TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $215,014,582)
206,127,718
U.S. Government Agency - Mortgage Securities - 10.4%
Principal
Amount (a)
Value ($)
Fannie Mae - 5.1%
12 month U.S. LIBOR + 1.360% 3.932% 10/1/35 (b)(c)
2,403
2,414
12 month U.S. LIBOR + 1.460% 3.846% 1/1/35 (b)(c)
3,618
3,636
12 month U.S. LIBOR + 1.480% 5.73% 7/1/34 (b)(c)
481
484
12 month U.S. LIBOR + 1.550% 3.985% 2/1/44 (b)(c)
2,417
2,435
12 month U.S. LIBOR + 1.550% 5.215% 5/1/44 (b)(c)
3,635
3,668
12 month U.S. LIBOR + 1.550% 5.803% 6/1/36 (b)(c)
718
725
12 month U.S. LIBOR + 1.560% 3.935% 2/1/44 (b)(c)
5,924
5,983
12 month U.S. LIBOR + 1.560% 4.065% 3/1/37 (b)(c)
4,069
4,091
12 month U.S. LIBOR + 1.570% 4.164% 4/1/44 (b)(c)
11,155
11,248
12 month U.S. LIBOR + 1.580% 3.83% 1/1/44 (b)(c)
6,072
6,136
12 month U.S. LIBOR + 1.580% 4.08% 4/1/44 (b)(c)
4,081
4,109
12 month U.S. LIBOR + 1.630% 4.911% 11/1/36 (b)(c)
5,309
5,347
12 month U.S. LIBOR + 1.640% 3.895% 6/1/47 (b)(c)
5,754
5,870
12 month U.S. LIBOR + 1.750% 4.454% 7/1/35 (b)(c)
888
894
12 month U.S. LIBOR + 1.770% 3.995% 2/1/37 (b)(c)
10,524
10,626
12 month U.S. LIBOR + 1.800% 4.055% 1/1/42 (b)(c)
14,425
14,614
12 month U.S. LIBOR + 1.810% 4.304% 2/1/42 (b)(c)
8,545
8,646
12 month U.S. LIBOR + 1.850% 4.429% 4/1/36 (b)(c)
8,361
8,437
12 month U.S. LIBOR + 1.890% 5.057% 8/1/35 (b)(c)
7,060
7,126
6 month U.S. LIBOR + 1.530% 4.372% 3/1/35 (b)(c)
1,971
1,974
6 month U.S. LIBOR + 1.530% 4.461% 12/1/34 (b)(c)
1,034
1,034
REFINITIV USD IBOR CONSUMER CA + 1.510% 7.023% 2/1/33 (b)(c)
860
867
REFINITIV USD IBOR CONSUMER CA + 1.540% 6.295% 4/1/33 (b)(c)
12,956
13,099
REFINITIV USD IBOR CONSUMER CA + 1.550% 6.154% 10/1/33 (b)(c)
1,389
1,406
REFINITIV USD IBOR CONSUMER CA + 1.560% 7.103% 7/1/35 (b)(c)
671
679
REFINITIV USD IBOR CONSUMER CA + 1.620% 4.293% 3/1/33 (b)(c)
3,417
3,433
REFINITIV USD IBOR CONSUMER CA + 1.740% 5.467% 5/1/36 (b)(c)
1,282
1,297
U.S. TREASURY 1 YEAR INDEX + 2.180% 4.546% 7/1/36 (b)(c)
6,001
6,054
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.583% 3/1/35 (b)(c)
861
868
U.S. TREASURY 1 YEAR INDEX + 2.280% 4.404% 10/1/33 (b)(c)
1,624
1,654
U.S. TREASURY 1 YEAR INDEX + 2.300% 4.303% 12/1/32 (b)(c)
34,523
34,888
U.S. TREASURY 1 YEAR INDEX + 2.460% 4.611% 12/1/32 (b)(c)
66,538
67,564
1.5% 11/1/40 to 11/1/41
2,925,772
2,351,752
2% 2/1/28 to 7/1/41
2,828,445
2,488,329
2.5% 1/1/28 to 11/1/41
1,973,176
1,781,730
3% 2/1/31 to 2/1/52 (d)(e)
1,944,316
1,781,602
3.5% 9/1/33 to 3/1/52
290,573
274,483
4% 7/1/46 to 10/1/46
838,018
790,713
4.5% 11/1/25 to 9/1/42
300,282
291,007
5% 10/1/52 to 12/1/52
810,059
791,482
5.5% 8/1/25 to 7/1/53
1,247,662
1,240,359
6% to 6% 1/1/34 to 6/1/53
724,257
735,623
6.5% 5/1/27 to 8/1/36
120,023
123,527
TOTAL FANNIE MAE
12,891,913
Freddie Mac - 3.3%
12 month U.S. LIBOR + 1.750% 4% 9/1/41 (b)(c)
27,957
28,359
12 month U.S. LIBOR + 1.880% 4.13% 10/1/41 (b)(c)
28,066
28,468
12 month U.S. LIBOR + 1.900% 4.936% 10/1/42 (b)(c)
10,558
10,581
12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (b)(c)
95
96
12 month U.S. LIBOR + 2.040% 6.256% 7/1/36 (b)(c)
5,569
5,636
REFINITIV USD IBOR CONSUMER CA + 1.660% 7.04% 7/1/35 (b)(c)
8,639
8,711
REFINITIV USD IBOR CONSUMER CA + 1.880% 4.488% 10/1/36 (b)(c)
12,869
12,933
REFINITIV USD IBOR CONSUMER CA + 1.990% 5.001% 10/1/35 (b)(c)
6,744
6,767
REFINITIV USD IBOR CONSUMER CA + 2.010% 6.76% 5/1/37 (b)(c)
1,456
1,481
REFINITIV USD IBOR CONSUMER CA + 2.680% 7.524% 10/1/35 (b)(c)
623
641
U.S. TREASURY 1 YEAR INDEX + 2.030% 4.857% 6/1/33 (b)(c)
9,474
9,479
U.S. TREASURY 1 YEAR INDEX + 2.230% 5.065% 4/1/34 (b)(c)
19,477
19,589
U.S. TREASURY 1 YEAR INDEX + 2.540% 6.046% 7/1/35 (b)(c)
11,477
11,628
1.5% 12/1/40 to 4/1/41
801,552
646,032
2% 5/1/36 to 7/1/41
1,746,317
1,495,389
2.5% 1/1/28 to 1/1/42
2,621,365
2,312,626
3% 12/1/30 to 3/1/52
497,606
454,572
3.5% 7/1/32 to 3/1/52 (d)
1,067,674
965,886
4.5% 10/1/42 to 12/1/42
93,147
89,580
5% 9/1/35 to 12/1/52
674,155
658,825
5.5% 9/1/52 to 8/1/53
1,697,804
1,688,175
6% 1/1/24
408
407
TOTAL FREDDIE MAC
8,455,861
Ginnie Mae - 1.8%
6% 6/15/36
112,331
114,570
8% 12/15/23
4
4
2% 2/20/51
48,256
39,944
2% 9/1/53 (f)
950,000
783,750
2% 9/1/53 (f)
1,300,000
1,072,501
2% 9/1/53 (f)
200,000
165,000
2% 9/1/53 (f)
300,000
247,500
2% 9/1/53 (f)
500,000
412,500
2% 9/1/53 (f)
450,000
371,250
2% 10/1/53 (f)
150,000
123,879
2% 10/1/53 (f)
1,600,000
1,321,376
3.5% 2/20/50
9,419
8,654
5.47% 8/20/59 (b)(g)
96
91
TOTAL GINNIE MAE
4,661,019
Uniform Mortgage Backed Securities - 0.2%
2.5% 9/1/53 (f)
400,000
331,516
5.5% 9/1/53 (f)
150,000
148,172
5.5% 9/1/53 (f)
100,000
98,781
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
578,469
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $27,760,245)
26,587,262
Collateralized Mortgage Obligations - 5.6%
Principal
Amount (a)
Value ($)
U.S. Government Agency - 5.6%
Fannie Mae:
floater:
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 3.31% 4/25/24 (b)(c)
3,892
3,873
Series 2001-38 Class QF, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.090% 6.3821% 8/25/31 (b)(c)
11,538
11,566
Series 2002-49 Class FB, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.710% 5.9445% 11/18/31 (b)(c)
12,275
12,165
Series 2002-60 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4021% 4/25/32 (b)(c)
2,627
2,632
Series 2002-74 Class FV, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 5.8521% 11/25/32 (b)(c)
39,180
39,083
Series 2002-75 Class FA, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.4021% 11/25/32 (b)(c)
5,382
5,392
Series 2010-15 Class FJ, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.040% 6.3321% 6/25/36 (b)(c)
151,615
151,627
planned amortization class Series 2005-64 Class PX, 5.5% 6/25/35
8,124
8,077
sequential payer:
Series 2003-117 Class MD, 5% 12/25/23
77
77
Series 2004-52 Class KZ, 5.5% 7/25/34
245,237
243,451
Series 2020-101 Class BA, 1.5% 9/25/45
283,905
237,021
Series 2022-1 Class KA, 3% 5/25/48
161,041
143,166
Series 2022-13 Class MA, 3% 5/25/44
677,763
625,022
Series 2022-3 Class N, 2% 10/25/47
1,265,420
1,058,046
Series 2022-35 Class CK, 4% 3/25/47
1,367,483
1,283,771
Series 2022-49 Class TE, 4.5% 12/25/48
1,202,510
1,154,398
Series 2022-65 Class GA, 5% 4/25/46
1,192,607
1,153,542
Series 2022-7 Class A, 3% 5/25/48
229,343
203,911
Series 2010-139 Class NI, 4.5% 2/25/40 (h)
14,359
198
Series 2010-39 Class FG, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.030% 6.3221% 3/25/36 (b)(c)
105,523
105,447
Series 2011-67 Class AI, 4% 7/25/26 (h)
4,590
101
Series 2020-45 Class JL, 3% 7/25/40
13,707
12,341
Freddie Mac:
floater:
Series 2448 Class FT, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.110% 6.303% 3/15/32 (b)(c)
12,676
12,692
Series 2526 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.510% 5.703% 11/15/32 (b)(c)
12,740
12,619
Series 2530 Class FE, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.710% 5.903% 2/15/32 (b)(c)
6,778
6,729
Series 2711 Class FC, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 1.010% 6.203% 2/15/33 (b)(c)
35,777
35,720
floater planned amortization class Series 2770 Class FH, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Index + 0.510% 5.703% 3/15/34 (b)(c)
45,696
44,973
planned amortization class Series 3415 Class PC, 5% 12/15/37
18,760
18,377
sequential payer:
Series 1929 Class EZ, 7.5% 2/17/27
9,390
9,476
Series 2004-2802 Class ZG, 5.5% 5/15/34
213,508
217,700
Series 2004-2862 Class NE, 5% 9/15/24
380
379
Series 2020-5018:
Class LC, 3% 10/25/40
82,608
74,385
Class LY, 3% 10/25/40
62,486
56,278
Series 2022-5189 Class DA, 2.5% 5/25/49
132,772
113,523
Series 2022-5190 Class BA, 2.5% 11/25/47
117,284
101,305
Series 2022-5197 Class DA, 2.5% 11/25/47
89,079
76,962
Series 2022-5198 Class BA, 2.5% 11/25/47
477,287
417,515
Series 2022-5202 Class LB, 2.5% 10/25/47
95,104
81,968
Series 2145 Class MZ, 6.5% 4/15/29
40,216
40,379
Series 2357 Class ZB, 6.5% 9/15/31
36,422
36,895
Series 3859 Class JZ, 5% 5/15/41
269,502
268,809
Series 2020-5041 Class LB, 3% 11/25/40
140,731
126,690
Series 2021-5083 Class VA, 1% 8/15/38
1,379,460
1,274,072
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater:
Series 2007-59 Class FC, CME Term SOFR 1 Month Index + 0.610% 5.9285% 7/20/37 (b)(c)
28,027
27,573
Series 2008-2 Class FD, CME Term SOFR 1 Month Index + 0.590% 5.9085% 1/20/38 (b)(c)
7,298
7,171
Series 2008-73 Class FA, CME Term SOFR 1 Month Index + 0.970% 6.2885% 8/20/38 (b)(c)
57,813
57,722
Series 2008-83 Class FB, CME Term SOFR 1 Month Index + 1.010% 6.3285% 9/20/38 (b)(c)
42,350
42,341
Series 2009-108 Class CF, CME Term SOFR 1 Month Index + 0.710% 6.0271% 11/16/39 (b)(c)
34,294
33,818
Series 2009-116 Class KF, CME Term SOFR 1 Month Index + 0.640% 5.9571% 12/16/39 (b)(c)
21,150
20,806
Series 2010-H17 Class FA, CME Term SOFR 1 Month Index + 0.440% 5.76% 7/20/60 (b)(c)(g)
381,681
378,825
Series 2010-H18 Class AF, CME Term SOFR 1 Month Index + 0.410% 5.5553% 9/20/60 (b)(c)(g)
396,841
393,727
Series 2010-H19 Class FG, CME Term SOFR 1 Month Index + 0.410% 5.5553% 8/20/60 (b)(c)(g)
305,780
303,214
Series 2010-H27 Class FA, CME Term SOFR 1 Month Index + 0.380% 5.6353% 12/20/60 (b)(c)(g)
150,056
149,048
Series 2011-H05 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7553% 12/20/60 (b)(c)(g)
128,781
128,168
Series 2011-H07 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7177% 2/20/61 (b)(c)(g)
115,645
115,047
Series 2011-H12 Class FA, CME Term SOFR 1 Month Index + 0.600% 5.7077% 2/20/61 (b)(c)(g)
163,976
163,134
Series 2011-H13 Class FA, CME Term SOFR 1 Month Index + 0.610% 5.7553% 4/20/61 (b)(c)(g)
115,443
114,854
Series 2011-H14:
Class FB, CME Term SOFR 1 Month Index + 0.610% 5.7553% 5/20/61 (b)(c)(g)
173,230
172,484
Class FC, CME Term SOFR 1 Month Index + 0.610% 5.7553% 5/20/61 (b)(c)(g)
129,463
128,859
Series 2011-H17 Class FA, CME Term SOFR 1 Month Index + 0.640% 5.7853% 6/20/61 (b)(c)(g)
141,286
140,667
Series 2011-H21 Class FA, CME Term SOFR 1 Month Index + 0.710% 5.8553% 10/20/61 (b)(c)(g)
148,977
148,460
Series 2012-H01 Class FA, CME Term SOFR 1 Month Index + 0.810% 5.9553% 11/20/61 (b)(c)(g)
150,917
150,529
Series 2012-H03 Class FA, CME Term SOFR 1 Month Index + 0.810% 5.9553% 1/20/62 (b)(c)(g)
85,001
84,789
Series 2012-H06 Class FA, CME Term SOFR 1 Month Index + 0.740% 5.8853% 1/20/62 (b)(c)(g)
150,740
150,208
Series 2012-H07 Class FA, CME Term SOFR 1 Month Index + 0.740% 5.8853% 3/20/62 (b)(c)(g)
70,419
70,107
Series 2012-H21 Class DF, CME Term SOFR 1 Month Index + 0.760% 4.8711% 5/20/61 (b)(c)(g)
1,465
1,444
Series 2015-H13 Class FL, CME Term SOFR 1 Month Index + 0.390% 4.9096% 5/20/63 (b)(c)(g)
2,397
2,234
Series 2015-H19 Class FA, CME Term SOFR 1 Month Index + 0.310% 4.9314% 4/20/63 (b)(c)(g)
3,186
3,133
Series 2016-H20 Class FM, CME Term SOFR 1 Month Index + 0.510% 4.5891% 12/20/62 (b)(c)(g)
4,089
3,989
planned amortization class:
Series 2011-68 Class EC, 3.5% 4/20/41
108,045
103,266
Series 2017-134 Class BA, 2.5% 11/20/46
31,298
27,642
sequential payer:
Series 2014-H04 Class HA, 2.75% 2/20/64 (g)
158,097
155,169
Series 2018-H12 Class HA, 3.25% 8/20/68 (g)
569,551
542,522
Series 2010-H18 Class PL, 5.01% 9/20/60 (b)(g)
5,237
5,175
Series 2015-H30 Class HA, 1.75% 9/20/62 (b)(g)
12,730
12,158
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 5.85% 5/20/66 (b)(c)(g)
352,875
351,838
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.7% 8/20/66 (b)(c)(g)
464,218
462,101
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $14,361,255)
14,134,575
Commercial Mortgage Securities - 2.9%
Principal
Amount (a)
Value ($)
Freddie Mac:
sequential payer:
Series 2015-K043 Class A2, 3.062% 12/25/24
913,000
884,634
Series 2015-K049 Class A2, 3.01% 7/25/25
25,000
23,990
Series 2015-K050 Class A2, 3.334% 8/25/25 (b)
990,127
954,162
Series 2015-K051 Class A2, 3.308% 9/25/25
39,000
37,537
Series 2016-K052 Class A2, 3.151% 11/25/25
1,115,675
1,068,728
Series 2017-K729 Class A2, 3.136% 10/25/24
600,000
584,353
Series 2021-K136 Class A2, 2.127% 11/25/31
840,000
688,289
Series 2022-150 Class A2, 3.71% 9/25/32
400,000
367,808
Series 2023-158 Class A2, 4.05% 7/25/33
390,000
367,354
Series 2017-K727 Class A2, 2.946% 7/25/24
1,111,824
1,087,566
Series 2022 K748 Class A2, 2.26% 1/25/29
300,000
264,028
Series K063 Class A2, 3.43% 1/25/27
400,000
380,869
Freddie Mac Multi-family Structured pass-thru certificates Series K044 Class A2, 2.811% 1/25/25
653,504
630,368
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $7,613,461)
7,339,686
Money Market Funds - 1.1%
Shares
Value ($)
Fidelity Cash Central Fund 5.43% (i)
(Cost $2,792,033)
2,791,475
2,792,034
TOTAL INVESTMENT IN SECURITIES - 101.1%
(Cost $267,541,576)
256,981,275
NET OTHER ASSETS (LIABILITIES) - (1.1)%
(2,811,112)
NET ASSETS - 100.0%
254,170,163
TBA Sale Commitments
Principal
Amount (a)
Value ($)
Ginnie Mae
2% 9/1/53
(150,000)
(123,750)
2% 9/1/53
(1,600,000)
(1,320,001)
TOTAL GINNIE MAE
(1,443,751)
Uniform Mortgage Backed Securities
2.5% 9/1/53
(400,000)
(331,516)
3.5% 9/1/53
(800,000)
(714,844)
5.5% 9/1/53
(250,000)
(246,953)
5.5% 9/1/53
(950,000)
(938,422)
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
(2,231,735)
TOTAL TBA SALE COMMITMENTS
(Proceeds $3,668,372)
(3,675,486)
Futures Contracts
Number
of contracts
Expiration
Date
Notional
Amount ($)
Value ($)
Unrealized
Appreciation/
(Depreciation) ($)
Purchased
Treasury Contracts
CBOT 2-Year U.S. Treasury Note Contracts (United States)
242
Dec 2023
49,320,734
143,213
143,213
CBOT 5-Year U.S. Treasury Note Contracts (United States)
110
Dec 2023
11,761,406
81,467
81,467
TOTAL PURCHASED
224,680
Sold
Treasury Contracts
CBOT 10-Year U.S. Treasury Note Contracts (United States)
33
Dec 2023
3,664,031
(36,601)
(36,601)
CBOT Long Term U.S. Treasury Bond Contracts (United States)
1
Dec 2023
121,688
(1,737)
(1,737)
TOTAL SOLD
(38,338)
TOTAL FUTURES CONTRACTS
186,342
The notional amount of futures purchased as a percentage of Net Assets is 24.0%
The notional amount of futures sold as a percentage of Net Assets is 1.4%
Interest Rate Swaps
Payment Received
Payment
Frequency
Payment Paid
Payment
Frequency
Clearinghouse /
Counterparty(1)
Maturity
Date
Notional
Amount(2)
Value ($)
Upfront
Premium
Received/
(Paid) ($)(3)
Unrealized
Appreciation/
(Depreciation) ($)
3.75%
Annual
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
LCH
Sep 2028
389,000
(7,118)
0
(7,118)
3.5%
Annual
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
LCH
Sep 2030
690,000
(16,426)
0
(16,426)
3.25%
Annual
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
LCH
Sep 2053
166,000
(10,133)
0
(10,133)
TOTAL INTEREST RATE SWAPS
(33,677)
0
(33,677)
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)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).
(4)Represents floating rate.
Legend
(a)
Amount is stated in United States dollars unless otherwise noted.
(b)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d)
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $419,305.
(e)
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 $85,213.
(f)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g)
Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(h)
Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(i)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.43%
44,236,072
71,652,672
113,096,710
543,219
-
-
2,792,034
0.0%
Fidelity Securities Lending Cash Central Fund 5.44%
-
82,374,897
82,374,897
7,883
-
-
-
0.0%
Total
44,236,072
154,027,569
195,471,607
551,102
-
-
2,792,034
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column 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. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Government and Government Agency Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing services 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Swaps are marked-to-market daily based on valuations from third party pricing services, 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, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. 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.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
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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