d) | 29,747 | 29,934 | |
| Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 0.7123% 2/15/32 (c)(d) | 11,870 | 12,057 | |
| Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 1.0123% 2/15/33 (c)(d) | 68,697 | 70,231 | |
| floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 0.5123% 3/15/34 (c)(d) | 80,146 | 80,856 | |
| planned amortization class Series 3415 Class PC, 5% 12/15/37 | 29,310 | 32,756 | |
| sequential payer: | |||
| Series 1929 Class EZ, 7.5% 2/17/27 | 67,925 | 74,402 | |
| Series 2004-2802 Class ZG, 5.5% 5/15/34 | 367,175 | 423,160 | |
| Series 2004-2862 Class NE, 5% 9/15/24 | 286,519 | 299,024 | |
| Series 2145 Class MZ, 6.5% 4/15/29 | 83,789 | 95,942 | |
| Series 2357 Class ZB, 6.5% 9/15/31 | 67,530 | 78,529 | |
| Series 3745 Class KV, 4.5% 12/15/26 | 329,135 | 336,016 | |
| Series 3859 Class JZ, 5% 5/15/41 | 470,005 | 527,419 | |
| Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series 4335 Class AL, 4.25% 3/15/40 | 58,823 | 59,213 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
| floater: | |||
| Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 0.6111% 7/20/37 (c)(d) | 43,783 | 44,413 | |
| Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 0.5911% 1/20/38 (c)(d) | 11,218 | 11,367 | |
| Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 0.9711% 8/20/38 (c)(d) | 89,895 | 91,845 | |
| Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 1.0111% 9/20/38 (c)(d) | 73,023 | 74,702 | |
| Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 0.7074% 11/16/39 (c)(d) | 48,885 | 49,718 | |
| Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 0.6374% 12/16/39 (c)(d) | 33,731 | 34,256 | |
| Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.4575% 7/20/60 (c)(d)(e) | 583,672 | 582,535 | |
| Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.4439% 9/20/60 (c)(d)(e) | 702,654 | 700,897 | |
| Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.4439% 8/20/60 (c)(d)(e) | 700,954 | 699,280 | |
| Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 0.5239% 12/20/60 (c)(d)(e) | 241,109 | 240,962 | |
| Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.6439% 12/20/60 (c)(d)(e) | 305,059 | 305,696 | |
| Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.6439% 2/20/61 (c)(d)(e) | 464,731 | 465,449 | |
| Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.6339% 2/20/61 (c)(d)(e) | 599,636 | 600,506 | |
| Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.6439% 4/20/61 (c)(d)(e) | 253,836 | 254,381 | |
| Series 2011-H14: | |||
| Class FB, 1 month U.S. LIBOR + 0.500% 0.6439% 5/20/61 (c)(d)(e) | 353,165 | 353,923 | |
| Class FC, 1 month U.S. LIBOR + 0.500% 0.6439% 5/20/61 (c)(d)(e) | 283,791 | 284,401 | |
| Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.6739% 6/20/61 (c)(d)(e) | 331,839 | 332,726 | |
| Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.7439% 10/20/61 (c)(d)(e) | 354,121 | 355,624 | |
| Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.8439% 11/20/61 (c)(d)(e) | 338,002 | 340,186 | |
| Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.8439% 1/20/62 (c)(d)(e) | 245,733 | 247,232 | |
| Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.7739% 1/20/62 (c)(d)(e) | 342,115 | 343,763 | |
| Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.7739% 3/20/62 (c)(d)(e) | 216,019 | 216,961 | |
| Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7939% 5/20/61 (c)(d)(e) | 3,166 | 3,183 | |
| Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.4239% 5/20/63 (c)(d)(e) | 8,479 | 8,457 | |
| Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.3439% 4/20/63 (c)(d)(e) | 4,446 | 4,427 | |
| Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.5439% 12/20/62 (c)(d)(e) | 8,511 | 8,510 | |
| Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.3611% 10/20/47 (c)(d) | 273,795 | 273,775 | |
| Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.4111% 5/20/48 (c)(d) | 286,341 | 286,838 | |
| Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.4111% 6/20/48 (c)(d) | 353,501 | 354,203 | |
| Series 2019-115 Class FA, 1 month U.S. LIBOR + 0.450% 0.5611% 9/20/49 (c)(d) | 934,928 | 943,240 | |
| Series 2019-98 Class FC, 1 month U.S. LIBOR + 0.450% 0.5611% 8/20/49 (c)(d) | 1,899,457 | 1,912,808 | |
| planned amortization class: | |||
| Series 2011-68 Class EC, 3.5% 4/20/41 | 204,360 | 217,091 | |
| Series 2017-134 Class BA, 2.5% 11/20/46 | 56,527 | 59,374 | |
| sequential payer: | |||
| Series 2013-H06 Class HA, 1.65% 1/20/63 (e) | 10,676 | 10,703 | |
| Series 2013-H26 Class HA, 3.5% 9/20/63 (e) | 309,225 | 312,139 | |
| Series 2014-H04 Class HA, 2.75% 2/20/64 (e) | 620,527 | 642,102 | |
| Series 2014-H12 Class KA, 2.75% 5/20/64 (e) | 294,524 | 299,507 | |
| Series 2018-H12 Class HA, 3.25% 8/20/68 (e) | 1,065,806 | 1,124,211 | |
| Series 2010-H15 Class TP, 5.15% 8/20/60 (e) | 1,471 | 1,491 | |
| Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(e) | 4,730 | 5,144 | |
| Series 2012-64 Class KI, 3.5% 11/20/36 (f) | 3,179 | 3 | |
| Series 2013-124: | |||
| Class ES, 8.667% - 1 month U.S. LIBOR 8.5185% 4/20/39 (c)(g) | 18,517 | 19,405 | |
| Class ST, 8.800% - 1 month U.S. LIBOR 8.6518% 8/20/39 (c)(g) | 37,187 | 38,143 | |
| Series 2013-H08 Class MA, 3% 3/20/63 (e) | 44,332 | 44,713 | |
| Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(e) | 59,186 | 59,734 | |
| Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.61% 5/20/66 (c)(d)(e) | 1,119,317 | 1,111,954 | |
| Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.46% 8/20/66 (c)(d)(e) | 1,171,983 | 1,160,713 | |
| 18,921,112 | |||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
| (Cost $18,743,921) | 18,921,112 | ||
| Foreign Government and Government Agency Obligations - 3.2% | |||
| Israeli State (guaranteed by U.S. Government through Agency for International Development): | |||
| 5.5% 9/18/23 | 11,058,000 | 12,518,435 | |
| 5.5% 12/4/23 | 4,000 | 4,573 | |
| Ukraine Government 1.471% 9/29/21 | 2,891,000 | 2,908,729 | |
| TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
| (Cost $14,777,307) | 15,431,737 | ||
| Shares | Value | ||
| Money Market Funds - 4.3% | |||
| Fidelity Cash Central Fund 0.07% (h) | |||
| (Cost $20,365,105) | 20,361,060 | 20,365,132 |
| Purchased Swaptions - 0.1% | ||||
| Expiration Date | Notional Amount | Value | ||
| Put Options - 0.1% | ||||
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.82% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/18/24 | 900,000 | $28,543 | |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.57125% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/5/24 | 3,000,000 | 111,842 | |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.741% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/12/24 | 1,000,000 | 32,874 | |
| TOTAL PUT OPTIONS | 173,259 | |||
| Call Options - 0.0% | ||||
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.82% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/18/24 | 900,000 | 21,756 | |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.57125% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/5/24 | 3,000,000 | 57,182 | |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.741% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/12/24 | 1,000,000 | 22,510 | |
| TOTAL CALL OPTIONS | 101,448 | |||
| TOTAL PURCHASED SWAPTIONS | ||||
| (Cost $279,218) | 274,707 | |||
| TOTAL INVESTMENT IN SECURITIES - 100.8% | ||||
| (Cost $474,321,266) | 478,949,808 | |||
| NET OTHER ASSETS (LIABILITIES) - (0.8)% | (3,829,613) | |||
| NET ASSETS - 100% | $475,120,195 |
| Written Swaptions | |||
| Expiration Date | Notional Amount | Value | |
| Put Swaptions | |||
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring November 2030 | 11/25/25 | 1,800,000 | $(100,623) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.2925% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2032 | 1/13/22 | 1,700,000 | (82,417) |
| TOTAL PUT SWAPTIONS | (183,040) | ||
| Call Swaptions | |||
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring November 2030 | 11/25/25 | 1,800,000 | (26,403) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.2925% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2032 | 1/13/22 | 1,700,000 | (21,572) |
| TOTAL CALL SWAPTIONS | (47,975) | ||
| TOTAL WRITTEN SWAPTIONS | $(231,015) |
| Futures Contracts | |||||
| Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
| Purchased | |||||
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 28 | June 2021 | $3,716,125 | $(45,980) | $(45,980) |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 254 | June 2021 | 56,074,469 | (47,205) | (47,205) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 268 | June 2021 | 33,223,625 | (270,632) | (270,631) |
| TOTAL FUTURES CONTRACTS | $(363,816) |
The notional amount of futures purchased as a percentage of Net Assets is 19.6%
Swaps
| Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(2) | Unrealized Appreciation/(Depreciation) |
| Interest Rate Swaps | |||||||||
| 0.25% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2023 | $9,856,000 | $(6,120) | $0 | $(6,120) |
| 0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2026 | 2,696,000 | (61,875) | 0 | (61,875) |
| 0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2028 | 2,244,000 | (97,593) | 0 | (97,593) |
| 3-month LIBOR(3) | Quarterly | 0.75% | Semi - annual | LCH | Mar. 2031 | 1,248,000 | 91,070 | 0 | 91,070 |
| TOTAL INTEREST RATE SWAPS | $(74,518) | $0 | $(74,518) | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Legend
(a) 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 $300,633.
(b) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $191,114.
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(e) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(f) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(g) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(h) 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.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $2,851 |
| Fidelity Securities Lending Cash Central Fund | 535 |
| Total | $3,386 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Foreign government and government agency obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific market events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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