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 811-4085
Fidelity Income Fund
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | July 31 |
Date of reporting period: | January 31, 2008 |
Item 1. Reports to Stockholders
Fidelity® Ginnie Mae Fund
Fidelity Intermediate
Government Income Fund
Semiannual Report
January 31, 2008
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Fidelity Ginnie Mae Fund | ||
Investment Changes | ||
Investments | ||
Financial Statements | ||
Fidelity Intermediate Government Income Fund | ||
Investment Changes | ||
Investments | ||
Financial Statements | ||
Notes | Notes to the financial statements | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the funds nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Stocks got off to a poor start in 2008, while investment-grade bonds and money markets showed positive returns, once again underscoring the importance of a diversified portfolio. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2007 to January 31, 2008).
Actual Expenses
The first line of the accompanying table for each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each fund provides information about hypothetical account values and hypothetical expenses based on a fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Semiannual Report
Beginning | Ending | Expenses Paid | |
Ginnie Mae Fund | |||
Actual | $ 1,000.00 | $ 1,069.00 | $ 2.34 |
HypotheticalA | $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Intermediate Government | |||
Actual | $ 1,000.00 | $ 1,077.50 | $ 2.35 |
HypotheticalA | $ 1,000.00 | $ 1,022.87 | $ 2.29 |
A 5% return per year before expenses
* Expenses are equal to each Fund's annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
Annualized | |
Ginnie Mae Fund | .45% |
Intermediate Government Income Fund | .45% |
Semiannual Report
Fidelity Ginnie Mae Fund
Investment Changes
Coupon Distribution as of January 31, 2008 | ||
% of fund's investments | % of fund's investments | |
Less than 4% | 3.0 | 4.5 |
4 - 4.99% | 10.9 | 11.3 |
5 - 5.99% | 44.3 | 42.3 |
6 - 6.99% | 33.7 | 28.3 |
7 - 7.99% | 4.4 | 4.7 |
8% and over | 1.1 | 1.2 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of January 31, 2008 | ||
6 months ago | ||
Years | 5.0 | 5.8 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of January 31, 2008 | ||
6 months ago | ||
Years | 3.1 | 4.3 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of January 31, 2008 *A | As of July 31, 2007**B | ||||||
 | Mortgage | | Mortgage | ||||
 | CMOs and | | CMOs and | ||||
 | Asset-Backed | | Asset-Backed | ||||
 | Short-Term |  | Short-Term | ||||
* GNMA Securities | 98.2% | ** GNMA Securities | 94.5% | ||||
A Futures and Swaps | (9.7)% | B Futures and Swaps | (7.1)% | ||||
(dagger) Short-Term Investments and Net Other Assets are not included in the pie chart. |
Semiannual Report
Fidelity Ginnie Mae Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Net Assets
U.S. Government Agency - Mortgage Securities - 95.2% | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - 9.5% | ||||
3.595% 9/1/33 (d) | $ 1,362 | $ 1,376 | ||
3.718% 6/1/33 (d) | 4,245 | 4,298 | ||
3.751% 10/1/33 (d) | 400 | 402 | ||
3.784% 6/1/33 (d) | 4,817 | 4,848 | ||
3.806% 4/1/33 (d) | 1,004 | 1,011 | ||
3.81% 10/1/33 (d) | 3,506 | 3,553 | ||
3.885% 9/1/33 (d) | 3,759 | 3,814 | ||
3.962% 6/1/33 (d) | 1,610 | 1,621 | ||
3.965% 8/1/33 (d) | 1,859 | 1,880 | ||
3.995% 4/1/34 (d) | 4,362 | 4,407 | ||
4.019% 6/1/34 (d) | 7,904 | 7,983 | ||
4.028% 3/1/34 (d) | 8,025 | 8,104 | ||
4.067% 7/1/34 (d) | 12,026 | 12,164 | ||
4.115% 4/1/34 (d) | 5,142 | 5,169 | ||
4.119% 5/1/34 (d) | 4,245 | 4,285 | ||
4.134% 2/1/35 (d) | 14,432 | 14,611 | ||
4.16% 8/1/34 (d) | 2,183 | 2,202 | ||
4.161% 12/1/33 (d) | 3,198 | 3,238 | ||
4.162% 9/1/33 (d) | 2,653 | 2,691 | ||
4.169% 1/1/35 (d) | 6,617 | 6,717 | ||
4.178% 1/1/35 (d) | 5,650 | 5,748 | ||
4.187% 10/1/33 (d) | 3,889 | 3,937 | ||
4.237% 1/1/34 (d) | 996 | 1,007 | ||
4.261% 10/1/33 (d) | 161 | 163 | ||
4.268% 6/1/33 (d) | 180 | 183 | ||
4.292% 3/1/33 (d) | 186 | 188 | ||
4.329% 5/1/34 (d) | 5,139 | 5,180 | ||
4.33% 3/1/33 (d) | 305 | 310 | ||
4.33% 4/1/35 (d) | 203 | 206 | ||
4.396% 10/1/34 (d) | 1,928 | 1,956 | ||
4.418% 6/1/35 (d) | 1,489 | 1,508 | ||
4.493% 3/1/35 (d) | 1,608 | 1,627 | ||
4.51% 8/1/34 (d) | 7,632 | 7,710 | ||
4.534% 7/1/35 (d) | 1,311 | 1,327 | ||
4.54% 5/1/35 (d) | 1,083 | 1,099 | ||
4.546% 2/1/35 (d) | 16,601 | 16,941 | ||
4.569% 10/1/35 (d) | 117 | 119 | ||
4.579% 2/1/36 (d) | 5,375 | 5,452 | ||
4.588% 9/1/36 (d) | 4,054 | 4,110 | ||
4.595% 1/1/34 (d) | 9,659 | 9,855 | ||
4.609% 8/1/35 (d) | 4,503 | 4,589 | ||
4.665% 6/1/35 (d) | 1,601 | 1,622 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.665% 8/1/35 (d) | $ 2,032 | $ 2,059 | ||
4.685% 3/1/35 (d) | 93 | 95 | ||
4.695% 8/1/35 (d) | 2,138 | 2,166 | ||
4.75% 1/1/35 (d) | 1,376 | 1,405 | ||
4.77% 12/1/34 (d) | 367 | 373 | ||
4.819% 10/1/35 (d) | 887 | 905 | ||
4.829% 9/1/34 (d) | 1,780 | 1,812 | ||
4.832% 10/1/34 (d) | 3,868 | 3,937 | ||
4.852% 9/1/34 (d) | 1,902 | 1,937 | ||
4.853% 1/1/35 (d) | 1,472 | 1,498 | ||
4.871% 9/1/34 (d) | 601 | 611 | ||
4.909% 3/1/33 (d) | 1,172 | 1,194 | ||
4.92% 1/1/35 (d) | 8,029 | 8,117 | ||
4.957% 2/1/33 (d) | 476 | 485 | ||
4.975% 9/1/34 (d) | 516 | 526 | ||
5.016% 7/1/34 (d) | 186 | 189 | ||
5.047% 5/1/35 (d) | 2,163 | 2,200 | ||
5.059% 8/1/34 (d) | 279 | 282 | ||
5.067% 10/1/36 (d) | 9,398 | 9,552 | ||
5.082% 9/1/34 (d) | 351 | 358 | ||
5.112% 3/1/34 (d) | 6,375 | 6,489 | ||
5.135% 3/1/35 (d) | 181 | 185 | ||
5.157% 8/1/33 (d) | 489 | 496 | ||
5.19% 6/1/35 (d) | 1,532 | 1,560 | ||
5.194% 7/1/35 (d) | 1,678 | 1,709 | ||
5.249% 11/1/36 (d) | 1,255 | 1,278 | ||
5.309% 12/1/34 (d) | 452 | 461 | ||
5.315% 7/1/35 (d) | 188 | 192 | ||
5.354% 1/1/36 (d) | 4,549 | 4,631 | ||
5.458% 11/1/36 (d) | 4,455 | 4,534 | ||
5.48% 6/1/47 (d) | 918 | 937 | ||
5.5% 11/1/13 to 3/1/20 (c) | 15,122 | 15,549 | ||
5.521% 2/1/37 (d) | 10,479 | 10,699 | ||
5.628% 4/1/37 (d) | 5,058 | 5,173 | ||
5.758% 4/1/36 (d) | 4,724 | 4,866 | ||
5.779% 5/1/34 (d) | 10,974 | 11,134 | ||
5.836% 12/1/35 (d) | 4,898 | 4,979 | ||
5.855% 3/1/36 (d) | 3,589 | 3,691 | ||
5.923% 5/1/36 (d) | 3,356 | 3,459 | ||
6.398% 7/1/36 (d) | 6,898 | 7,131 | ||
6.5% 10/1/17 to 7/1/32 | 14,086 | 14,808 | ||
7% 11/1/16 to 3/1/17 | 1,687 | 1,816 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
7.5% 2/1/08 to 4/1/17 | $ 1,595 | $ 1,689 | ||
8.5% 12/1/27 | 216 | 241 | ||
9.5% 9/1/30 | 466 | 538 | ||
10.25% 10/1/18 | 11 | 12 | ||
11.5% 5/1/14 to 7/1/15 | 28 | 32 | ||
12.5% 11/1/13 to 7/1/16 | 59 | 68 | ||
13.25% 9/1/11 | 33 | 37 | ||
317,306 | ||||
Freddie Mac - 5.5% | ||||
3.757% 10/1/33 (d) | 4,669 | 4,716 | ||
3.896% 6/1/33 (d) | 5,609 | 5,673 | ||
4.075% 7/1/35 (d) | 3,002 | 3,029 | ||
4.077% 6/1/33 (d) | 5,742 | 5,816 | ||
4.18% 1/1/35 (d) | 6,044 | 6,109 | ||
4.236% 6/1/33 (d) | 5,606 | 5,639 | ||
4.376% 9/1/36 (d) | 18,409 | 18,609 | ||
4.426% 6/1/35 (d) | 11,531 | 11,608 | ||
4.595% 6/1/33 (d) | 1,874 | 1,882 | ||
4.647% 5/1/35 (d) | 3,935 | 3,960 | ||
4.667% 6/1/35 (d) | 9,218 | 9,333 | ||
4.725% 3/1/34 (d) | 6,126 | 6,174 | ||
4.839% 3/1/33 (d) | 148 | 151 | ||
4.866% 10/1/35 (d) | 2,508 | 2,557 | ||
5.012% 10/1/36 (d) | 2,516 | 2,555 | ||
5.098% 3/1/36 (d) | 10,622 | 10,803 | ||
5.204% 12/1/35 (d) | 1,971 | 2,013 | ||
5.275% 11/1/35 (d) | 2,326 | 2,359 | ||
5.328% 7/1/36 (d) | 4,357 | 4,451 | ||
5.346% 10/1/35 (d) | 7,371 | 7,538 | ||
5.43% 3/1/37 (d) | 826 | 840 | ||
5.5% 11/1/17 to 1/1/25 | 12,166 | 12,431 | ||
5.642% 4/1/36 (d) | 2,438 | 2,503 | ||
5.743% 6/1/37 (d) | 12,906 | 13,197 | ||
5.801% 11/1/36 (d) | 6,894 | 7,081 | ||
5.822% 5/1/37 (d) | 899 | 917 | ||
6.369% 8/1/34 (d) | 1,119 | 1,137 | ||
6.584% 10/1/36 (d) | 11,279 | 11,628 | ||
6.744% 9/1/36 (d) | 19,235 | 19,826 | ||
8.5% 2/1/09 to 6/1/25 | 53 | 58 | ||
9% 7/1/08 to 4/1/21 | 54 | 58 | ||
9.5% 7/1/30 | 75 | 88 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
9.75% 4/1/13 | $ 5 | $ 5 | ||
10% 1/1/09 to 11/1/19 | 220 | 248 | ||
10.25% 2/1/09 to 11/1/16 | 60 | 63 | ||
10.5% 5/1/10 | 1 | 1 | ||
11.25% 2/1/10 | 8 | 8 | ||
11.75% 11/1/11 | 7 | 8 | ||
12% 5/1/10 to 2/1/17 | 51 | 59 | ||
12.5% 11/1/12 to 5/1/15 | 71 | 82 | ||
13% 5/1/14 to 11/1/14 | 10 | 12 | ||
13.5% 1/1/13 to 12/1/14 | 5 | 6 | ||
185,231 | ||||
Government National Mortgage Association - 80.2% | ||||
3.5% 3/20/34 | 1,221 | 1,121 | ||
3.5% 5/20/35 (d) | 1,572 | 1,563 | ||
3.5% 6/20/35 (d) | 1,610 | 1,601 | ||
3.75% 4/20/35 (d) | 621 | 618 | ||
4% 11/20/33 | 1,417 | 1,360 | ||
4% 4/20/35 (d) | 9,244 | 9,278 | ||
4% 5/20/35 (d) | 10,224 | 10,260 | ||
4.5% 7/20/33 to 4/20/34 | 50,731 | 48,963 | ||
4.5% 5/20/34 (d) | 1,076 | 1,094 | ||
4.5% 3/20/35 (d) | 861 | 865 | ||
4.75% 4/20/34 (d) | 17,790 | 17,887 | ||
4.75% 6/20/34 (d) | 17,161 | 17,254 | ||
4.75% 10/20/35 (d) | 4,668 | 4,728 | ||
5% 8/15/18 to 4/20/36 (c) | 345,911 | 346,664 | ||
5% 4/20/37 (d) | 42,265 | 43,103 | ||
5% 2/20/38 (a) | 4,000 | 4,013 | ||
5.25% 7/20/34 (d) | 944 | 960 | ||
5.25% 7/20/34 (d) | 2,562 | 2,611 | ||
5.5% 12/20/18 to 12/20/37 | 479,499 | 488,998 | ||
5.5% 9/20/34 (d) | 4,193 | 4,273 | ||
5.5% 6/20/35 (d) | 3,203 | 3,247 | ||
5.5% 2/1/38 (a) | 26,000 | 26,531 | ||
5.5% 2/1/38 (a) | 71,200 | 72,653 | ||
5.5% 2/1/38 (a) | 51,000 | 52,041 | ||
5.5% 2/1/38 (a) | 65,000 | 66,326 | ||
5.5% 2/1/38 (a) | 102,000 | 104,082 | ||
5.5% 2/1/38 (a) | 17,000 | 17,304 | ||
5.5% 2/1/38 (a) | 25,000 | 25,447 | ||
5.5% 2/20/38 (a) | 45,000 | 45,918 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Government National Mortgage Association - continued | ||||
5.5% 2/20/38 (a) | $ 6,000 | $ 6,122 | ||
5.75% 8/20/35 (d) | 617 | 633 | ||
6% 8/15/17 to 12/15/37 | 618,633 | 648,075 | ||
6% 2/1/38 (a)(b) | 50,000 | 51,632 | ||
6% 2/1/38 (a)(b) | 54,000 | 55,662 | ||
6% 2/20/38 (a) | 7,000 | 7,228 | ||
6% 2/20/38 (a) | 5,000 | 5,163 | ||
6% 2/20/38 (a)(b) | 4,000 | 4,131 | ||
6.5% 4/15/23 to 12/15/37 | 289,720 | 309,813 | ||
7% 10/20/16 to 9/20/34 | 103,593 | 109,488 | ||
7.25% 9/15/27 | 255 | 272 | ||
7.395% 6/20/25 to 11/20/27 | 1,855 | 1,967 | ||
7.5% 5/15/17 to 9/20/32 | 40,620 | 44,124 | ||
8% 7/15/08 to 7/15/32 | 10,641 | 11,817 | ||
8.5% 7/15/08 to 2/15/31 | 3,690 | 4,127 | ||
9% 2/15/09 to 5/15/30 | 1,550 | 1,772 | ||
9.5% 12/20/15 to 4/20/17 | 541 | 619 | ||
10.5% 1/15/14 to 5/15/19 | 652 | 758 | ||
13% 2/15/11 to 1/15/15 | 113 | 134 | ||
13.5% 7/15/10 to 1/15/15 | 18 | 20 | ||
2,684,320 | ||||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $3,117,409) | 3,186,857 | |||
Asset-Backed Securities - 0.2% | ||||
Fannie Mae Grantor Trust Series 2005-T4 Class A1C, 3.5263% 9/25/35 (d) | 8,669 | 8,611 | ||
Collateralized Mortgage Obligations - 19.6% | ||||
U.S. Government Agency - 19.6% | ||||
Fannie Mae: | ||||
floater Series 2007-95 Class A1, 3.6263% 8/27/36 (d) | 34,759 | 34,748 | ||
Series 2003-39 Class IA, 5.5% 10/25/22 (d)(e) | 4,097 | 471 | ||
Series 2006-48 Class LF, 0% 8/25/34 (d) | 468 | 463 | ||
target amortization class Series G94-2 Class D, 6.45% 1/25/24 | 2,796 | 2,867 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Fannie Mae STRIP: | ||||
Series 331 Class 12, 6.5% 2/1/33 (e) | $ 2,657 | $ 544 | ||
Series 339 Class 5, 5.5% 7/1/33 (e) | 4,162 | 752 | ||
Series 343 Class 16, 5.5% 5/1/34 (e) | 2,968 | 547 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2861 Class JF, 4.5363% 4/15/17 (d) | 2,560 | 2,567 | ||
Series 3094 Class UF, 0% 9/15/34 (d) | 419 | 411 | ||
planned amortization class: | ||||
Series 2220 Class PD, 8% 3/15/30 (c) | 3,664 | 3,861 | ||
Series 2787 Class OI, 5.5% 10/15/24 (e) | 2,248 | 51 | ||
Series 40 Class K, 6.5% 8/17/24 (c) | 1,645 | 1,723 | ||
sequential payer: | ||||
Series 2204 Class N, 7.5% 12/20/29 (c) | 6,939 | 7,298 | ||
Series 2601 Class TI, 5.5% 10/15/22 (e) | 17,212 | 2,098 | ||
Series 2750 Class ZT, 5% 2/15/34 | 6,225 | 5,951 | ||
Series 2866 Class CY, 4.5% 10/15/19 | 4,491 | 4,381 | ||
Series 2957 Class SW, 1.7638% 4/15/35 (d)(e) | 11,953 | 665 | ||
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities sequential payer Series 2002-71: | ||||
Class Z, 5.5% 10/20/32 | 46,905 | 47,415 | ||
Class ZJ, 6% 10/20/32 | 23,961 | 24,755 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
floater: | ||||
Series 2001-22 Class FM, 4.3088% 5/20/31 (d) | 658 | 658 | ||
Series 2002-41 Class HF, 4.4813% 6/16/32 (d) | 723 | 724 | ||
Series 2007-22 Class TC, 0% 4/20/37 (d) | 2,469 | 2,694 | ||
planned amortization class: | ||||
Series 1993-13 Class PD, 6% 5/20/29 | 16,631 | 17,235 | ||
Series 1994-4 Class KQ, 7.9875% 7/16/24 | 1,082 | 1,173 | ||
Series 2000-26 Class PK, 7.5% 9/20/30 | 2,797 | 2,924 | ||
Series 2001-65 Class PH, 6% 11/20/28 | 6,323 | 6,454 | ||
Series 2002-5 Class PD, 6.5% 5/16/31 | 7,204 | 7,252 | ||
Series 2002-50 Class PE, 6% 7/20/32 | 17,485 | 18,142 | ||
Series 2003-31 Class PI, 5.5% 4/16/30 (e) | 3,437 | 158 | ||
Series 2003-7 Class IN, 5.5% 1/16/28 (e) | 2,262 | 15 | ||
Series 2003-70 Class LE, 5% 7/20/32 | 44,000 | 44,168 | ||
Series 2004-19: | ||||
Class DJ, 4.5% 3/20/34 | 2,541 | 2,565 | ||
Class DP, 5.5% 3/20/34 | 3,895 | 4,028 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru securities: - continued | ||||
planned amortization class: | ||||
Series 2004-30: | ||||
Class PC, 5% 11/20/30 | $ 19,736 | $ 19,961 | ||
Class UA, 3.5% 2/20/32 | 4,894 | 4,852 | ||
Series 2004-64 Class KE, 5.5% 12/20/33 | 22,978 | 23,480 | ||
Series 2004-98 Class IG, 5.5% 2/20/30 (e) | 2,581 | 196 | ||
Series 2005-17 Class IA, 5.5% 8/20/33 (e) | 7,093 | 521 | ||
Series 2005-24 Class TC, 5.5% 3/20/35 | 5,403 | 5,426 | ||
Series 2005-54 Class BM, 5% 7/20/35 | 9,658 | 9,737 | ||
Series 2005-57 Class PB, 5.5% 7/20/35 | 5,673 | 5,700 | ||
Series 2005-58 Class NJ, 4.5% 8/20/35 | 64,950 | 65,559 | ||
Series 2006-50 Class JC, 5% 6/20/36 | 11,780 | 11,664 | ||
Series 2008-28 Class PC, 5.5% 4/20/34 | 18,652 | 19,068 | ||
sequential payer: | ||||
Series 1995-4 Class CQ, 8% 6/20/25 | 750 | 813 | ||
Series 2001-40 Class Z, 6% 8/20/31 | 8,442 | 8,831 | ||
Series 2002-18 Class ZB, 6% 3/20/32 | 8,158 | 8,452 | ||
Series 2002-29 Class SK, 8.25% 5/20/32 (d) | 366 | 386 | ||
Series 2002-45 Class Z, 6% 6/20/32 | 2,794 | 2,880 | ||
Series 2002-67 Class ZA, 6% 9/20/32 | 84,525 | 87,008 | ||
Series 2003-7 Class VP, 6% 11/20/13 | 4,669 | 4,755 | ||
Series 2004-65 Class VE, 5.5% 7/20/15 | 4,439 | 4,603 | ||
Series 2004-86 Class G, 6% 10/20/34 | 6,273 | 6,529 | ||
Series 2005-28 Class AJ, 5.5% 4/20/35 | 31,605 | 32,615 | ||
Series 2005-47 Class ZY, 6% 6/20/35 | 4,669 | 4,815 | ||
Series 2005-6 Class EX, 5.5% 11/20/34 | 1,001 | 1,007 | ||
Series 2005-82 Class JV, 5% 6/20/35 | 3,500 | 3,356 | ||
Series 1995-6 Class Z, 7% 9/20/25 | 2,192 | 2,327 | ||
Series 2003-11 Class S, 2.4688% 2/16/33 (d)(e) | 9,689 | 805 | ||
Series 2003-92 Class SN, 2.3488% 10/16/33 (d)(e) | 30,458 | 2,246 | ||
Series 2004-32 Class GS, 2.4188% 5/16/34 (d)(e) | 2,845 | 230 | ||
Series 2005-6 Class EY, 5.5% 11/20/33 | 1,016 | 1,023 | ||
Series 2006-13 Class DS, 5.1619% 3/20/36 (d) | 43,189 | 41,392 | ||
Series 2007-18 Class S, 2.7188% 4/16/37 (d)(e) | 46,739 | 4,142 | ||
Series 2007-35 Class SC, 15.7125% 6/16/37 (d) | 15,872 | 21,453 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $636,033) | 655,590 | |||
Commercial Mortgage Securities - 0.4% | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae Series 1997-M1 Class N, 0.445% 10/17/36 (d)(e) | $ 7,403 | $ 58 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
Series 1998-M3 Class IB, 0.793% 1/17/38 (d)(e) | 29,905 | 438 | ||
Series 1998-M4 Class N, 1.2415% 2/25/35 (d)(e) | 7,156 | 60 | ||
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities: | ||||
sequential payer Series 2001-58 Class X, 1.1154% 9/16/41 (d)(e) | 139,457 | 2,789 | ||
Series 2001-12 Class X, 0.8249% 7/16/40 (d)(e) | 41,948 | 734 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
sequential payer Series 2002-81 Class IO, 1.844% 9/16/42 (d)(e) | 119,661 | 3,889 | ||
Series 2002-62 Class IO, 1.4217% 8/16/42 (d)(e) | 82,875 | 2,771 | ||
Series 2002-85 Class X, 1.7364% 3/16/42 (d)(e) | 65,287 | 4,437 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $36,499) | 15,176 | |||
Cash Equivalents - 3.0% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements in a joint trading account at: | |||
1.69%, dated 1/31/08 due 2/1/08 (Collateralized by U.S. Treasury Obligations) # | 2,555 | 2,555 | |
3%, dated 1/31/08 due 2/1/08 (Collateralized by U.S. Government Obligations) # | 97,212 | 97,204 | |
TOTAL CASH EQUIVALENTS (Cost $99,759) | 99,759 | ||
TOTAL INVESTMENT PORTFOLIO - 118.4% (Cost $3,898,369) | 3,965,993 | ||
NET OTHER ASSETS - (18.4)% | (617,715) | ||
NET ASSETS - 100% | $ 3,348,278 | ||
Swap Agreements | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 4.92% with Morgan Stanley, Inc. | Sept. 2012 | $ 75,000 | $ (5,406) | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.135% with Credit Suisse First Boston | August 2009 | 90,000 | (4,689) | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.32% with Morgan Stanley, Inc. | July 2010 | 40,000 | (2,214) | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.47% with Credit Suisse First Boston | Sept. 2037 | 6,000 | (712) | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.523% with JPMorgan Chase, Inc. | August 2017 | 12,000 | (1,421) | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.524% with Credit Suisse First Boston | June 2009 | 121,000 | (4,334) | ||
$ 344,000 | $ (18,776) | ||||
Legend |
(a) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(b) A portion of the security is subject to a forward commitment to sell. |
(c) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $4,341,000. |
(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(e) 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 held as of the end of the period. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,555,000 due 2/01/08 at 1.69% | |
Banc of America Securities LLC | $ 558 |
Barclays Capital, Inc. | 804 |
ING Financial Markets LLC | 1,193 |
$ 2,555 | |
$97,204,000 due 2/01/08 at 3.00% | |
BNP Paribas Securities Corp. | $ 10,092 |
Banc of America Securities LLC | 4,037 |
Barclays Capital, Inc. | 43,253 |
Bear Stearns & Co., Inc. | 12,333 |
Citigroup Global Markets, Inc. | 2,883 |
Dresdner Kleinwort Securities LLC | 1,442 |
ING Financial Markets LLC | 1,827 |
J.P. Morgan Securities, | 8,650 |
Societe Generale, New York Branch | 11,534 |
WestLB AG | 1,153 |
$ 97,204 | |
Income Tax Information |
At July 31, 2007, the fund had a capital loss carryforward of approximately $55,811,000 of which $9,594,000 and $46,217,000 will expire on July 31, 2014 and 2015, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount) | January 31, 2008 (Unaudited) | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $99,759) - See accompanying schedule: Unaffiliated issuers (cost $3,898,369) | $ 3,965,993 | |
Commitment to sell securities on a delayed delivery basis | $ (108,845) | |
Receivable for securities sold on a delayed delivery basis | 109,031 | 186 |
Receivable for investments sold, regular delivery | 2,996 | |
Cash | 1 | |
Receivable for fund shares sold | 1,965 | |
Interest receivable | 17,092 | |
Other receivables | 61 | |
Total assets | 3,988,294 | |
Liabilities | ||
Payable for investments purchased | $ 70,793 | |
Delayed delivery | 544,767 | |
Payable for fund shares redeemed | 2,790 | |
Distributions payable | 1,495 | |
Swap agreements, at value | 18,776 | |
Accrued management fee | 863 | |
Other affiliated payables | 376 | |
Other payables and accrued expenses | 156 | |
Total liabilities | 640,016 | |
Net Assets | $ 3,348,278 | |
Net Assets consist of: | ||
Paid in capital | $ 3,349,986 | |
Distributions in excess of net investment income | (7,624) | |
Accumulated undistributed net realized gain (loss) on investments | (43,118) | |
Net unrealized appreciation (depreciation) on investments | 49,034 | |
Net Assets, for 301,844 shares outstanding | $ 3,348,278 | |
Net Asset Value, offering price and redemption price per share ($3,348,278 ÷ 301,844 shares) | $ 11.09 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Six months ended January 31, 2008 (Unaudited) | |
Investment Income | ||
Interest | $ 85,914 | |
Expenses | ||
Management fee | $ 5,053 | |
Transfer agent fees | 1,604 | |
Fund wide operations fee | 554 | |
Independent trustees' compensation | 7 | |
Miscellaneous | 5 | |
Total expenses before reductions | 7,223 | |
Expense reductions | (28) | 7,195 |
Net investment income | 78,719 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 20,646 | |
Swap agreements | 2,109 | |
Total net realized gain (loss) | 22,755 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 130,798 | |
Swap agreements | (17,296) | |
Delayed delivery commitments | 186 | |
Total change in net unrealized appreciation (depreciation) | 113,688 | |
Net gain (loss) | 136,443 | |
Net increase (decrease) in net assets resulting from operations | $ 215,162 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Amounts in thousands | Six months ended January 31, 2008 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 78,719 | $ 165,363 |
Net realized gain (loss) | 22,755 | (26,430) |
Change in net unrealized appreciation (depreciation) | 113,688 | 33,224 |
Net increase (decrease) in net assets resulting | 215,162 | 172,157 |
Distributions to shareholders from net investment income | (81,679) | (164,399) |
Share transactions | 295,745 | 321,666 |
Reinvestment of distributions | 72,227 | 145,593 |
Cost of shares redeemed | (325,478) | (667,711) |
Net increase (decrease) in net assets resulting from share transactions | 42,494 | (200,452) |
Total increase (decrease) in net assets | 175,977 | (192,694) |
Net Assets | ||
Beginning of period | 3,172,301 | 3,364,995 |
End of period (including distributions in excess of net investment income of $7,624 and distributions in excess of net investment income of $4,664, respectively) | $ 3,348,278 | $ 3,172,301 |
Other Information Shares | ||
Sold | 27,082 | 29,988 |
Issued in reinvestment of distributions | 6,640 | 13,559 |
Redeemed | (30,012) | (62,274) |
Net increase (decrease) | 3,710 | (18,727) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
Six months ended | Years ended July 31, | |||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 10.64 | $ 10.62 | $ 11.00 | $ 11.00 | $ 11.05 | $ 11.11 |
Income from Investment Operations | ||||||
Net investment income D | .266 | .537 | .497 | .443 | .404 | .364 |
Net realized and unrealized gain (loss) | .460 | .017 | (.315) | .004 | .027 | (.029) |
Total from investment operations | .726 | .554 | .182 | .447 | .431 | .335 |
Distributions from net investment income | (.276) | (.534) | (.542) | (.447) | (.391) | (.395) |
Distributions from net realized gain | - | - | (.020) | - | (.090) | - |
Total distributions | (.276) | (.534) | (.562) | (.447) | (.481) | (.395) |
Net asset value, end of period | $ 11.09 | $ 10.64 | $ 10.62 | $ 11.00 | $ 11.00 | $ 11.05 |
Total Return B,C | 6.90% | 5.29% | 1.70% | 4.11% | 3.96% | 3.02% |
Ratios to Average Net Assets E | ||||||
Expenses before reductions | .45% A | .45% | .45% | .57% | .60% | .57% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .57% | .60% | .57% |
Expenses net of all reductions | .45% A | .45% | .45% | .57% | .60% | .57% |
Net investment income | 4.88% A | 5.01% | 4.61% | 4.00% | 3.64% | 3.25% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 3,348 | $ 3,172 | $ 3,365 | $ 4,033 | $ 3,977 | $ 5,606 |
Portfolio turnover | 169% A | 165% | 183% | 160% | 155% | 262% |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Intermediate Government Income Fund
Investment Changes
Coupon Distribution as of January 31, 2008 | ||
% of fund's investments | % of fund's investments | |
Less than 3% | 5.8 | 1.7 |
3 - 3.99% | 14.9 | 3.6 |
4 - 4.99% | 33.6 | 41.2 |
5 - 5.99% | 19.3 | 23.3 |
6 - 6.99% | 6.3 | 5.9 |
7% and over | 0.7 | 1.1 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of January 31, 2008 | ||
6 months ago | ||
Years | 3.8 | 3.3 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of January 31, 2008 | ||
6 months ago | ||
Years | 3.5 | 3.4 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of January 31, 2008* | As of July 31, 2007** | ||||||
| Mortgage | | Mortgage | ||||
| CMOs and | | CMOs and | ||||
| U.S. Treasury | | U.S. Treasury | ||||
 | U.S. Government | | U.S. Government | ||||
 | Asset-Backed | | Asset-Backed | ||||
| Short-Term | | Short-Term | ||||
* Futures and Swaps | 7.2% | ** Futures and Swaps | 4.8% | ||||
(dagger) Short-Term Investments and Net Other Assets are not included in the pie chart. |
Semiannual Report
Fidelity Intermediate Government Income Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 66.5% | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency Obligations - 16.0% | ||||
Fannie Mae: | ||||
4.875% 4/15/09 | $ 1 | $ 1 | ||
6.625% 9/15/09 | 13,377 | 14,205 | ||
Federal Home Loan Bank: | ||||
4.5% 10/14/08 | 1,850 | 1,873 | ||
5.375% 8/19/11 | 16,960 | 18,272 | ||
5.8% 9/2/08 | 5,845 | 5,947 | ||
Freddie Mac: | ||||
4.125% 11/30/09 | 28,300 | 29,016 | ||
4.125% 12/21/12 | 16,000 | 16,512 | ||
5.125% 4/18/11 | 2,360 | 2,508 | ||
5.25% 7/18/11 | 58 | 62 | ||
5.5% 8/23/17 | 5,500 | 6,048 | ||
5.625% 3/15/11 | 1,000 | 1,076 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development): | ||||
6.6% 2/15/08 | 2,887 | 2,889 | ||
6.8% 2/15/12 | 7,500 | 8,017 | ||
Private Export Funding Corp.: | ||||
secured: | ||||
5.66% 9/15/11 (c) | 9,000 | 9,761 | ||
5.685% 5/15/12 | 3,915 | 4,284 | ||
4.974% 8/15/13 | 3,435 | 3,689 | ||
Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24 | 730 | 754 | ||
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A, 6.06% 8/1/10 | 10,000 | 10,156 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 135,070 | |||
U.S. Treasury Inflation Protected Obligations - 2.1% | ||||
U.S. Treasury Inflation-Indexed Notes 2% 4/15/12 | 16,569 | 17,546 | ||
U.S. Treasury Obligations - 48.4% | ||||
U.S. Treasury Bonds 6.125% 8/15/29 | 1,000 | 1,245 | ||
U.S. Treasury Notes: | ||||
2.125% 1/31/10 (d) | 46,864 | 46,821 | ||
3.25% 12/31/09 (d) | 75,499 | 77,038 | ||
3.375% 11/30/12 (f) | 8,000 | 8,200 | ||
3.625% 12/31/12 (d) | 60,172 | 62,405 | ||
4.25% 11/15/14 (b) | 42,000 | 44,628 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
4.25% 11/15/17 (b) | $ 22,000 | $ 23,103 | ||
4.625% 7/31/12 (b)(f) | 62,500 | 67,427 | ||
4.75% 5/15/14 (b) | 32,058 | 35,086 | ||
4.75% 8/15/17 (b)(d) | 40,953 | 44,576 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 410,529 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $550,207) | 563,145 | |||
U.S. Government Agency - Mortgage Securities - 30.5% | ||||
Fannie Mae - 22.8% | ||||
3.595% 9/1/33 (g) | 296 | 299 | ||
3.718% 6/1/33 (g) | 926 | 937 | ||
3.751% 10/1/33 (g) | 82 | 83 | ||
3.784% 6/1/33 (g) | 1,052 | 1,058 | ||
3.798% 6/1/33 (g) | 80 | 81 | ||
3.874% 6/1/33 (g) | 374 | 377 | ||
3.892% 5/1/33 (g) | 452 | 455 | ||
3.899% 5/1/34 (g) | 599 | 605 | ||
3.909% 5/1/33 (g) | 25 | 26 | ||
3.937% 5/1/34 (g) | 467 | 471 | ||
3.954% 9/1/33 (g) | 713 | 720 | ||
3.965% 8/1/33 (g) | 405 | 410 | ||
4% 9/1/13 to 5/1/20 | 2,700 | 2,680 | ||
4% 3/1/34 (g) | 849 | 858 | ||
4% 4/1/34 (g) | 917 | 927 | ||
4.028% 3/1/34 (g) | 1,743 | 1,760 | ||
4.063% 3/1/35 (g) | 1,629 | 1,644 | ||
4.065% 10/1/18 (g) | 61 | 61 | ||
4.115% 4/1/34 (g) | 1,117 | 1,122 | ||
4.119% 5/1/34 (g) | 923 | 932 | ||
4.169% 8/1/33 (g) | 410 | 413 | ||
4.172% 1/1/35 (g) | 205 | 208 | ||
4.237% 1/1/34 (g) | 219 | 221 | ||
4.25% 2/1/35 (g) | 92 | 93 | ||
4.261% 10/1/33 (g) | 35 | 35 | ||
4.268% 6/1/33 (g) | 41 | 41 | ||
4.294% 3/1/35 (g) | 72 | 73 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.294% 5/1/35 (g) | $ 83 | $ 84 | ||
4.298% 6/1/33 (g) | 1,002 | 1,014 | ||
4.299% 3/1/33 (g) | 51 | 51 | ||
4.301% 4/1/33 (g) | 20 | 20 | ||
4.312% 1/1/35 (g) | 790 | 804 | ||
4.33% 3/1/33 (g) | 67 | 68 | ||
4.33% 4/1/35 (g) | 43 | 43 | ||
4.334% 2/1/35 (g) | 37 | 38 | ||
4.344% 10/1/19 (g) | 105 | 106 | ||
4.345% 1/1/35 (g) | 103 | 105 | ||
4.35% 8/1/33 (g) | 156 | 157 | ||
4.357% 2/1/34 (g) | 194 | 196 | ||
4.366% 11/1/35 (g) | 2,629 | 2,671 | ||
4.376% 1/1/34 (g) | 1,161 | 1,169 | ||
4.389% 5/1/35 (g) | 97 | 98 | ||
4.391% 2/1/35 (g) | 165 | 168 | ||
4.396% 10/1/34 (g) | 434 | 440 | ||
4.411% 10/1/33 (g) | 423 | 429 | ||
4.418% 8/1/34 (g) | 261 | 265 | ||
4.419% 8/1/34 (g) | 2,250 | 2,282 | ||
4.434% 3/1/35 (g) | 162 | 165 | ||
4.437% 11/1/33 (g) | 141 | 143 | ||
4.456% 8/1/35 (g) | 1,361 | 1,371 | ||
4.482% 1/1/35 (g) | 493 | 501 | ||
4.486% 12/1/34 (g) | 53 | 53 | ||
4.486% 5/1/35 (g) | 1,214 | 1,230 | ||
4.5% 3/1/18 to 10/1/18 | 2,655 | 2,671 | ||
4.501% 2/1/35 (g) | 1,135 | 1,148 | ||
4.51% 8/1/34 (g) | 1,669 | 1,686 | ||
4.524% 1/1/35 (g) | 98 | 99 | ||
4.53% 2/1/35 (g) | 67 | 69 | ||
4.534% 7/1/35 (g) | 284 | 287 | ||
4.54% 5/1/35 (g) | 240 | 244 | ||
4.552% 9/1/34 (g) | 2,038 | 2,069 | ||
4.566% 2/1/35 (g) | 383 | 389 | ||
4.569% 1/1/35 (g) | 752 | 765 | ||
4.569% 10/1/35 (g) | 59 | 59 | ||
4.575% 7/1/35 (g) | 272 | 275 | ||
4.579% 2/1/36 (g) | 1,232 | 1,250 | ||
4.609% 8/1/35 (g) | 1,021 | 1,041 | ||
4.618% 2/1/35 (g) | 37 | 38 | ||
4.642% 1/1/35 (g) | 520 | 530 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.646% 10/1/34 (g) | $ 318 | $ 323 | ||
4.665% 6/1/35 (g) | 356 | 360 | ||
4.682% 9/1/34 (g) | 1,282 | 1,307 | ||
4.685% 3/1/35 (g) | 20 | 20 | ||
4.69% 2/1/35 (g) | 1,338 | 1,364 | ||
4.693% 10/1/34 (g) | 280 | 285 | ||
4.695% 8/1/35 (g) | 466 | 472 | ||
4.703% 3/1/35 (g) | 579 | 589 | ||
4.714% 7/1/34 (g) | 260 | 265 | ||
4.716% 2/1/35 (g) | 611 | 623 | ||
4.726% 12/1/35 (g) | 3,838 | 3,908 | ||
4.77% 12/1/34 (g) | 76 | 77 | ||
4.773% 1/1/35 (g) | 435 | 443 | ||
4.792% 7/1/35 (g) | 411 | 420 | ||
4.796% 11/1/34 (g) | 224 | 228 | ||
4.797% 7/1/36 (g) | 399 | 404 | ||
4.803% 6/1/35 (g) | 325 | 329 | ||
4.819% 10/1/35 (g) | 183 | 186 | ||
4.822% 12/1/34 (g) | 940 | 957 | ||
4.829% 9/1/34 (g) | 407 | 415 | ||
4.829% 4/1/35 (g) | 1,143 | 1,161 | ||
4.836% 9/1/34 (g) | 873 | 889 | ||
4.853% 1/1/35 (g) | 335 | 341 | ||
4.853% 7/1/35 (g) | 549 | 561 | ||
4.856% 10/1/34 (g) | 896 | 913 | ||
4.883% 5/1/35 (g) | 175 | 179 | ||
4.885% 10/1/35 (g) | 153 | 155 | ||
4.901% 11/1/35 (g) | 931 | 941 | ||
4.909% 3/1/33 (g) | 268 | 273 | ||
4.934% 8/1/34 (g) | 844 | 859 | ||
4.943% 8/1/34 (g) | 680 | 693 | ||
4.948% 2/1/35 (g) | 474 | 484 | ||
4.952% 3/1/35 (g) | 467 | 477 | ||
4.957% 2/1/33 (g) | 98 | 100 | ||
4.997% 2/1/34 (g) | 698 | 713 | ||
5% 2/1/16 to 1/1/38 (e) | 53,321 | 53,463 | ||
5% 1/1/38 | 11,300 | 11,271 | ||
5.016% 7/1/34 (g) | 41 | 42 | ||
5.019% 12/1/32 (g) | 888 | 904 | ||
5.037% 10/1/35 (g) | 604 | 619 | ||
5.059% 8/1/34 (g) | 60 | 61 | ||
5.062% 9/1/34 (g) | 594 | 605 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
5.082% 9/1/34 (g) | $ 70 | $ 72 | ||
5.094% 5/1/35 (g) | 215 | 219 | ||
5.105% 10/1/35 (g) | 426 | 437 | ||
5.12% 8/1/34 (g) | 551 | 562 | ||
5.135% 3/1/35 (g) | 45 | 46 | ||
5.157% 8/1/33 (g) | 107 | 108 | ||
5.168% 3/1/36 (g) | 1,279 | 1,315 | ||
5.19% 6/1/35 (g) | 336 | 342 | ||
5.249% 11/1/36 (g) | 274 | 279 | ||
5.265% 4/1/36 (g) | 511 | 526 | ||
5.271% 12/1/36 (g) | 275 | 280 | ||
5.283% 7/1/35 (g) | 2,397 | 2,456 | ||
5.309% 12/1/34 (g) | 90 | 92 | ||
5.315% 7/1/35 (g) | 41 | 42 | ||
5.334% 2/1/36 (g) | 93 | 95 | ||
5.354% 1/1/36 (g) | 1,005 | 1,023 | ||
5.356% 2/1/36 (g) | 705 | 718 | ||
5.369% 3/1/37 (g) | 1,837 | 1,872 | ||
5.385% 2/1/37 (g) | 251 | 257 | ||
5.391% 2/1/37 (g) | 1,191 | 1,216 | ||
5.48% 6/1/47 (g) | 201 | 205 | ||
5.482% 2/1/37 (g) | 1,663 | 1,702 | ||
5.5% 1/1/09 to 6/1/20 | 19,860 | 20,455 | ||
5.521% 11/1/36 (g) | 511 | 521 | ||
5.618% 2/1/36 (g) | 298 | 307 | ||
5.628% 4/1/37 (g) | 1,105 | 1,131 | ||
5.65% 4/1/36 (g) | 1,134 | 1,169 | ||
5.661% 6/1/36 (g) | 695 | 716 | ||
5.792% 3/1/36 (g) | 2,257 | 2,325 | ||
5.804% 1/1/36 (g) | 279 | 287 | ||
5.815% 5/1/36 (g) | 1,687 | 1,737 | ||
5.893% 12/1/36 (g) | 417 | 430 | ||
5.897% 9/1/36 (g) | 471 | 481 | ||
5.923% 5/1/36 (g) | 734 | 756 | ||
5.966% 5/1/36 (g) | 270 | 279 | ||
6% 5/1/12 to 3/1/31 | 7,329 | 7,576 | ||
6.01% 4/1/36 (g) | 4,646 | 4,796 | ||
6.104% 3/1/37 (g) | 446 | 461 | ||
6.152% 4/1/36 (g) | 459 | 474 | ||
6.224% 6/1/36 (g) | 71 | 72 | ||
6.226% 3/1/37 (g) | 140 | 144 | ||
6.5% 6/1/16 to 7/1/32 | 2,062 | 2,154 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
7% 12/1/08 to 9/1/31 | $ 323 | $ 339 | ||
7.5% 5/1/37 | 371 | 394 | ||
9% 2/1/13 | 88 | 94 | ||
9.5% 11/15/09 | 89 | 93 | ||
10.25% 10/1/09 to 10/1/18 | 7 | 8 | ||
11% 8/1/10 to 1/1/16 | 226 | 244 | ||
11.25% 5/1/14 to 1/1/16 | 53 | 61 | ||
11.5% 9/1/11 to 6/15/19 | 169 | 191 | ||
12.25% 7/1/12 to 8/1/13 | 8 | 9 | ||
12.5% 9/1/12 to 7/1/16 | 139 | 163 | ||
12.75% 10/1/11 to 6/1/15 | 84 | 93 | ||
13% 7/1/13 to 7/1/15 | 62 | 74 | ||
13.25% 9/1/11 | 53 | 60 | ||
13.5% 11/1/14 to 12/1/14 | 14 | 17 | ||
15% 4/1/12 | 3 | 3 | ||
193,538 | ||||
Freddie Mac - 7.5% | ||||
3.374% 7/1/33 (g) | 919 | 923 | ||
3.998% 5/1/33 (g) | 1,320 | 1,337 | ||
4% 1/1/19 to 11/1/20 | 4,186 | 4,133 | ||
4.004% 4/1/34 (g) | 1,413 | 1,424 | ||
4.075% 7/1/35 (g) | 664 | 670 | ||
4.18% 1/1/35 (g) | 1,316 | 1,331 | ||
4.298% 12/1/34 (g) | 140 | 141 | ||
4.308% 3/1/35 (g) | 107 | 107 | ||
4.318% 2/1/35 (g) | 214 | 216 | ||
4.409% 2/1/34 (g) | 108 | 109 | ||
4.413% 6/1/35 (g) | 154 | 156 | ||
4.423% 3/1/35 (g) | 144 | 146 | ||
4.448% 3/1/35 (g) | 149 | 151 | ||
4.5% 2/1/18 to 11/1/20 | 1,540 | 1,547 | ||
4.54% 2/1/35 (g) | 255 | 258 | ||
4.595% 6/1/33 (g) | 410 | 411 | ||
4.647% 5/1/35 (g) | 873 | 879 | ||
4.66% 2/1/35 (g) | 3,350 | 3,408 | ||
4.697% 9/1/36 (g) | 296 | 299 | ||
4.703% 9/1/35 (g) | 3,634 | 3,693 | ||
4.789% 2/1/36 (g) | 125 | 128 | ||
4.807% 3/1/35 (g) | 257 | 261 | ||
4.819% 5/1/35 (g) | 2,318 | 2,361 | ||
4.839% 3/1/33 (g) | 32 | 33 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
4.866% 10/1/35 (g) | $ 549 | $ 560 | ||
4.897% 10/1/36 (g) | 1,740 | 1,766 | ||
5% 3/1/18 to 9/1/35 | 2,994 | 3,059 | ||
5.008% 4/1/35 (g) | 541 | 550 | ||
5.009% 7/1/35 (g) | 1,462 | 1,489 | ||
5.012% 10/1/36 (g) | 573 | 582 | ||
5.115% 7/1/35 (g) | 485 | 496 | ||
5.195% 12/1/33 (g) | 1,176 | 1,195 | ||
5.268% 2/1/36 (g) | 40 | 41 | ||
5.275% 11/1/35 (g) | 506 | 513 | ||
5.43% 3/1/37 (g) | 183 | 186 | ||
5.5% 8/1/14 to 11/1/20 | 3,241 | 3,337 | ||
5.501% 1/1/36 (g) | 438 | 449 | ||
5.524% 1/1/36 (g) | 614 | 628 | ||
5.542% 4/1/37 (g) | 271 | 276 | ||
5.586% 3/1/36 (g) | 1,891 | 1,938 | ||
5.656% 8/1/36 (g) | 1,867 | 1,912 | ||
5.748% 10/1/35 (g) | 122 | 125 | ||
5.767% 5/1/37 (g) | 2,060 | 2,104 | ||
5.778% 3/1/37 (g) | 966 | 985 | ||
5.794% 4/1/37 (g) | 927 | 949 | ||
5.822% 5/1/37 (g) | 197 | 201 | ||
5.829% 5/1/37 (g) | 301 | 307 | ||
5.839% 5/1/37 (g) | 1,175 | 1,199 | ||
5.839% 6/1/37 (g) | 719 | 735 | ||
5.945% 4/1/36 (g) | 2,418 | 2,484 | ||
6% 7/1/16 to 2/1/19 | 2,646 | 2,748 | ||
6.017% 6/1/36 (g) | 317 | 325 | ||
6.136% 12/1/36 (g) | 2,211 | 2,261 | ||
6.141% 2/1/37 (g) | 274 | 280 | ||
6.224% 5/1/36 (g) | 261 | 268 | ||
6.348% 7/1/36 (g) | 333 | 343 | ||
6.417% 6/1/37 (g) | 70 | 72 | ||
6.485% 9/1/36 (g) | 1,645 | 1,697 | ||
6.5% 5/1/08 to 12/1/21 | 938 | 976 | ||
6.717% 8/1/37 (g) | 523 | 539 | ||
7.581% 4/1/37 (g) | 75 | 78 | ||
8.5% 6/1/14 to 5/1/17 | 14 | 14 | ||
9% 11/1/09 to 8/1/16 | 31 | 35 | ||
9.5% 7/1/16 to 8/1/21 | 257 | 291 | ||
10% 7/1/09 to 3/1/21 | 505 | 574 | ||
10.5% 9/1/09 to 5/1/21 | 26 | 28 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
11% 9/1/20 | $ 19 | $ 23 | ||
11.25% 2/1/10 to 6/1/14 | 61 | 69 | ||
11.5% 10/1/15 to 8/1/19 | 46 | 53 | ||
11.75% 11/1/11 to 7/1/15 | 9 | 9 | ||
12% 10/1/09 to 11/1/19 | 113 | 128 | ||
12.25% 12/1/11 to 8/1/15 | 51 | 58 | ||
12.5% 10/1/09 to 6/1/19 | 547 | 630 | ||
12.75% 2/1/10 to 10/1/10 | 5 | 6 | ||
13% 9/1/10 to 5/1/17 | 91 | 106 | ||
13.25% 11/1/10 to 10/1/13 | 25 | 29 | ||
13.5% 11/1/10 to 8/1/11 | 29 | 33 | ||
14% 11/1/12 to 4/1/16 | 5 | 6 | ||
14.5% 12/1/10 | 1 | 1 | ||
14.75% 3/1/10 | 1 | 1 | ||
16.25% 7/1/11 | 0 | 0 | ||
63,869 | ||||
Government National Mortgage Association - 0.2% | ||||
8% 12/15/23 | 392 | 437 | ||
8.5% 6/15/16 to 2/15/17 | 7 | 8 | ||
10.5% 9/15/15 to 10/15/21 | 630 | 752 | ||
10.75% 12/15/09 to 3/15/10 | 6 | 6 | ||
11% 5/20/16 to 1/20/21 | 39 | 47 | ||
12.5% 12/15/10 | 1 | 1 | ||
13% 1/15/11 to 10/15/13 | 42 | 48 | ||
13.25% 8/15/14 | 9 | 11 | ||
13.5% 7/15/11 to 12/15/14 | 10 | 11 | ||
14% 6/15/11 | 5 | 6 | ||
1,327 | ||||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $250,901) | 258,734 | |||
Asset-Backed Securities - 0.2% | ||||
Fannie Mae Grantor Trust Series 2005-T4 Class A1C, 3.5263% 9/25/35 (g) | 1,895 | 1,882 | ||
Collateralized Mortgage Obligations - 9.2% | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - 9.2% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 1994-42 Class FK, 3.54% 4/25/24 (g) | $ 3,325 | $ 3,166 | ||
Series 2007-95 Class A1, 3.6263% 8/27/36 (g) | 1,738 | 1,737 | ||
planned amortization class: | ||||
Series 1988-21 Class G, 9.5% 8/25/18 | 75 | 83 | ||
Series 1994-12 Class PH, 6.25% 1/25/09 | 278 | 278 | ||
Series 2002-83 Class ME, 5% 12/25/17 | 5,150 | 5,168 | ||
Series 2003-28 Class KG, 5.5% 4/25/23 | 725 | 732 | ||
sequential payer Series 1993-238 Class C, 6.5% 12/25/08 | 1,169 | 1,173 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2001-38 Class QF, 4.3563% 8/25/31 (g) | 651 | 663 | ||
Series 2002-60 Class FV, 4.3763% 4/25/32 (g) | 236 | 240 | ||
Series 2002-74 Class FV, 3.8263% 11/25/32 (g) | 3,222 | 3,226 | ||
Series 2002-75 Class FA, 4.3763% 11/25/32 (g) | 484 | 492 | ||
planned amortization class: | ||||
Series 2001-68 Class QZ, 5.5% 12/25/16 | 547 | 561 | ||
Series 2002-11: | ||||
Class QC, 5.5% 3/25/17 | 1,391 | 1,421 | ||
Class UC, 6% 3/25/17 | 1,086 | 1,125 | ||
Series 2002-16 Class PG, 6% 4/25/17 | 1,273 | 1,319 | ||
Series 2002-18 Class PC, 5.5% 4/25/17 | 1,790 | 1,834 | ||
Series 2002-61 Class PG, 5.5% 10/25/17 | 1,945 | 2,004 | ||
Series 2002-71 Class UC, 5% 11/25/17 | 3,155 | 3,191 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 99 | 102 | ||
Series 2003-122 Class OL, 4% 12/25/18 | 880 | 850 | ||
Series 2003-128 Class NE, 4% 12/25/16 | 1,260 | 1,258 | ||
Series 2003-85 Class GD, 4.5% 9/25/18 | 1,425 | 1,422 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 980 | 975 | ||
Series 2004-81: | ||||
Class KC, 4.5% 4/25/17 | 690 | 699 | ||
Class KD, 4.5% 7/25/18 | 1,315 | 1,329 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 1,834 | 1,895 | ||
sequential payer: | ||||
Series 2002-56 Class MC, 5.5% 9/25/17 | 396 | 405 | ||
Series 2002-57 Class BD, 5.5% 9/25/17 | 347 | 355 | ||
Series 2003-18 Class EY, 5% 6/25/17 | 1,883 | 1,910 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2526 Class FC, 4.6363% 11/15/32 (g) | $ 731 | $ 732 | ||
Series 2630 Class FL, 4.7363% 6/15/18 (g) | 58 | 59 | ||
Series 2925 Class CQ, 0% 1/15/35 (g) | 227 | 208 | ||
planned amortization class: | ||||
Series 2356 Class GD, 6% 9/15/16 | 421 | 436 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 368 | 380 | ||
Series 2378 Class PE, 5.5% 11/15/16 | 1,063 | 1,089 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 295 | 302 | ||
Series 2390 Class CH, 5.5% 12/15/16 | 964 | 988 | ||
Series 2425 Class JH, 6% 3/15/17 | 512 | 531 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 705 | 708 | ||
Series 2640 Class GE, 4.5% 7/15/18 | 3,690 | 3,717 | ||
Series 2695 Class DG, 4% 10/15/18 | 1,635 | 1,577 | ||
Series 2752 Class PW, 4% 4/15/22 | 1,474 | 1,466 | ||
Series 2770 Class UD, 4.5% 5/15/17 | 2,435 | 2,470 | ||
Series 2802 Class OB, 6% 5/15/34 | 1,355 | 1,403 | ||
Series 2810 Class PD, 6% 6/15/33 | 1,020 | 1,057 | ||
Series 2831 Class PB, 5% 7/15/19 | 1,975 | 1,986 | ||
Series 2866 Class XE, 4% 12/15/18 | 1,875 | 1,869 | ||
sequential payer: | ||||
Series 1929 Class EZ, 7.5% 2/17/27 | 2,120 | 2,252 | ||
Series 2546 Class C, 5% 12/15/17 | 1,115 | 1,129 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 197 | 197 | ||
Series 2572 Class HK, 4% 2/15/17 | 281 | 280 | ||
Series 2617 Class GW, 3.5% 6/15/16 | 1,290 | 1,291 | ||
Series 2860 Class CP, 4% 10/15/17 | 207 | 207 | ||
Series 2866 Class N, 4.5% 12/15/18 | 1,335 | 1,350 | ||
Series 2937 Class HJ, 5% 10/15/19 | 924 | 937 | ||
Series 2998 Class LY, 5.5% 7/15/25 | 295 | 296 | ||
Series 3007 Class EW, 5.5% 7/15/25 | 1,125 | 1,135 | ||
Series 3013 Class VJ, 5% 1/15/14 | 1,856 | 1,898 | ||
Series 3266 Class C, 5% 2/15/20 | 663 | 674 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 890 | 877 | ||
Series 2769 Class BU, 5% 3/15/34 | 1,014 | 962 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
Series 2975 Class NA, 5% 7/15/23 | $ 586 | $ 595 | ||
Ginnie Mae guaranteed REMIC pass-thru securities planned amortization class Series 2005-58 Class NJ, 4.5% 8/20/35 | 3,465 | 3,497 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $76,900) | 78,168 | |||
Cash Equivalents - 25.6% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements in a joint trading account at 3%, dated 1/31/08 due 2/1/08: | |||
(Collateralized by U.S. Government Obligations) # | 94,083 | 94,075 | |
(Collateralized by U.S. Government Obligations) # (a) | 122,662 | 122,652 | |
TOTAL CASH EQUIVALENTS (Cost $216,727) | 216,727 | ||
TOTAL INVESTMENT PORTFOLIO - 132.0% (Cost $1,096,630) | 1,118,656 | ||
NET OTHER ASSETS - (32.0)% | (271,044) | ||
NET ASSETS - 100% | $ 847,612 | ||
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Treasury Contracts | |||||
280 U.S. Treasury 5-Year Bond Contracts | March 2008 | $ 31,640 | $ 734 | ||
The face value of futures purchased as a percentage of net assets - 3.7% |
Swap Agreements | |||||
Notional Amount (000s) | Value (000s) | ||||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.35% with Bank of America | March 2037 | $ 1,800 | $ (176) | ||
Receive semi-annually a fixed rate equal to 4.64% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc. | Oct. 2009 | 1,000 | 39 | ||
Receive semi-annually a fixed rate equal to 4.681% and pay quarterly a floating rate based on a 3-month LIBOR with JPMorgan Chase, Inc. | Sept. 2009 | 29,000 | 1,124 | ||
$ 31,800 | $ 987 | ||||
Legend |
(a) Includes investment made with cash collateral received from securities on loan. |
(b) Security or a portion of the security is on loan at period end. |
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $9,761,000 or 1.2% of net assets. |
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(e) A portion of the security is subject to a forward commitment to sell. |
(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $306,000. |
(g) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$94,075,000 due 2/01/08 at 3.00% | |
BNP Paribas Securities Corp. | $ 9,767 |
Banc of America Securities LLC | 3,907 |
Barclays Capital, Inc. | 41,860 |
Bear Stearns & Co., Inc. | 11,935 |
Citigroup Global Markets, Inc. | 2,791 |
Dresdner Kleinwort Securities LLC | 1,395 |
ING Financial Markets LLC | 1,769 |
J.P. Morgan Securities, Inc. | 8,372 |
Societe Generale, New York Branch | 11,163 |
WestLB AG | 1,116 |
$ 94,075 | |
$122,652,000 due 2/01/08 at 3.00% | |
ABN AMRO Bank N.V., New York Branch | $ 9,011 |
Banc of America Securities LLC | 67,581 |
Bank of America, NA | 36,043 |
Bear Stearns & Co., Inc. | 10,017 |
$ 122,652 | |
Income Tax Information |
At July 31, 2007, the fund had a capital loss carryforward of approximately $40,571,000 of which $11,911,000, $7,507,000, $3,266,000, $414,000, $6,019,000 and $11,454,000 will expire on July 31, 2008, 2009, 2012, 2013, 2014 and 2015, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount) | January 31, 2008 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $118,720 and repurchase agreements of $216,727) - See accompanying schedule: Unaffiliated issuers (cost $1,096,630) | $ 1,118,656 | |
Commitment to sell securities on a delayed delivery basis | $ (51,143) | |
Receivable for securities sold on a delayed delivery basis | 50,694 | (449) |
Receivable for investments sold, regular delivery | 650 | |
Cash | 1,369 | |
Receivable for fund shares sold | 1,544 | |
Interest receivable | 29,056 | |
Receivable for daily variation on futures contracts | 114 | |
Swap agreements, at value | 987 | |
Other receivables | 1 | |
Total assets | 1,151,928 | |
Liabilities | ||
Payable for investments purchased | $ 11,630 | |
Delayed delivery | 167,848 | |
Payable for fund shares redeemed | 1,163 | |
Distributions payable | 315 | |
Accrued management fee | 210 | |
Other affiliated payables | 94 | |
Other payables and accrued expenses | 423 | |
Collateral on securities loaned, at value | 122,633 | |
Total liabilities | 304,316 | |
Net Assets | $ 847,612 | |
Net Assets consist of: | ||
Paid in capital | $ 852,048 | |
Undistributed net investment income | 449 | |
Accumulated undistributed net realized gain (loss) on investments | (28,183) | |
Net unrealized appreciation (depreciation) on investments | 23,298 | |
Net Assets, for 80,819 shares outstanding | $ 847,612 | |
Net Asset Value, offering price and redemption price per share ($847,612 ÷ 80,819 shares) | $ 10.49 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended January 31, 2008 (Unaudited) | |
Investment Income | ||
Interest | $ 18,024 | |
Expenses | ||
Management fee | $ 1,173 | |
Transfer agent fees | 372 | |
Fund wide operations fee | 129 | |
Independent trustees' compensation | 2 | |
Total expenses before reductions | 1,676 | |
Expense reductions | (10) | 1,666 |
Net investment income | 16,358 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 14,339 | |
Swap agreements | 1,574 | |
Total net realized gain (loss) | 15,913 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 22,772 | |
Futures contracts | 734 | |
Swap agreements | 447 | |
Delayed delivery commitments | (449) | |
Total change in net unrealized appreciation (depreciation) | 23,504 | |
Net gain (loss) | 39,417 | |
Net increase (decrease) in net assets resulting from operations | $ 55,775 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended January 31, 2008 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 16,358 | $ 31,542 |
Net realized gain (loss) | 15,913 | (5,105) |
Change in net unrealized appreciation (depreciation) | 23,504 | 9,911 |
Net increase (decrease) in net assets resulting | 55,775 | 36,348 |
Distributions to shareholders from net investment income | (17,817) | (32,742) |
Share transactions | 176,616 | 66,477 |
Reinvestment of distributions | 15,663 | 28,271 |
Cost of shares redeemed | (82,680) | (157,163) |
Net increase (decrease) in net assets resulting from share transactions | 109,599 | (62,415) |
Total increase (decrease) in net assets | 147,557 | (58,809) |
Net Assets | ||
Beginning of period | 700,055 | 758,864 |
End of period (including undistributed net investment income of $449 and undistributed net investment income of $1,908, respectively) | $ 847,612 | $ 700,055 |
Other Information Shares | ||
Sold | 17,155 | 6,665 |
Issued in reinvestment of distributions | 1,532 | 2,831 |
Redeemed | (8,099) | (15,756) |
Net increase (decrease) | 10,588 | (6,260) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
Six months ended January 31, 2008 | Years ended July 31, | |||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.97 | $ 9.92 | $ 10.11 | $ 10.18 | $ 10.17 | $ 10.11 |
Income from Investment Operations | ||||||
Net investment income D | .224 | .435 | .414 | .330 | .274 | .329 |
Net realized and unrealized gain (loss) | .540 | .067 | (.219) | (.084) | .014 | .056 |
Total from investment operations | .764 | .502 | .195 | .246 | .288 | .385 |
Distributions from net investment income | (.244) | (.452) | (.385) | (.316) | (.278) | (.325) |
Net asset value, end of period | $ 10.49 | $ 9.97 | $ 9.92 | $ 10.11 | $ 10.18 | $ 10.17 |
Total Return B,C | 7.75% | 5.14% | 1.97% | 2.43% | 2.84% | 3.80% |
Ratios to Average Net Assets E | ||||||
Expenses before reductions | .45% A | .45% | .45% | .57% | .60% | .60% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .57% | .60% | .60% |
Expenses net of all reductions | .45% A | .45% | .45% | .57% | .60% | .60% |
Net investment income | 4.37% A | 4.36% | 4.14% | 3.23% | 2.67% | 3.18% |
Supplemental Data | ||||||
Net assets, end of period | $ 848 | $ 700 | $ 759 | $ 884 | $ 963 | $ 1,283 |
Portfolio turnover rate | 435% A | 121% | 97% | 90% | 152% | 229% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended January 31, 2008 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Ginnie Mae Fund and Fidelity Intermediate Government Income Fund (the Funds) are funds of Fidelity Income Fund (the trust). The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Each Fund is authorized to issue an unlimited number of shares.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Funds:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, each Fund uses independent pricing services approved by the Board of Trustees to value their investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Semiannual Report
2. Significant Accounting Policies - continued
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan) for Fidelity Ginnie Mae Fund, Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. Effective with the beginning of the Fund's fiscal year, each Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the Funds' federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, prior period premium and discount on debt securities, market discount, deferred trustees compensation, financing transactions, capital loss carryforwards, losses deferred due to wash sales and excise tax regulations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows for each Fund:
Cost for Federal | Unrealized | Unrealized | Net Unrealized | |
Ginnie Mae Fund | $ 3,904,584 | $ 87,848 | $ (26,439) | $ 61,409 |
Intermediate Government Income Fund | 1,096,469 | 23,373 | (1,186) | 22,187 |
New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Funds' financial statement disclosures.
3. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits certain Funds and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Certain Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Each applicable Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. Certain Funds may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Fund's Schedule of Investments. Certain Funds may receive compensation for interest forgone
Semiannual Report
3. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Futures Contracts. Certain Funds may use futures contracts to manage their exposure to the bond. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in each applicable fund's Schedule of Investments. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in each applicable fund's Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in each applicable fund's Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Restricted Securities. Certain Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of each applicable Fund's Schedule of Investments.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Operating Policies - continued
Swap Agreements. Certain Funds may invest in swaps for the purpose of managing their exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on each applicable Funds Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in each applicable Fund's Schedule of Investments under the caption "Swap Agreements".
Mortgage Dollar Rolls. To earn additional income, certain Funds may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price, including the associated financing cost, if any is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
Semiannual Report
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Funds with investment management related services for which the Funds pay a monthly management fee. The management fee is the sum of an individual fund fee rate and a group fee rate. The individual fund fee rate is applied to each Fund's average net assets. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease.
For the period, each Fund's annualized management fee rate expressed as a percentage of each Fund's average net assets was as follows:
Individual Rate | Group Rate | Total | |
Ginnie Mae Fund | .20% | .12% | .32% |
Intermediate Government Income Fund | .20% | .12% | .32% |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Funds' transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee of .10% of each Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Prior to January 1, 2008, Fidelity Service Company, Inc. (FSC), also an affiliate of FMR was the Funds' transfer agent.
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, the compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fees were equivalent to the following annualized rates expressed as a percentage of average net assets:
Ginnie Mae Fund | .03% |
Intermediate Government Income Fund | .03% |
5. Committed Line of Credit.
Certain Funds participate with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
5. Committed Line of Credit - continued
The participating funds have agreed to pay commitment fees on their pro rata portion of the line of credit, which is reflected in Miscellaneous Expense on the Statement of Operations, and is as follows:
Ginnie Mae Fund | 4 |
Intermediate Government Income Fund | 1 |
During the period, there were no borrowings on this line of credit.
6. Security Lending.
Certain Funds lend portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, each applicable Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Funds and any additional required collateral is delivered to the Funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on each applicable Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented on each applicable Fund's Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to:
Intermediate Government Income Fund | $ 280 |
7. Expense Reductions.
Through arrangements with each applicable Fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.
Fund Wide Operations | Transfer Agent | |
Ginnie Mae Fund | $ 3 | $ 25 |
Intermediate Government Income Fund | 3 | 7 |
Semiannual Report
8. Other.
The Funds' organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Research & Analysis Company
Fidelity Investments
Money Management, Inc.
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®) (automated graphic) 1-800-544-5555
(automated graphic) Automated line for quickest service
GMIG-USAN-0308
1.844595.102
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
Fidelity®
Government Income
Fund
Semiannual Report
January 31, 2008
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Stocks got off to a poor start in 2008, while investment-grade bonds and money markets showed positive returns, once again underscoring the importance of a diversified portfolio. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2007 to January 31, 2008).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Semiannual Report
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,080.00 | $ 4.24 |
Hypothetical A | $ 1,000.00 | $ 1,021.06 | $ 4.12 |
Class T | |||
Actual | $ 1,000.00 | $ 1,079.10 | $ 4.08 |
Hypothetical A | $ 1,000.00 | $ 1,021.22 | $ 3.96 |
Class B | |||
Actual | $ 1,000.00 | $ 1,076.30 | $ 7.78 |
Hypothetical A | $ 1,000.00 | $ 1,017.65 | $ 7.56 |
Class C | |||
Actual | $ 1,000.00 | $ 1,076.10 | $ 7.98 |
Hypothetical A | $ 1,000.00 | $ 1,017.44 | $ 7.76 |
Government Income | |||
Actual | $ 1,000.00 | $ 1,081.00 | $ 2.35 |
Hypothetical A | $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,080.50 | $ 2.72 |
Hypothetical A | $ 1,000.00 | $ 1,022.52 | $ 2.64 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
Annualized | |
Class A | .81% |
Class T | .78% |
Class B | 1.49% |
Class C | 1.53% |
Government Income | .45% |
Institutional Class | .52% |
Semiannual Report
Investment Changes
Coupon Distribution as of January 31, 2008 | ||
% of fund's investments | % of fund's investments | |
Less than 3% | 4.0 | 1.6 |
3 - 3.99% | 8.7 | 2.8 |
4 - 4.99% | 25.6 | 34.2 |
5 - 5.99% | 24.9 | 21.7 |
6 - 6.99% | 14.7 | 15.6 |
7% and over | 3.0 | 2.8 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of January 31, 2008 | ||
6 months ago | ||
Years | 4.6 | 4.9 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of January 31, 2008 | ||
6 months ago | ||
Years | 4.5 | 4.7 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of January 31, 2008* | As of July 31, 2007** | ||||||
| Mortgage | | Mortgage | ||||
| CMOs and Other Mortgage Related Securities 7.7% | | CMOs and Other Mortgage Related Securities 7.9% | ||||
 | U.S. Treasury | | U.S. Treasury | ||||
| U.S. Government | | U.S. Government | ||||
 | Asset-Backed | | Asset-Backed | ||||
 | Short-Term | | Short-Term | ||||
* Futures and Swaps | 5.7% | ** Futures and Swaps | 4.4% | ||||
* Short-term Investments and Net Other Assets are not included in the pie chart.
Semiannual Report
Investments January 31, 2008 (Unaudited)
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 63.5% | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency Obligations - 29.9% | ||||
Fannie Mae: | ||||
3.25% 8/15/08 | $ 4,812 | $ 4,824 | ||
3.25% 2/10/10 | 75,000 | 75,768 | ||
3.625% 2/12/13 | 92,300 | 93,098 | ||
4.75% 11/19/12 (b) | 29,255 | 31,002 | ||
4.875% 4/15/09 | 43,350 | 44,489 | ||
4.875% 5/18/12 | 160,000 | 170,084 | ||
5.125% 9/2/08 | 78,770 | 79,840 | ||
5.375% 6/12/17 | 13,063 | 14,265 | ||
6.625% 9/15/09 | 149,585 | 158,843 | ||
7.25% 1/15/10 | 60,086 | 65,238 | ||
Federal Home Loan Bank 5.375% 8/19/11 | 35,350 | 38,085 | ||
Freddie Mac: | ||||
3.875% 6/15/08 | 2,791 | 2,801 | ||
4.125% 12/21/12 | 70,540 | 72,798 | ||
4.75% 3/5/09 | 146,766 | 150,118 | ||
4.75% 1/18/11 | 204,790 | 214,610 | ||
4.75% 3/5/12 | 10,000 | 10,571 | ||
4.875% 2/9/10 | 10,000 | 10,420 | ||
5% 6/11/09 | 100,000 | 103,133 | ||
5% 1/30/14 | 25,000 | 26,762 | ||
5.125% 4/18/11 | 31,220 | 33,182 | ||
5.125% 11/17/17 (b) | 152,000 | 162,577 | ||
5.25% 5/21/09 | 154,235 | 159,373 | ||
5.25% 7/18/11 | 29,000 | 31,081 | ||
5.5% 8/23/17 (b) | 42,900 | 47,176 | ||
5.625% 3/15/11 (b) | 48,555 | 52,238 | ||
5.75% 1/15/12 | 1,686 | 1,844 | ||
6.625% 9/15/09 | 155,000 | 164,670 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | 110,500 | 122,323 | ||
6.6% 2/15/08 | 10,649 | 10,657 | ||
6.8% 2/15/12 | 30,000 | 32,069 | ||
Overseas Private Investment Corp. U.S. Government guaranteed participation certificates: | ||||
6.77% 11/15/13 | 6,138 | 6,256 | ||
6.99% 5/21/16 | 20,242 | 23,469 | ||
Private Export Funding Corp.: | ||||
secured: | ||||
5.66% 9/15/11 (c) | 18,000 | 19,522 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency Obligations - continued | ||||
Private Export Funding Corp.: - continued | ||||
secured: | ||||
5.685% 5/15/12 | $ 24,035 | $ 26,301 | ||
6.67% 9/15/09 | 3,500 | 3,724 | ||
4.974% 8/15/13 | 22,940 | 24,638 | ||
Small Business Administration guaranteed development participation certificates: | ||||
Series 2002-20J Class 1, 4.75% 10/1/22 | 6,158 | 6,237 | ||
Series 2002-20K Class 1, 5.08% 11/1/22 | 13,568 | 13,922 | ||
Series 2003 P10B, 5.136% 8/10/13 | 9,511 | 9,693 | ||
Series 2004-20H Class 1, 5.17% 8/1/24 | 3,782 | 3,906 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 8,429 | 9,047 | ||
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A, 5.96% 8/1/09 | 18,380 | 18,659 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 2,349,313 | |||
U.S. Treasury Inflation Protected Obligations - 2.7% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 69,881 | 70,689 | ||
2% 4/15/12 | 51,778 | 54,832 | ||
4.25% 1/15/10 | 78,062 | 84,240 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 209,761 | |||
U.S. Treasury Obligations - 30.9% | ||||
U.S. Treasury Bonds: | ||||
4.75% 2/15/37 (f) | 19,000 | 20,241 | ||
5% 5/15/37 (b) | 136,000 | 150,631 | ||
6.125% 8/15/29 (b) | 162,102 | 201,830 | ||
6.25% 8/15/23 | 1,500 | 1,843 | ||
8% 11/15/21 | 146,794 | 206,142 | ||
U.S. Treasury Notes: | ||||
2.125% 1/31/10 | 112,280 | 112,175 | ||
3.125% 11/30/09 (b) | 29,100 | 29,598 | ||
3.25% 12/31/09 (b)(d) | 192,973 | 196,872 | ||
3.375% 11/30/12 | 73,720 | 75,563 | ||
3.625% 10/31/09 | 31,000 | 31,787 | ||
3.625% 12/31/12 (b)(d) | 302,088 | 313,310 | ||
3.875% 10/31/12 | 8,500 | 8,904 | ||
4% 9/30/09 | 3,000 | 3,090 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
4.25% 8/15/14 (b)(f) | $ 161,550 | $ 171,887 | ||
4.25% 11/15/14 (b) | 77,185 | 82,015 | ||
4.25% 8/15/15 (b) | 84,500 | 89,379 | ||
4.25% 11/15/17 (b) | 186,000 | 195,329 | ||
4.375% 12/15/10 | 5,230 | 5,539 | ||
4.5% 11/15/15 | 30,800 | 33,055 | ||
4.625% 7/31/12 (b) | 115,065 | 124,135 | ||
4.625% 11/15/16 (b) | 117,000 | 126,232 | ||
4.75% 5/15/14 (b) | 78,733 | 86,170 | ||
4.75% 8/15/17 (b) | 117,000 | 127,365 | ||
5.125% 5/15/16 | 30,000 | 33,438 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 2,426,530 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,789,857) | 4,985,604 | |||
U.S. Government Agency - Mortgage Securities - 34.5% | ||||
Fannie Mae - 24.9% | ||||
3.699% 10/1/33 (g) | 649 | 658 | ||
3.75% 1/1/34 (g) | 603 | 609 | ||
3.75% 4/1/34 (g) | 10,009 | 10,096 | ||
3.751% 10/1/33 (g) | 659 | 663 | ||
3.798% 6/1/33 (g) | 513 | 517 | ||
3.806% 4/1/33 (g) | 1,676 | 1,688 | ||
3.874% 6/1/33 (g) | 2,399 | 2,415 | ||
3.892% 5/1/33 (g) | 4,295 | 4,329 | ||
3.899% 5/1/34 (g) | 5,994 | 6,052 | ||
3.909% 5/1/33 (g) | 193 | 196 | ||
3.937% 5/1/34 (g) | 4,550 | 4,592 | ||
3.954% 9/1/33 (g) | 6,912 | 6,982 | ||
4% 9/1/13 to 6/1/20 | 24,949 | 24,769 | ||
4% 3/1/34 (g) | 8,713 | 8,807 | ||
4% 4/1/34 (g) | 9,674 | 9,778 | ||
4.025% 6/1/34 (g) | 8,782 | 8,880 | ||
4.063% 3/1/35 (g) | 16,120 | 16,273 | ||
4.065% 10/1/18 (g) | 438 | 442 | ||
4.15% 5/1/33 (g) | 7,081 | 7,181 | ||
4.172% 1/1/35 (g) | 1,451 | 1,469 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.202% 6/1/34 (g) | $ 9,753 | $ 9,868 | ||
4.237% 1/1/34 (g) | 1,920 | 1,941 | ||
4.25% 2/1/35 (g) | 702 | 712 | ||
4.261% 10/1/33 (g) | 301 | 305 | ||
4.268% 6/1/33 (g) | 343 | 348 | ||
4.288% 6/1/34 (g) | 11,765 | 11,919 | ||
4.292% 3/1/33 (g) | 259 | 262 | ||
4.294% 3/1/35 (g) | 554 | 558 | ||
4.294% 5/1/35 (g) | 599 | 610 | ||
4.299% 3/1/33 (g) | 344 | 348 | ||
4.301% 4/1/33 (g) | 131 | 133 | ||
4.312% 1/1/35 (g) | 8,120 | 8,265 | ||
4.33% 3/1/33 (g) | 572 | 582 | ||
4.33% 4/1/35 (g) | 342 | 347 | ||
4.334% 2/1/35 (g) | 286 | 292 | ||
4.344% 10/1/19 (g) | 1,110 | 1,125 | ||
4.345% 1/1/35 (g) | 790 | 803 | ||
4.35% 8/1/33 (g) | 1,140 | 1,149 | ||
4.357% 2/1/34 (g) | 1,175 | 1,189 | ||
4.366% 11/1/35 (g) | 27,050 | 27,483 | ||
4.389% 5/1/35 (g) | 533 | 541 | ||
4.391% 2/1/35 (g) | 1,022 | 1,039 | ||
4.396% 10/1/34 (g) | 3,711 | 3,765 | ||
4.418% 8/1/34 (g) | 1,852 | 1,875 | ||
4.434% 3/1/35 (g) | 1,081 | 1,099 | ||
4.437% 11/1/33 (g) | 1,337 | 1,354 | ||
4.482% 1/1/35 (g) | 5,211 | 5,301 | ||
4.486% 12/1/34 (g) | 565 | 574 | ||
4.5% 2/1/18 to 4/1/20 | 14,815 | 14,902 | ||
4.501% 2/1/35 (g) | 10,651 | 10,778 | ||
4.524% 1/1/35 (g) | 747 | 752 | ||
4.53% 2/1/35 (g) | 494 | 506 | ||
4.534% 7/1/35 (g) | 2,230 | 2,257 | ||
4.54% 5/1/35 (g) | 1,815 | 1,841 | ||
4.552% 9/1/34 (g) | 17,825 | 18,104 | ||
4.569% 10/1/35 (g) | 352 | 357 | ||
4.575% 7/1/35 (g) | 2,643 | 2,663 | ||
4.618% 2/1/35 (g) | 251 | 256 | ||
4.642% 1/1/35 (g) | 5,320 | 5,420 | ||
4.646% 10/1/34 (g) | 3,310 | 3,368 | ||
4.682% 9/1/34 (g) | 13,126 | 13,390 | ||
4.685% 3/1/35 (g) | 176 | 179 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.703% 3/1/35 (g) | $ 514 | $ 523 | ||
4.714% 7/1/34 (g) | 1,833 | 1,864 | ||
4.716% 2/1/35 (g) | 6,259 | 6,386 | ||
4.726% 12/1/35 (g) | 57,508 | 58,552 | ||
4.77% 12/1/34 (g) | 615 | 626 | ||
4.787% 12/1/35 (g) | 4,003 | 4,059 | ||
4.792% 7/1/35 (g) | 4,353 | 4,448 | ||
4.793% 1/1/35 (g) | 61,811 | 63,051 | ||
4.796% 11/1/34 (g) | 2,075 | 2,113 | ||
4.803% 6/1/35 (g) | 3,162 | 3,207 | ||
4.819% 10/1/35 (g) | 1,748 | 1,784 | ||
4.822% 12/1/34 (g) | 9,602 | 9,776 | ||
4.833% 1/1/35 (g) | 9,953 | 10,159 | ||
4.836% 9/1/34 (g) | 8,937 | 9,096 | ||
4.853% 7/1/35 (g) | 5,643 | 5,767 | ||
4.856% 10/1/34 (g) | 7,404 | 7,545 | ||
4.859% 7/1/34 (g) | 5,367 | 5,455 | ||
4.883% 5/1/35 (g) | 1,737 | 1,776 | ||
4.897% 8/1/34 (g) | 4,830 | 4,915 | ||
4.901% 11/1/35 (g) | 9,039 | 9,140 | ||
4.934% 8/1/34 (g) | 8,630 | 8,792 | ||
4.948% 2/1/35 (g) | 4,852 | 4,949 | ||
4.952% 3/1/35 (g) | 4,772 | 4,874 | ||
4.957% 2/1/33 (g) | 939 | 957 | ||
4.997% 2/1/34 (g) | 7,367 | 7,527 | ||
5% 12/1/15 to 9/1/37 | 173,908 | 174,108 | ||
5.016% 7/1/34 (g) | 352 | 358 | ||
5.055% 1/1/37 (g) | 5,831 | 5,936 | ||
5.059% 8/1/34 (g) | 522 | 527 | ||
5.062% 9/1/34 (g) | 4,875 | 4,963 | ||
5.082% 9/1/34 (g) | 702 | 716 | ||
5.086% 7/1/34 (g) | 1,929 | 1,964 | ||
5.105% 10/1/35 (g) | 4,202 | 4,311 | ||
5.12% 8/1/34 (g) | 5,642 | 5,758 | ||
5.135% 3/1/35 (g) | 361 | 369 | ||
5.139% 8/1/36 (g) | 27,094 | 27,550 | ||
5.157% 8/1/33 (g) | 915 | 929 | ||
5.168% 3/1/36 (g) | 12,888 | 13,249 | ||
5.19% 6/1/35 (g) | 2,595 | 2,641 | ||
5.21% 5/1/35 (g) | 5,576 | 5,711 | ||
5.265% 4/1/36 (g) | 5,146 | 5,292 | ||
5.271% 12/1/36 (g) | 2,757 | 2,809 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
5.306% 3/1/36 (g) | $ 35,965 | $ 37,000 | ||
5.309% 12/1/34 (g) | 868 | 885 | ||
5.315% 7/1/35 (g) | 351 | 357 | ||
5.317% 1/1/34 (g) | 62 | 62 | ||
5.356% 2/1/36 (g) | 7,397 | 7,534 | ||
5.385% 2/1/37 (g) | 2,659 | 2,717 | ||
5.391% 2/1/37 (g) | 12,580 | 12,838 | ||
5.393% 7/1/35 (g) | 2,169 | 2,219 | ||
5.443% 8/1/36 (g) | 6,411 | 6,618 | ||
5.5% 4/1/09 to 11/1/37 | 416,246 | 425,762 | ||
5.5% 4/1/33 (d) | 68,440 | 69,322 | ||
5.5% 2/12/38 (d)(e) | 90,000 | 91,274 | ||
5.618% 2/1/36 (g) | 3,154 | 3,246 | ||
5.65% 4/1/36 (g) | 11,960 | 12,330 | ||
5.661% 6/1/36 (g) | 7,304 | 7,520 | ||
5.691% 1/1/36 (g) | 30,823 | 31,794 | ||
5.792% 3/1/36 (g) | 8,125 | 8,371 | ||
5.797% 5/1/36 (g) | 3,217 | 3,309 | ||
5.804% 1/1/36 (g) | 2,515 | 2,584 | ||
5.815% 5/1/36 (g) | 17,814 | 18,345 | ||
5.855% 3/1/36 (g) | 7,697 | 7,918 | ||
5.86% 6/1/35 (g) | 1,933 | 1,989 | ||
5.893% 12/1/36 (g) | 4,387 | 4,525 | ||
5.894% 3/1/36 (g) | 6,692 | 6,895 | ||
5.931% 5/1/36 (g) | 5,192 | 5,358 | ||
5.966% 5/1/36 (g) | 2,762 | 2,851 | ||
6% 5/1/12 to 1/1/38 | 180,186 | 185,911 | ||
6% 2/19/23 (d)(e) | 5,000 | 5,167 | ||
6% 2/19/23 (d) | 10,000 | 10,335 | ||
6% 2/1/38 (d)(e) | 29,000 | 29,765 | ||
6.01% 4/1/36 (g) | 48,850 | 50,428 | ||
6.069% 4/1/36 (g) | 26,431 | 27,339 | ||
6.104% 3/1/37 (g) | 4,552 | 4,700 | ||
6.152% 4/1/36 (g) | 4,710 | 4,862 | ||
6.224% 6/1/36 (g) | 740 | 756 | ||
6.226% 3/1/37 (g) | 1,495 | 1,539 | ||
6.3% 10/1/36 (g) | 21,648 | 22,287 | ||
6.5% 2/1/12 to 1/1/35 | 48,373 | 51,128 | ||
6.561% 9/1/36 (g) | 9,324 | 9,645 | ||
7% 7/1/13 to 7/1/32 | 5,151 | 5,534 | ||
7.5% 8/1/10 to 4/1/29 | 127 | 135 | ||
8% 1/1/22 | 2 | 2 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
8.5% 1/1/15 to 7/1/31 | $ 537 | $ 587 | ||
9% 11/1/11 to 5/1/14 | 540 | 562 | ||
9.5% 11/15/09 to 10/1/20 | 770 | 863 | ||
10% 8/1/10 | 0 | 0 | ||
11% 8/1/10 | 9 | 10 | ||
11.25% 5/1/14 | 8 | 9 | ||
11.5% 6/15/19 to 1/15/21 | 1,211 | 1,391 | ||
12.5% 8/1/15 to 3/1/16 | 2 | 3 | ||
1,956,069 | ||||
Freddie Mac - 9.3% | ||||
4% 5/1/19 to 11/1/20 | 25,303 | 24,976 | ||
4.298% 12/1/34 (g) | 950 | 961 | ||
4.308% 3/1/35 (g) | 746 | 751 | ||
4.318% 2/1/35 (g) | 1,488 | 1,506 | ||
4.409% 2/1/34 (g) | 664 | 667 | ||
4.413% 6/1/35 (g) | 1,182 | 1,196 | ||
4.423% 3/1/35 (g) | 1,041 | 1,055 | ||
4.448% 3/1/35 (g) | 1,013 | 1,028 | ||
4.5% 2/1/18 to 8/1/33 | 25,442 | 25,425 | ||
4.697% 9/1/36 (g) | 3,125 | 3,151 | ||
4.703% 9/1/35 (g) | 24,851 | 25,256 | ||
4.724% 2/1/34 (g) | 7,934 | 8,078 | ||
4.789% 2/1/36 (g) | 1,302 | 1,326 | ||
4.807% 3/1/35 (g) | 2,622 | 2,664 | ||
4.839% 3/1/33 (g) | 279 | 284 | ||
4.897% 10/1/36 (g) | 18,744 | 19,020 | ||
5% 1/1/09 to 9/1/35 | 12,609 | 12,638 | ||
5.008% 4/1/35 (g) | 3,970 | 4,036 | ||
5.021% 4/1/35 (g) | 527 | 537 | ||
5.115% 7/1/35 (g) | 4,799 | 4,912 | ||
5.268% 2/1/36 (g) | 304 | 311 | ||
5.5% 8/1/14 to 7/1/37 (e) | 213,698 | 218,223 | ||
5.501% 1/1/36 (g) | 4,331 | 4,438 | ||
5.524% 1/1/36 (g) | 5,955 | 6,096 | ||
5.748% 10/1/35 (g) | 1,246 | 1,276 | ||
5.829% 5/1/37 (g) | 3,092 | 3,157 | ||
6% 7/1/16 to 11/1/37 | 84,660 | 87,254 | ||
6% 2/1/38 (d)(e) | 18,000 | 18,461 | ||
6% 2/12/38 (d) | 110,000 | 112,716 | ||
6.017% 6/1/36 (g) | 3,236 | 3,322 | ||
6.224% 5/1/36 (g) | 2,661 | 2,740 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
6.278% 3/1/37 (g) | $ 8,689 | $ 8,933 | ||
6.348% 7/1/36 (g) | 3,410 | 3,512 | ||
6.439% 10/1/36 (g) | 9,387 | 9,670 | ||
6.5% 11/1/10 to 10/1/36 | 53,170 | 55,951 | ||
6.611% 12/1/36 (g) | 16,981 | 17,467 | ||
6.712% 10/1/36 (g) | 8,739 | 8,993 | ||
6.733% 1/1/37 (g) | 12,285 | 12,668 | ||
6.84% 10/1/36 (g) | 11,721 | 12,020 | ||
7% 4/1/11 | 3 | 4 | ||
7.5% 5/1/11 to 7/1/16 | 1,977 | 2,135 | ||
8.5% 8/1/08 to 9/1/29 | 207 | 230 | ||
9% 8/1/08 to 10/1/20 | 85 | 93 | ||
9.5% 6/1/09 to 8/1/21 | 306 | 346 | ||
9.75% 8/1/14 | 146 | 160 | ||
10% 7/1/09 to 8/1/21 | 29 | 32 | ||
11% 7/1/13 to 5/1/14 | 64 | 73 | ||
12% 8/1/13 to 3/1/15 | 2 | 3 | ||
12.25% 4/1/11 to 9/1/13 | 2 | 2 | ||
12.5% 2/1/10 to 6/1/19 | 25 | 28 | ||
13% 8/1/10 to 6/1/15 | 8 | 9 | ||
729,790 | ||||
Government National Mortgage Association - 0.3% | ||||
5.25% 7/20/34 (g) | 944 | 960 | ||
6% 7/15/08 to 12/15/10 | 884 | 916 | ||
6.5% 2/15/24 to 10/15/35 | 21,678 | 23,113 | ||
7% 10/15/26 to 8/15/32 | 100 | 106 | ||
7.5% 3/15/28 to 8/15/29 | 114 | 122 | ||
8% 6/15/18 to 12/15/23 | 1,340 | 1,491 | ||
8.5% 10/15/08 to 1/15/25 | 9 | 10 | ||
9% 12/15/09 | 0 | 0 | ||
9.5% 2/15/25 | 1 | 1 | ||
10.5% 4/15/14 to 1/20/18 | 98 | 114 | ||
13.5% 7/15/11 | 7 | 7 | ||
26,840 | ||||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,657,897) | 2,712,699 | |||
Asset-Backed Securities - 0.2% | ||||
Fannie Mae Grantor Trust Series 2005-T4 Class A1C, 3.5263% 9/25/35 (g) | 14,969 | 14,869 | ||
Collateralized Mortgage Obligations - 7.7% | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - 7.7% | ||||
Fannie Mae: | ||||
planned amortization class: | ||||
Series 1992-168 Class KB, 7% 10/25/22 | $ 1,451 | $ 1,516 | ||
Series 1993-109 Class NZ, 6% 7/25/08 | 383 | 384 | ||
Series 1993-207 Class H, 6.5% 11/25/23 | 18,360 | 19,198 | ||
Series 1993-240 Class PD, 6.25% 12/25/13 | 5,341 | 5,541 | ||
Series 1994-23: | ||||
Class PG, 6% 4/25/23 | 4,456 | 4,491 | ||
Class PZ, 6% 2/25/24 | 10,362 | 10,783 | ||
Series 1996-28 Class PK, 6.5% 7/25/25 | 4,114 | 4,340 | ||
Series 2003-28 Class KG, 5.5% 4/25/23 | 4,940 | 4,987 | ||
Series 2006-45 Class OP, 6/25/36 (i) | 6,239 | 4,883 | ||
Series 2006-62 Class KP, 4/25/36 (i) | 13,014 | 9,879 | ||
sequential payer Series 1997-41 Class J, 7.5% 6/18/27 | 2,809 | 3,000 | ||
Series 2003-22 6% 4/25/33 (h) | 19,160 | 3,593 | ||
Fannie Mae Grantor Trust planned amortization class Series 2005-81 Class PC, 5.5% 9/25/35 | 2,150 | 2,187 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2001-38 Class QF, 4.3563% 8/25/31 (g) | 696 | 708 | ||
Series 2002-49 Class FB, 4.5894% 11/18/31 (g) | 1,117 | 1,123 | ||
Series 2002-60 Class FV, 4.3763% 4/25/32 (g) | 472 | 481 | ||
Series 2002-75 Class FA, 4.3763% 11/25/32 (g) | 967 | 984 | ||
Series 2004-54 Class FE, 4.5263% 2/25/33 (g) | 522 | 526 | ||
planned amortization class: | ||||
Series 2002-11 Class QC, 5.5% 3/25/17 | 14,201 | 14,512 | ||
Series 2002-18 Class PC, 5.5% 4/25/17 | 1,170 | 1,199 | ||
Series 2003-113: | ||||
Class PD, 4% 2/25/17 | 23,515 | 23,533 | ||
Class PE, 4% 11/25/18 | 7,545 | 7,234 | ||
Series 2003-128 Class NE, 4% 12/25/16 | 13,100 | 13,083 | ||
Series 2004-21 Class QE, 4.5% 11/25/32 | 1,500 | 1,476 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 10,160 | 10,110 | ||
Series 2005-102 Class CO, 11/25/35 (i) | 6,454 | 5,074 | ||
Series 2006-12 Class BO, 10/25/35 (i) | 29,328 | 23,108 | ||
Series 2006-37 Class OW, 5/25/36 (i) | 6,971 | 5,819 | ||
sequential payer: | ||||
Series 2001-20 Class Z, 6% 5/25/31 | 22,487 | 23,354 | ||
Series 2001-46 Class ZG, 6% 9/25/31 | 8,117 | 8,489 | ||
Series 2002-79 Class Z, 5.5% 11/25/22 | 11,507 | 11,674 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Fannie Mae subordinate REMIC pass-thru certificates: - continued | ||||
sequential payer: | ||||
Series 2004-3 Class BA, 4% 7/25/17 | $ 656 | $ 656 | ||
Series 2004-91 Class AH, 4.5% 5/25/29 | 5,949 | 5,978 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 645 | 591 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 10,215 | 10,544 | ||
Series 2005-14 Class SE, 2.6738% 3/25/35 (g)(h) | 20,129 | 1,217 | ||
Series 2007-36: | ||||
Class GO, 4/25/37 (i) | 1,356 | 1,090 | ||
Class PO, 4/25/37 (i) | 3,017 | 2,407 | ||
Class SB, 3.2238% 4/25/37 (g)(h) | 39,177 | 3,203 | ||
Class SG, 3.2238% 4/25/37 (g)(h) | 17,632 | 1,413 | ||
Series 2007-66 Class SA, 19.3425% 7/25/37 (g) | 5,228 | 6,712 | ||
Freddie Mac: | ||||
planned amortization class: | ||||
Series 2115 Class PE, 6% 1/15/14 | 902 | 933 | ||
Series 3149 Class OD, 5/15/36 (i) | 33,982 | 26,284 | ||
sequential payer Series 2114 Class ZM, 6% 1/15/29 | 2,534 | 2,625 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed: | ||||
floater Series 1686 Class FA, 5.15% 2/15/24 (g) | 1,017 | 1,044 | ||
planned amortization class Series 1681 Class PJ, 7% 12/15/23 | 7,413 | 7,603 | ||
Series 1560 Class PN, 7% 12/15/12 | 3,553 | 3,568 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2389 Class DA, 5.1363% 11/15/30 (g) | 465 | 465 | ||
Series 2530 Class FE, 4.8363% 2/15/32 (g) | 653 | 655 | ||
Series 2630 Class FL, 4.7363% 6/15/18 (g) | 550 | 556 | ||
Series 3008 Class SM, 0% 7/15/35 (g) | 376 | 367 | ||
planned amortization class: | ||||
Series 1141 Class G, 9% 9/15/21 | 406 | 418 | ||
Series 1614 Class L, 6.5% 7/15/23 | 4,533 | 4,621 | ||
Series 1671 Class G, 6.5% 8/15/23 | 592 | 593 | ||
Series 2006-15 Class OP, 3/25/36 (i) | 7,744 | 5,783 | ||
Series 2356 Class GD, 6% 9/15/16 | 555 | 575 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 3,764 | 3,887 | ||
Series 2378 Class PE, 5.5% 11/15/16 | 10,867 | 11,136 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 3,024 | 3,099 | ||
Series 2390 Class CH, 5.5% 12/15/16 | 9,850 | 10,095 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
planned amortization class: | ||||
Series 2543 Class PM, 5.5% 8/15/18 | $ 124 | $ 123 | ||
Series 2625 Class QX, 2.25% 3/15/22 | 19 | 19 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 6,815 | 6,848 | ||
Series 2640: | ||||
Class GE, 4.5% 7/15/18 | 7,310 | 7,364 | ||
Class QG, 2% 4/15/22 | 44 | 43 | ||
Series 2660 Class ML, 3.5% 7/15/22 | 3,398 | 3,385 | ||
Series 2682 Class LD, 4.5% 10/15/33 | 777 | 729 | ||
Series 2752 Class PW, 4% 4/15/22 | 1,853 | 1,844 | ||
Series 2802 Class OB, 6% 5/15/34 | 10,455 | 10,824 | ||
Series 2810 Class PD, 6% 6/15/33 | 995 | 1,031 | ||
Series 2866 Class XE, 4% 12/15/18 | 19,350 | 19,285 | ||
Series 2937 Class KC, 4.5% 2/15/20 | 19,686 | 19,577 | ||
Series 3077 Class TO, 4/15/35 (i) | 16,997 | 13,424 | ||
Series 3110 Class OP, 9/15/35 (i) | 16,060 | 12,704 | ||
Series 3119 Class PO, 2/15/36 (i) | 19,407 | 15,256 | ||
Series 3121 Class KO, 3/15/36 (i) | 6,781 | 5,486 | ||
Series 3123 Class LO, 3/15/36 (i) | 12,576 | 9,704 | ||
Series 3145 Class GO, 4/15/36 (i) | 11,314 | 8,828 | ||
Series 3151 Class PO, 5/15/36 (i) | 12,207 | 9,420 | ||
sequential payer: | ||||
Series 2388 Class ZA, 6% 12/15/31 | 7,039 | 7,325 | ||
Series 2546 Class MJ, 5.5% 3/15/23 | 2,861 | 2,893 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 1,853 | 1,861 | ||
Series 2587 Class AD, 4.71% 3/15/33 | 5,785 | 5,353 | ||
Series 2601 Class TB, 5.5% 4/15/23 | 869 | 877 | ||
Series 2617 Class GW, 3.5% 6/15/16 | 3,140 | 3,143 | ||
Series 2675 Class CB, 4% 5/15/16 | 1,797 | 1,803 | ||
Series 2677 Class HG, 3% 8/15/12 | 576 | 573 | ||
Series 2683 Class JA, 4% 10/15/16 | 1,897 | 1,903 | ||
Series 2685 Class ND, 4% 10/15/18 | 9,064 | 8,718 | ||
Series 2750 Class ZT, 5% 2/15/34 | 1,046 | 1,000 | ||
Series 2773 Class HC, 4.5% 4/15/19 | 704 | 681 | ||
Series 2809 Class UA, 4% 12/15/14 | 2,436 | 2,447 | ||
Series 2849 Class AL, 5% 5/15/18 | 7,563 | 7,670 | ||
Series 2860 Class CP, 4% 10/15/17 | 2,173 | 2,170 | ||
Series 2866 Class N, 4.5% 12/15/18 | 7,068 | 7,146 | ||
Series 2937 Class HJ, 5% 10/15/19 | 8,758 | 8,881 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2998 Class LY, 5.5% 7/15/25 | $ 2,011 | $ 2,019 | ||
Series 3007 Class EW, 5.5% 7/15/25 | 8,875 | 8,952 | ||
Series 3013 Class VJ, 5% 1/15/14 | 1,850 | 1,892 | ||
Series 3401 Class EB, 5% 12/15/22 | 7,495 | 7,337 | ||
Series 2769 Class BU, 5% 3/15/34 | 5,712 | 5,420 | ||
Series 2863 Class DB, 4% 9/15/14 | 1,284 | 1,278 | ||
Series 2957 Class SW, 1.7638% 4/15/35 (g)(h) | 27,401 | 1,524 | ||
Series 3002 Class SN, 2.2638% 7/15/35 (g)(h) | 27,680 | 2,313 | ||
target amortization class: | ||||
Series 2156 Class TC, 6.25% 5/15/29 | 9,176 | 9,627 | ||
Series 2877 Class JC, 5% 10/15/34 | 1,354 | 1,387 | ||
Ginnie Mae guaranteed REMIC pass-thru securities planned amortization class Series 1997-8 Class PE, 7.5% 5/16/27 | 4,499 | 4,810 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $579,309) | 602,284 | |||
Cash Equivalents - 24.8% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements in a joint trading account at 3%, dated 1/31/08 due 2/1/08: | |||
(Collateralized by U.S. Government Obligations) # | $ 102,234 | 102,225 | |
(Collateralized by U.S. Government Obligations) # (a) | 1,850,136 | 1,849,982 | |
TOTAL CASH EQUIVALENTS (Cost $1,952,207) | 1,952,207 | ||
TOTAL INVESTMENT PORTFOLIO - 130.7% (Cost $9,994,239) | 10,267,663 | ||
NET OTHER ASSETS - (30.7)% | (2,412,662) | ||
NET ASSETS - 100% | $ 7,855,001 | ||
Swap Agreements | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.03% with Credit Suisse First Boston | Oct. 2017 | $ 72,000 | $ (5,509) | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.57% with Goldman Sachs | August 2017 | 100,000 | (10,742) | ||
Receive semi-annually a fixed rate equal to 4.42% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Oct. 2009 | 300,000 | 11,472 | ||
Receive semi-annually a fixed rate equal to 4.88% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America | Sept. 2010 | 106,700 | 6,061 | ||
Receive semi-annually a fixed rate equal to 5.03% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | August 2010 | 91,000 | 5,668 | ||
Receive semi-annually a fixed rate equal to 5.706% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | June 2017 | 75,000 | 8,725 | ||
$ 744,700 | $ 15,675 | ||||
Legend |
(a) Includes investment made with cash collateral received from securities on loan. |
(b) Security or a portion of the security is on loan at period end. |
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $19,522,000 or 0.2% of net assets. |
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(e) A portion of the security is subject to a forward commitment to sell. |
(f) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $10,492,000. |
(g) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(h) 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 held as of the end of the period. |
(i) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$102,225,000 due 2/01/08 at 3.00% | |
BNP Paribas Securities Corp. | $ 10,614 |
Banc of America Securities LLC | 4,245 |
Barclays Capital, Inc. | 45,487 |
Bear Stearns & Co., Inc. | 12,969 |
Citigroup Global Markets, Inc. | 3,032 |
Dresdner Kleinwort Securities LLC | 1,516 |
ING Financial Markets LLC | 1,922 |
J.P. Morgan | 9,097 |
Societe Generale, New York Branch | 12,130 |
WestLB AG | 1,213 |
$ 102,225 | |
$1,849,982,000 due 2/01/08 at 3.00% | |
ABN AMRO Bank N.V., New York Branch | $ 135,912 |
Banc of America Securities LLC | 1,019,341 |
Bank of America, NA | 543,648 |
Bear Stearns & Co., Inc. | 151,081 |
$ 1,849,982 | |
Income Tax Information |
At July 31, 2007, the fund had a capital loss carryforward of approximately $93,664,000 of which $831,000, $561,000, $1,882,000, $28,692,000 and $61,698,000 will expire on July 31, 2011, 2012, 2013, 2014 and 2015, respectively. Of the loss carryforwards expiring on July 31, 2011, 2012, 2013 and 2014, $831,000, $561,000, $1,882,000 and $17,977,000, respectively, was acquired in the merger and is available to offset future capital gains of the fund to the extent provided by regulations. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | January 31, 2008 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $1,784,360 and repurchase agreements of $1,952,207) - See accompanying schedule: Unaffiliated issuers (cost $9,994,239) | $ 10,267,663 | |
Commitment to sell securities on a delayed delivery basis | $ (400,564) | |
Receivable for securities sold on a delayed delivery basis | 399,561 | (1,003) |
Cash | 2,429 | |
Receivable for investments sold | 72,282 | |
Delayed delivery | 194,284 | |
Receivable for fund shares sold | 11,260 | |
Interest receivable | 69,038 | |
Swap agreements, at value | 15,675 | |
Other receivables | 216 | |
Total assets | 10,631,844 | |
Liabilities | ||
Payable for investments purchased | $ 257,072 | |
Delayed delivery | 659,096 | |
Payable for fund shares redeemed | 7,472 | |
Distributions payable | 685 | |
Accrued management fee | 2,021 | |
Distribution fees payable | 168 | |
Other affiliated payables | 948 | |
Other payables and accrued expenses | 99 | |
Collateral on securities loaned, at value | 1,849,282 | |
Total liabilities | 2,776,843 | |
Net Assets | $ 7,855,001 | |
Net Assets consist of: | ||
Paid in capital | $ 7,573,129 | |
Undistributed net investment income | 3,471 | |
Accumulated undistributed net realized gain (loss) on investments | (9,695) | |
Net unrealized appreciation (depreciation) on investments | 288,096 | |
Net Assets | $ 7,855,001 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | January 31, 2008 (Unaudited) | |
Calculation of Maximum Offering Price | $ 10.59 | |
Maximum offering price per share (100/96.00 of $10.59) | $ 11.03 | |
Class T: | $ 10.58 | |
Maximum offering price per share (100/96.00 of $10.58) | $ 11.02 | |
Class B: | $ 10.59 | |
Class C: | $ 10.59 | |
Government Income: | $ 10.57 | |
Institutional Class: | $ 10.58 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Six months ended January 31, 2008 (Unaudited) | |
Investment Income | ||
Interest | $ 188,117 | |
Expenses | ||
Management fee | $ 11,830 | |
Transfer agent fees | 4,226 | |
Distribution fees | 885 | |
Fund wide operations fee | 1,300 | |
Independent trustees' compensation | 15 | |
Miscellaneous | 12 | |
Total expenses before reductions | 18,268 | |
Expense reductions | (245) | 18,023 |
Net investment income | 170,094 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 113,513 | |
Futures contracts | 259 | |
Swap agreements | (223) | |
Total net realized gain (loss) | 113,549 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 291,435 | |
Swap agreements | 15,311 | |
Delayed delivery commitments | 514 | |
Total change in net unrealized appreciation (depreciation) | 307,260 | |
Net gain (loss) | 420,809 | |
Net increase (decrease) in net assets resulting from operations | $ 590,903 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Amounts in thousands | Six months ended January 31, 2008 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 170,094 | $ 296,314 |
Net realized gain (loss) | 113,549 | (39,749) |
Change in net unrealized appreciation (depreciation) | 307,260 | 63,955 |
Net increase (decrease) in net assets resulting | 590,903 | 320,520 |
Distributions to shareholders from net investment income | (168,034) | (303,351) |
Distributions to shareholders from net realized gain | - | (2,616) |
Total distributions | (168,034) | (305,967) |
Share transactions - net increase (decrease) | 190,392 | 1,895,812 |
Total increase (decrease) in net assets | 613,261 | 1,910,365 |
Net Assets | ||
Beginning of period | 7,241,740 | 5,331,375 |
End of period (including undistributed net investment income of $3,471 and undistributed net investment income of $1,411, respectively) | $ 7,855,001 | $ 7,241,740 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended January 31, 2008 | Years ended | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .215 | .311 |
Net realized and unrealized gain (loss) | .578 | .033 |
Total from investment operations | .793 | .344 |
Distributions from net investment income | (.213) | (.314) |
Net asset value, end of period | $ 10.59 | $ 10.01 |
Total Return B,C,D | 8.00% | 3.49% |
Ratios to Average Net Assets G | ||
Expenses before reductions | .81%A | .78% A |
Expenses net of fee waivers, if any | .81% A | .78% A |
Expenses net of all reductions | .80% A | .77% A |
Net investment income | 4.18% A | 4.08% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 209 | $ 145 |
Portfolio turnover rate | 283% A | 164% H |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .217 | .306 |
Net realized and unrealized gain (loss) | .567 | .036 |
Total from investment operations | .784 | .342 |
Distributions from net investment income | (.214) | (.312) |
Net asset value, end of period | $ 10.58 | $ 10.01 |
Total Return B,C,D | 7.91% | 3.46% |
Ratios to Average Net Assets G | ||
Expenses before reductions | .78% A | .79% A |
Expenses net of fee waivers, if any | .78% A | .79% A |
Expenses net of all reductions | .78% A | .79% A |
Net investment income | 4.21% A | 4.02% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 241 | $ 181 |
Portfolio turnover rate | 283% A | 164% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .180 | .251 |
Net realized and unrealized gain (loss) | .577 | .037 |
Total from investment operations | .757 | .288 |
Distributions from net investment income | (.177) | (.258) |
Net asset value, end of period | $ 10.59 | $ 10.01 |
Total Return B,C,D | 7.63% | 2.91% |
Ratios to Average Net Assets G | ||
Expenses before reductions | 1.49% A | 1.50% A |
Expenses net of fee waivers, if any | 1.49% A | 1.50% A |
Expenses net of all reductions | 1.49% A | 1.50% A |
Net investment income | 3.50% A | 3.30% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 49 | $ 43 |
Portfolio turnover rate | 283% A | 164% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .178 | .249 |
Net realized and unrealized gain (loss) | .577 | .033 |
Total from investment operations | .755 | .282 |
Distributions from net investment income | (.175) | (.252) |
Net asset value, end of period | $ 10.59 | $ 10.01 |
Total Return B,C,D | 7.61% | 2.85% |
Ratios to Average Net Assets G | ||
Expenses before reductions | 1.53% A | 1.55% A |
Expenses net of fee waivers, if any | 1.53% A | 1.55% A |
Expenses net of all reductions | 1.53% A | 1.55% A |
Net investment income | 3.46% A | 3.26% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 63 | $ 39 |
Portfolio turnover rate | 283% A | 164% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Government Income
Six months ended January 31, 2008 | Years ended July 31, | |||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 10.00 | $ 9.95 | $ 10.20 | $ 10.13 | $ 10.16 | $ 10.30 |
Income from Investment Operations | ||||||
Net investment income D | .234 | .443 | .429 | .329 | .307 | .374 |
Net realized and unrealized gain (loss) | .567 | .068 | (.274) | .097 | .124 | (.014) |
Total from investment operations | .801 | .511 | .155 | .426 | .431 | .360 |
Distributions from net investment income | (.231) | (.456) | (.405) | (.321) | (.301) | (.370) |
Distributions from net realized gain | - | (.005) | - | (.035) | (.160) | (.130) |
Total distributions | (.231) | (.461) | (.405) | (.356) | (.461) | (.500) |
Net asset value, end of period | $ 10.57 | $ 10.00 | $ 9.95 | $ 10.20 | $ 10.13 | $ 10.16 |
Total Return B,C | 8.10% | 5.22% | 1.56% | 4.24% | 4.30% | 3.45% |
Ratios to Average Net Assets E | ||||||
Expenses before reductions | .45% A | .45% | .45% | .58% | .63% | .65% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .58% | .63% | .65% |
Expenses net of all reductions | .44% A | .44% | .44% | .58% | .63% | .65% |
Net investment income | 4.54% A | 4.42% | 4.27% | 3.21% | 3.01% | 3.56% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 6,745 | $ 6,118 | $ 5,331 | $ 5,127 | $ 4,168 | $ 3,622 |
Portfolio turnover rate | 283% A | 164%F | 108% | 114% | 224% | 253% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 E | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income D | .231 | .329 |
Net realized and unrealized gain (loss) | .566 | .034 |
Total from investment operations | .797 | .363 |
Distributions from net investment income | (.227) | (.333) |
Net asset value, end of period | $ 10.58 | $ 10.01 |
Total Return B,C | 8.05% | 3.67% |
Ratios to Average Net Assets F | ||
Expenses before reductions | .52% A | .53% A |
Expenses net of fee waivers, if any | .52% A | .53% A |
Expenses net of all reductions | .52% A | .53% A |
Net investment income | 4.47% A | 4.32% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 548 | $ 715 |
Portfolio turnover rate | 283% A | 164% G |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended January 31, 2008 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Government Income Fund (the Fund) is a fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C, Government Income, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Semiannual Report
2. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. Effective with the beginning of the Fund's fiscal year, the Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, prior period premium and discount on debt securities, market discount, deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 279,763 | |
Unrealized depreciation | (5,374) | |
Net unrealized appreciation (depreciation) | $ 274,389 | |
Cost for federal income tax purposes | $ 9,993,274 |
New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
3. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of
Semiannual Report
3. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery". Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Operating Policies - continued
Swap Agreements - continued
floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements".
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price, including the associated financing cost, if any is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate
Semiannual Report
4. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0 % | .25% | $ 208 | $ 27 |
Class T | 0 % | .25% | 248 | - |
Class B | .65% | .25% | 194 | 140 |
Class C | .75% | .25% | 235 | 19 |
$ 885 | $ 186 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, .75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 11 |
Class T | 12 |
Class B* | 31 |
Class C* | 1 |
$ 55 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Prior to January 1, 2008 Fidelity Service Company, Inc. (FSC), also an affiliate of FMR, was the transfer agent for Government Income. For the period, the total transfer agent fees paid by each class were as follows:
Amount | % of | |
Class A | $ 175 | .21 |
Class T | 181 | .18 |
Class B | 53 | .25 |
Class C | 44 | .19 |
Government Income | 3,194 | .10 |
Institutional Class | 579 | .17 |
$ 4,226 |
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
5. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $10 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
Semiannual Report
6. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $4,370.
7. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $9. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Class A | $ 6 |
Government Income | 219 |
Institutional Class | 11 |
$ 236 |
8. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
8. Other - continued
At the end of the period, Fidelity Freedom 2010 and Fidelity Freedom 2020 were the owners of record of approximately 13% and 14% of the total outstanding shares of Fidelity Government Income Fund. The Fidelity Advisor Freedom Funds and Fidelity Freedom Funds were the owners of record, in aggregate, of approximately 54% of the total outstanding shares of Fidelity Government Income Fund.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 3,435 | $ 4,138 |
Class T | 4,145 | 5,771 |
Class B | 748 | 1,298 |
Class C | 799 | 1,042 |
Government Income | 144,171 | 269,231 |
Institutional Class | 14,736 | 21,871 |
Total | $ 168,034 | $ 303,351 |
From net realized gain | ||
Government Income | $ - | $ 2,616 |
A Distributions for Class A, Class T, Class B, Class C and Institutional Class are for the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
10. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended January 31, 2008 | Year ended | Six months ended January 31, 2008 | Year ended | |
Class A | ||||
Shares sold | 8,775 | 5,668 | $ 90,903 | $ 56,865 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 11,639 | - | 116,974 |
Reinvestment of distributions | 304 | 374 | 3,133 | 3,759 |
Shares redeemed | (3,810) | (3,165) | (39,133) | (31,770) |
Net increase (decrease) | 5,269 | 14,516 | $ 54,903 | $ 145,828 |
Semiannual Report
10. Share Transactions - continued
Shares | Dollars | |||
Six months ended January 31, 2008 | Year ended | Six months ended January 31, 2008 | Year ended | |
Class T | ||||
Shares sold | 9,069 | 3,593 | $ 93,569 | $ 36,101 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 19,997 | - | 200,973 |
Reinvestment of distributions | 382 | 549 | 3,940 | 5,508 |
Shares redeemed | (4,777) | (6,079) | (48,916) | (60,985) |
Net increase (decrease) | 4,674 | 18,060 | $ 48,593 | $ 181,597 |
Class B | ||||
Shares sold | 1,389 | 524 | $ 14,414 | $ 5,289 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 5,890 | - | 59,191 |
Reinvestment of distributions | 59 | 104 | 607 | 1,045 |
Shares redeemed | (1,165) | (2,192) | (11,940) | (22,000) |
Net increase (decrease) | 283 | 4,326 | $ 3,081 | $ 43,525 |
Class C | ||||
Shares sold | 2,647 | 517 | $ 27,373 | $ 5,201 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 4,449 | - | 44,717 |
Reinvestment of distributions | 50 | 64 | 513 | 643 |
Shares redeemed | (674) | (1,095) | (6,898) | (10,981) |
Net increase (decrease) | 2,023 | 3,935 | $ 20,988 | $ 39,580 |
Government Income | ||||
Shares sold | 105,124 | 105,528 | $ 1,087,884 | $ 1,058,863 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 71,077 | - | 713,611 |
Reinvestment of distributions | 13,709 | 26,531 | 140,938 | 266,315 |
Shares redeemed | (92,715) | (127,164) | (960,990) | (1,271,926) |
Net increase (decrease) | 26,118 | 75,972 | $ 267,832 | $ 766,863 |
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
10. Share Transactions - continued
Shares | Dollars | |||
Six months ended January 31, 2008 | Year ended | Six months ended January 31, 2008 | Year ended | |
Institutional Class | ||||
Shares sold | 7,649 | 16,978 | $ 78,764 | $ 170,642 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 57,200 | - | 574,860 |
Reinvestment of distributions | 1,421 | 2,169 | 14,605 | 21,772 |
Shares redeemed | (28,773) | (4,899) | (298,374) | (48,855) |
Net increase (decrease) | (19,703) | 71,448 | $ (205,005) | $ 718,419 |
A Share transactions for Class A, Class T, Class B, Class C and Institutional Class are for the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
11. Merger Information.
On October 27, 2006, the Fund acquired all of the assets and assumed all of the liabilities of Fidelity Advisor Government Investment Fund and Spartan Government Income Fund pursuant to an agreement and plan of reorganization approved by the shareholders on September 20, 2006. The acquisition was accomplished by an exchange of 11,639, 19,997, 5,890, 4,449, and 57,200 shares of Class A, Class T, Class B, Class C and Institutional Class of the Fund, respectively, for 11,840, 20,358, 6,003, 4,531, and 58,535 shares then outstanding of Class A, Class T, Class B, Class C and Institutional Class (valued at $9.88, $9.87, $9.86, $9.87, and $9.82, per share for Class A, Class T, Class B, Class C and Institutional Class, respectively) of Fidelity Advisor Government Investment Fund. Further, the acquisition was accomplished by an exchange of 71,077 shares of Government Income class for the 66,115 shares then outstanding (valued at $10.79 per share) of Spartan Government Income Fund. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders. Fidelity Advisor Government Investment Fund's net assets, including $1,514 of unrealized depreciation, and Spartan Government Income Fund's net assets, including $3,295 of unrealized depreciation, were combined with the Fund's net assets of $5,214,485 for total net assets after the acquisition of $6,924,811.
Semiannual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)
Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555
Press
1 For mutual fund and brokerage trading.
2 For quotes.*
3 For account balances and holdings.
4 To review orders and mutual
fund activity.
5 To change your PIN.
*0 To speak to a Fidelity representative.
By PC
Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
(computer_graphic)
Fidelity's Web Site
www.fidelity.com
* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Semiannual Report
To Visit Fidelity
For directions and hours,
please call 1-800-544-9797.
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Santa Monica, CA
398 West El Camino Real
Sunnyvale, CA
111 South Westlake Blvd
Thousand Oaks, CA
21701 Hawthorne Boulevard
Torrance, CA
2001 North Main Street
Walnut Creek, CA
6326 Canoga Avenue
Woodland Hills, CA
Colorado
281 East Flatiron Circle
Broomfield, CO
1625 Broadway
Denver, CO
9185 Westview Road
Lone Tree, CO
Connecticut
48 West Putnam Avenue
Greenwich, CT
265 Church Street
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300 Atlantic Street
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29 South Main Street
West Hartford, CT
Delaware
400 Delaware Avenue
Wilmington, DE
Florida
175 East Altamonte Drive
Altamonte Springs, FL
4400 N. Federal Highway
Boca Raton, FL
121 Alhambra Plaza
Coral Gables, FL
2948 N. Federal Highway
Ft. Lauderdale, FL
4671 Town Center Parkway
Jacksonville, FL
8880 Tamiami Trail, North
Naples, FL
230 Royal Palm Way
Palm Beach, FL
3501 PGA Boulevard
Palm Beach Gardens, FL
3550 Tamiami Trail, South
Sarasota, FL
1502 N. Westshore Blvd.
Tampa, FL
2465 State Road 7
Wellington, FL
Georgia
3445 Peachtree Road, N.E.
Atlanta, GA
1000 Abernathy Road
Atlanta, GA
Illinois
One North LaSalle Street
Chicago, IL
401 North Michigan Avenue
Chicago, IL
One Skokie Valley Road
Highland Park, IL
1415 West 22nd Street
Oak Brook, IL
15105 S LaGrange Road
Orland Park, IL
1572 East Golf Road
Schaumburg, IL
Indiana
4729 East 82nd Street
Indianapolis, IN
8480 Keystone Crossing
Indianapolis, IN
Kansas
5400 College Boulevard
Overland Park, KS
Maine
Three Canal Plaza
Portland, ME
Maryland
7315 Wisconsin Avenue
Bethesda, MD
610 York Road
Towson, MD
Massachusetts
801 Boylston Street
Boston, MA
155 Congress Street
Boston, MA
300 Granite Street
Braintree, MA
44 Mall Road
Burlington, MA
238 Main Street
Cambridge, MA
200 Endicott Street
Danvers, MA
Semiannual Report
405 Cochituate Road
Framingham, MA
551 Boston Turnpike
Shrewsbury, MA
Michigan
500 E. Eisenhower Pkwy.
Ann Arbor, MI
280 Old N. Woodward Ave.
Birmingham, MI
30200 Northwestern Hwy.
Farmington Hills, MI
43420 Grand River Avenue
Novi, MI
Minnesota
7740 France Avenue South
Edina, MN
8342 3rd Street North
Oakdale, MN
Missouri
1524 South Lindbergh Blvd.
St. Louis, MO
Nevada
2225 Village Walk Drive
Henderson, NV
New Jersey
501 Route 73 South
Marlton, NJ
150 Essex Street
Millburn, NJ
35 Morris Street
Morristown, NJ
396 Route 17, North
Paramus, NJ
3518 Route 1 North
Princeton, NJ
530 Broad Street
Shrewsbury, NJ
New Mexico
2261 Q Street NE
Albuquerque, NM
New York
1130 Franklin Avenue
Garden City, NY
37 West Jericho Turnpike
Huntington Station, NY
1271 Avenue of the Americas
New York, NY
980 Madison Avenue
New York, NY
61 Broadway
New York, NY
350 Park Avenue
New York, NY
200 Fifth Avenue
New York, NY
733 Third Avenue
New York, NY
11 Penn Plaza
New York, NY
2070 Broadway
New York, NY
1075 Northern Blvd.
Roslyn, NY
799 Central Park Avenue
Scarsdale, NY
North Carolina
4611 Sharon Road
Charlotte, NC
7011 Fayetteville Road
Durham, NC
Ohio
3805 Edwards Road
Cincinnati, OH
1324 Polaris Parkway
Columbus, OH
1800 Crocker Road
Westlake, OH
28699 Chagrin Boulevard
Woodmere Village, OH
Oregon
7493 SW Bridgeport Road
Tigard, OR
Pennsylvania
600 West DeKalb Pike
King of Prussia, PA
1735 Market Street
Philadelphia, PA
12001 Perry Highway
Wexford, PA
Rhode Island
10 Memorial Boulevard
Providence, RI
Tennessee
3018 Peoples Street
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7628 West Farmington Blvd.
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2035 Mallory Lane
Franklin, TN
Texas
10000 Research Boulevard
Austin, TX
4001 Northwest Parkway
Dallas, TX
12532 Memorial Drive
Houston, TX
2701 Drexel Drive
Houston, TX
6560 Fannin Street
Houston, TX
1701 Lake Robbins Drive
The Woodlands, TX
6500 N. MacArthur Blvd.
Irving, TX
6005 West Park Boulevard
Plano, TX
14100 San Pedro
San Antonio, TX
1576 East Southlake Blvd.
Southlake, TX
Utah
279 West South Temple
Salt Lake City, UT
Virginia
1861 International Drive
McLean, VA
Washington
10500 NE 8th Street
Bellevue, WA
1518 6th Avenue
Seattle, WA
Washington, DC
1900 K Street, N.W.
Washington, DC
Wisconsin
16020 West Bluemound Road
Brookfield, WI
Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC
Semiannual Report
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Fidelity Management & Research Company
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Fidelity Advisor
Government Income
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
January 31, 2008
Class A, Class T, Class B, and Class C are classes of Fidelity® Government Income Fund
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Stocks got off to a poor start in 2008, while investment-grade bonds and money markets showed positive returns, once again underscoring the importance of a diversified portfolio. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2007 to January 31, 2008).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Semiannual Report
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,080.00 | $ 4.24 |
Hypothetical A | $ 1,000.00 | $ 1,021.06 | $ 4.12 |
Class T | |||
Actual | $ 1,000.00 | $ 1,079.10 | $ 4.08 |
Hypothetical A | $ 1,000.00 | $ 1,021.22 | $ 3.96 |
Class B | |||
Actual | $ 1,000.00 | $ 1,076.30 | $ 7.78 |
Hypothetical A | $ 1,000.00 | $ 1,017.65 | $ 7.56 |
Class C | |||
Actual | $ 1,000.00 | $ 1,076.10 | $ 7.98 |
Hypothetical A | $ 1,000.00 | $ 1,017.44 | $ 7.76 |
Government Income | |||
Actual | $ 1,000.00 | $ 1,081.00 | $ 2.35 |
Hypothetical A | $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,080.50 | $ 2.72 |
Hypothetical A | $ 1,000.00 | $ 1,022.52 | $ 2.64 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
Annualized | |
Class A | .81% |
Class T | .78% |
Class B | 1.49% |
Class C | 1.53% |
Government Income | .45% |
Institutional Class | .52% |
Semiannual Report
Investment Changes
Coupon Distribution as of January 31, 2008 | ||
% of fund's investments | % of fund's investments | |
Less than 3% | 4.0 | 1.6 |
3 - 3.99% | 8.7 | 2.8 |
4 - 4.99% | 25.6 | 34.2 |
5 - 5.99% | 24.9 | 21.7 |
6 - 6.99% | 14.7 | 15.6 |
7% and over | 3.0 | 2.8 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of January 31, 2008 | ||
6 months ago | ||
Years | 4.6 | 4.9 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of January 31, 2008 | ||
6 months ago | ||
Years | 4.5 | 4.7 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of January 31, 2008* | As of July 31, 2007** | ||||||
| Mortgage | | Mortgage | ||||
| CMOs and Other Mortgage Related Securities 7.7% | | CMOs and Other Mortgage Related Securities 7.9% | ||||
| U.S. Treasury | | U.S. Treasury | ||||
| U.S. Government | | U.S. Government | ||||
| Asset-Backed | | Asset-Backed | ||||
| Short-Term | | Short-Term | ||||
* Futures and Swaps | 5.7% | ** Futures and Swaps | 4.4% | ||||
* Short-term Investments and Net Other Assets are not included in the pie chart.
Semiannual Report
Investments January 31, 2008 (Unaudited)
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 63.5% | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency Obligations - 29.9% | ||||
Fannie Mae: | ||||
3.25% 8/15/08 | $ 4,812 | $ 4,824 | ||
3.25% 2/10/10 | 75,000 | 75,768 | ||
3.625% 2/12/13 | 92,300 | 93,098 | ||
4.75% 11/19/12 (b) | 29,255 | 31,002 | ||
4.875% 4/15/09 | 43,350 | 44,489 | ||
4.875% 5/18/12 | 160,000 | 170,084 | ||
5.125% 9/2/08 | 78,770 | 79,840 | ||
5.375% 6/12/17 | 13,063 | 14,265 | ||
6.625% 9/15/09 | 149,585 | 158,843 | ||
7.25% 1/15/10 | 60,086 | 65,238 | ||
Federal Home Loan Bank 5.375% 8/19/11 | 35,350 | 38,085 | ||
Freddie Mac: | ||||
3.875% 6/15/08 | 2,791 | 2,801 | ||
4.125% 12/21/12 | 70,540 | 72,798 | ||
4.75% 3/5/09 | 146,766 | 150,118 | ||
4.75% 1/18/11 | 204,790 | 214,610 | ||
4.75% 3/5/12 | 10,000 | 10,571 | ||
4.875% 2/9/10 | 10,000 | 10,420 | ||
5% 6/11/09 | 100,000 | 103,133 | ||
5% 1/30/14 | 25,000 | 26,762 | ||
5.125% 4/18/11 | 31,220 | 33,182 | ||
5.125% 11/17/17 (b) | 152,000 | 162,577 | ||
5.25% 5/21/09 | 154,235 | 159,373 | ||
5.25% 7/18/11 | 29,000 | 31,081 | ||
5.5% 8/23/17 (b) | 42,900 | 47,176 | ||
5.625% 3/15/11 (b) | 48,555 | 52,238 | ||
5.75% 1/15/12 | 1,686 | 1,844 | ||
6.625% 9/15/09 | 155,000 | 164,670 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | 110,500 | 122,323 | ||
6.6% 2/15/08 | 10,649 | 10,657 | ||
6.8% 2/15/12 | 30,000 | 32,069 | ||
Overseas Private Investment Corp. U.S. Government guaranteed participation certificates: | ||||
6.77% 11/15/13 | 6,138 | 6,256 | ||
6.99% 5/21/16 | 20,242 | 23,469 | ||
Private Export Funding Corp.: | ||||
secured: | ||||
5.66% 9/15/11 (c) | 18,000 | 19,522 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency Obligations - continued | ||||
Private Export Funding Corp.: - continued | ||||
secured: | ||||
5.685% 5/15/12 | $ 24,035 | $ 26,301 | ||
6.67% 9/15/09 | 3,500 | 3,724 | ||
4.974% 8/15/13 | 22,940 | 24,638 | ||
Small Business Administration guaranteed development participation certificates: | ||||
Series 2002-20J Class 1, 4.75% 10/1/22 | 6,158 | 6,237 | ||
Series 2002-20K Class 1, 5.08% 11/1/22 | 13,568 | 13,922 | ||
Series 2003 P10B, 5.136% 8/10/13 | 9,511 | 9,693 | ||
Series 2004-20H Class 1, 5.17% 8/1/24 | 3,782 | 3,906 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 8,429 | 9,047 | ||
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A, 5.96% 8/1/09 | 18,380 | 18,659 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 2,349,313 | |||
U.S. Treasury Inflation Protected Obligations - 2.7% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 69,881 | 70,689 | ||
2% 4/15/12 | 51,778 | 54,832 | ||
4.25% 1/15/10 | 78,062 | 84,240 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 209,761 | |||
U.S. Treasury Obligations - 30.9% | ||||
U.S. Treasury Bonds: | ||||
4.75% 2/15/37 (f) | 19,000 | 20,241 | ||
5% 5/15/37 (b) | 136,000 | 150,631 | ||
6.125% 8/15/29 (b) | 162,102 | 201,830 | ||
6.25% 8/15/23 | 1,500 | 1,843 | ||
8% 11/15/21 | 146,794 | 206,142 | ||
U.S. Treasury Notes: | ||||
2.125% 1/31/10 | 112,280 | 112,175 | ||
3.125% 11/30/09 (b) | 29,100 | 29,598 | ||
3.25% 12/31/09 (b)(d) | 192,973 | 196,872 | ||
3.375% 11/30/12 | 73,720 | 75,563 | ||
3.625% 10/31/09 | 31,000 | 31,787 | ||
3.625% 12/31/12 (b)(d) | 302,088 | 313,310 | ||
3.875% 10/31/12 | 8,500 | 8,904 | ||
4% 9/30/09 | 3,000 | 3,090 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
4.25% 8/15/14 (b)(f) | $ 161,550 | $ 171,887 | ||
4.25% 11/15/14 (b) | 77,185 | 82,015 | ||
4.25% 8/15/15 (b) | 84,500 | 89,379 | ||
4.25% 11/15/17 (b) | 186,000 | 195,329 | ||
4.375% 12/15/10 | 5,230 | 5,539 | ||
4.5% 11/15/15 | 30,800 | 33,055 | ||
4.625% 7/31/12 (b) | 115,065 | 124,135 | ||
4.625% 11/15/16 (b) | 117,000 | 126,232 | ||
4.75% 5/15/14 (b) | 78,733 | 86,170 | ||
4.75% 8/15/17 (b) | 117,000 | 127,365 | ||
5.125% 5/15/16 | 30,000 | 33,438 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 2,426,530 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,789,857) | 4,985,604 | |||
U.S. Government Agency - Mortgage Securities - 34.5% | ||||
Fannie Mae - 24.9% | ||||
3.699% 10/1/33 (g) | 649 | 658 | ||
3.75% 1/1/34 (g) | 603 | 609 | ||
3.75% 4/1/34 (g) | 10,009 | 10,096 | ||
3.751% 10/1/33 (g) | 659 | 663 | ||
3.798% 6/1/33 (g) | 513 | 517 | ||
3.806% 4/1/33 (g) | 1,676 | 1,688 | ||
3.874% 6/1/33 (g) | 2,399 | 2,415 | ||
3.892% 5/1/33 (g) | 4,295 | 4,329 | ||
3.899% 5/1/34 (g) | 5,994 | 6,052 | ||
3.909% 5/1/33 (g) | 193 | 196 | ||
3.937% 5/1/34 (g) | 4,550 | 4,592 | ||
3.954% 9/1/33 (g) | 6,912 | 6,982 | ||
4% 9/1/13 to 6/1/20 | 24,949 | 24,769 | ||
4% 3/1/34 (g) | 8,713 | 8,807 | ||
4% 4/1/34 (g) | 9,674 | 9,778 | ||
4.025% 6/1/34 (g) | 8,782 | 8,880 | ||
4.063% 3/1/35 (g) | 16,120 | 16,273 | ||
4.065% 10/1/18 (g) | 438 | 442 | ||
4.15% 5/1/33 (g) | 7,081 | 7,181 | ||
4.172% 1/1/35 (g) | 1,451 | 1,469 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.202% 6/1/34 (g) | $ 9,753 | $ 9,868 | ||
4.237% 1/1/34 (g) | 1,920 | 1,941 | ||
4.25% 2/1/35 (g) | 702 | 712 | ||
4.261% 10/1/33 (g) | 301 | 305 | ||
4.268% 6/1/33 (g) | 343 | 348 | ||
4.288% 6/1/34 (g) | 11,765 | 11,919 | ||
4.292% 3/1/33 (g) | 259 | 262 | ||
4.294% 3/1/35 (g) | 554 | 558 | ||
4.294% 5/1/35 (g) | 599 | 610 | ||
4.299% 3/1/33 (g) | 344 | 348 | ||
4.301% 4/1/33 (g) | 131 | 133 | ||
4.312% 1/1/35 (g) | 8,120 | 8,265 | ||
4.33% 3/1/33 (g) | 572 | 582 | ||
4.33% 4/1/35 (g) | 342 | 347 | ||
4.334% 2/1/35 (g) | 286 | 292 | ||
4.344% 10/1/19 (g) | 1,110 | 1,125 | ||
4.345% 1/1/35 (g) | 790 | 803 | ||
4.35% 8/1/33 (g) | 1,140 | 1,149 | ||
4.357% 2/1/34 (g) | 1,175 | 1,189 | ||
4.366% 11/1/35 (g) | 27,050 | 27,483 | ||
4.389% 5/1/35 (g) | 533 | 541 | ||
4.391% 2/1/35 (g) | 1,022 | 1,039 | ||
4.396% 10/1/34 (g) | 3,711 | 3,765 | ||
4.418% 8/1/34 (g) | 1,852 | 1,875 | ||
4.434% 3/1/35 (g) | 1,081 | 1,099 | ||
4.437% 11/1/33 (g) | 1,337 | 1,354 | ||
4.482% 1/1/35 (g) | 5,211 | 5,301 | ||
4.486% 12/1/34 (g) | 565 | 574 | ||
4.5% 2/1/18 to 4/1/20 | 14,815 | 14,902 | ||
4.501% 2/1/35 (g) | 10,651 | 10,778 | ||
4.524% 1/1/35 (g) | 747 | 752 | ||
4.53% 2/1/35 (g) | 494 | 506 | ||
4.534% 7/1/35 (g) | 2,230 | 2,257 | ||
4.54% 5/1/35 (g) | 1,815 | 1,841 | ||
4.552% 9/1/34 (g) | 17,825 | 18,104 | ||
4.569% 10/1/35 (g) | 352 | 357 | ||
4.575% 7/1/35 (g) | 2,643 | 2,663 | ||
4.618% 2/1/35 (g) | 251 | 256 | ||
4.642% 1/1/35 (g) | 5,320 | 5,420 | ||
4.646% 10/1/34 (g) | 3,310 | 3,368 | ||
4.682% 9/1/34 (g) | 13,126 | 13,390 | ||
4.685% 3/1/35 (g) | 176 | 179 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.703% 3/1/35 (g) | $ 514 | $ 523 | ||
4.714% 7/1/34 (g) | 1,833 | 1,864 | ||
4.716% 2/1/35 (g) | 6,259 | 6,386 | ||
4.726% 12/1/35 (g) | 57,508 | 58,552 | ||
4.77% 12/1/34 (g) | 615 | 626 | ||
4.787% 12/1/35 (g) | 4,003 | 4,059 | ||
4.792% 7/1/35 (g) | 4,353 | 4,448 | ||
4.793% 1/1/35 (g) | 61,811 | 63,051 | ||
4.796% 11/1/34 (g) | 2,075 | 2,113 | ||
4.803% 6/1/35 (g) | 3,162 | 3,207 | ||
4.819% 10/1/35 (g) | 1,748 | 1,784 | ||
4.822% 12/1/34 (g) | 9,602 | 9,776 | ||
4.833% 1/1/35 (g) | 9,953 | 10,159 | ||
4.836% 9/1/34 (g) | 8,937 | 9,096 | ||
4.853% 7/1/35 (g) | 5,643 | 5,767 | ||
4.856% 10/1/34 (g) | 7,404 | 7,545 | ||
4.859% 7/1/34 (g) | 5,367 | 5,455 | ||
4.883% 5/1/35 (g) | 1,737 | 1,776 | ||
4.897% 8/1/34 (g) | 4,830 | 4,915 | ||
4.901% 11/1/35 (g) | 9,039 | 9,140 | ||
4.934% 8/1/34 (g) | 8,630 | 8,792 | ||
4.948% 2/1/35 (g) | 4,852 | 4,949 | ||
4.952% 3/1/35 (g) | 4,772 | 4,874 | ||
4.957% 2/1/33 (g) | 939 | 957 | ||
4.997% 2/1/34 (g) | 7,367 | 7,527 | ||
5% 12/1/15 to 9/1/37 | 173,908 | 174,108 | ||
5.016% 7/1/34 (g) | 352 | 358 | ||
5.055% 1/1/37 (g) | 5,831 | 5,936 | ||
5.059% 8/1/34 (g) | 522 | 527 | ||
5.062% 9/1/34 (g) | 4,875 | 4,963 | ||
5.082% 9/1/34 (g) | 702 | 716 | ||
5.086% 7/1/34 (g) | 1,929 | 1,964 | ||
5.105% 10/1/35 (g) | 4,202 | 4,311 | ||
5.12% 8/1/34 (g) | 5,642 | 5,758 | ||
5.135% 3/1/35 (g) | 361 | 369 | ||
5.139% 8/1/36 (g) | 27,094 | 27,550 | ||
5.157% 8/1/33 (g) | 915 | 929 | ||
5.168% 3/1/36 (g) | 12,888 | 13,249 | ||
5.19% 6/1/35 (g) | 2,595 | 2,641 | ||
5.21% 5/1/35 (g) | 5,576 | 5,711 | ||
5.265% 4/1/36 (g) | 5,146 | 5,292 | ||
5.271% 12/1/36 (g) | 2,757 | 2,809 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
5.306% 3/1/36 (g) | $ 35,965 | $ 37,000 | ||
5.309% 12/1/34 (g) | 868 | 885 | ||
5.315% 7/1/35 (g) | 351 | 357 | ||
5.317% 1/1/34 (g) | 62 | 62 | ||
5.356% 2/1/36 (g) | 7,397 | 7,534 | ||
5.385% 2/1/37 (g) | 2,659 | 2,717 | ||
5.391% 2/1/37 (g) | 12,580 | 12,838 | ||
5.393% 7/1/35 (g) | 2,169 | 2,219 | ||
5.443% 8/1/36 (g) | 6,411 | 6,618 | ||
5.5% 4/1/09 to 11/1/37 | 416,246 | 425,762 | ||
5.5% 4/1/33 (d) | 68,440 | 69,322 | ||
5.5% 2/12/38 (d)(e) | 90,000 | 91,274 | ||
5.618% 2/1/36 (g) | 3,154 | 3,246 | ||
5.65% 4/1/36 (g) | 11,960 | 12,330 | ||
5.661% 6/1/36 (g) | 7,304 | 7,520 | ||
5.691% 1/1/36 (g) | 30,823 | 31,794 | ||
5.792% 3/1/36 (g) | 8,125 | 8,371 | ||
5.797% 5/1/36 (g) | 3,217 | 3,309 | ||
5.804% 1/1/36 (g) | 2,515 | 2,584 | ||
5.815% 5/1/36 (g) | 17,814 | 18,345 | ||
5.855% 3/1/36 (g) | 7,697 | 7,918 | ||
5.86% 6/1/35 (g) | 1,933 | 1,989 | ||
5.893% 12/1/36 (g) | 4,387 | 4,525 | ||
5.894% 3/1/36 (g) | 6,692 | 6,895 | ||
5.931% 5/1/36 (g) | 5,192 | 5,358 | ||
5.966% 5/1/36 (g) | 2,762 | 2,851 | ||
6% 5/1/12 to 1/1/38 | 180,186 | 185,911 | ||
6% 2/19/23 (d)(e) | 5,000 | 5,167 | ||
6% 2/19/23 (d) | 10,000 | 10,335 | ||
6% 2/1/38 (d)(e) | 29,000 | 29,765 | ||
6.01% 4/1/36 (g) | 48,850 | 50,428 | ||
6.069% 4/1/36 (g) | 26,431 | 27,339 | ||
6.104% 3/1/37 (g) | 4,552 | 4,700 | ||
6.152% 4/1/36 (g) | 4,710 | 4,862 | ||
6.224% 6/1/36 (g) | 740 | 756 | ||
6.226% 3/1/37 (g) | 1,495 | 1,539 | ||
6.3% 10/1/36 (g) | 21,648 | 22,287 | ||
6.5% 2/1/12 to 1/1/35 | 48,373 | 51,128 | ||
6.561% 9/1/36 (g) | 9,324 | 9,645 | ||
7% 7/1/13 to 7/1/32 | 5,151 | 5,534 | ||
7.5% 8/1/10 to 4/1/29 | 127 | 135 | ||
8% 1/1/22 | 2 | 2 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
8.5% 1/1/15 to 7/1/31 | $ 537 | $ 587 | ||
9% 11/1/11 to 5/1/14 | 540 | 562 | ||
9.5% 11/15/09 to 10/1/20 | 770 | 863 | ||
10% 8/1/10 | 0 | 0 | ||
11% 8/1/10 | 9 | 10 | ||
11.25% 5/1/14 | 8 | 9 | ||
11.5% 6/15/19 to 1/15/21 | 1,211 | 1,391 | ||
12.5% 8/1/15 to 3/1/16 | 2 | 3 | ||
1,956,069 | ||||
Freddie Mac - 9.3% | ||||
4% 5/1/19 to 11/1/20 | 25,303 | 24,976 | ||
4.298% 12/1/34 (g) | 950 | 961 | ||
4.308% 3/1/35 (g) | 746 | 751 | ||
4.318% 2/1/35 (g) | 1,488 | 1,506 | ||
4.409% 2/1/34 (g) | 664 | 667 | ||
4.413% 6/1/35 (g) | 1,182 | 1,196 | ||
4.423% 3/1/35 (g) | 1,041 | 1,055 | ||
4.448% 3/1/35 (g) | 1,013 | 1,028 | ||
4.5% 2/1/18 to 8/1/33 | 25,442 | 25,425 | ||
4.697% 9/1/36 (g) | 3,125 | 3,151 | ||
4.703% 9/1/35 (g) | 24,851 | 25,256 | ||
4.724% 2/1/34 (g) | 7,934 | 8,078 | ||
4.789% 2/1/36 (g) | 1,302 | 1,326 | ||
4.807% 3/1/35 (g) | 2,622 | 2,664 | ||
4.839% 3/1/33 (g) | 279 | 284 | ||
4.897% 10/1/36 (g) | 18,744 | 19,020 | ||
5% 1/1/09 to 9/1/35 | 12,609 | 12,638 | ||
5.008% 4/1/35 (g) | 3,970 | 4,036 | ||
5.021% 4/1/35 (g) | 527 | 537 | ||
5.115% 7/1/35 (g) | 4,799 | 4,912 | ||
5.268% 2/1/36 (g) | 304 | 311 | ||
5.5% 8/1/14 to 7/1/37 (e) | 213,698 | 218,223 | ||
5.501% 1/1/36 (g) | 4,331 | 4,438 | ||
5.524% 1/1/36 (g) | 5,955 | 6,096 | ||
5.748% 10/1/35 (g) | 1,246 | 1,276 | ||
5.829% 5/1/37 (g) | 3,092 | 3,157 | ||
6% 7/1/16 to 11/1/37 | 84,660 | 87,254 | ||
6% 2/1/38 (d)(e) | 18,000 | 18,461 | ||
6% 2/12/38 (d) | 110,000 | 112,716 | ||
6.017% 6/1/36 (g) | 3,236 | 3,322 | ||
6.224% 5/1/36 (g) | 2,661 | 2,740 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
6.278% 3/1/37 (g) | $ 8,689 | $ 8,933 | ||
6.348% 7/1/36 (g) | 3,410 | 3,512 | ||
6.439% 10/1/36 (g) | 9,387 | 9,670 | ||
6.5% 11/1/10 to 10/1/36 | 53,170 | 55,951 | ||
6.611% 12/1/36 (g) | 16,981 | 17,467 | ||
6.712% 10/1/36 (g) | 8,739 | 8,993 | ||
6.733% 1/1/37 (g) | 12,285 | 12,668 | ||
6.84% 10/1/36 (g) | 11,721 | 12,020 | ||
7% 4/1/11 | 3 | 4 | ||
7.5% 5/1/11 to 7/1/16 | 1,977 | 2,135 | ||
8.5% 8/1/08 to 9/1/29 | 207 | 230 | ||
9% 8/1/08 to 10/1/20 | 85 | 93 | ||
9.5% 6/1/09 to 8/1/21 | 306 | 346 | ||
9.75% 8/1/14 | 146 | 160 | ||
10% 7/1/09 to 8/1/21 | 29 | 32 | ||
11% 7/1/13 to 5/1/14 | 64 | 73 | ||
12% 8/1/13 to 3/1/15 | 2 | 3 | ||
12.25% 4/1/11 to 9/1/13 | 2 | 2 | ||
12.5% 2/1/10 to 6/1/19 | 25 | 28 | ||
13% 8/1/10 to 6/1/15 | 8 | 9 | ||
729,790 | ||||
Government National Mortgage Association - 0.3% | ||||
5.25% 7/20/34 (g) | 944 | 960 | ||
6% 7/15/08 to 12/15/10 | 884 | 916 | ||
6.5% 2/15/24 to 10/15/35 | 21,678 | 23,113 | ||
7% 10/15/26 to 8/15/32 | 100 | 106 | ||
7.5% 3/15/28 to 8/15/29 | 114 | 122 | ||
8% 6/15/18 to 12/15/23 | 1,340 | 1,491 | ||
8.5% 10/15/08 to 1/15/25 | 9 | 10 | ||
9% 12/15/09 | 0 | 0 | ||
9.5% 2/15/25 | 1 | 1 | ||
10.5% 4/15/14 to 1/20/18 | 98 | 114 | ||
13.5% 7/15/11 | 7 | 7 | ||
26,840 | ||||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,657,897) | 2,712,699 | |||
Asset-Backed Securities - 0.2% | ||||
Fannie Mae Grantor Trust Series 2005-T4 Class A1C, 3.5263% 9/25/35 (g) | 14,969 | 14,869 | ||
Collateralized Mortgage Obligations - 7.7% | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - 7.7% | ||||
Fannie Mae: | ||||
planned amortization class: | ||||
Series 1992-168 Class KB, 7% 10/25/22 | $ 1,451 | $ 1,516 | ||
Series 1993-109 Class NZ, 6% 7/25/08 | 383 | 384 | ||
Series 1993-207 Class H, 6.5% 11/25/23 | 18,360 | 19,198 | ||
Series 1993-240 Class PD, 6.25% 12/25/13 | 5,341 | 5,541 | ||
Series 1994-23: | ||||
Class PG, 6% 4/25/23 | 4,456 | 4,491 | ||
Class PZ, 6% 2/25/24 | 10,362 | 10,783 | ||
Series 1996-28 Class PK, 6.5% 7/25/25 | 4,114 | 4,340 | ||
Series 2003-28 Class KG, 5.5% 4/25/23 | 4,940 | 4,987 | ||
Series 2006-45 Class OP, 6/25/36 (i) | 6,239 | 4,883 | ||
Series 2006-62 Class KP, 4/25/36 (i) | 13,014 | 9,879 | ||
sequential payer Series 1997-41 Class J, 7.5% 6/18/27 | 2,809 | 3,000 | ||
Series 2003-22 6% 4/25/33 (h) | 19,160 | 3,593 | ||
Fannie Mae Grantor Trust planned amortization class Series 2005-81 Class PC, 5.5% 9/25/35 | 2,150 | 2,187 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2001-38 Class QF, 4.3563% 8/25/31 (g) | 696 | 708 | ||
Series 2002-49 Class FB, 4.5894% 11/18/31 (g) | 1,117 | 1,123 | ||
Series 2002-60 Class FV, 4.3763% 4/25/32 (g) | 472 | 481 | ||
Series 2002-75 Class FA, 4.3763% 11/25/32 (g) | 967 | 984 | ||
Series 2004-54 Class FE, 4.5263% 2/25/33 (g) | 522 | 526 | ||
planned amortization class: | ||||
Series 2002-11 Class QC, 5.5% 3/25/17 | 14,201 | 14,512 | ||
Series 2002-18 Class PC, 5.5% 4/25/17 | 1,170 | 1,199 | ||
Series 2003-113: | ||||
Class PD, 4% 2/25/17 | 23,515 | 23,533 | ||
Class PE, 4% 11/25/18 | 7,545 | 7,234 | ||
Series 2003-128 Class NE, 4% 12/25/16 | 13,100 | 13,083 | ||
Series 2004-21 Class QE, 4.5% 11/25/32 | 1,500 | 1,476 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 10,160 | 10,110 | ||
Series 2005-102 Class CO, 11/25/35 (i) | 6,454 | 5,074 | ||
Series 2006-12 Class BO, 10/25/35 (i) | 29,328 | 23,108 | ||
Series 2006-37 Class OW, 5/25/36 (i) | 6,971 | 5,819 | ||
sequential payer: | ||||
Series 2001-20 Class Z, 6% 5/25/31 | 22,487 | 23,354 | ||
Series 2001-46 Class ZG, 6% 9/25/31 | 8,117 | 8,489 | ||
Series 2002-79 Class Z, 5.5% 11/25/22 | 11,507 | 11,674 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Fannie Mae subordinate REMIC pass-thru certificates: - continued | ||||
sequential payer: | ||||
Series 2004-3 Class BA, 4% 7/25/17 | $ 656 | $ 656 | ||
Series 2004-91 Class AH, 4.5% 5/25/29 | 5,949 | 5,978 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 645 | 591 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 10,215 | 10,544 | ||
Series 2005-14 Class SE, 2.6738% 3/25/35 (g)(h) | 20,129 | 1,217 | ||
Series 2007-36: | ||||
Class GO, 4/25/37 (i) | 1,356 | 1,090 | ||
Class PO, 4/25/37 (i) | 3,017 | 2,407 | ||
Class SB, 3.2238% 4/25/37 (g)(h) | 39,177 | 3,203 | ||
Class SG, 3.2238% 4/25/37 (g)(h) | 17,632 | 1,413 | ||
Series 2007-66 Class SA, 19.3425% 7/25/37 (g) | 5,228 | 6,712 | ||
Freddie Mac: | ||||
planned amortization class: | ||||
Series 2115 Class PE, 6% 1/15/14 | 902 | 933 | ||
Series 3149 Class OD, 5/15/36 (i) | 33,982 | 26,284 | ||
sequential payer Series 2114 Class ZM, 6% 1/15/29 | 2,534 | 2,625 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed: | ||||
floater Series 1686 Class FA, 5.15% 2/15/24 (g) | 1,017 | 1,044 | ||
planned amortization class Series 1681 Class PJ, 7% 12/15/23 | 7,413 | 7,603 | ||
Series 1560 Class PN, 7% 12/15/12 | 3,553 | 3,568 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2389 Class DA, 5.1363% 11/15/30 (g) | 465 | 465 | ||
Series 2530 Class FE, 4.8363% 2/15/32 (g) | 653 | 655 | ||
Series 2630 Class FL, 4.7363% 6/15/18 (g) | 550 | 556 | ||
Series 3008 Class SM, 0% 7/15/35 (g) | 376 | 367 | ||
planned amortization class: | ||||
Series 1141 Class G, 9% 9/15/21 | 406 | 418 | ||
Series 1614 Class L, 6.5% 7/15/23 | 4,533 | 4,621 | ||
Series 1671 Class G, 6.5% 8/15/23 | 592 | 593 | ||
Series 2006-15 Class OP, 3/25/36 (i) | 7,744 | 5,783 | ||
Series 2356 Class GD, 6% 9/15/16 | 555 | 575 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 3,764 | 3,887 | ||
Series 2378 Class PE, 5.5% 11/15/16 | 10,867 | 11,136 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 3,024 | 3,099 | ||
Series 2390 Class CH, 5.5% 12/15/16 | 9,850 | 10,095 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
planned amortization class: | ||||
Series 2543 Class PM, 5.5% 8/15/18 | $ 124 | $ 123 | ||
Series 2625 Class QX, 2.25% 3/15/22 | 19 | 19 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 6,815 | 6,848 | ||
Series 2640: | ||||
Class GE, 4.5% 7/15/18 | 7,310 | 7,364 | ||
Class QG, 2% 4/15/22 | 44 | 43 | ||
Series 2660 Class ML, 3.5% 7/15/22 | 3,398 | 3,385 | ||
Series 2682 Class LD, 4.5% 10/15/33 | 777 | 729 | ||
Series 2752 Class PW, 4% 4/15/22 | 1,853 | 1,844 | ||
Series 2802 Class OB, 6% 5/15/34 | 10,455 | 10,824 | ||
Series 2810 Class PD, 6% 6/15/33 | 995 | 1,031 | ||
Series 2866 Class XE, 4% 12/15/18 | 19,350 | 19,285 | ||
Series 2937 Class KC, 4.5% 2/15/20 | 19,686 | 19,577 | ||
Series 3077 Class TO, 4/15/35 (i) | 16,997 | 13,424 | ||
Series 3110 Class OP, 9/15/35 (i) | 16,060 | 12,704 | ||
Series 3119 Class PO, 2/15/36 (i) | 19,407 | 15,256 | ||
Series 3121 Class KO, 3/15/36 (i) | 6,781 | 5,486 | ||
Series 3123 Class LO, 3/15/36 (i) | 12,576 | 9,704 | ||
Series 3145 Class GO, 4/15/36 (i) | 11,314 | 8,828 | ||
Series 3151 Class PO, 5/15/36 (i) | 12,207 | 9,420 | ||
sequential payer: | ||||
Series 2388 Class ZA, 6% 12/15/31 | 7,039 | 7,325 | ||
Series 2546 Class MJ, 5.5% 3/15/23 | 2,861 | 2,893 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 1,853 | 1,861 | ||
Series 2587 Class AD, 4.71% 3/15/33 | 5,785 | 5,353 | ||
Series 2601 Class TB, 5.5% 4/15/23 | 869 | 877 | ||
Series 2617 Class GW, 3.5% 6/15/16 | 3,140 | 3,143 | ||
Series 2675 Class CB, 4% 5/15/16 | 1,797 | 1,803 | ||
Series 2677 Class HG, 3% 8/15/12 | 576 | 573 | ||
Series 2683 Class JA, 4% 10/15/16 | 1,897 | 1,903 | ||
Series 2685 Class ND, 4% 10/15/18 | 9,064 | 8,718 | ||
Series 2750 Class ZT, 5% 2/15/34 | 1,046 | 1,000 | ||
Series 2773 Class HC, 4.5% 4/15/19 | 704 | 681 | ||
Series 2809 Class UA, 4% 12/15/14 | 2,436 | 2,447 | ||
Series 2849 Class AL, 5% 5/15/18 | 7,563 | 7,670 | ||
Series 2860 Class CP, 4% 10/15/17 | 2,173 | 2,170 | ||
Series 2866 Class N, 4.5% 12/15/18 | 7,068 | 7,146 | ||
Series 2937 Class HJ, 5% 10/15/19 | 8,758 | 8,881 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2998 Class LY, 5.5% 7/15/25 | $ 2,011 | $ 2,019 | ||
Series 3007 Class EW, 5.5% 7/15/25 | 8,875 | 8,952 | ||
Series 3013 Class VJ, 5% 1/15/14 | 1,850 | 1,892 | ||
Series 3401 Class EB, 5% 12/15/22 | 7,495 | 7,337 | ||
Series 2769 Class BU, 5% 3/15/34 | 5,712 | 5,420 | ||
Series 2863 Class DB, 4% 9/15/14 | 1,284 | 1,278 | ||
Series 2957 Class SW, 1.7638% 4/15/35 (g)(h) | 27,401 | 1,524 | ||
Series 3002 Class SN, 2.2638% 7/15/35 (g)(h) | 27,680 | 2,313 | ||
target amortization class: | ||||
Series 2156 Class TC, 6.25% 5/15/29 | 9,176 | 9,627 | ||
Series 2877 Class JC, 5% 10/15/34 | 1,354 | 1,387 | ||
Ginnie Mae guaranteed REMIC pass-thru securities planned amortization class Series 1997-8 Class PE, 7.5% 5/16/27 | 4,499 | 4,810 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $579,309) | 602,284 | |||
Cash Equivalents - 24.8% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements in a joint trading account at 3%, dated 1/31/08 due 2/1/08: | |||
(Collateralized by U.S. Government Obligations) # | $ 102,234 | 102,225 | |
(Collateralized by U.S. Government Obligations) # (a) | 1,850,136 | 1,849,982 | |
TOTAL CASH EQUIVALENTS (Cost $1,952,207) | 1,952,207 | ||
TOTAL INVESTMENT PORTFOLIO - 130.7% (Cost $9,994,239) | 10,267,663 | ||
NET OTHER ASSETS - (30.7)% | (2,412,662) | ||
NET ASSETS - 100% | $ 7,855,001 | ||
Swap Agreements | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.03% with Credit Suisse First Boston | Oct. 2017 | $ 72,000 | $ (5,509) | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.57% with Goldman Sachs | August 2017 | 100,000 | (10,742) | ||
Receive semi-annually a fixed rate equal to 4.42% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Oct. 2009 | 300,000 | 11,472 | ||
Receive semi-annually a fixed rate equal to 4.88% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America | Sept. 2010 | 106,700 | 6,061 | ||
Receive semi-annually a fixed rate equal to 5.03% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | August 2010 | 91,000 | 5,668 | ||
Receive semi-annually a fixed rate equal to 5.706% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | June 2017 | 75,000 | 8,725 | ||
$ 744,700 | $ 15,675 | ||||
Legend |
(a) Includes investment made with cash collateral received from securities on loan. |
(b) Security or a portion of the security is on loan at period end. |
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $19,522,000 or 0.2% of net assets. |
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(e) A portion of the security is subject to a forward commitment to sell. |
(f) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $10,492,000. |
(g) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(h) 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 held as of the end of the period. |
(i) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$102,225,000 due 2/01/08 at 3.00% | |
BNP Paribas Securities Corp. | $ 10,614 |
Banc of America Securities LLC | 4,245 |
Barclays Capital, Inc. | 45,487 |
Bear Stearns & Co., Inc. | 12,969 |
Citigroup Global Markets, Inc. | 3,032 |
Dresdner Kleinwort Securities LLC | 1,516 |
ING Financial Markets LLC | 1,922 |
J.P. Morgan | 9,097 |
Societe Generale, New York Branch | 12,130 |
WestLB AG | 1,213 |
$ 102,225 | |
$1,849,982,000 due 2/01/08 at 3.00% | |
ABN AMRO Bank N.V., New York Branch | $ 135,912 |
Banc of America Securities LLC | 1,019,341 |
Bank of America, NA | 543,648 |
Bear Stearns & Co., Inc. | 151,081 |
$ 1,849,982 | |
Income Tax Information |
At July 31, 2007, the fund had a capital loss carryforward of approximately $93,664,000 of which $831,000, $561,000, $1,882,000, $28,692,000 and $61,698,000 will expire on July 31, 2011, 2012, 2013, 2014 and 2015, respectively. Of the loss carryforwards expiring on July 31, 2011, 2012, 2013 and 2014, $831,000, $561,000, $1,882,000 and $17,977,000, respectively, was acquired in the merger and is available to offset future capital gains of the fund to the extent provided by regulations. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | January 31, 2008 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $1,784,360 and repurchase agreements of $1,952,207) - See accompanying schedule: Unaffiliated issuers (cost $9,994,239) | $ 10,267,663 | |
Commitment to sell securities on a delayed delivery basis | $ (400,564) | |
Receivable for securities sold on a delayed delivery basis | 399,561 | (1,003) |
Cash | 2,429 | |
Receivable for investments sold | 72,282 | |
Delayed delivery | 194,284 | |
Receivable for fund shares sold | 11,260 | |
Interest receivable | 69,038 | |
Swap agreements, at value | 15,675 | |
Other receivables | 216 | |
Total assets | 10,631,844 | |
Liabilities | ||
Payable for investments purchased | $ 257,072 | |
Delayed delivery | 659,096 | |
Payable for fund shares redeemed | 7,472 | |
Distributions payable | 685 | |
Accrued management fee | 2,021 | |
Distribution fees payable | 168 | |
Other affiliated payables | 948 | |
Other payables and accrued expenses | 99 | |
Collateral on securities loaned, at value | 1,849,282 | |
Total liabilities | 2,776,843 | |
Net Assets | $ 7,855,001 | |
Net Assets consist of: | ||
Paid in capital | $ 7,573,129 | |
Undistributed net investment income | 3,471 | |
Accumulated undistributed net realized gain (loss) on investments | (9,695) | |
Net unrealized appreciation (depreciation) on investments | 288,096 | |
Net Assets | $ 7,855,001 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | January 31, 2008 (Unaudited) | |
Calculation of Maximum Offering Price | $ 10.59 | |
Maximum offering price per share (100/96.00 of $10.59) | $ 11.03 | |
Class T: | $ 10.58 | |
Maximum offering price per share (100/96.00 of $10.58) | $ 11.02 | |
Class B: | $ 10.59 | |
Class C: | $ 10.59 | |
Government Income: | $ 10.57 | |
Institutional Class: | $ 10.58 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Six months ended January 31, 2008 (Unaudited) | |
Investment Income | ||
Interest | $ 188,117 | |
Expenses | ||
Management fee | $ 11,830 | |
Transfer agent fees | 4,226 | |
Distribution fees | 885 | |
Fund wide operations fee | 1,300 | |
Independent trustees' compensation | 15 | |
Miscellaneous | 12 | |
Total expenses before reductions | 18,268 | |
Expense reductions | (245) | 18,023 |
Net investment income | 170,094 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 113,513 | |
Futures contracts | 259 | |
Swap agreements | (223) | |
Total net realized gain (loss) | 113,549 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 291,435 | |
Swap agreements | 15,311 | |
Delayed delivery commitments | 514 | |
Total change in net unrealized appreciation (depreciation) | 307,260 | |
Net gain (loss) | 420,809 | |
Net increase (decrease) in net assets resulting from operations | $ 590,903 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Amounts in thousands | Six months ended January 31, 2008 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 170,094 | $ 296,314 |
Net realized gain (loss) | 113,549 | (39,749) |
Change in net unrealized appreciation (depreciation) | 307,260 | 63,955 |
Net increase (decrease) in net assets resulting | 590,903 | 320,520 |
Distributions to shareholders from net investment income | (168,034) | (303,351) |
Distributions to shareholders from net realized gain | - | (2,616) |
Total distributions | (168,034) | (305,967) |
Share transactions - net increase (decrease) | 190,392 | 1,895,812 |
Total increase (decrease) in net assets | 613,261 | 1,910,365 |
Net Assets | ||
Beginning of period | 7,241,740 | 5,331,375 |
End of period (including undistributed net investment income of $3,471 and undistributed net investment income of $1,411, respectively) | $ 7,855,001 | $ 7,241,740 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended January 31, 2008 | Years ended | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .215 | .311 |
Net realized and unrealized gain (loss) | .578 | .033 |
Total from investment operations | .793 | .344 |
Distributions from net investment income | (.213) | (.314) |
Net asset value, end of period | $ 10.59 | $ 10.01 |
Total Return B,C,D | 8.00% | 3.49% |
Ratios to Average Net Assets G | ||
Expenses before reductions | .81%A | .78% A |
Expenses net of fee waivers, if any | .81% A | .78% A |
Expenses net of all reductions | .80% A | .77% A |
Net investment income | 4.18% A | 4.08% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 209 | $ 145 |
Portfolio turnover rate | 283% A | 164% H |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .217 | .306 |
Net realized and unrealized gain (loss) | .567 | .036 |
Total from investment operations | .784 | .342 |
Distributions from net investment income | (.214) | (.312) |
Net asset value, end of period | $ 10.58 | $ 10.01 |
Total Return B,C,D | 7.91% | 3.46% |
Ratios to Average Net Assets G | ||
Expenses before reductions | .78% A | .79% A |
Expenses net of fee waivers, if any | .78% A | .79% A |
Expenses net of all reductions | .78% A | .79% A |
Net investment income | 4.21% A | 4.02% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 241 | $ 181 |
Portfolio turnover rate | 283% A | 164% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .180 | .251 |
Net realized and unrealized gain (loss) | .577 | .037 |
Total from investment operations | .757 | .288 |
Distributions from net investment income | (.177) | (.258) |
Net asset value, end of period | $ 10.59 | $ 10.01 |
Total Return B,C,D | 7.63% | 2.91% |
Ratios to Average Net Assets G | ||
Expenses before reductions | 1.49% A | 1.50% A |
Expenses net of fee waivers, if any | 1.49% A | 1.50% A |
Expenses net of all reductions | 1.49% A | 1.50% A |
Net investment income | 3.50% A | 3.30% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 49 | $ 43 |
Portfolio turnover rate | 283% A | 164% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .178 | .249 |
Net realized and unrealized gain (loss) | .577 | .033 |
Total from investment operations | .755 | .282 |
Distributions from net investment income | (.175) | (.252) |
Net asset value, end of period | $ 10.59 | $ 10.01 |
Total Return B,C,D | 7.61% | 2.85% |
Ratios to Average Net Assets G | ||
Expenses before reductions | 1.53% A | 1.55% A |
Expenses net of fee waivers, if any | 1.53% A | 1.55% A |
Expenses net of all reductions | 1.53% A | 1.55% A |
Net investment income | 3.46% A | 3.26% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 63 | $ 39 |
Portfolio turnover rate | 283% A | 164% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Government Income
Six months ended January 31, 2008 | Years ended July 31, | |||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 10.00 | $ 9.95 | $ 10.20 | $ 10.13 | $ 10.16 | $ 10.30 |
Income from Investment Operations | ||||||
Net investment income D | .234 | .443 | .429 | .329 | .307 | .374 |
Net realized and unrealized gain (loss) | .567 | .068 | (.274) | .097 | .124 | (.014) |
Total from investment operations | .801 | .511 | .155 | .426 | .431 | .360 |
Distributions from net investment income | (.231) | (.456) | (.405) | (.321) | (.301) | (.370) |
Distributions from net realized gain | - | (.005) | - | (.035) | (.160) | (.130) |
Total distributions | (.231) | (.461) | (.405) | (.356) | (.461) | (.500) |
Net asset value, end of period | $ 10.57 | $ 10.00 | $ 9.95 | $ 10.20 | $ 10.13 | $ 10.16 |
Total Return B,C | 8.10% | 5.22% | 1.56% | 4.24% | 4.30% | 3.45% |
Ratios to Average Net Assets E | ||||||
Expenses before reductions | .45% A | .45% | .45% | .58% | .63% | .65% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .58% | .63% | .65% |
Expenses net of all reductions | .44% A | .44% | .44% | .58% | .63% | .65% |
Net investment income | 4.54% A | 4.42% | 4.27% | 3.21% | 3.01% | 3.56% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 6,745 | $ 6,118 | $ 5,331 | $ 5,127 | $ 4,168 | $ 3,622 |
Portfolio turnover rate | 283% A | 164%F | 108% | 114% | 224% | 253% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 E | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income D | .231 | .329 |
Net realized and unrealized gain (loss) | .566 | .034 |
Total from investment operations | .797 | .363 |
Distributions from net investment income | (.227) | (.333) |
Net asset value, end of period | $ 10.58 | $ 10.01 |
Total Return B,C | 8.05% | 3.67% |
Ratios to Average Net Assets F | ||
Expenses before reductions | .52% A | .53% A |
Expenses net of fee waivers, if any | .52% A | .53% A |
Expenses net of all reductions | .52% A | .53% A |
Net investment income | 4.47% A | 4.32% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 548 | $ 715 |
Portfolio turnover rate | 283% A | 164% G |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended January 31, 2008 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Government Income Fund (the Fund) is a fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C, Government Income, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Semiannual Report
2. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. Effective with the beginning of the Fund's fiscal year, the Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, prior period premium and discount on debt securities, market discount, deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 279,763 | |
Unrealized depreciation | (5,374) | |
Net unrealized appreciation (depreciation) | $ 274,389 | |
Cost for federal income tax purposes | $ 9,993,274 |
New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
3. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of
Semiannual Report
3. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery". Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Operating Policies - continued
Swap Agreements - continued
floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements".
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price, including the associated financing cost, if any is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate
Semiannual Report
4. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0 % | .25% | $ 208 | $ 27 |
Class T | 0 % | .25% | 248 | - |
Class B | .65% | .25% | 194 | 140 |
Class C | .75% | .25% | 235 | 19 |
$ 885 | $ 186 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, .75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 11 |
Class T | 12 |
Class B* | 31 |
Class C* | 1 |
$ 55 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Prior to January 1, 2008 Fidelity Service Company, Inc. (FSC), also an affiliate of FMR, was the transfer agent for Government Income. For the period, the total transfer agent fees paid by each class were as follows:
Amount | % of | |
Class A | $ 175 | .21 |
Class T | 181 | .18 |
Class B | 53 | .25 |
Class C | 44 | .19 |
Government Income | 3,194 | .10 |
Institutional Class | 579 | .17 |
$ 4,226 |
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
5. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $10 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
Semiannual Report
6. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $4,370.
7. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $9. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Class A | $ 6 |
Government Income | 219 |
Institutional Class | 11 |
$ 236 |
8. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
8. Other - continued
At the end of the period, Fidelity Freedom 2010 and Fidelity Freedom 2020 were the owners of record of approximately 13% and 14% of the total outstanding shares of Fidelity Government Income Fund. The Fidelity Advisor Freedom Funds and Fidelity Freedom Funds were the owners of record, in aggregate, of approximately 54% of the total outstanding shares of Fidelity Government Income Fund.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 3,435 | $ 4,138 |
Class T | 4,145 | 5,771 |
Class B | 748 | 1,298 |
Class C | 799 | 1,042 |
Government Income | 144,171 | 269,231 |
Institutional Class | 14,736 | 21,871 |
Total | $ 168,034 | $ 303,351 |
From net realized gain | ||
Government Income | $ - | $ 2,616 |
A Distributions for Class A, Class T, Class B, Class C and Institutional Class are for the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
10. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended January 31, 2008 | Year ended | Six months ended January 31, 2008 | Year ended | |
Class A | ||||
Shares sold | 8,775 | 5,668 | $ 90,903 | $ 56,865 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 11,639 | - | 116,974 |
Reinvestment of distributions | 304 | 374 | 3,133 | 3,759 |
Shares redeemed | (3,810) | (3,165) | (39,133) | (31,770) |
Net increase (decrease) | 5,269 | 14,516 | $ 54,903 | $ 145,828 |
Semiannual Report
10. Share Transactions - continued
Shares | Dollars | |||
Six months ended January 31, 2008 | Year ended | Six months ended January 31, 2008 | Year ended | |
Class T | ||||
Shares sold | 9,069 | 3,593 | $ 93,569 | $ 36,101 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 19,997 | - | 200,973 |
Reinvestment of distributions | 382 | 549 | 3,940 | 5,508 |
Shares redeemed | (4,777) | (6,079) | (48,916) | (60,985) |
Net increase (decrease) | 4,674 | 18,060 | $ 48,593 | $ 181,597 |
Class B | ||||
Shares sold | 1,389 | 524 | $ 14,414 | $ 5,289 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 5,890 | - | 59,191 |
Reinvestment of distributions | 59 | 104 | 607 | 1,045 |
Shares redeemed | (1,165) | (2,192) | (11,940) | (22,000) |
Net increase (decrease) | 283 | 4,326 | $ 3,081 | $ 43,525 |
Class C | ||||
Shares sold | 2,647 | 517 | $ 27,373 | $ 5,201 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 4,449 | - | 44,717 |
Reinvestment of distributions | 50 | 64 | 513 | 643 |
Shares redeemed | (674) | (1,095) | (6,898) | (10,981) |
Net increase (decrease) | 2,023 | 3,935 | $ 20,988 | $ 39,580 |
Government Income | ||||
Shares sold | 105,124 | 105,528 | $ 1,087,884 | $ 1,058,863 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 71,077 | - | 713,611 |
Reinvestment of distributions | 13,709 | 26,531 | 140,938 | 266,315 |
Shares redeemed | (92,715) | (127,164) | (960,990) | (1,271,926) |
Net increase (decrease) | 26,118 | 75,972 | $ 267,832 | $ 766,863 |
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
10. Share Transactions - continued
Shares | Dollars | |||
Six months ended January 31, 2008 | Year ended | Six months ended January 31, 2008 | Year ended | |
Institutional Class | ||||
Shares sold | 7,649 | 16,978 | $ 78,764 | $ 170,642 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 57,200 | - | 574,860 |
Reinvestment of distributions | 1,421 | 2,169 | 14,605 | 21,772 |
Shares redeemed | (28,773) | (4,899) | (298,374) | (48,855) |
Net increase (decrease) | (19,703) | 71,448 | $ (205,005) | $ 718,419 |
A Share transactions for Class A, Class T, Class B, Class C and Institutional Class are for the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
11. Merger Information.
On October 27, 2006, the Fund acquired all of the assets and assumed all of the liabilities of Fidelity Advisor Government Investment Fund and Spartan Government Income Fund pursuant to an agreement and plan of reorganization approved by the shareholders on September 20, 2006. The acquisition was accomplished by an exchange of 11,639, 19,997, 5,890, 4,449, and 57,200 shares of Class A, Class T, Class B, Class C and Institutional Class of the Fund, respectively, for 11,840, 20,358, 6,003, 4,531, and 58,535 shares then outstanding of Class A, Class T, Class B, Class C and Institutional Class (valued at $9.88, $9.87, $9.86, $9.87, and $9.82, per share for Class A, Class T, Class B, Class C and Institutional Class, respectively) of Fidelity Advisor Government Investment Fund. Further, the acquisition was accomplished by an exchange of 71,077 shares of Government Income class for the 66,115 shares then outstanding (valued at $10.79 per share) of Spartan Government Income Fund. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders. Fidelity Advisor Government Investment Fund's net assets, including $1,514 of unrealized depreciation, and Spartan Government Income Fund's net assets, including $3,295 of unrealized depreciation, were combined with the Fund's net assets of $5,214,485 for total net assets after the acquisition of $6,924,811.
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments Money
Management, Inc.
Fidelity Research & Analysis Company
Fidelity International
Investment Advisors
Fidelity International
Investment Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
AGVT-USAN-0308
1.864213.100
(Fidelity Investment logo)(registered trademark)
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor
Government Income
Fund - Institutional Class
Semiannual Report
January 31, 2008
Institutional Class is a class of
Fidelity® Government Income Fund
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Stocks got off to a poor start in 2008, while investment-grade bonds and money markets showed positive returns, once again underscoring the importance of a diversified portfolio. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2007 to January 31, 2008).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Semiannual Report
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,080.00 | $ 4.24 |
Hypothetical A | $ 1,000.00 | $ 1,021.06 | $ 4.12 |
Class T | |||
Actual | $ 1,000.00 | $ 1,079.10 | $ 4.08 |
Hypothetical A | $ 1,000.00 | $ 1,021.22 | $ 3.96 |
Class B | |||
Actual | $ 1,000.00 | $ 1,076.30 | $ 7.78 |
Hypothetical A | $ 1,000.00 | $ 1,017.65 | $ 7.56 |
Class C | |||
Actual | $ 1,000.00 | $ 1,076.10 | $ 7.98 |
Hypothetical A | $ 1,000.00 | $ 1,017.44 | $ 7.76 |
Government Income | |||
Actual | $ 1,000.00 | $ 1,081.00 | $ 2.35 |
Hypothetical A | $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,080.50 | $ 2.72 |
Hypothetical A | $ 1,000.00 | $ 1,022.52 | $ 2.64 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
Annualized | |
Class A | .81% |
Class T | .78% |
Class B | 1.49% |
Class C | 1.53% |
Government Income | .45% |
Institutional Class | .52% |
Semiannual Report
Investment Changes
Coupon Distribution as of January 31, 2008 | ||
% of fund's investments | % of fund's investments | |
Less than 3% | 4.0 | 1.6 |
3 - 3.99% | 8.7 | 2.8 |
4 - 4.99% | 25.6 | 34.2 |
5 - 5.99% | 24.9 | 21.7 |
6 - 6.99% | 14.7 | 15.6 |
7% and over | 3.0 | 2.8 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of January 31, 2008 | ||
6 months ago | ||
Years | 4.6 | 4.9 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of January 31, 2008 | ||
6 months ago | ||
Years | 4.5 | 4.7 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of January 31, 2008* | As of July 31, 2007** | ||||||
| Mortgage | | Mortgage | ||||
| CMOs and Other Mortgage Related Securities 7.7% | | CMOs and Other Mortgage Related Securities 7.9% | ||||
| U.S. Treasury | | U.S. Treasury | ||||
| U.S. Government | | U.S. Government | ||||
| Asset-Backed | | Asset-Backed | ||||
| Short-Term | | Short-Term | ||||
* Futures and Swaps | 5.7% | ** Futures and Swaps | 4.4% | ||||
* Short-term Investments and Net Other Assets are not included in the pie chart.
Semiannual Report
Investments January 31, 2008 (Unaudited)
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 63.5% | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency Obligations - 29.9% | ||||
Fannie Mae: | ||||
3.25% 8/15/08 | $ 4,812 | $ 4,824 | ||
3.25% 2/10/10 | 75,000 | 75,768 | ||
3.625% 2/12/13 | 92,300 | 93,098 | ||
4.75% 11/19/12 (b) | 29,255 | 31,002 | ||
4.875% 4/15/09 | 43,350 | 44,489 | ||
4.875% 5/18/12 | 160,000 | 170,084 | ||
5.125% 9/2/08 | 78,770 | 79,840 | ||
5.375% 6/12/17 | 13,063 | 14,265 | ||
6.625% 9/15/09 | 149,585 | 158,843 | ||
7.25% 1/15/10 | 60,086 | 65,238 | ||
Federal Home Loan Bank 5.375% 8/19/11 | 35,350 | 38,085 | ||
Freddie Mac: | ||||
3.875% 6/15/08 | 2,791 | 2,801 | ||
4.125% 12/21/12 | 70,540 | 72,798 | ||
4.75% 3/5/09 | 146,766 | 150,118 | ||
4.75% 1/18/11 | 204,790 | 214,610 | ||
4.75% 3/5/12 | 10,000 | 10,571 | ||
4.875% 2/9/10 | 10,000 | 10,420 | ||
5% 6/11/09 | 100,000 | 103,133 | ||
5% 1/30/14 | 25,000 | 26,762 | ||
5.125% 4/18/11 | 31,220 | 33,182 | ||
5.125% 11/17/17 (b) | 152,000 | 162,577 | ||
5.25% 5/21/09 | 154,235 | 159,373 | ||
5.25% 7/18/11 | 29,000 | 31,081 | ||
5.5% 8/23/17 (b) | 42,900 | 47,176 | ||
5.625% 3/15/11 (b) | 48,555 | 52,238 | ||
5.75% 1/15/12 | 1,686 | 1,844 | ||
6.625% 9/15/09 | 155,000 | 164,670 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | 110,500 | 122,323 | ||
6.6% 2/15/08 | 10,649 | 10,657 | ||
6.8% 2/15/12 | 30,000 | 32,069 | ||
Overseas Private Investment Corp. U.S. Government guaranteed participation certificates: | ||||
6.77% 11/15/13 | 6,138 | 6,256 | ||
6.99% 5/21/16 | 20,242 | 23,469 | ||
Private Export Funding Corp.: | ||||
secured: | ||||
5.66% 9/15/11 (c) | 18,000 | 19,522 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency Obligations - continued | ||||
Private Export Funding Corp.: - continued | ||||
secured: | ||||
5.685% 5/15/12 | $ 24,035 | $ 26,301 | ||
6.67% 9/15/09 | 3,500 | 3,724 | ||
4.974% 8/15/13 | 22,940 | 24,638 | ||
Small Business Administration guaranteed development participation certificates: | ||||
Series 2002-20J Class 1, 4.75% 10/1/22 | 6,158 | 6,237 | ||
Series 2002-20K Class 1, 5.08% 11/1/22 | 13,568 | 13,922 | ||
Series 2003 P10B, 5.136% 8/10/13 | 9,511 | 9,693 | ||
Series 2004-20H Class 1, 5.17% 8/1/24 | 3,782 | 3,906 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 8,429 | 9,047 | ||
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1999-A, 5.96% 8/1/09 | 18,380 | 18,659 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 2,349,313 | |||
U.S. Treasury Inflation Protected Obligations - 2.7% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 69,881 | 70,689 | ||
2% 4/15/12 | 51,778 | 54,832 | ||
4.25% 1/15/10 | 78,062 | 84,240 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 209,761 | |||
U.S. Treasury Obligations - 30.9% | ||||
U.S. Treasury Bonds: | ||||
4.75% 2/15/37 (f) | 19,000 | 20,241 | ||
5% 5/15/37 (b) | 136,000 | 150,631 | ||
6.125% 8/15/29 (b) | 162,102 | 201,830 | ||
6.25% 8/15/23 | 1,500 | 1,843 | ||
8% 11/15/21 | 146,794 | 206,142 | ||
U.S. Treasury Notes: | ||||
2.125% 1/31/10 | 112,280 | 112,175 | ||
3.125% 11/30/09 (b) | 29,100 | 29,598 | ||
3.25% 12/31/09 (b)(d) | 192,973 | 196,872 | ||
3.375% 11/30/12 | 73,720 | 75,563 | ||
3.625% 10/31/09 | 31,000 | 31,787 | ||
3.625% 12/31/12 (b)(d) | 302,088 | 313,310 | ||
3.875% 10/31/12 | 8,500 | 8,904 | ||
4% 9/30/09 | 3,000 | 3,090 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
4.25% 8/15/14 (b)(f) | $ 161,550 | $ 171,887 | ||
4.25% 11/15/14 (b) | 77,185 | 82,015 | ||
4.25% 8/15/15 (b) | 84,500 | 89,379 | ||
4.25% 11/15/17 (b) | 186,000 | 195,329 | ||
4.375% 12/15/10 | 5,230 | 5,539 | ||
4.5% 11/15/15 | 30,800 | 33,055 | ||
4.625% 7/31/12 (b) | 115,065 | 124,135 | ||
4.625% 11/15/16 (b) | 117,000 | 126,232 | ||
4.75% 5/15/14 (b) | 78,733 | 86,170 | ||
4.75% 8/15/17 (b) | 117,000 | 127,365 | ||
5.125% 5/15/16 | 30,000 | 33,438 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 2,426,530 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,789,857) | 4,985,604 | |||
U.S. Government Agency - Mortgage Securities - 34.5% | ||||
Fannie Mae - 24.9% | ||||
3.699% 10/1/33 (g) | 649 | 658 | ||
3.75% 1/1/34 (g) | 603 | 609 | ||
3.75% 4/1/34 (g) | 10,009 | 10,096 | ||
3.751% 10/1/33 (g) | 659 | 663 | ||
3.798% 6/1/33 (g) | 513 | 517 | ||
3.806% 4/1/33 (g) | 1,676 | 1,688 | ||
3.874% 6/1/33 (g) | 2,399 | 2,415 | ||
3.892% 5/1/33 (g) | 4,295 | 4,329 | ||
3.899% 5/1/34 (g) | 5,994 | 6,052 | ||
3.909% 5/1/33 (g) | 193 | 196 | ||
3.937% 5/1/34 (g) | 4,550 | 4,592 | ||
3.954% 9/1/33 (g) | 6,912 | 6,982 | ||
4% 9/1/13 to 6/1/20 | 24,949 | 24,769 | ||
4% 3/1/34 (g) | 8,713 | 8,807 | ||
4% 4/1/34 (g) | 9,674 | 9,778 | ||
4.025% 6/1/34 (g) | 8,782 | 8,880 | ||
4.063% 3/1/35 (g) | 16,120 | 16,273 | ||
4.065% 10/1/18 (g) | 438 | 442 | ||
4.15% 5/1/33 (g) | 7,081 | 7,181 | ||
4.172% 1/1/35 (g) | 1,451 | 1,469 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.202% 6/1/34 (g) | $ 9,753 | $ 9,868 | ||
4.237% 1/1/34 (g) | 1,920 | 1,941 | ||
4.25% 2/1/35 (g) | 702 | 712 | ||
4.261% 10/1/33 (g) | 301 | 305 | ||
4.268% 6/1/33 (g) | 343 | 348 | ||
4.288% 6/1/34 (g) | 11,765 | 11,919 | ||
4.292% 3/1/33 (g) | 259 | 262 | ||
4.294% 3/1/35 (g) | 554 | 558 | ||
4.294% 5/1/35 (g) | 599 | 610 | ||
4.299% 3/1/33 (g) | 344 | 348 | ||
4.301% 4/1/33 (g) | 131 | 133 | ||
4.312% 1/1/35 (g) | 8,120 | 8,265 | ||
4.33% 3/1/33 (g) | 572 | 582 | ||
4.33% 4/1/35 (g) | 342 | 347 | ||
4.334% 2/1/35 (g) | 286 | 292 | ||
4.344% 10/1/19 (g) | 1,110 | 1,125 | ||
4.345% 1/1/35 (g) | 790 | 803 | ||
4.35% 8/1/33 (g) | 1,140 | 1,149 | ||
4.357% 2/1/34 (g) | 1,175 | 1,189 | ||
4.366% 11/1/35 (g) | 27,050 | 27,483 | ||
4.389% 5/1/35 (g) | 533 | 541 | ||
4.391% 2/1/35 (g) | 1,022 | 1,039 | ||
4.396% 10/1/34 (g) | 3,711 | 3,765 | ||
4.418% 8/1/34 (g) | 1,852 | 1,875 | ||
4.434% 3/1/35 (g) | 1,081 | 1,099 | ||
4.437% 11/1/33 (g) | 1,337 | 1,354 | ||
4.482% 1/1/35 (g) | 5,211 | 5,301 | ||
4.486% 12/1/34 (g) | 565 | 574 | ||
4.5% 2/1/18 to 4/1/20 | 14,815 | 14,902 | ||
4.501% 2/1/35 (g) | 10,651 | 10,778 | ||
4.524% 1/1/35 (g) | 747 | 752 | ||
4.53% 2/1/35 (g) | 494 | 506 | ||
4.534% 7/1/35 (g) | 2,230 | 2,257 | ||
4.54% 5/1/35 (g) | 1,815 | 1,841 | ||
4.552% 9/1/34 (g) | 17,825 | 18,104 | ||
4.569% 10/1/35 (g) | 352 | 357 | ||
4.575% 7/1/35 (g) | 2,643 | 2,663 | ||
4.618% 2/1/35 (g) | 251 | 256 | ||
4.642% 1/1/35 (g) | 5,320 | 5,420 | ||
4.646% 10/1/34 (g) | 3,310 | 3,368 | ||
4.682% 9/1/34 (g) | 13,126 | 13,390 | ||
4.685% 3/1/35 (g) | 176 | 179 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.703% 3/1/35 (g) | $ 514 | $ 523 | ||
4.714% 7/1/34 (g) | 1,833 | 1,864 | ||
4.716% 2/1/35 (g) | 6,259 | 6,386 | ||
4.726% 12/1/35 (g) | 57,508 | 58,552 | ||
4.77% 12/1/34 (g) | 615 | 626 | ||
4.787% 12/1/35 (g) | 4,003 | 4,059 | ||
4.792% 7/1/35 (g) | 4,353 | 4,448 | ||
4.793% 1/1/35 (g) | 61,811 | 63,051 | ||
4.796% 11/1/34 (g) | 2,075 | 2,113 | ||
4.803% 6/1/35 (g) | 3,162 | 3,207 | ||
4.819% 10/1/35 (g) | 1,748 | 1,784 | ||
4.822% 12/1/34 (g) | 9,602 | 9,776 | ||
4.833% 1/1/35 (g) | 9,953 | 10,159 | ||
4.836% 9/1/34 (g) | 8,937 | 9,096 | ||
4.853% 7/1/35 (g) | 5,643 | 5,767 | ||
4.856% 10/1/34 (g) | 7,404 | 7,545 | ||
4.859% 7/1/34 (g) | 5,367 | 5,455 | ||
4.883% 5/1/35 (g) | 1,737 | 1,776 | ||
4.897% 8/1/34 (g) | 4,830 | 4,915 | ||
4.901% 11/1/35 (g) | 9,039 | 9,140 | ||
4.934% 8/1/34 (g) | 8,630 | 8,792 | ||
4.948% 2/1/35 (g) | 4,852 | 4,949 | ||
4.952% 3/1/35 (g) | 4,772 | 4,874 | ||
4.957% 2/1/33 (g) | 939 | 957 | ||
4.997% 2/1/34 (g) | 7,367 | 7,527 | ||
5% 12/1/15 to 9/1/37 | 173,908 | 174,108 | ||
5.016% 7/1/34 (g) | 352 | 358 | ||
5.055% 1/1/37 (g) | 5,831 | 5,936 | ||
5.059% 8/1/34 (g) | 522 | 527 | ||
5.062% 9/1/34 (g) | 4,875 | 4,963 | ||
5.082% 9/1/34 (g) | 702 | 716 | ||
5.086% 7/1/34 (g) | 1,929 | 1,964 | ||
5.105% 10/1/35 (g) | 4,202 | 4,311 | ||
5.12% 8/1/34 (g) | 5,642 | 5,758 | ||
5.135% 3/1/35 (g) | 361 | 369 | ||
5.139% 8/1/36 (g) | 27,094 | 27,550 | ||
5.157% 8/1/33 (g) | 915 | 929 | ||
5.168% 3/1/36 (g) | 12,888 | 13,249 | ||
5.19% 6/1/35 (g) | 2,595 | 2,641 | ||
5.21% 5/1/35 (g) | 5,576 | 5,711 | ||
5.265% 4/1/36 (g) | 5,146 | 5,292 | ||
5.271% 12/1/36 (g) | 2,757 | 2,809 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
5.306% 3/1/36 (g) | $ 35,965 | $ 37,000 | ||
5.309% 12/1/34 (g) | 868 | 885 | ||
5.315% 7/1/35 (g) | 351 | 357 | ||
5.317% 1/1/34 (g) | 62 | 62 | ||
5.356% 2/1/36 (g) | 7,397 | 7,534 | ||
5.385% 2/1/37 (g) | 2,659 | 2,717 | ||
5.391% 2/1/37 (g) | 12,580 | 12,838 | ||
5.393% 7/1/35 (g) | 2,169 | 2,219 | ||
5.443% 8/1/36 (g) | 6,411 | 6,618 | ||
5.5% 4/1/09 to 11/1/37 | 416,246 | 425,762 | ||
5.5% 4/1/33 (d) | 68,440 | 69,322 | ||
5.5% 2/12/38 (d)(e) | 90,000 | 91,274 | ||
5.618% 2/1/36 (g) | 3,154 | 3,246 | ||
5.65% 4/1/36 (g) | 11,960 | 12,330 | ||
5.661% 6/1/36 (g) | 7,304 | 7,520 | ||
5.691% 1/1/36 (g) | 30,823 | 31,794 | ||
5.792% 3/1/36 (g) | 8,125 | 8,371 | ||
5.797% 5/1/36 (g) | 3,217 | 3,309 | ||
5.804% 1/1/36 (g) | 2,515 | 2,584 | ||
5.815% 5/1/36 (g) | 17,814 | 18,345 | ||
5.855% 3/1/36 (g) | 7,697 | 7,918 | ||
5.86% 6/1/35 (g) | 1,933 | 1,989 | ||
5.893% 12/1/36 (g) | 4,387 | 4,525 | ||
5.894% 3/1/36 (g) | 6,692 | 6,895 | ||
5.931% 5/1/36 (g) | 5,192 | 5,358 | ||
5.966% 5/1/36 (g) | 2,762 | 2,851 | ||
6% 5/1/12 to 1/1/38 | 180,186 | 185,911 | ||
6% 2/19/23 (d)(e) | 5,000 | 5,167 | ||
6% 2/19/23 (d) | 10,000 | 10,335 | ||
6% 2/1/38 (d)(e) | 29,000 | 29,765 | ||
6.01% 4/1/36 (g) | 48,850 | 50,428 | ||
6.069% 4/1/36 (g) | 26,431 | 27,339 | ||
6.104% 3/1/37 (g) | 4,552 | 4,700 | ||
6.152% 4/1/36 (g) | 4,710 | 4,862 | ||
6.224% 6/1/36 (g) | 740 | 756 | ||
6.226% 3/1/37 (g) | 1,495 | 1,539 | ||
6.3% 10/1/36 (g) | 21,648 | 22,287 | ||
6.5% 2/1/12 to 1/1/35 | 48,373 | 51,128 | ||
6.561% 9/1/36 (g) | 9,324 | 9,645 | ||
7% 7/1/13 to 7/1/32 | 5,151 | 5,534 | ||
7.5% 8/1/10 to 4/1/29 | 127 | 135 | ||
8% 1/1/22 | 2 | 2 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
8.5% 1/1/15 to 7/1/31 | $ 537 | $ 587 | ||
9% 11/1/11 to 5/1/14 | 540 | 562 | ||
9.5% 11/15/09 to 10/1/20 | 770 | 863 | ||
10% 8/1/10 | 0 | 0 | ||
11% 8/1/10 | 9 | 10 | ||
11.25% 5/1/14 | 8 | 9 | ||
11.5% 6/15/19 to 1/15/21 | 1,211 | 1,391 | ||
12.5% 8/1/15 to 3/1/16 | 2 | 3 | ||
1,956,069 | ||||
Freddie Mac - 9.3% | ||||
4% 5/1/19 to 11/1/20 | 25,303 | 24,976 | ||
4.298% 12/1/34 (g) | 950 | 961 | ||
4.308% 3/1/35 (g) | 746 | 751 | ||
4.318% 2/1/35 (g) | 1,488 | 1,506 | ||
4.409% 2/1/34 (g) | 664 | 667 | ||
4.413% 6/1/35 (g) | 1,182 | 1,196 | ||
4.423% 3/1/35 (g) | 1,041 | 1,055 | ||
4.448% 3/1/35 (g) | 1,013 | 1,028 | ||
4.5% 2/1/18 to 8/1/33 | 25,442 | 25,425 | ||
4.697% 9/1/36 (g) | 3,125 | 3,151 | ||
4.703% 9/1/35 (g) | 24,851 | 25,256 | ||
4.724% 2/1/34 (g) | 7,934 | 8,078 | ||
4.789% 2/1/36 (g) | 1,302 | 1,326 | ||
4.807% 3/1/35 (g) | 2,622 | 2,664 | ||
4.839% 3/1/33 (g) | 279 | 284 | ||
4.897% 10/1/36 (g) | 18,744 | 19,020 | ||
5% 1/1/09 to 9/1/35 | 12,609 | 12,638 | ||
5.008% 4/1/35 (g) | 3,970 | 4,036 | ||
5.021% 4/1/35 (g) | 527 | 537 | ||
5.115% 7/1/35 (g) | 4,799 | 4,912 | ||
5.268% 2/1/36 (g) | 304 | 311 | ||
5.5% 8/1/14 to 7/1/37 (e) | 213,698 | 218,223 | ||
5.501% 1/1/36 (g) | 4,331 | 4,438 | ||
5.524% 1/1/36 (g) | 5,955 | 6,096 | ||
5.748% 10/1/35 (g) | 1,246 | 1,276 | ||
5.829% 5/1/37 (g) | 3,092 | 3,157 | ||
6% 7/1/16 to 11/1/37 | 84,660 | 87,254 | ||
6% 2/1/38 (d)(e) | 18,000 | 18,461 | ||
6% 2/12/38 (d) | 110,000 | 112,716 | ||
6.017% 6/1/36 (g) | 3,236 | 3,322 | ||
6.224% 5/1/36 (g) | 2,661 | 2,740 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
6.278% 3/1/37 (g) | $ 8,689 | $ 8,933 | ||
6.348% 7/1/36 (g) | 3,410 | 3,512 | ||
6.439% 10/1/36 (g) | 9,387 | 9,670 | ||
6.5% 11/1/10 to 10/1/36 | 53,170 | 55,951 | ||
6.611% 12/1/36 (g) | 16,981 | 17,467 | ||
6.712% 10/1/36 (g) | 8,739 | 8,993 | ||
6.733% 1/1/37 (g) | 12,285 | 12,668 | ||
6.84% 10/1/36 (g) | 11,721 | 12,020 | ||
7% 4/1/11 | 3 | 4 | ||
7.5% 5/1/11 to 7/1/16 | 1,977 | 2,135 | ||
8.5% 8/1/08 to 9/1/29 | 207 | 230 | ||
9% 8/1/08 to 10/1/20 | 85 | 93 | ||
9.5% 6/1/09 to 8/1/21 | 306 | 346 | ||
9.75% 8/1/14 | 146 | 160 | ||
10% 7/1/09 to 8/1/21 | 29 | 32 | ||
11% 7/1/13 to 5/1/14 | 64 | 73 | ||
12% 8/1/13 to 3/1/15 | 2 | 3 | ||
12.25% 4/1/11 to 9/1/13 | 2 | 2 | ||
12.5% 2/1/10 to 6/1/19 | 25 | 28 | ||
13% 8/1/10 to 6/1/15 | 8 | 9 | ||
729,790 | ||||
Government National Mortgage Association - 0.3% | ||||
5.25% 7/20/34 (g) | 944 | 960 | ||
6% 7/15/08 to 12/15/10 | 884 | 916 | ||
6.5% 2/15/24 to 10/15/35 | 21,678 | 23,113 | ||
7% 10/15/26 to 8/15/32 | 100 | 106 | ||
7.5% 3/15/28 to 8/15/29 | 114 | 122 | ||
8% 6/15/18 to 12/15/23 | 1,340 | 1,491 | ||
8.5% 10/15/08 to 1/15/25 | 9 | 10 | ||
9% 12/15/09 | 0 | 0 | ||
9.5% 2/15/25 | 1 | 1 | ||
10.5% 4/15/14 to 1/20/18 | 98 | 114 | ||
13.5% 7/15/11 | 7 | 7 | ||
26,840 | ||||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,657,897) | 2,712,699 | |||
Asset-Backed Securities - 0.2% | ||||
Fannie Mae Grantor Trust Series 2005-T4 Class A1C, 3.5263% 9/25/35 (g) | 14,969 | 14,869 | ||
Collateralized Mortgage Obligations - 7.7% | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - 7.7% | ||||
Fannie Mae: | ||||
planned amortization class: | ||||
Series 1992-168 Class KB, 7% 10/25/22 | $ 1,451 | $ 1,516 | ||
Series 1993-109 Class NZ, 6% 7/25/08 | 383 | 384 | ||
Series 1993-207 Class H, 6.5% 11/25/23 | 18,360 | 19,198 | ||
Series 1993-240 Class PD, 6.25% 12/25/13 | 5,341 | 5,541 | ||
Series 1994-23: | ||||
Class PG, 6% 4/25/23 | 4,456 | 4,491 | ||
Class PZ, 6% 2/25/24 | 10,362 | 10,783 | ||
Series 1996-28 Class PK, 6.5% 7/25/25 | 4,114 | 4,340 | ||
Series 2003-28 Class KG, 5.5% 4/25/23 | 4,940 | 4,987 | ||
Series 2006-45 Class OP, 6/25/36 (i) | 6,239 | 4,883 | ||
Series 2006-62 Class KP, 4/25/36 (i) | 13,014 | 9,879 | ||
sequential payer Series 1997-41 Class J, 7.5% 6/18/27 | 2,809 | 3,000 | ||
Series 2003-22 6% 4/25/33 (h) | 19,160 | 3,593 | ||
Fannie Mae Grantor Trust planned amortization class Series 2005-81 Class PC, 5.5% 9/25/35 | 2,150 | 2,187 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2001-38 Class QF, 4.3563% 8/25/31 (g) | 696 | 708 | ||
Series 2002-49 Class FB, 4.5894% 11/18/31 (g) | 1,117 | 1,123 | ||
Series 2002-60 Class FV, 4.3763% 4/25/32 (g) | 472 | 481 | ||
Series 2002-75 Class FA, 4.3763% 11/25/32 (g) | 967 | 984 | ||
Series 2004-54 Class FE, 4.5263% 2/25/33 (g) | 522 | 526 | ||
planned amortization class: | ||||
Series 2002-11 Class QC, 5.5% 3/25/17 | 14,201 | 14,512 | ||
Series 2002-18 Class PC, 5.5% 4/25/17 | 1,170 | 1,199 | ||
Series 2003-113: | ||||
Class PD, 4% 2/25/17 | 23,515 | 23,533 | ||
Class PE, 4% 11/25/18 | 7,545 | 7,234 | ||
Series 2003-128 Class NE, 4% 12/25/16 | 13,100 | 13,083 | ||
Series 2004-21 Class QE, 4.5% 11/25/32 | 1,500 | 1,476 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 10,160 | 10,110 | ||
Series 2005-102 Class CO, 11/25/35 (i) | 6,454 | 5,074 | ||
Series 2006-12 Class BO, 10/25/35 (i) | 29,328 | 23,108 | ||
Series 2006-37 Class OW, 5/25/36 (i) | 6,971 | 5,819 | ||
sequential payer: | ||||
Series 2001-20 Class Z, 6% 5/25/31 | 22,487 | 23,354 | ||
Series 2001-46 Class ZG, 6% 9/25/31 | 8,117 | 8,489 | ||
Series 2002-79 Class Z, 5.5% 11/25/22 | 11,507 | 11,674 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Fannie Mae subordinate REMIC pass-thru certificates: - continued | ||||
sequential payer: | ||||
Series 2004-3 Class BA, 4% 7/25/17 | $ 656 | $ 656 | ||
Series 2004-91 Class AH, 4.5% 5/25/29 | 5,949 | 5,978 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 645 | 591 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 10,215 | 10,544 | ||
Series 2005-14 Class SE, 2.6738% 3/25/35 (g)(h) | 20,129 | 1,217 | ||
Series 2007-36: | ||||
Class GO, 4/25/37 (i) | 1,356 | 1,090 | ||
Class PO, 4/25/37 (i) | 3,017 | 2,407 | ||
Class SB, 3.2238% 4/25/37 (g)(h) | 39,177 | 3,203 | ||
Class SG, 3.2238% 4/25/37 (g)(h) | 17,632 | 1,413 | ||
Series 2007-66 Class SA, 19.3425% 7/25/37 (g) | 5,228 | 6,712 | ||
Freddie Mac: | ||||
planned amortization class: | ||||
Series 2115 Class PE, 6% 1/15/14 | 902 | 933 | ||
Series 3149 Class OD, 5/15/36 (i) | 33,982 | 26,284 | ||
sequential payer Series 2114 Class ZM, 6% 1/15/29 | 2,534 | 2,625 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed: | ||||
floater Series 1686 Class FA, 5.15% 2/15/24 (g) | 1,017 | 1,044 | ||
planned amortization class Series 1681 Class PJ, 7% 12/15/23 | 7,413 | 7,603 | ||
Series 1560 Class PN, 7% 12/15/12 | 3,553 | 3,568 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2389 Class DA, 5.1363% 11/15/30 (g) | 465 | 465 | ||
Series 2530 Class FE, 4.8363% 2/15/32 (g) | 653 | 655 | ||
Series 2630 Class FL, 4.7363% 6/15/18 (g) | 550 | 556 | ||
Series 3008 Class SM, 0% 7/15/35 (g) | 376 | 367 | ||
planned amortization class: | ||||
Series 1141 Class G, 9% 9/15/21 | 406 | 418 | ||
Series 1614 Class L, 6.5% 7/15/23 | 4,533 | 4,621 | ||
Series 1671 Class G, 6.5% 8/15/23 | 592 | 593 | ||
Series 2006-15 Class OP, 3/25/36 (i) | 7,744 | 5,783 | ||
Series 2356 Class GD, 6% 9/15/16 | 555 | 575 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 3,764 | 3,887 | ||
Series 2378 Class PE, 5.5% 11/15/16 | 10,867 | 11,136 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 3,024 | 3,099 | ||
Series 2390 Class CH, 5.5% 12/15/16 | 9,850 | 10,095 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
planned amortization class: | ||||
Series 2543 Class PM, 5.5% 8/15/18 | $ 124 | $ 123 | ||
Series 2625 Class QX, 2.25% 3/15/22 | 19 | 19 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 6,815 | 6,848 | ||
Series 2640: | ||||
Class GE, 4.5% 7/15/18 | 7,310 | 7,364 | ||
Class QG, 2% 4/15/22 | 44 | 43 | ||
Series 2660 Class ML, 3.5% 7/15/22 | 3,398 | 3,385 | ||
Series 2682 Class LD, 4.5% 10/15/33 | 777 | 729 | ||
Series 2752 Class PW, 4% 4/15/22 | 1,853 | 1,844 | ||
Series 2802 Class OB, 6% 5/15/34 | 10,455 | 10,824 | ||
Series 2810 Class PD, 6% 6/15/33 | 995 | 1,031 | ||
Series 2866 Class XE, 4% 12/15/18 | 19,350 | 19,285 | ||
Series 2937 Class KC, 4.5% 2/15/20 | 19,686 | 19,577 | ||
Series 3077 Class TO, 4/15/35 (i) | 16,997 | 13,424 | ||
Series 3110 Class OP, 9/15/35 (i) | 16,060 | 12,704 | ||
Series 3119 Class PO, 2/15/36 (i) | 19,407 | 15,256 | ||
Series 3121 Class KO, 3/15/36 (i) | 6,781 | 5,486 | ||
Series 3123 Class LO, 3/15/36 (i) | 12,576 | 9,704 | ||
Series 3145 Class GO, 4/15/36 (i) | 11,314 | 8,828 | ||
Series 3151 Class PO, 5/15/36 (i) | 12,207 | 9,420 | ||
sequential payer: | ||||
Series 2388 Class ZA, 6% 12/15/31 | 7,039 | 7,325 | ||
Series 2546 Class MJ, 5.5% 3/15/23 | 2,861 | 2,893 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 1,853 | 1,861 | ||
Series 2587 Class AD, 4.71% 3/15/33 | 5,785 | 5,353 | ||
Series 2601 Class TB, 5.5% 4/15/23 | 869 | 877 | ||
Series 2617 Class GW, 3.5% 6/15/16 | 3,140 | 3,143 | ||
Series 2675 Class CB, 4% 5/15/16 | 1,797 | 1,803 | ||
Series 2677 Class HG, 3% 8/15/12 | 576 | 573 | ||
Series 2683 Class JA, 4% 10/15/16 | 1,897 | 1,903 | ||
Series 2685 Class ND, 4% 10/15/18 | 9,064 | 8,718 | ||
Series 2750 Class ZT, 5% 2/15/34 | 1,046 | 1,000 | ||
Series 2773 Class HC, 4.5% 4/15/19 | 704 | 681 | ||
Series 2809 Class UA, 4% 12/15/14 | 2,436 | 2,447 | ||
Series 2849 Class AL, 5% 5/15/18 | 7,563 | 7,670 | ||
Series 2860 Class CP, 4% 10/15/17 | 2,173 | 2,170 | ||
Series 2866 Class N, 4.5% 12/15/18 | 7,068 | 7,146 | ||
Series 2937 Class HJ, 5% 10/15/19 | 8,758 | 8,881 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2998 Class LY, 5.5% 7/15/25 | $ 2,011 | $ 2,019 | ||
Series 3007 Class EW, 5.5% 7/15/25 | 8,875 | 8,952 | ||
Series 3013 Class VJ, 5% 1/15/14 | 1,850 | 1,892 | ||
Series 3401 Class EB, 5% 12/15/22 | 7,495 | 7,337 | ||
Series 2769 Class BU, 5% 3/15/34 | 5,712 | 5,420 | ||
Series 2863 Class DB, 4% 9/15/14 | 1,284 | 1,278 | ||
Series 2957 Class SW, 1.7638% 4/15/35 (g)(h) | 27,401 | 1,524 | ||
Series 3002 Class SN, 2.2638% 7/15/35 (g)(h) | 27,680 | 2,313 | ||
target amortization class: | ||||
Series 2156 Class TC, 6.25% 5/15/29 | 9,176 | 9,627 | ||
Series 2877 Class JC, 5% 10/15/34 | 1,354 | 1,387 | ||
Ginnie Mae guaranteed REMIC pass-thru securities planned amortization class Series 1997-8 Class PE, 7.5% 5/16/27 | 4,499 | 4,810 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $579,309) | 602,284 | |||
Cash Equivalents - 24.8% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements in a joint trading account at 3%, dated 1/31/08 due 2/1/08: | |||
(Collateralized by U.S. Government Obligations) # | $ 102,234 | 102,225 | |
(Collateralized by U.S. Government Obligations) # (a) | 1,850,136 | 1,849,982 | |
TOTAL CASH EQUIVALENTS (Cost $1,952,207) | 1,952,207 | ||
TOTAL INVESTMENT PORTFOLIO - 130.7% (Cost $9,994,239) | 10,267,663 | ||
NET OTHER ASSETS - (30.7)% | (2,412,662) | ||
NET ASSETS - 100% | $ 7,855,001 | ||
Swap Agreements | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.03% with Credit Suisse First Boston | Oct. 2017 | $ 72,000 | $ (5,509) | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 5.57% with Goldman Sachs | August 2017 | 100,000 | (10,742) | ||
Receive semi-annually a fixed rate equal to 4.42% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Oct. 2009 | 300,000 | 11,472 | ||
Receive semi-annually a fixed rate equal to 4.88% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America | Sept. 2010 | 106,700 | 6,061 | ||
Receive semi-annually a fixed rate equal to 5.03% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | August 2010 | 91,000 | 5,668 | ||
Receive semi-annually a fixed rate equal to 5.706% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | June 2017 | 75,000 | 8,725 | ||
$ 744,700 | $ 15,675 | ||||
Legend |
(a) Includes investment made with cash collateral received from securities on loan. |
(b) Security or a portion of the security is on loan at period end. |
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $19,522,000 or 0.2% of net assets. |
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(e) A portion of the security is subject to a forward commitment to sell. |
(f) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $10,492,000. |
(g) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(h) 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 held as of the end of the period. |
(i) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$102,225,000 due 2/01/08 at 3.00% | |
BNP Paribas Securities Corp. | $ 10,614 |
Banc of America Securities LLC | 4,245 |
Barclays Capital, Inc. | 45,487 |
Bear Stearns & Co., Inc. | 12,969 |
Citigroup Global Markets, Inc. | 3,032 |
Dresdner Kleinwort Securities LLC | 1,516 |
ING Financial Markets LLC | 1,922 |
J.P. Morgan | 9,097 |
Societe Generale, New York Branch | 12,130 |
WestLB AG | 1,213 |
$ 102,225 | |
$1,849,982,000 due 2/01/08 at 3.00% | |
ABN AMRO Bank N.V., New York Branch | $ 135,912 |
Banc of America Securities LLC | 1,019,341 |
Bank of America, NA | 543,648 |
Bear Stearns & Co., Inc. | 151,081 |
$ 1,849,982 | |
Income Tax Information |
At July 31, 2007, the fund had a capital loss carryforward of approximately $93,664,000 of which $831,000, $561,000, $1,882,000, $28,692,000 and $61,698,000 will expire on July 31, 2011, 2012, 2013, 2014 and 2015, respectively. Of the loss carryforwards expiring on July 31, 2011, 2012, 2013 and 2014, $831,000, $561,000, $1,882,000 and $17,977,000, respectively, was acquired in the merger and is available to offset future capital gains of the fund to the extent provided by regulations. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | January 31, 2008 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $1,784,360 and repurchase agreements of $1,952,207) - See accompanying schedule: Unaffiliated issuers (cost $9,994,239) | $ 10,267,663 | |
Commitment to sell securities on a delayed delivery basis | $ (400,564) | |
Receivable for securities sold on a delayed delivery basis | 399,561 | (1,003) |
Cash | 2,429 | |
Receivable for investments sold | 72,282 | |
Delayed delivery | 194,284 | |
Receivable for fund shares sold | 11,260 | |
Interest receivable | 69,038 | |
Swap agreements, at value | 15,675 | |
Other receivables | 216 | |
Total assets | 10,631,844 | |
Liabilities | ||
Payable for investments purchased | $ 257,072 | |
Delayed delivery | 659,096 | |
Payable for fund shares redeemed | 7,472 | |
Distributions payable | 685 | |
Accrued management fee | 2,021 | |
Distribution fees payable | 168 | |
Other affiliated payables | 948 | |
Other payables and accrued expenses | 99 | |
Collateral on securities loaned, at value | 1,849,282 | |
Total liabilities | 2,776,843 | |
Net Assets | $ 7,855,001 | |
Net Assets consist of: | ||
Paid in capital | $ 7,573,129 | |
Undistributed net investment income | 3,471 | |
Accumulated undistributed net realized gain (loss) on investments | (9,695) | |
Net unrealized appreciation (depreciation) on investments | 288,096 | |
Net Assets | $ 7,855,001 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | January 31, 2008 (Unaudited) | |
Calculation of Maximum Offering Price | $ 10.59 | |
Maximum offering price per share (100/96.00 of $10.59) | $ 11.03 | |
Class T: | $ 10.58 | |
Maximum offering price per share (100/96.00 of $10.58) | $ 11.02 | |
Class B: | $ 10.59 | |
Class C: | $ 10.59 | |
Government Income: | $ 10.57 | |
Institutional Class: | $ 10.58 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Six months ended January 31, 2008 (Unaudited) | |
Investment Income | ||
Interest | $ 188,117 | |
Expenses | ||
Management fee | $ 11,830 | |
Transfer agent fees | 4,226 | |
Distribution fees | 885 | |
Fund wide operations fee | 1,300 | |
Independent trustees' compensation | 15 | |
Miscellaneous | 12 | |
Total expenses before reductions | 18,268 | |
Expense reductions | (245) | 18,023 |
Net investment income | 170,094 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 113,513 | |
Futures contracts | 259 | |
Swap agreements | (223) | |
Total net realized gain (loss) | 113,549 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 291,435 | |
Swap agreements | 15,311 | |
Delayed delivery commitments | 514 | |
Total change in net unrealized appreciation (depreciation) | 307,260 | |
Net gain (loss) | 420,809 | |
Net increase (decrease) in net assets resulting from operations | $ 590,903 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Amounts in thousands | Six months ended January 31, 2008 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 170,094 | $ 296,314 |
Net realized gain (loss) | 113,549 | (39,749) |
Change in net unrealized appreciation (depreciation) | 307,260 | 63,955 |
Net increase (decrease) in net assets resulting | 590,903 | 320,520 |
Distributions to shareholders from net investment income | (168,034) | (303,351) |
Distributions to shareholders from net realized gain | - | (2,616) |
Total distributions | (168,034) | (305,967) |
Share transactions - net increase (decrease) | 190,392 | 1,895,812 |
Total increase (decrease) in net assets | 613,261 | 1,910,365 |
Net Assets | ||
Beginning of period | 7,241,740 | 5,331,375 |
End of period (including undistributed net investment income of $3,471 and undistributed net investment income of $1,411, respectively) | $ 7,855,001 | $ 7,241,740 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended January 31, 2008 | Years ended | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .215 | .311 |
Net realized and unrealized gain (loss) | .578 | .033 |
Total from investment operations | .793 | .344 |
Distributions from net investment income | (.213) | (.314) |
Net asset value, end of period | $ 10.59 | $ 10.01 |
Total Return B,C,D | 8.00% | 3.49% |
Ratios to Average Net Assets G | ||
Expenses before reductions | .81%A | .78% A |
Expenses net of fee waivers, if any | .81% A | .78% A |
Expenses net of all reductions | .80% A | .77% A |
Net investment income | 4.18% A | 4.08% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 209 | $ 145 |
Portfolio turnover rate | 283% A | 164% H |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .217 | .306 |
Net realized and unrealized gain (loss) | .567 | .036 |
Total from investment operations | .784 | .342 |
Distributions from net investment income | (.214) | (.312) |
Net asset value, end of period | $ 10.58 | $ 10.01 |
Total Return B,C,D | 7.91% | 3.46% |
Ratios to Average Net Assets G | ||
Expenses before reductions | .78% A | .79% A |
Expenses net of fee waivers, if any | .78% A | .79% A |
Expenses net of all reductions | .78% A | .79% A |
Net investment income | 4.21% A | 4.02% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 241 | $ 181 |
Portfolio turnover rate | 283% A | 164% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .180 | .251 |
Net realized and unrealized gain (loss) | .577 | .037 |
Total from investment operations | .757 | .288 |
Distributions from net investment income | (.177) | (.258) |
Net asset value, end of period | $ 10.59 | $ 10.01 |
Total Return B,C,D | 7.63% | 2.91% |
Ratios to Average Net Assets G | ||
Expenses before reductions | 1.49% A | 1.50% A |
Expenses net of fee waivers, if any | 1.49% A | 1.50% A |
Expenses net of all reductions | 1.49% A | 1.50% A |
Net investment income | 3.50% A | 3.30% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 49 | $ 43 |
Portfolio turnover rate | 283% A | 164% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income E | .178 | .249 |
Net realized and unrealized gain (loss) | .577 | .033 |
Total from investment operations | .755 | .282 |
Distributions from net investment income | (.175) | (.252) |
Net asset value, end of period | $ 10.59 | $ 10.01 |
Total Return B,C,D | 7.61% | 2.85% |
Ratios to Average Net Assets G | ||
Expenses before reductions | 1.53% A | 1.55% A |
Expenses net of fee waivers, if any | 1.53% A | 1.55% A |
Expenses net of all reductions | 1.53% A | 1.55% A |
Net investment income | 3.46% A | 3.26% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 63 | $ 39 |
Portfolio turnover rate | 283% A | 164% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Government Income
Six months ended January 31, 2008 | Years ended July 31, | |||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 10.00 | $ 9.95 | $ 10.20 | $ 10.13 | $ 10.16 | $ 10.30 |
Income from Investment Operations | ||||||
Net investment income D | .234 | .443 | .429 | .329 | .307 | .374 |
Net realized and unrealized gain (loss) | .567 | .068 | (.274) | .097 | .124 | (.014) |
Total from investment operations | .801 | .511 | .155 | .426 | .431 | .360 |
Distributions from net investment income | (.231) | (.456) | (.405) | (.321) | (.301) | (.370) |
Distributions from net realized gain | - | (.005) | - | (.035) | (.160) | (.130) |
Total distributions | (.231) | (.461) | (.405) | (.356) | (.461) | (.500) |
Net asset value, end of period | $ 10.57 | $ 10.00 | $ 9.95 | $ 10.20 | $ 10.13 | $ 10.16 |
Total Return B,C | 8.10% | 5.22% | 1.56% | 4.24% | 4.30% | 3.45% |
Ratios to Average Net Assets E | ||||||
Expenses before reductions | .45% A | .45% | .45% | .58% | .63% | .65% |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .58% | .63% | .65% |
Expenses net of all reductions | .44% A | .44% | .44% | .58% | .63% | .65% |
Net investment income | 4.54% A | 4.42% | 4.27% | 3.21% | 3.01% | 3.56% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 6,745 | $ 6,118 | $ 5,331 | $ 5,127 | $ 4,168 | $ 3,622 |
Portfolio turnover rate | 283% A | 164%F | 108% | 114% | 224% | 253% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended January 31, 2008 | Years ended July 31, | |
(Unaudited) | 2007 E | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 10.01 | $ 9.98 |
Income from Investment Operations | ||
Net investment income D | .231 | .329 |
Net realized and unrealized gain (loss) | .566 | .034 |
Total from investment operations | .797 | .363 |
Distributions from net investment income | (.227) | (.333) |
Net asset value, end of period | $ 10.58 | $ 10.01 |
Total Return B,C | 8.05% | 3.67% |
Ratios to Average Net Assets F | ||
Expenses before reductions | .52% A | .53% A |
Expenses net of fee waivers, if any | .52% A | .53% A |
Expenses net of all reductions | .52% A | .53% A |
Net investment income | 4.47% A | 4.32% A |
Supplemental Data | ||
Net assets, end of period (in millions) | $ 548 | $ 715 |
Portfolio turnover rate | 283% A | 164% G |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E For the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G The portfolio turnover rate does not include the assets acquired in the merger.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended January 31, 2008 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Government Income Fund (the Fund) is a fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class B, Class C, Government Income, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Semiannual Report
2. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. Effective with the beginning of the Fund's fiscal year, the Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, prior period premium and discount on debt securities, market discount, deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 279,763 | |
Unrealized depreciation | (5,374) | |
Net unrealized appreciation (depreciation) | $ 274,389 | |
Cost for federal income tax purposes | $ 9,993,274 |
New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
3. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of
Semiannual Report
3. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery". Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Operating Policies - continued
Swap Agreements - continued
floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements".
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price, including the associated financing cost, if any is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate
Semiannual Report
4. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
of .20% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0 % | .25% | $ 208 | $ 27 |
Class T | 0 % | .25% | 248 | - |
Class B | .65% | .25% | 194 | 140 |
Class C | .75% | .25% | 235 | 19 |
$ 885 | $ 186 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, .75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 11 |
Class T | 12 |
Class B* | 31 |
Class C* | 1 |
$ 55 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Prior to January 1, 2008 Fidelity Service Company, Inc. (FSC), also an affiliate of FMR, was the transfer agent for Government Income. For the period, the total transfer agent fees paid by each class were as follows:
Amount | % of | |
Class A | $ 175 | .21 |
Class T | 181 | .18 |
Class B | 53 | .25 |
Class C | 44 | .19 |
Government Income | 3,194 | .10 |
Institutional Class | 579 | .17 |
$ 4,226 |
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
5. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $10 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
Semiannual Report
6. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $4,370.
7. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $9. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Class A | $ 6 |
Government Income | 219 |
Institutional Class | 11 |
$ 236 |
8. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
8. Other - continued
At the end of the period, Fidelity Freedom 2010 and Fidelity Freedom 2020 were the owners of record of approximately 13% and 14% of the total outstanding shares of Fidelity Government Income Fund. The Fidelity Advisor Freedom Funds and Fidelity Freedom Funds were the owners of record, in aggregate, of approximately 54% of the total outstanding shares of Fidelity Government Income Fund.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 3,435 | $ 4,138 |
Class T | 4,145 | 5,771 |
Class B | 748 | 1,298 |
Class C | 799 | 1,042 |
Government Income | 144,171 | 269,231 |
Institutional Class | 14,736 | 21,871 |
Total | $ 168,034 | $ 303,351 |
From net realized gain | ||
Government Income | $ - | $ 2,616 |
A Distributions for Class A, Class T, Class B, Class C and Institutional Class are for the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
10. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended January 31, 2008 | Year ended | Six months ended January 31, 2008 | Year ended | |
Class A | ||||
Shares sold | 8,775 | 5,668 | $ 90,903 | $ 56,865 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 11,639 | - | 116,974 |
Reinvestment of distributions | 304 | 374 | 3,133 | 3,759 |
Shares redeemed | (3,810) | (3,165) | (39,133) | (31,770) |
Net increase (decrease) | 5,269 | 14,516 | $ 54,903 | $ 145,828 |
Semiannual Report
10. Share Transactions - continued
Shares | Dollars | |||
Six months ended January 31, 2008 | Year ended | Six months ended January 31, 2008 | Year ended | |
Class T | ||||
Shares sold | 9,069 | 3,593 | $ 93,569 | $ 36,101 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 19,997 | - | 200,973 |
Reinvestment of distributions | 382 | 549 | 3,940 | 5,508 |
Shares redeemed | (4,777) | (6,079) | (48,916) | (60,985) |
Net increase (decrease) | 4,674 | 18,060 | $ 48,593 | $ 181,597 |
Class B | ||||
Shares sold | 1,389 | 524 | $ 14,414 | $ 5,289 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 5,890 | - | 59,191 |
Reinvestment of distributions | 59 | 104 | 607 | 1,045 |
Shares redeemed | (1,165) | (2,192) | (11,940) | (22,000) |
Net increase (decrease) | 283 | 4,326 | $ 3,081 | $ 43,525 |
Class C | ||||
Shares sold | 2,647 | 517 | $ 27,373 | $ 5,201 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 4,449 | - | 44,717 |
Reinvestment of distributions | 50 | 64 | 513 | 643 |
Shares redeemed | (674) | (1,095) | (6,898) | (10,981) |
Net increase (decrease) | 2,023 | 3,935 | $ 20,988 | $ 39,580 |
Government Income | ||||
Shares sold | 105,124 | 105,528 | $ 1,087,884 | $ 1,058,863 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 71,077 | - | 713,611 |
Reinvestment of distributions | 13,709 | 26,531 | 140,938 | 266,315 |
Shares redeemed | (92,715) | (127,164) | (960,990) | (1,271,926) |
Net increase (decrease) | 26,118 | 75,972 | $ 267,832 | $ 766,863 |
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
10. Share Transactions - continued
Shares | Dollars | |||
Six months ended January 31, 2008 | Year ended | Six months ended January 31, 2008 | Year ended | |
Institutional Class | ||||
Shares sold | 7,649 | 16,978 | $ 78,764 | $ 170,642 |
Issued in exchange for shares of Fidelity Advisor Government Investment Fund | - | 57,200 | - | 574,860 |
Reinvestment of distributions | 1,421 | 2,169 | 14,605 | 21,772 |
Shares redeemed | (28,773) | (4,899) | (298,374) | (48,855) |
Net increase (decrease) | (19,703) | 71,448 | $ (205,005) | $ 718,419 |
A Share transactions for Class A, Class T, Class B, Class C and Institutional Class are for the period October 24, 2006 (commencement of sale of shares) to July 31, 2007.
11. Merger Information.
On October 27, 2006, the Fund acquired all of the assets and assumed all of the liabilities of Fidelity Advisor Government Investment Fund and Spartan Government Income Fund pursuant to an agreement and plan of reorganization approved by the shareholders on September 20, 2006. The acquisition was accomplished by an exchange of 11,639, 19,997, 5,890, 4,449, and 57,200 shares of Class A, Class T, Class B, Class C and Institutional Class of the Fund, respectively, for 11,840, 20,358, 6,003, 4,531, and 58,535 shares then outstanding of Class A, Class T, Class B, Class C and Institutional Class (valued at $9.88, $9.87, $9.86, $9.87, and $9.82, per share for Class A, Class T, Class B, Class C and Institutional Class, respectively) of Fidelity Advisor Government Investment Fund. Further, the acquisition was accomplished by an exchange of 71,077 shares of Government Income class for the 66,115 shares then outstanding (valued at $10.79 per share) of Spartan Government Income Fund. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders. Fidelity Advisor Government Investment Fund's net assets, including $1,514 of unrealized depreciation, and Spartan Government Income Fund's net assets, including $3,295 of unrealized depreciation, were combined with the Fund's net assets of $5,214,485 for total net assets after the acquisition of $6,924,811.
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments Money
Management, Inc.
Fidelity Research & Analysis Company
Fidelity International
Investment Advisors
Fidelity International
Investment Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
AGVTI-USAN-0308
1.834234.101
(Fidelity Investment logo)(registered trademark)
Fidelity Income Replacement Funds -
2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036, 2038, 2040, 2042
Semiannual Report
January 31, 2008
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Income Replacement 2016 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2018 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2020 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2022 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2024 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2026 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2028 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2030 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2032 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2034 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2036 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2038 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2040 | Investment Summary | |
Investments | ||
Financial Statements | ||
Income Replacement 2042 | Investment Summary | |
Investments | ||
Financial Statements | ||
Notes | Notes to the financial statements. | |
Board Approval of Investment Advisory Contracts and Management Fees |
Semiannual Report
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the funds nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(Photograph of Edward C. Johnson 3d.)
Dear Shareholder:
Stocks got off to a poor start in 2008, while investment-grade bonds and money markets showed positive returns, once again underscoring the importance of a diversified portfolio. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies
indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 30, 2007 to January 31, 2008) for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and for the entire period (December 31, 2007 to January 31, 2008) for Fidelity Income Replacement 2038, 2040, 2042 Funds. The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2007 to January 31, 2008).
Actual Expenses
The first line of the accompanying table for each class of each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, each Fund, as a shareholder in underlying Fidelity Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimates in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of each fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, each Fund, as a shareholder in underlying Fidelity Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimates in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | |
Fidelity Income Replacement 2016 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 1,005.00 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 1,004.00 | $ 2.12B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 1,001.90 | $ 4.24B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2016 | |||
Actual | $ 1,000.00 | $ 1,006.20 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,006.20 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2018 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 1,001.70 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 1,000.90 | $ 2.12B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 998.70 | $ 4.23B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Beginning | Ending | Expenses Paid | |
Income Replacement 2018 | |||
Actual | $ 1,000.00 | $ 1,002.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,002.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2020 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 998.00 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 996.90 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 994.90 | $ 4.22B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2020 | |||
Actual | $ 1,000.00 | $ 999.00 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 999.00 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2022 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 996.60 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 995.50 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 993.50 | $ 4.22B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2022 | |||
Actual | $ 1,000.00 | $ 997.70 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 997.50 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2024 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 996.50 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 995.50 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 993.30 | $ 4.22B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2024 | |||
Actual | $ 1,000.00 | $ 997.70 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 997.70 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Beginning | Ending | Expenses Paid | |
Fidelity Income Replacement 2026 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 993.50 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 992.40 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 990.30 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2026 | |||
Actual | $ 1,000.00 | $ 994.40 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 994.40 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2028 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 992.90 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 991.80 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 989.80 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2028 | |||
Actual | $ 1,000.00 | $ 993.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 993.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2030 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 991.30 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 990.40 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 988.20 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2030 | |||
Actual | $ 1,000.00 | $ 992.30 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 992.30 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2032 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 990.50 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 989.60 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 987.40 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Beginning | Ending | Expenses Paid | |
Income Replacement 2032 | |||
Actual | $ 1,000.00 | $ 991.60 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 991.60 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2034 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 989.10 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 987.90 | $ 2.10B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 985.90 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2034 | |||
Actual | $ 1,000.00 | $ 990.10 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 990.10 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2036 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 988.70 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 987.90 | $ 2.10B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 985.80 | $ 4.20B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2036 | |||
Actual | $ 1,000.00 | $ 989.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 989.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2038 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 953.50 | $ .21B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 953.30 | $ .43B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 953.00 | $ .85B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2038 | |||
Actual | $ 1,000.00 | $ 953.80 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 953.80 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Beginning | Ending | Expenses Paid | |
Fidelity Income Replacement 2040 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 953.60 | $ .21B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 953.40 | $ .43B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 953.10 | $ .85B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2040 | |||
Actual | $ 1,000.00 | $ 953.80 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 954.00 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2042 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 953.40 | $ .21B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 953.10 | $ .43B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 952.70 | $ .85B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2042 | |||
Actual | $ 1,000.00 | $ 953.50 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 953.50 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
A 5% return per year before expenses
B Actual expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 155/366 (to reflect the period August 30, 2007 to January 31, 2008) for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and multiplied by 32/366 (to reflect the period December 31, 2007 to January 31, 2008) for Fidelity Income Replacement 2038, 2040, 2042 Funds.
C Hypothetical expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
The fees and expenses of the underlying Fidelity Funds in which the Fund invests are not included in each Class' annualized expense ratio.
Annualized | |
Fidelity Income Replacement 2016 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2016 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2018 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2018 | .00% |
Institutional Class | .00% |
Annualized | |
Fidelity Income Replacement 2020 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2020 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2022 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2022 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2024 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2024 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2026 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2026 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2028 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2028 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2030 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2030 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2032 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2032 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2034 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2034 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2036 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2036 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2038 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2038 | .00% |
Institutional Class | .00% |
Annualized | |
Fidelity Income Replacement 2040 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2040 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2042 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2042 | .00% |
Institutional Class | .00% |
Semiannual Report
Fidelity Income Replacement 2016 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 4.7 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3.7 |
Fidelity Broad Market Opportunities Fund | 6.2 |
Fidelity Disciplined Equity Fund | 3.9 |
Fidelity Equity Income Fund | 3.9 |
Fidelity Large Cap Core Enhanced Index Fund | 6.3 |
Fidelity Small Cap Opportunities Fund | 2.4 |
31.1 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 3.3 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 1.2 |
Fidelity Strategic Income Fund | 1.3 |
2.5 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 7.8 |
Fidelity Strategic Real Return Fund | 7.7 |
Fidelity Total Bond Fund | 23.0 |
38.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 12.2 |
Fidelity Short-Term Bond Fund | 12.4 |
24.6 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 31.1% | |
| International | 3.3% | |
| High Yield | 2.5% | |
| Investment Grade Fixed-Income Funds | 38.5% | |
| Short-Term Funds | 24.6% | |
Expected | |||
| Domestic Equity Funds | 31.1% | |
| International | 3.2% | |
| High Yield | 2.1% | |
| Investment Grade Fixed-Income Funds | 38.0% | |
| Short-Term Funds | 25.6% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2016 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 34.4% | |||
Shares | Value | ||
Domestic Equity Funds - 31.1% | |||
Fidelity 100 Index Fund | 27,287 | $ 271,506 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 13,565 | 214,604 | |
Fidelity Broad Market Opportunities Fund | 37,219 | 356,556 | |
Fidelity Disciplined Equity Fund | 8,302 | 225,648 | |
Fidelity Equity Income Fund | 4,325 | 225,959 | |
Fidelity Large Cap Core Enhanced Index Fund | 38,274 | 362,835 | |
Fidelity Small Cap Opportunities Fund | 16,366 | 139,762 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,796,870 | ||
International Equity Funds - 3.3% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 4,869 | 189,048 | |
TOTAL EQUITY FUNDS (Cost $2,179,246) | 1,985,918 | ||
Fixed-Income Funds - 41.0% | |||
High Yield Fixed-Income Funds - 2.5% | |||
Fidelity Capital & Income Fund | 8,344 | 69,843 | |
Fidelity Strategic Income Fund | 6,967 | 73,017 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 142,860 | ||
Investment Grade Fixed-Income Funds - 38.5% | |||
Fidelity Government Income Fund | 42,659 | 450,908 | |
Fidelity Strategic Real Return Fund | 43,629 | 441,524 | |
Fidelity Total Bond Fund | 127,632 | 1,329,928 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 2,222,360 | ||
TOTAL FIXED-INCOME FUNDS (Cost $2,343,255) | 2,365,220 | ||
Short-Term Funds - 24.6% | |||
Fidelity Institutional Money Market Fund Institutional Class | 706,314 | 706,314 | |
Fidelity Short-Term Bond Fund | 82,805 | 713,783 | |
TOTAL SHORT-TERM FUNDS (Cost $1,421,257) | 1,420,097 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $5,943,758) | $ 5,771,235 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2016 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $5,943,758) - See accompanying schedule | $ 5,771,235 | |
Cash | 10 | |
Receivable for investments sold | 7,137 | |
Receivable for fund shares sold | 5,000 | |
Total assets | 5,783,382 | |
Liabilities | ||
Payable for investments purchased | $ 4,222 | |
Payable for fund shares redeemed | 7,739 | |
Distribution fees payable | 1,062 | |
Total liabilities | 13,023 | |
Net Assets | $ 5,770,359 | |
Net Assets consist of: | ||
Paid in capital | $ 5,925,123 | |
Undistributed net investment income | 3,240 | |
Accumulated undistributed net | 14,519 | |
Net unrealized appreciation | (172,523) | |
Net Assets | $ 5,770,359 | |
Calculation of Maximum Offering Price Class A: | $ 49.59 | |
Maximum offering price per share (100/94.25 of $49.59) | $ 52.62 | |
Class T: | $ 49.59 | |
Maximum offering price per share (100/96.50 of $49.59) | $ 51.39 | |
Class C: | $ 49.57 | |
Income Replacement 2016: | $ 49.60 | |
Institutional Class: | $ 49.60 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 45,291 | |
Interest | 171 | |
Total income | 45,462 | |
Expenses | ||
Distribution fees | $ 2,842 | |
Independent trustees' compensation | 3 | |
Total expenses before reductions | 2,845 | |
Expense reductions | (3) | 2,842 |
Net investment income (loss) | 42,620 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (15,698) | |
Capital gain distributions from underlying funds | 43,140 | 27,442 |
Change in net unrealized appreciation (depreciation) on underlying funds | (172,523) | |
Net gain (loss) | (145,081) | |
Net increase (decrease) in net assets resulting from operations | $ (102,461) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 42,620 |
Net realized gain (loss) | 27,442 |
Change in net unrealized appreciation (depreciation) | (172,523) |
Net in net assets resulting from operations | (102,461) |
Distributions to from net investment income | (39,380) |
Distributions to from net realized gain | (12,923) |
Total distributions | (52,303) |
Share transactions - net increase (decrease) | 5,925,123 |
Total increase (decrease) in net assets | 5,770,359 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $3,240) | $ 5,770,359 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .727 |
Net realized and unrealized gain (loss) | (.462) |
Total from investment operations | .265 |
Distributions from net investment income | (.535) |
Distributions from net realized gain | (.140) |
Total distributions | (.675) |
Net asset value, end of period | $ 49.59 |
Total Return B, C, D | .50% |
Ratios to Average Net Assets F,H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.48% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 417 |
Portfolio turnover rate | 158% A |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .683 |
Net realized and unrealized gain (loss) | (.470) |
Total from investment operations | .213 |
Distributions from net investment income | (.483) |
Distributions from net realized gain | (.140) |
Total distributions | (.623) |
Net asset value, end of period | $ 49.59 |
Total Return B, C, D | .40% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 3.22% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 232 |
Portfolio turnover rate | 158% A |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .566 |
Net realized and unrealized gain (loss) | (.461) |
Total from investment operations | .105 |
Distributions from net investment income | (.395) |
Distributions from net realized gain | (.140) |
Total distributions | (.535) |
Net asset value, end of period | $ 49.57 |
Total Return B, C, D | .19% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 1,296 |
Portfolio turnover rate | 158% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2016
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .777 |
Net realized and unrealized gain (loss) | (.455) |
Total from investment operations | .322 |
Distributions from net investment income | (.582) |
Distributions from net realized gain | (.140) |
Total distributions | (.722) |
Net asset value, end of period | $ 49.60 |
Total Return B, C | .62% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,635 |
Portfolio turnover rate | 158% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .793 |
Net realized and unrealized gain (loss) | (.471) |
Total from investment operations | .322 |
Distributions from net investment income | (.582) |
Distributions from net realized gain | (.140) |
Total distributions | (.722) |
Net asset value, end of period | $ 49.60 |
Total Return B, C | .62% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 190 |
Portfolio turnover rate | 158% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2018 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 5.3 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4.3 |
Fidelity Broad Market Opportunities Fund | 7.1 |
Fidelity Disciplined Equity Fund | 4.5 |
Fidelity Equity Income Fund | 4.5 |
Fidelity Large Cap Core Enhanced Index Fund | 7.1 |
Fidelity Small Cap Opportunities Fund | 2.8 |
35.6 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 4.2 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 1.6 |
Fidelity Strategic Income Fund | 1.7 |
3.3 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 7.3 |
Fidelity Strategic Real Return Fund | 7.2 |
Fidelity Total Bond Fund | 21.5 |
36.0 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 10.4 |
Fidelity Short-Term Bond Fund | 10.5 |
20.9 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 35.6% | |
| International | 4.2% | |
| High Yield | 3.3% | |
| Investment Grade Fixed-Income Funds | 36.0% | |
| Short-Term Funds | 20.9% | |
Expected | |||
| Domestic Equity Funds | 36.1% | |
| International | 4.1% | |
| High Yield | 3.0% | |
| Investment Grade Fixed-Income Funds | 35.4% | |
| Short-Term Funds | 21.4% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2018 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 39.8% | |||
Shares | Value | ||
Domestic Equity Funds - 35.6% | |||
Fidelity 100 Index Fund | 23,668 | $ 235,493 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 11,845 | 187,389 | |
Fidelity Broad Market Opportunities Fund | 32,402 | 310,407 | |
Fidelity Disciplined Equity Fund | 7,240 | 196,780 | |
Fidelity Equity Income Fund | 3,766 | 196,760 | |
Fidelity Large Cap Core Enhanced Index Fund | 33,167 | 314,420 | |
Fidelity Small Cap Opportunities Fund | 14,381 | 122,813 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,564,062 | ||
International Equity Funds - 4.2% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 4,708 | 182,820 | |
TOTAL EQUITY FUNDS (Cost $1,904,742) | 1,746,882 | ||
Fixed-Income Funds - 39.3% | |||
High Yield Fixed-Income Funds - 3.3% | |||
Fidelity Capital & Income Fund | 8,444 | 70,677 | |
Fidelity Strategic Income Fund | 7,026 | 73,637 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 144,314 | ||
Investment Grade Fixed-Income Funds - 36.0% | |||
Fidelity Government Income Fund | 30,382 | 321,139 | |
Fidelity Strategic Real Return Fund | 31,176 | 315,505 | |
Fidelity Total Bond Fund | 90,969 | 947,898 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 1,584,542 | ||
TOTAL FIXED-INCOME FUNDS (Cost $1,712,584) | 1,728,856 | ||
Short-Term Funds - 20.9% | |||
Fidelity Institutional Money Market Fund Institutional Class | 457,834 | 457,834 | |
Fidelity Short-Term Bond Fund | 53,250 | 459,013 | |
TOTAL SHORT-TERM FUNDS (Cost $917,687) | 916,847 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $4,535,013) | $ 4,392,585 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2018 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $4,535,013) - See accompanying schedule | $ 4,392,585 | |
Cash | 7 | |
Receivable for investments sold | 10,002 | |
Total assets | 4,402,594 | |
Liabilities | ||
Payable for fund shares redeemed | $ 10,003 | |
Distribution fees payable | 232 | |
Total liabilities | 10,235 | |
Net Assets | $ 4,392,359 | |
Net Assets consist of: | ||
Paid in capital | $ 4,522,479 | |
Undistributed net investment income | 2,412 | |
Accumulated undistributed net realized gain (loss) on investments | 9,896 | |
Net unrealized appreciation | (142,428) | |
Net Assets | $ 4,392,359 | |
Calculation of Maximum Offering Price Class A: | $ 49.41 | |
Maximum offering price per share (100/94.25 of $49.41) | $ 52.42 | |
Class T: | $ 49.42 | |
Maximum offering price per share (100/96.50 of $49.42) | $ 51.21 | |
Class C: | $ 49.39 | |
Income Replacement 2018: | $ 49.42 | |
Institutional Class: | $ 49.42 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 32,223 | |
Interest | 162 | |
Total income | 32,385 | |
Expenses | ||
Distribution fees | $ 941 | |
Independent trustees' compensation | 2 | |
Total expenses before reductions | 943 | |
Expense reductions | (2) | 941 |
Net investment income (loss) | 31,444 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of | (13,657) | |
Capital gain distributions from | 31,681 | 18,024 |
Change in net unrealized appreciation (depreciation) on underlying funds | (142,428) | |
Net gain (loss) | (124,404) | |
Net increase (decrease) in net assets resulting from operations | $ (92,960) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 31,444 |
Net realized gain (loss) | 18,024 |
Change in net unrealized appreciation (depreciation) | (142,428) |
Net in net assets resulting from operations | (92,960) |
Distributions to from net investment income | (29,032) |
Distributions to from net realized gain | (8,128) |
Total distributions | (37,160) |
Share transactions - net increase (decrease) | 4,522,479 |
Total increase (decrease) in net assets | 4,392,359 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $2,412) | $ 4,392,359 |
Financial Highlights - Class A
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .696 |
Net realized and unrealized gain (loss) | (.591) |
Total from investment operations | .105 |
Distributions from net investment income | (.565) |
Distributions from net realized gain | (.130) |
Total distributions | (.695) |
Net asset value, end of period | $ 49.41 |
Total Return B, C, D | .17% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.34% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 429 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .663 |
Net realized and unrealized gain (loss) | (.603) |
Total from investment operations | .060 |
Distributions from net investment income | (.510) |
Distributions from net realized gain | (.130) |
Total distributions | (.640) |
Net asset value, end of period | $ 49.42 |
Total Return B, C, D | .09% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 3.09% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 124 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .551 |
Net realized and unrealized gain (loss) | (.601) |
Total from investment operations | (.050) |
Distributions from net investment income | (.430) |
Distributions from net realized gain | (.130) |
Total distributions | (.560) |
Net asset value, end of period | $ 49.39 |
Total Return B, C, D | (.13)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.59% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 213 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2018
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .746 |
Net realized and unrealized gain (loss) | (.583) |
Total from investment operations | .163 |
Distributions from net investment income | (.613) |
Distributions from net realized gain | (.130) |
Total distributions | (.743) |
Net asset value, end of period | $ 49.42 |
Total Return B, C | .29% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.59% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,477 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .767 |
Net realized and unrealized gain (loss) | (.604) |
Total from investment operations | .163 |
Distributions from net investment income | (.613) |
Distributions from net realized gain | (.130) |
Total distributions | (.743) |
Net asset value, end of period | $ 49.42 |
Total Return B, C | .29% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.59% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 151 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2020 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.0 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4.7 |
Fidelity Broad Market Opportunities Fund | 7.9 |
Fidelity Disciplined Equity Fund | 4.9 |
Fidelity Equity Income Fund | 4.9 |
Fidelity Large Cap Core Enhanced Index Fund | 7.9 |
Fidelity Small Cap Opportunities Fund | 3.1 |
39.4 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 5.3 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 1.9 |
Fidelity Strategic Income Fund | 2.0 |
3.9 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.7 |
Fidelity Strategic Real Return Fund | 6.7 |
Fidelity Total Bond Fund | 20.1 |
33.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 8.9 |
Fidelity Short-Term Bond Fund | 9.0 |
17.9 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 39.4% | |
| International Equity Funds | 5.3% | |
| High Yield Fixed-Income Funds | 3.9% | |
| Investment Grade Fixed-Income Funds | 33.5% | |
| Short-Term Funds | 17.9% | |
Expected | |||
| Domestic Equity Funds | 39.6% | |
| International Equity Funds | 5.0% | |
| High Yield Fixed-Income Funds | 3.7% | |
| Investment Grade Fixed-Income Funds | 33.2% | |
| Short-Term Funds | 18.5% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2020 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 44.7% | |||
Shares | Value | ||
Domestic Equity Funds - 39.4% | |||
Fidelity 100 Index Fund | 7,506 | $ 74,689 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,754 | 59,383 | |
Fidelity Broad Market Opportunities Fund | 10,328 | 98,943 | |
Fidelity Disciplined Equity Fund | 2,285 | 62,098 | |
Fidelity Equity Income Fund | 1,173 | 61,271 | |
Fidelity Large Cap Core Enhanced Index Fund | 10,494 | 99,482 | |
Fidelity Small Cap Opportunities Fund | 4,510 | 38,514 | |
TOTAL DOMESTIC EQUITY FUNDS | 494,380 | ||
International Equity Funds - 5.3% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 1,691 | 65,647 | |
TOTAL EQUITY FUNDS (Cost $585,232) | 560,027 | ||
Fixed-Income Funds - 37.4% | |||
High Yield Fixed-Income Funds - 3.9% | |||
Fidelity Capital & Income Fund | 2,865 | 23,978 | |
Fidelity Strategic Income Fund | 2,345 | 24,571 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 48,549 | ||
Investment Grade Fixed-Income Funds - 33.5% | |||
Fidelity Government Income Fund | 7,990 | 84,459 | |
Fidelity Strategic Real Return Fund | 8,321 | 84,207 | |
Fidelity Total Bond Fund | 24,199 | 252,157 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 420,823 | ||
TOTAL FIXED-INCOME FUNDS (Cost $465,693) | 469,372 | ||
Short-Term Funds - 17.9% | |||
Fidelity Institutional Money Market Fund Institutional Class | 111,174 | 111,174 | |
Fidelity Short-Term Bond Fund | 13,158 | 113,424 | |
TOTAL SHORT-TERM FUNDS (Cost $225,096) | 224,598 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,276,021) | $ 1,253,997 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2020 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,276,021) - See accompanying schedule | $ 1,253,997 | |
Cash | 72 | |
Receivable for fund shares sold | 100,000 | |
Total assets | 1,354,069 | |
Liabilities | ||
Payable for investments purchased | $ 99,982 | |
Distribution fees payable | 217 | |
Total liabilities | 100,199 | |
Net Assets | $ 1,253,870 | |
Net Assets consist of: | ||
Paid in capital | $ 1,268,952 | |
Undistributed net investment income | 496 | |
Accumulated undistributed net realized gain (loss) on investments | 6,446 | |
Net unrealized appreciation | (22,024) | |
Net Assets | $ 1,253,870 | |
Calculation of Maximum Offering Price Net Asset Value and redemption price per share ($179,973 ÷ 3,661.5 shares) | $ 49.15 | |
Maximum offering price per share (100/94.25 of $49.15) | $ 52.15 | |
Class T: | $ 49.14 | |
Maximum offering price per share (100/96.50 of $49.14) | $ 50.92 | |
Class C: | $ 49.13 | |
Income Replacement 2020: | $ 49.15 | |
Institutional Class: | $ 49.15 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 9,207 | |
Interest | 106 | |
Total income | 9,313 | |
Expenses | ||
Distribution fees | $ 917 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 918 | |
Expense reductions | (1) | 917 |
Net investment income (loss) | 8,396 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (486) | |
Capital gain distributions from underlying funds | 9,414 | 8,928 |
Change in net unrealized appreciation (depreciation) on underlying funds | (22,024) | |
Net gain (loss) | (13,096) | |
Net increase (decrease) in net assets resulting from operations | $ (4,700) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 8,396 |
Net realized gain (loss) | 8,928 |
Change in net unrealized appreciation (depreciation) | (22,024) |
Net in net assets resulting from operations | (4,700) |
Distributions to from net investment income | (7,900) |
Distributions to from net realized gain | (2,482) |
Total distributions | (10,382) |
Share transactions - net increase (decrease) | 1,268,952 |
Total increase (decrease) in net assets | 1,253,870 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $496) | $ 1,253,870 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .676 |
Net realized and unrealized gain (loss) | (.751) |
Total from investment operations | (.075) |
Distributions from net investment income | (.605) |
Distributions from net realized gain | (.170) |
Total distributions | (.775) |
Net asset value, end of period | $ 49.15 |
Total Return B, C, D | (.20)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 180 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .615 |
Net realized and unrealized gain (loss) | (.746) |
Total from investment operations | (.131) |
Distributions from net investment income | (.559) |
Distributions from net realized gain | (.170) |
Total distributions | (.729) |
Net asset value, end of period | $ 49.14 |
Total Return B, C, D | (.31)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.92% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 146 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .517 |
Net realized and unrealized gain (loss) | (.752) |
Total from investment operations | (.235) |
Distributions from net investment income | (.465) |
Distributions from net realized gain | (.170) |
Total distributions | (.635) |
Net asset value, end of period | $ 49.13 |
Total Return B, C, D | (.51)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.42% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 148 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2020
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .706 |
Net realized and unrealized gain (loss) | (.728) |
Total from investment operations | (.022) |
Distributions from net investment income | (.658) |
Distributions from net realized gain | (.170) |
Total distributions | (.828) |
Net asset value, end of period | $ 49.15 |
Total Return B, C | (.10)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.42% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 680 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .738 |
Net realized and unrealized gain (loss) | (.760) |
Total from investment operations | (.022) |
Distributions from net investment income | (.658) |
Distributions from net realized gain | (.170) |
Total distributions | (.828) |
Net asset value, end of period | $ 49.15 |
Total Return B, C | (.10)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.42% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2022 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.2 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4.9 |
Fidelity Broad Market Opportunities Fund | 8.1 |
Fidelity Disciplined Equity Fund | 5.1 |
Fidelity Equity Income Fund | 5.1 |
Fidelity Large Cap Core Enhanced Index Fund | 8.2 |
Fidelity Small Cap Opportunities Fund | 3.2 |
40.8 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 5.8 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.1 |
Fidelity Strategic Income Fund | 2.2 |
4.3 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.6 |
Fidelity Strategic Real Return Fund | 6.4 |
Fidelity Total Bond Fund | 19.5 |
32.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 8.2 |
Fidelity Short-Term Bond Fund | 8.4 |
16.6 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 40.8% | |
| International | 5.8% | |
| High Yield | 4.3% | |
| Investment Grade Fixed-Income Funds | 32.5% | |
| Short-Term Funds | 16.6% | |
Expected | |||
| Domestic Equity Funds | 41.8% | |
| International | 5.8% | |
| High Yield | 4.1% | |
| Investment Grade Fixed-Income Funds | 31.7% | |
| Short-Term Funds | 16.6% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2022 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 46.6% | |||
Shares | Value | ||
Domestic Equity Funds - 40.8% | |||
Fidelity 100 Index Fund | 22,898 | $ 227,830 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 11,403 | 180,391 | |
Fidelity Broad Market Opportunities Fund | 31,233 | 299,208 | |
Fidelity Disciplined Equity Fund | 6,973 | 189,534 | |
Fidelity Equity Income Fund | 3,624 | 189,356 | |
Fidelity Large Cap Core Enhanced Index Fund | 32,121 | 304,509 | |
Fidelity Small Cap Opportunities Fund | 13,808 | 117,918 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,508,746 | ||
International Equity Funds - 5.8% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 5,495 | 213,379 | |
TOTAL EQUITY FUNDS (Cost $1,869,637) | 1,722,125 | ||
Fixed-Income Funds - 36.8% | |||
High Yield Fixed-Income Funds - 4.3% | |||
Fidelity Capital & Income Fund | 9,343 | 78,200 | |
Fidelity Strategic Income Fund | 7,761 | 81,333 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 159,533 | ||
Investment Grade Fixed-Income Funds - 32.5% | |||
Fidelity Government Income Fund | 23,039 | 243,520 | |
Fidelity Strategic Real Return Fund | 23,575 | 238,580 | |
Fidelity Total Bond Fund | 69,003 | 719,009 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 1,201,109 | ||
TOTAL FIXED-INCOME FUNDS (Cost $1,353,031) | 1,360,642 | ||
Short-Term Funds - 16.6% | |||
Fidelity Institutional Money Market Fund Institutional Class | 303,453 | 303,453 | |
Fidelity Short-Term Bond Fund | 35,670 | 307,477 | |
TOTAL SHORT-TERM FUNDS (Cost $611,644) | 610,930 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $3,834,312) | $ 3,693,697 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2022 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $3,834,312) - See accompanying schedule | $ 3,693,697 | |
Cash | 72 | |
Receivable for fund shares sold | 39,786 | |
Total assets | 3,733,555 | |
Liabilities | ||
Payable for investments purchased | $ 36,552 | |
Distribution fees payable | 153 | |
Total liabilities | 36,705 | |
Net Assets | $ 3,696,850 | |
Net Assets consist of: | ||
Paid in capital | $ 3,817,363 | |
Undistributed net investment income | 1,240 | |
Accumulated undistributed net | 18,862 | |
Net unrealized appreciation | (140,615) | |
Net Assets | $ 3,696,850 | |
Calculation of Maximum Offering Price Net Asset Value and redemption price per share ($191,577 ÷ 3,897 shares) | $ 49.16 | |
Maximum offering price per share (100/94.25 of $49.16) | $ 52.16 | |
Class T: | $ 49.16 | |
Maximum offering price per share (100/96.50 of $49.16) | $ 50.94 | |
Class C: | $ 49.15 | |
Income Replacement 2022: | $ 49.17 | |
Institutional Class: | $ 49.16 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 27,471 | |
Interest | 108 | |
Total income | 27,579 | |
Expenses | ||
Distribution fees | $ 763 | |
Independent trustees' compensation | 2 | |
Total expenses before reductions | 765 | |
Expense reductions | (2) | 763 |
Net investment income (loss) | 26,816 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (9,177) | |
Capital gain distributions from underlying funds | 37,131 | 27,954 |
Change in net unrealized appreciation (depreciation) on underlying funds | (140,615) | |
Net gain (loss) | (112,661) | |
Net increase (decrease) in net assets resulting from operations | $ (85,845) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 26,816 |
Net realized gain (loss) | 27,954 |
Change in net unrealized appreciation (depreciation) | (140,615) |
Net in net assets resulting from operations | (85,845) |
Distributions to from net investment income | (25,576) |
Distributions to from net realized gain | (9,092) |
Total distributions | (34,668) |
Share transactions - net increase (decrease) | 3,817,363 |
Total increase (decrease) in net assets | 3,696,850 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $1,240) | $ 3,696,850 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .693 |
Net realized and unrealized gain (loss) | (.843) |
Total from investment operations | (.150) |
Distributions from net investment income | (.520) |
Distributions from net realized gain | (.170) |
Total distributions | (.690) |
Net asset value, end of period | $ 49.16 |
Total Return B, C, D | (.34)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.25% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 192 |
Portfolio turnover rate | 86% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .646 |
Net realized and unrealized gain (loss) | (.848) |
Total from investment operations | (.202) |
Distributions from net investment income | (.468) |
Distributions from net realized gain | (.170) |
Total distributions | (.638) |
Net asset value, end of period | $ 49.16 |
Total Return B, C, D | (.45)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.99% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 86%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .539 |
Net realized and unrealized gain (loss) | (.847) |
Total from investment operations | (.308) |
Distributions from net investment income | (.372) |
Distributions from net realized gain | (.170) |
Total distributions | (.542) |
Net asset value, end of period | $ 49.15 |
Total Return B, C, D | (.65)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.50% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 86%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2022
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .725 |
Net realized and unrealized gain (loss) | (.814) |
Total from investment operations | (.089) |
Distributions from net investment income | (.571) |
Distributions from net realized gain | (.170) |
Total distributions | (.741) |
Net asset value, end of period | $ 49.17 |
Total Return B, C | (.23)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.49% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,018 |
Portfolio turnover rate | 86% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .741 |
Net realized and unrealized gain (loss) | (.840) |
Total from investment operations | (.099) |
Distributions from net investment income | (.571) |
Distributions from net realized gain | (.170) |
Total distributions | (.741) |
Net asset value, end of period | $ 49.16 |
Total Return B, C | (.25)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.49% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 288 |
Portfolio turnover rate | 86% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2024 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.4 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.2 |
Fidelity Broad Market Opportunities Fund | 8.5 |
Fidelity Disciplined Equity Fund | 5.4 |
Fidelity Equity Income Fund | 5.3 |
Fidelity Large Cap Core Enhanced Index Fund | 8.5 |
Fidelity Small Cap Opportunities Fund | 3.3 |
42.6 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 6.7 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.3 |
Fidelity Strategic Income Fund | 2.4 |
4.7 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.3 |
Fidelity Strategic Real Return Fund | 6.3 |
Fidelity Total Bond Fund | 18.4 |
31.0 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 7.4 |
Fidelity Short-Term Bond Fund | 7.6 |
15.0 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 42.6% | |
| International | 6.7% | |
| High Yield | 4.7% | |
| Investment Grade Fixed-Income Funds | 31.0% | |
| Short-Term Funds | 15.0% | |
Expected | |||
| Domestic Equity Funds | 43.4% | |
| International | 6.6% | |
| High Yield | 4.5% | |
| Investment Grade Fixed-Income Funds | 30.3% | |
| Short-Term Funds | 15.2% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2024 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 49.3% | |||
Shares | Value | ||
Domestic Equity Funds - 42.6% | |||
Fidelity 100 Index Fund | 7,023 | $ 69,876 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,552 | 56,198 | |
Fidelity Broad Market Opportunities Fund | 9,668 | 92,624 | |
Fidelity Disciplined Equity Fund | 2,157 | 58,621 | |
Fidelity Equity Income Fund | 1,104 | 57,691 | |
Fidelity Large Cap Core Enhanced Index Fund | 9,839 | 93,270 | |
Fidelity Small Cap Opportunities Fund | 4,238 | 36,190 | |
TOTAL DOMESTIC EQUITY FUNDS | 464,470 | ||
International Equity Funds - 6.7% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 1,898 | 73,707 | |
TOTAL EQUITY FUNDS (Cost $571,412) | 538,177 | ||
Fixed-Income Funds - 35.7% | |||
High Yield Fixed-Income Funds - 4.7% | |||
Fidelity Capital & Income Fund | 2,990 | 25,026 | |
Fidelity Strategic Income Fund | 2,474 | 25,930 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 50,956 | ||
Investment Grade Fixed-Income Funds - 31.0% | |||
Fidelity Government Income Fund | 6,501 | 68,719 | |
Fidelity Strategic Real Return Fund | 6,743 | 68,236 | |
Fidelity Total Bond Fund | 19,297 | 201,075 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 338,030 | ||
TOTAL FIXED-INCOME FUNDS (Cost $384,994) | 388,986 | ||
Short-Term Funds - 15.0% | |||
Fidelity Institutional Money Market Fund Institutional Class | 81,099 | 81,099 | |
Fidelity Short-Term Bond Fund | 9,619 | 82,916 | |
TOTAL SHORT-TERM FUNDS (Cost $164,243) | 164,015 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,120,649) | $ 1,091,178 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2024 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,120,649) - See accompanying schedule | $ 1,091,178 | |
Cash | 72 | |
Receivable for fund shares sold | 26,000 | |
Total assets | 1,117,250 | |
Liabilities | ||
Payable for investments purchased | $ 26,001 | |
Distribution fees payable | 171 | |
Total liabilities | 26,172 | |
Net Assets | $ 1,091,078 | |
Net Assets consist of: | ||
Paid in capital | $ 1,113,191 | |
Undistributed net investment income | 435 | |
Accumulated undistributed net realized gain (loss) on investments | 6,923 | |
Net unrealized appreciation | (29,471) | |
Net Assets | $ 1,091,078 | |
Calculation of Maximum Offering Price Net Asset Value and redemption | $ 49.13 | |
Maximum offering price per share (100/94.25 of $49.13) | $ 52.13 | |
Class T: | $ 49.13 | |
Maximum offering price per share (100/96.50 of $49.13) | $ 50.91 | |
Class C: | $ 49.12 | |
Income Replacement 2024: | $ 49.14 | |
Institutional Class: | $ 49.14 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 9,058 | |
Interest | 72 | |
Total income | 9,130 | |
Expenses | ||
Distribution fees | $ 805 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 806 | |
Expense reductions | (1) | 805 |
Net investment income (loss) | 8,325 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (1,178) | |
Capital gain distributions from underlying funds | 10,997 | 9,819 |
Change in net unrealized appreciation (depreciation) on underlying funds | (29,471) | |
Net gain (loss) | (19,652) | |
Net increase (decrease) in net assets resulting from operations | $ (11,327) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 8,325 |
Net realized gain (loss) | 9,819 |
Change in net unrealized appreciation (depreciation) | (29,471) |
Net in net assets resulting from operations | (11,327) |
Distributions to from net investment income | (7,890) |
Distributions to from net realized gain | (2,896) |
Total distributions | (10,786) |
Share transactions - net increase (decrease) | 1,113,191 |
Total increase (decrease) in net assets | 1,091,078 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $435) | $ 1,091,078 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .643 |
Net realized and unrealized gain (loss) | (.790) |
Total from investment operations | (.147) |
Distributions from net investment income | (.553) |
Distributions from net realized gain | (.170) |
Total distributions | (.723) |
Net asset value, end of period | $ 49.13 |
Total Return B, C | (.35)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.03% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 221 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .600 |
Net realized and unrealized gain (loss) | (.801) |
Total from investment operations | (.201) |
Distributions from net investment income | (.499) |
Distributions from net realized gain | (.170) |
Total distributions | (.669) |
Net asset value, end of period | $ 49.13 |
Total Return B, C | (.45)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.78% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .492 |
Net realized and unrealized gain (loss) | (.806) |
Total from investment operations | (.314) |
Distributions from net investment income | (.396) |
Distributions from net realized gain | (.170) |
Total distributions | (.566) |
Net asset value, end of period | $ 49.12 |
Total Return B, C | (.67)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.28% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31,2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2024
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .682 |
Net realized and unrealized gain (loss) | (.769) |
Total from investment operations | (.087) |
Distributions from net investment income | (.603) |
Distributions from net realized gain | (.170) |
Total distributions | (.773) |
Net asset value, end of period | $ 49.14 |
Total Return B | (.23)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.28% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 571 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .708 |
Net realized and unrealized gain (loss) | (.795) |
Total from investment operations | (.087) |
Distributions from net investment income | (.603) |
Distributions from net realized gain | (.170) |
Total distributions | (.773) |
Net asset value, end of period | $ 49.14 |
Total Return B | (.23)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.28% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2026 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.6 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.2 |
Fidelity Broad Market Opportunities Fund | 8.6 |
Fidelity Disciplined Equity Fund | 5.5 |
Fidelity Equity Income Fund | 5.4 |
Fidelity Large Cap Core Enhanced Index Fund | 8.8 |
Fidelity Small Cap Opportunities Fund | 3.3 |
43.4 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 7.4 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.4 |
Fidelity Strategic Income Fund | 2.5 |
4.9 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.2 |
Fidelity Strategic Real Return Fund | 6.1 |
Fidelity Total Bond Fund | 18.2 |
30.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 6.8 |
Fidelity Short-Term Bond Fund | 7.0 |
13.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 43.4% | |
| International Equity Funds | 7.4% | |
| High Yield Fixed-Income Funds | 4.9% | |
| Investment Grade Fixed-Income Funds | 30.5% | |
| Short-Term Funds | 13.8% | |
Expected | |||
| Domestic Equity Funds | 44.5% | |
| International Equity Funds | 7.4% | |
| High Yield Fixed-Income Funds | 4.8% | |
| Investment Grade Fixed-Income Funds | 29.5% | |
| Short-Term Funds | 13.8% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2026 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 50.8% | |||
Shares | Value | ||
Domestic Equity Funds - 43.4% | |||
Fidelity 100 Index Fund | 7,522 | $ 74,844 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,767 | 59,600 | |
Fidelity Broad Market Opportunities Fund | 10,282 | 98,499 | |
Fidelity Disciplined Equity Fund | 2,307 | 62,708 | |
Fidelity Equity Income Fund | 1,178 | 61,540 | |
Fidelity Large Cap Core Enhanced Index Fund | 10,544 | 99,957 | |
Fidelity Small Cap Opportunities Fund | 4,480 | 38,263 | |
TOTAL DOMESTIC EQUITY FUNDS | 495,411 | ||
International Equity Funds - 7.4% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 2,178 | 84,560 | |
TOTAL EQUITY FUNDS (Cost $627,496) | 579,971 | ||
Fixed-Income Funds - 35.4% | |||
High Yield Fixed-Income Funds - 4.9% | |||
Fidelity Capital & Income Fund | 3,308 | 27,687 | |
Fidelity Strategic Income Fund | 2,749 | 28,805 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 56,492 | ||
Investment Grade Fixed-Income Funds - 30.5% | |||
Fidelity Government Income Fund | 6,678 | 70,585 | |
Fidelity Strategic Real Return Fund | 6,871 | 69,530 | |
Fidelity Total Bond Fund | 19,990 | 208,291 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 348,406 | ||
TOTAL FIXED-INCOME FUNDS (Cost $401,333) | 404,898 | ||
Short-Term Funds - 13.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 77,955 | 77,955 | |
Fidelity Short-Term Bond Fund | 9,192 | 79,235 | |
TOTAL SHORT-TERM FUNDS (Cost $157,453) | 157,190 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,186,282) | $ 1,142,059 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2026 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,186,282) - See accompanying schedule | $ 1,142,059 | |
Cash | 72 | |
Receivable for investments sold | 873 | |
Receivable for fund shares sold | 29,950 | |
Total assets | 1,172,954 | |
Liabilities | ||
Payable for investments purchased | $ 29,888 | |
Payable for fund shares redeemed | 936 | |
Distribution fees payable | 334 | |
Total liabilities | 31,158 | |
Net Assets | $ 1,141,796 | |
Net Assets consist of: | ||
Paid in capital | $ 1,173,941 | |
Undistributed net investment income | 431 | |
Accumulated undistributed net realized gain (loss) on investments | 11,647 | |
Net unrealized appreciation | (44,223) | |
Net Assets | $ 1,141,796 | |
Calculation of Maximum Offering Price Class A: | $ 48.95 | |
Maximum offering price per share (100/94.25 of $48.95) | $ 51.94 | |
Class T: | $ 48.95 | |
Maximum offering price per share (100/96.50 of $48.95) | $ 50.73 | |
Class C: | $ 48.92 | |
Income Replacement 2026: | $ 48.95 | |
Institutional Class: | $ 48.95 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 11,080 | |
Interest | 110 | |
Total income | 11,190 | |
Expenses | ||
Distribution fees | $ 1,224 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 1,225 | |
Expense reductions | (1) | 1,224 |
Net investment income (loss) | 9,966 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (337) | |
Capital gain distributions from underlying funds | 15,690 | 15,353 |
Change in net unrealized appreciation (depreciation) on underlying funds | (44,223) | |
Net gain (loss) | (28,870) | |
Net increase (decrease) in net assets resulting from operations | $ (18,904) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | (Unaudited) |
Operations | |
Net investment income (loss) | $ 9,966 |
Net realized gain (loss) | 15,353 |
Change in net unrealized appreciation (depreciation) | (44,223) |
Net in net assets resulting from operations | (18,904) |
Distributions to from net investment income | (9,535) |
Distributions to from net realized gain | (3,706) |
Total distributions | (13,241) |
Share transactions - net increase (decrease) | 1,173,941 |
Total increase (decrease) in net assets | 1,141,796 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $431) | $ 1,141,796 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .675 |
Net realized and unrealized gain (loss) | (.974) |
Total from investment operations | (.299) |
Distributions from net investment income | (.571) |
Distributions from net realized gain | (.180) |
Total distributions | (.751) |
Net asset value, end of period | $ 48.95 |
Total Return B, C, D | (.65)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.13% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 112 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .622 |
Net realized and unrealized gain (loss) | (.973) |
Total from investment operations | (.351) |
Distributions from net investment income | (.519) |
Distributions from net realized gain | (.180) |
Total distributions | (.699) |
Net asset value, end of period | $ 48.95 |
Total Return B, C, D | (.76)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.88% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .502 |
Net realized and unrealized gain (loss) | (.962) |
Total from investment operations | (.460) |
Distributions from net investment income | (.440) |
Distributions from net realized gain | (.180) |
Total distributions | (.620) |
Net asset value, end of period | $ 48.92 |
Total Return B, C, D | (.97)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.38% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 320 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2026
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .709 |
Net realized and unrealized gain (loss) | (.957) |
Total from investment operations | (.248) |
Distributions from net investment income | (.622) |
Distributions from net realized gain | (.180) |
Total distributions | (.802) |
Net asset value, end of period | $ 48.95 |
Total Return B, C | (.56)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.39% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 511 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .731 |
Net realized and unrealized gain (loss) | (.979) |
Total from investment operations | (.248) |
Distributions from net investment income | (.622) |
Distributions from net realized gain | (.180) |
Total distributions | (.802) |
Net asset value, end of period | $ 48.95 |
Total Return B, C | (.56)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.38% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2028 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.8 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.4 |
Fidelity Broad Market Opportunities Fund | 8.9 |
Fidelity Disciplined Equity Fund | 5.6 |
Fidelity Equity Income Fund | 5.6 |
Fidelity Large Cap Core Enhanced Index Fund | 9.0 |
Fidelity Small Cap Opportunities Fund | 3.6 |
44.9 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 8.1 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.6 |
Fidelity Strategic Income Fund | 2.6 |
5.2 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.8 |
Fidelity Strategic Real Return Fund | 5.8 |
Fidelity Total Bond Fund | 17.4 |
29.0 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 6.5 |
Fidelity Short-Term Bond Fund | 6.3 |
12.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 44.9% | |
| International Equity Funds | 8.1% | |
| High Yield Fixed-Income Funds | 5.2% | |
| Investment Grade Fixed-Income Funds | 29.0% | |
| Short-Term Funds | 12.8% | |
Expected | |||
| Domestic Equity Funds | 45.5% | |
| International Equity Funds | 8.2% | |
| High Yield Fixed-Income Funds | 5.0% | |
| Investment Grade Fixed-Income Funds | 28.3% | |
| Short-Term Funds | 13.0% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2028 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 53.0% | |||
Shares | Value | ||
Domestic Equity Funds - 44.9% | |||
Fidelity 100 Index Fund | 30,242 | $ 300,908 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 15,056 | 238,185 | |
Fidelity Broad Market Opportunities Fund | 41,152 | 394,233 | |
Fidelity Disciplined Equity Fund | 9,128 | 248,101 | |
Fidelity Equity Income Fund | 4,807 | 251,166 | |
Fidelity Large Cap Core Enhanced Index Fund | 41,940 | 397,591 | |
Fidelity Small Cap Opportunities Fund | 18,540 | 158,332 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,988,516 | ||
International Equity Funds - 8.1% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 9,242 | 358,868 | |
TOTAL EQUITY FUNDS (Cost $2,466,982) | 2,347,384 | ||
Fixed-Income Funds - 34.2% | |||
High Yield Fixed-Income Funds - 5.2% | |||
Fidelity Capital & Income Fund | 13,677 | 114,480 | |
Fidelity Strategic Income Fund | 11,202 | 117,399 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 231,879 | ||
Investment Grade Fixed-Income Funds - 29.0% | |||
Fidelity Government Income Fund | 24,471 | 258,654 | |
Fidelity Strategic Real Return Fund | 25,356 | 256,601 | |
Fidelity Total Bond Fund | 73,858 | 769,596 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 1,284,851 | ||
TOTAL FIXED-INCOME FUNDS (Cost $1,509,876) | 1,516,730 | ||
Short-Term Funds - 12.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 286,999 | 286,999 | |
Fidelity Short-Term Bond Fund | 32,735 | 282,178 | |
TOTAL SHORT-TERM FUNDS (Cost $569,627) | 569,177 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $4,546,485) | $ 4,433,291 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2028 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $4,546,485) - See accompanying schedule | $ 4,433,291 | |
Cash | 72 | |
Receivable for fund shares sold | 200,000 | |
Total assets | 4,633,363 | |
Liabilities | ||
Payable for investments purchased | $ 199,998 | |
Distribution fees payable | 171 | |
Total liabilities | 200,169 | |
Net Assets | $ 4,433,194 | |
Net Assets consist of: | ||
Paid in capital | $ 4,524,046 | |
Undistributed net investment income | 1,904 | |
Accumulated undistributed net realized gain (loss) on investments | 20,438 | |
Net unrealized appreciation | (113,194) | |
Net Assets | $ 4,433,194 | |
Calculation of Maximum Offering Price Class A: | $ 49.04 | |
Maximum offering price per share (100/94.25 of $49.04) | $ 52.03 | |
Class T: | $ 49.03 | |
Maximum offering price per share (100/96.50 of $49.03) | $ 50.81 | |
Class C: | $ 49.03 | |
Income Replacement 2028: | $ 49.04 | |
Institutional Class: | $ 49.04 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 21,890 | |
Interest | 119 | |
Total income | 22,009 | |
Expenses | ||
Distribution fees | $ 803 | |
Independent trustees' compensation | 2 | |
Total expenses before reductions | 805 | |
Expense reductions | (2) | 803 |
Net investment income (loss) | 21,206 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (4,058) | |
Capital gain distributions from underlying funds | 33,100 | 29,042 |
Change in net unrealized appreciation (depreciation) on underlying funds | (113,194) | |
Net gain (loss) | (84,152) | |
Net increase (decrease) in net assets resulting from operations | $ (62,946) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 21,206 |
Net realized gain (loss) | 29,042 |
Change in net unrealized appreciation (depreciation) | (113,194) |
Net in net assets resulting from operations | (62,946) |
Distributions to from net investment income | (19,302) |
Distributions to from net realized gain | (8,604) |
Total distributions | (27,906) |
Share transactions - net increase (decrease) | 4,524,046 |
Total increase (decrease) in net assets | 4,433,194 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $1,904) | $ 4,433,194 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .657 |
Net realized and unrealized gain (loss) | (.988) |
Total from investment operations | (.331) |
Distributions from net investment income | (.469) |
Distributions from net realized gain | (.160) |
Total distributions | (.629) |
Net asset value, end of period | $ 49.04 |
Total Return B, C, D | (.71)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.04% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .598 |
Net realized and unrealized gain (loss) | (.985) |
Total from investment operations | (.387) |
Distributions from net investment income | (.423) |
Distributions from net realized gain | (.160) |
Total distributions | (.583) |
Net asset value, end of period | $ 49.03 |
Total Return B, C, D | (.82)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.79% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 160 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .495 |
Net realized and unrealized gain (loss) | (.987) |
Total from investment operations | (.492) |
Distributions from net investment income | (.318) |
Distributions from net realized gain | (.160) |
Total distributions | (.478) |
Net asset value, end of period | $ 49.03 |
Total Return B, C, D | (1.02)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00%A |
Expenses net of all reductions | 1.00%A |
Net investment income (loss) | 2.29%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 53%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2028
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .670 |
Net realized and unrealized gain (loss) | (.949) |
Total from investment operations | (.279) |
Distributions from net investment income | (.521) |
Distributions from net realized gain | (.160) |
Total distributions | (.681) |
Net asset value, end of period | $ 49.04 |
Total Return B, C | (.61)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.29% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,975 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .712 |
Net realized and unrealized gain (loss) | (.991) |
Total from investment operations | (.279) |
Distributions from net investment income | (.521) |
Distributions from net realized gain | (.160) |
Total distributions | (.681) |
Net asset value, end of period | $ 49.04 |
Total Return B, C | (.61)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.29% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2030 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.8 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.4 |
Fidelity Broad Market Opportunities Fund | 8.9 |
Fidelity Disciplined Equity Fund | 5.7 |
Fidelity Equity Income Fund | 5.5 |
Fidelity Large Cap Core Enhanced Index Fund | 9.1 |
Fidelity Small Cap Opportunities Fund | 3.4 |
44.8 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 9.1 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.7 |
Fidelity Strategic Income Fund | 2.8 |
5.5 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.9 |
Fidelity Strategic Real Return Fund | 5.8 |
Fidelity Total Bond Fund | 17.4 |
29.1 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 5.6 |
Fidelity Short-Term Bond Fund | 5.9 |
11.5 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 44.8% | |
| International Equity Funds | 9.1% | |
| High Yield Fixed-Income Funds | 5.5% | |
| Investment Grade Fixed-Income Funds | 29.1% | |
| Short-Term Funds | 11.5% | |
Expected | |||
| Domestic Equity Funds | 46.3% | |
| International Equity Funds | 8.9% | |
| High Yield Fixed-Income Funds | 5.3% | |
| Investment Grade Fixed-Income Funds | 27.8% | |
| Short-Term Funds | 11.7% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2030 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 53.9% | |||
Shares | Value | ||
Domestic Equity Funds - 44.8% | |||
Fidelity 100 Index Fund | 4,447 | $ 44,251 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 2,249 | 35,583 | |
Fidelity Broad Market Opportunities Fund | 6,109 | 58,524 | |
Fidelity Disciplined Equity Fund | 1,379 | 37,485 | |
Fidelity Equity Income Fund | 689 | 35,985 | |
Fidelity Large Cap Core Enhanced Index Fund | 6,251 | 59,259 | |
Fidelity Small Cap Opportunities Fund | 2,623 | 22,399 | |
TOTAL DOMESTIC EQUITY FUNDS | 293,486 | ||
International Equity Funds - 9.1% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 1,536 | 59,655 | |
TOTAL EQUITY FUNDS (Cost $383,324) | 353,141 | ||
Fixed-Income Funds - 34.6% | |||
High Yield Fixed-Income Funds - 5.5% | |||
Fidelity Capital & Income Fund | 2,099 | 17,567 | |
Fidelity Strategic Income Fund | 1,757 | 18,414 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 35,981 | ||
Investment Grade Fixed-Income Funds - 29.1% | |||
Fidelity Government Income Fund | 3,680 | 38,897 | |
Fidelity Strategic Real Return Fund | 3,789 | 38,347 | |
Fidelity Total Bond Fund | 10,923 | 113,816 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 191,060 | ||
TOTAL FIXED-INCOME FUNDS (Cost $224,329) | 227,041 | ||
Short-Term Funds - 11.5% | |||
Fidelity Institutional Money Market Fund Institutional Class | 36,576 | 36,576 | |
Fidelity Short-Term Bond Fund | 4,471 | 38,537 | |
TOTAL SHORT-TERM FUNDS (Cost $75,297) | 75,113 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $682,950) | $ 655,295 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2030 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $682,950) - See accompanying schedule | $ 655,295 | |
Cash | 72 | |
Total assets | 655,367 | |
Liabilities | ||
Distribution fees payable | $ 263 | |
Total liabilities | 263 | |
Net Assets | $ 655,104 | |
Net Assets consist of: | ||
Paid in capital | $ 674,310 | |
Undistributed net investment income | 224 | |
Accumulated undistributed net realized gain (loss) on investments | 8,225 | |
Net unrealized appreciation (depreciation) on investments | (27,655) | |
Net Assets | $ 655,104 | |
Calculation of Maximum Offering Price Class A: | $ 48.83 | |
Maximum offering price per share (100/94.25 of $48.83) | $ 51.81 | |
Class T: | $ 48.83 | |
Maximum offering price per share (100/96.50 of $48.83) | $ 50.60 | |
Class C: | $ 48.81 | |
Income Replacement 2030: | $ 48.83 | |
Institutional Class: | $ 48.83 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 7,918 | |
Interest | 111 | |
Total income | 8,029 | |
Expenses | ||
Distribution fees | $ 1,068 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 1,069 | |
Expense reductions | (1) | 1,068 |
Net investment income (loss) | 6,961 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (143) | |
Capital gain distributions from underlying funds | 10,896 | 10,753 |
Change in net unrealized appreciation (depreciation) on underlying funds | (27,655) | |
Net gain (loss) | (16,902) | |
Net increase (decrease) in net assets resulting from operations | $ (9,941) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 6,961 |
Net realized gain (loss) | 10,753 |
Change in net unrealized appreciation (depreciation) | (27,655) |
Net in net assets resulting from operations | (9,941) |
Distributions to from net investment income | (6,737) |
Distributions to from net realized gain | (2,528) |
Total distributions | (9,265) |
Share transactions - net increase (decrease) | 674,310 |
Total increase (decrease) in net assets | 655,104 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $224) | $ 655,104 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .632 |
Net realized and unrealized gain (loss) | (1.033) |
Total from investment operations | (.401) |
Distributions from net investment income | (.579) |
Distributions from net realized gain | (.190) |
Total distributions | (.769) |
Net asset value, end of period | $ 48.83 |
Total Return B, C, D | (.87)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 2.93% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .578 |
Net realized and unrealized gain (loss) | (1.030) |
Total from investment operations | (.452) |
Distributions from net investment income | (.528) |
Distributions from net realized gain | (.190) |
Total distributions | (.718) |
Net asset value, end of period | $ 48.83 |
Total Return B, C, D | (.96)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.67% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .463 |
Net realized and unrealized gain (loss) | (1.024) |
Total from investment operations | (.561) |
Distributions from net investment income | (.439) |
Distributions from net realized gain | (.190) |
Total distributions | (.629) |
Net asset value, end of period | $ 48.81 |
Total Return B, C, D | (1.18)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 234 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2030
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .675 |
Net realized and unrealized gain (loss) | (1.024) |
Total from investment operations | (.349) |
Distributions from net investment income | (.631) |
Distributions from net realized gain | (.190) |
Total distributions | (.821) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.77)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 124 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .687 |
Net realized and unrealized gain (loss) | (1.036) |
Total from investment operations | (.349) |
Distributions from net investment income | (.631) |
Distributions from net realized gain | (.190) |
Total distributions | (.821) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.77)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2032 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.9 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.5 |
Fidelity Broad Market Opportunities Fund | 9.1 |
Fidelity Disciplined Equity Fund | 5.8 |
Fidelity Equity Income Fund | 5.7 |
Fidelity Large Cap Core Enhanced Index Fund | 9.2 |
Fidelity Small Cap Opportunities Fund | 3.5 |
45.7 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 9.7 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.8 |
Fidelity Strategic Income Fund | 3.0 |
5.8 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.8 |
Fidelity Strategic Real Return Fund | 5.7 |
Fidelity Total Bond Fund | 16.9 |
28.4 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 5.1 |
Fidelity Short-Term Bond Fund | 5.3 |
10.4 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 45.7% | |
| International | 9.7% | |
| High Yield Fixed-Income Funds | 5.8% | |
| Investment Grade Fixed-Income Funds | 28.4% | |
| Short-Term Funds | 10.4% | |
Expected | |||
| Domestic Equity Funds | 47.1% | |
| International | 9.8% | |
| High Yield | 5.5% | |
| Investment Grade Fixed-Income Funds | 27.2% | |
| Short-Term Funds | 10.4% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2032 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 55.4% | |||
Shares | Value | ||
Domestic Equity Funds - 45.7% | |||
Fidelity 100 Index Fund | 8,973 | $ 89,286 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4,502 | 71,223 | |
Fidelity Broad Market Opportunities Fund | 12,275 | 117,594 | |
Fidelity Disciplined Equity Fund | 2,748 | 74,683 | |
Fidelity Equity Income Fund | 1,413 | 73,809 | |
Fidelity Large Cap Core Enhanced Index Fund | 12,577 | 119,232 | |
Fidelity Small Cap Opportunities Fund | 5,398 | 46,097 | |
TOTAL DOMESTIC EQUITY FUNDS | 591,924 | ||
International Equity Funds - 9.7% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 3,234 | 125,589 | |
TOTAL EQUITY FUNDS (Cost $786,824) | 717,513 | ||
Fixed-Income Funds - 34.2% | |||
High Yield Fixed-Income Funds - 5.8% | |||
Fidelity Capital & Income Fund | 4,371 | 36,587 | |
Fidelity Strategic Income Fund | 3,639 | 38,134 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 74,721 | ||
Investment Grade Fixed-Income Funds - 28.4% | |||
Fidelity Government Income Fund | 7,066 | 74,690 | |
Fidelity Strategic Real Return Fund | 7,294 | 73,820 | |
Fidelity Total Bond Fund | 20,996 | 218,777 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 367,287 | ||
TOTAL FIXED-INCOME FUNDS (Cost $438,710) | 442,008 | ||
Short-Term Funds - 10.4% | |||
Fidelity Institutional Money Market Fund Institutional Class | 66,609 | 66,609 | |
Fidelity Short-Term Bond Fund | 7,900 | 68,095 | |
TOTAL SHORT-TERM FUNDS (Cost $134,935) | 134,704 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,360,469) | $ 1,294,225 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2032 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,360,469) - See accompanying schedule | $ 1,294,225 | |
Cash | 72 | |
Total assets | 1,294,297 | |
Liabilities | ||
Payable for investments purchased | $ 3 | |
Distribution fees payable | 197 | |
Total liabilities | 200 | |
Net Assets | $ 1,294,097 | |
Net Assets consist of: | ||
Paid in capital | $ 1,345,710 | |
Undistributed net investment income | 508 | |
Accumulated undistributed net realized gain (loss) on investments | 14,123 | |
Net unrealized appreciation (depreciation) on investments | (66,244) | |
Net Assets | $ 1,294,097 | |
Calculation of Maximum Offering Price Class A: | $ 48.82 | |
Maximum offering price per share (100/94.25 of $48.82) | $ 51.80 | |
Class T: | $ 48.83 | |
Maximum offering price per share (100/96.50 of $48.83) | $ 50.60 | |
Class C: | $ 48.82 | |
Income Replacement 2032: | $ 48.83 | |
Institutional Class: | $ 48.83 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 11,623 | |
Interest | 112 | |
Total income | 11,735 | |
Expenses | ||
Distribution fees | $ 922 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 923 | |
Expense reductions | (1) | 922 |
Net investment income (loss) | 10,813 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (304) | |
Capital gain distributions from underlying funds | 18,847 | 18,543 |
Change in net unrealized appreciation (depreciation) on underlying funds | (66,244) | |
Net gain (loss) | (47,701) | |
Net increase (decrease) in net assets resulting from operations | $ (36,888) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 10,813 |
Net realized gain (loss) | 18,543 |
Change in net unrealized appreciation (depreciation) | (66,244) |
Net in net assets resulting from operations | (36,888) |
Distributions to from net investment income | (10,305) |
Distributions to from net realized gain | (4,420) |
Total distributions | (14,725) |
Share transactions - net increase (decrease) | 1,345,710 |
Total increase (decrease) in net assets | 1,294,097 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $508) | $ 1,294,097 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .649 |
Net realized and unrealized gain (loss) | (1.093) |
Total from investment operations | (.444) |
Distributions from net investment income | (.546) |
Distributions from net realized gain | (.190) |
Total distributions | (.736) |
Net asset value, end of period | $ 48.82 |
Total ReturnB, C, D | (.95)% |
Ratios to Average Net AssetsF, H | |
Expenses before reductions | .25%A |
Expenses net of fee waivers, if any | .25%A |
Expenses net of all reductions | .25%A |
Net investment income (loss) | 3.08%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 349 |
Portfolio turnover rate | 25%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .606 |
Net realized and unrealized gain (loss) | (1.096) |
Total from investment operations | (.490) |
Distributions from net investment income | (.490) |
Distributions from net realized gain | (.190) |
Total distributions | (.680) |
Net asset value, end of period | $ 48.83 |
Total Return B, C, D | (1.04)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50%A |
Expenses net of all reductions | .50%A |
Net investment income (loss) | 2.83%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 25%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .499 |
Net realized and unrealized gain (loss) | (1.102) |
Total from investment operations | (.603) |
Distributions from net investment income | (.387) |
Distributions from net realized gain | (.190) |
Total distributions | (.577) |
Net asset value, end of period | $ 48.82 |
Total Return B, C, D | (1.26)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.33% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 25% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2032
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .690 |
Net realized and unrealized gain (loss) | (1.078) |
Total from investment operations | (.388) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.190) |
Total distributions | (.782) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.84)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.33% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 648 |
Portfolio turnover rate | 25% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .713 |
Net realized and unrealized gain (loss) | (1.101) |
Total from investment operations | (.388) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.190) |
Total distributions | (.782) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.84)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00%A |
Expenses net of all reductions | .00%A |
Net investment income (loss) | 3.32%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 25%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2034 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.1 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.7 |
Fidelity Broad Market Opportunities Fund | 9.4 |
Fidelity Disciplined Equity Fund | 6.0 |
Fidelity Equity Income Fund | 5.8 |
Fidelity Large Cap Core Enhanced Index Fund | 9.5 |
Fidelity Small Cap Opportunities Fund | 3.6 |
47.1 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 10.9 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.0 |
Fidelity Strategic Income Fund | 3.1 |
6.1 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.6 |
Fidelity Strategic Real Return Fund | 5.6 |
Fidelity Total Bond Fund | 16.5 |
27.7 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 3.9 |
Fidelity Short-Term Bond Fund | 4.3 |
8.2 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 47.1% | |
| International Equity Funds | 10.9% | |
| High Yield Fixed-Income Funds | 6.1% | |
| Investment Grade Fixed-Income Funds | 27.7% | |
| Short-Term Funds | 8.2% | |
Expected | |||
| Domestic Equity Funds | 48.1% | |
| International Equity Funds | 10.7% | |
| High Yield Fixed-Income Funds | 5.8% | |
| Investment Grade Fixed-Income Funds | 26.6% | |
| Short-Term Funds | 8.8% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2034 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 58.0% | |||
Shares | Value | ||
Domestic Equity Funds - 47.1% | |||
Fidelity 100 Index Fund | 5,177 | $ 51,509 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 2,621 | 41,466 | |
Fidelity Broad Market Opportunities Fund | 7,122 | 68,228 | |
Fidelity Disciplined Equity Fund | 1,603 | 43,562 | |
Fidelity Equity Income Fund | 808 | 42,212 | |
Fidelity Large Cap Core Enhanced Index Fund | 7,278 | 68,992 | |
Fidelity Small Cap Opportunities Fund | 3,074 | 26,250 | |
TOTAL DOMESTIC EQUITY FUNDS | 342,219 | ||
International Equity Funds - 10.9% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 2,043 | 79,318 | |
TOTAL EQUITY FUNDS (Cost $453,841) | 421,537 | ||
Fixed-Income Funds - 33.8% | |||
High Yield Fixed-Income Funds - 6.1% | |||
Fidelity Capital & Income Fund | 2,579 | 21,583 | |
Fidelity Strategic Income Fund | 2,146 | 22,490 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 44,073 | ||
Investment Grade Fixed-Income Funds - 27.7% | |||
Fidelity Government Income Fund | 3,878 | 40,992 | |
Fidelity Strategic Real Return Fund | 4,012 | 40,605 | |
Fidelity Total Bond Fund | 11,539 | 120,234 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 201,831 | ||
TOTAL FIXED-INCOME FUNDS (Cost $243,595) | 245,904 | ||
Short-Term Funds - 8.2% | |||
Fidelity Institutional Money Market Fund Institutional Class | 28,633 | 28,633 | |
Fidelity Short-Term Bond Fund | 3,631 | 31,298 | |
TOTAL SHORT-TERM FUNDS (Cost $60,072) | 59,931 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $757,508) | $ 727,372 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2034 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $757,508) - See accompanying schedule | $ 727,372 | |
Cash | 72 | |
Total assets | 727,444 | |
Liabilities | ||
Payable for investments purchased | $ 67 | |
Distribution fees payable | 145 | |
Total liabilities | 212 | |
Net Assets | $ 727,232 | |
Net Assets consist of: | ||
Paid in capital | $ 747,154 | |
Undistributed net investment income | 264 | |
Accumulated undistributed net realized gain (loss) on investments | 9,950 | |
Net unrealized appreciation (depreciation) on investments | (30,136) | |
Net Assets | $ 727,232 | |
Calculation of Maximum Offering Price Class A: | $ 48.75 | |
Maximum offering price per share (100/94.25 of $48.75) | $ 51.72 | |
Class T: | $ 48.74 | |
Maximum offering price per share (100/96.50 of $48.74) | $ 50.51 | |
Class C: | $ 48.74 | |
Income Replacement 2034: | $ 48.75 | |
Institutional Class: | $ 48.75 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 8,064 | |
Interest | 113 | |
Total income | 8,177 | |
Expenses | ||
Distribution fees | 760 | |
Net investment income (loss) | 7,417 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | $ (151) | |
Capital gain distributions from underlying funds | 13,064 | 12,913 |
Change in net unrealized appreciation (depreciation) on underlying funds | (30,136) | |
Net gain (loss) | (17,223) | |
Net increase (decrease) in net assets resulting from operations | $ (9,806) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 7,417 |
Net realized gain (loss) | 12,913 |
Change in net unrealized appreciation (depreciation) | (30,136) |
Net in net assets resulting from operations | (9,806) |
Distributions to from net investment income | (7,153) |
Distributions to from net realized gain | (2,963) |
Total distributions | (10,116) |
Share transactions - net increase (decrease) | 747,154 |
Total increase (decrease) in net assets | 727,232 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $264) | $ 727,232 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .624 |
Net realized and unrealized gain (loss) | (1.135) |
Total from investment operations | (.511) |
Distributions from net investment income | (.539) |
Distributions from net realized gain | (.200) |
Total distributions | (.739) |
Net asset value, end of period | $ 48.75 |
Total Return B, C | (1.09)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 2.88% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .570 |
Net realized and unrealized gain (loss) | (1.142) |
Total from investment operations | (.572) |
Distributions from net investment income | (.488) |
Distributions from net realized gain | (.200) |
Total distributions | (.688) |
Net asset value, end of period | $ 48.74 |
Total Return B, C | (1.21)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.63% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .463 |
Net realized and unrealized gain (loss) | (1.138) |
Total from investment operations | (.675) |
Distributions from net investment income | (.385) |
Distributions from net realized gain | (.200) |
Total distributions | (.585) |
Net asset value, end of period | $ 48.74 |
Total Return B, C | (1.41)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.14% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2034
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .662 |
Net realized and unrealized gain (loss) | (1.120) |
Total from investment operations | (.458) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.200) |
Total distributions | (.792) |
Net asset value, end of period | $ 48.75 |
Total Return B | (.99)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.14% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 332 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .679 |
Net realized and unrealized gain (loss) | (1.137) |
Total from investment operations | (.458) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.200) |
Total distributions | (.792) |
Net asset value, end of period | $ 48.75 |
Total Return B | (.99)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.14% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2036 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.3 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.8 |
Fidelity Broad Market Opportunities Fund | 9.5 |
Fidelity Disciplined Equity Fund | 6.0 |
Fidelity Equity Income Fund | 6.0 |
Fidelity Large Cap Core Enhanced Index Fund | 9.6 |
Fidelity Small Cap Opportunities Fund | 3.7 |
47.9 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 11.7 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.2 |
Fidelity Strategic Income Fund | 3.3 |
6.5 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.7 |
Fidelity Strategic Real Return Fund | 5.6 |
Fidelity Total Bond Fund | 16.8 |
28.1 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 2.8 |
Fidelity Short-Term Bond Fund | 3.0 |
5.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 47.9% | |
| International | 11.7% | |
| High Yield | 6.5% | |
| Investment Grade Fixed-Income Funds | 28.1% | |
| Short-Term Funds | 5.8% | |
Expected | |||
| Domestic Equity Funds | 49.3% | |
| International | 11.7% | |
| High Yield | 6.2% | |
| Investment Grade Fixed-Income Funds | 26.3% | |
| Short-Term Funds | 6.5% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2036 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 59.6% | |||
Shares | Value | ||
Domestic Equity Funds - 47.9% | |||
Fidelity 100 Index Fund | 12,038 | $ 119,782 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6,009 | 95,064 | |
Fidelity Broad Market Opportunities Fund | 16,344 | 156,571 | |
Fidelity Disciplined Equity Fund | 3,670 | 99,750 | |
Fidelity Equity Income Fund | 1,884 | 98,461 | |
Fidelity Large Cap Core Enhanced Index Fund | 16,795 | 159,217 | |
Fidelity Small Cap Opportunities Fund | 7,199 | 61,476 | |
TOTAL DOMESTIC EQUITY FUNDS | 790,321 | ||
International Equity Funds - 11.7% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 4,965 | 192,801 | |
TOTAL EQUITY FUNDS (Cost $1,088,121) | 983,122 | ||
Fixed-Income Funds - 34.6% | |||
High Yield Fixed-Income Funds - 6.5% | |||
Fidelity Capital & Income Fund | 6,229 | 52,139 | |
Fidelity Strategic Income Fund | 5,222 | 54,732 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 106,871 | ||
Investment Grade Fixed-Income Funds - 28.1% | |||
Fidelity Government Income Fund | 8,891 | 93,976 | |
Fidelity Strategic Real Return Fund | 9,088 | 91,969 | |
Fidelity Total Bond Fund | 26,591 | 277,079 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 463,024 | ||
TOTAL FIXED-INCOME FUNDS (Cost $566,217) | 569,895 | ||
Short-Term Funds - 5.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 47,181 | 47,181 | |
Fidelity Short-Term Bond Fund | 5,719 | 49,300 | |
TOTAL SHORT-TERM FUNDS (Cost $96,649) | 96,481 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,750,987) | $ 1,649,498 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2036 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,750,987) - See accompanying schedule | $ 1,649,498 | |
Cash | 74 | |
Total assets | 1,649,572 | |
Liabilities | ||
Distribution fees payable | 232 | |
Net Assets | $ 1,649,340 | |
Net Assets consist of: | ||
Paid in capital | $ 1,733,448 | |
Undistributed net investment income | 596 | |
Accumulated undistributed net realized gain (loss) on investments | 16,785 | |
Net unrealized appreciation (depreciation) on investments | (101,489) | |
Net Assets | $ 1,649,340 | |
Calculation of Maximum Offering Price Class A: | $ 48.79 | |
Maximum offering price per share (100/94.25 of $48.79) | $ 51.77 | |
Class T: | $ 48.79 | |
Maximum offering price per share (100/96.50 of $48.79) | $ 50.56 | |
Class C: | $ 48.79 | |
Income Replacement 2036: | $ 48.80 | |
Institutional Class: | $ 48.80 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 13,401 | |
Interest | 75 | |
Total income | 13,476 | |
Expenses | ||
Distribution fees | $ 1,010 | |
Independent trustee's compensation | 1 | |
Total expenses before reductions | 1,011 | |
Expense reductions | (1) | 1,010 |
Net investment income (loss) | 12,466 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (522) | |
Capital gain distributions from underlying funds | 22,298 | 21,776 |
Change in net unrealized appreciation (depreciation) on underlying funds | (101,489) | |
Net gain (loss) | (79,713) | |
Net increase (decrease) in net assets resulting from operations | $ (67,247) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 12,466 |
Net realized gain (loss) | 21,776 |
Change in net unrealized appreciation (depreciation) | (101,489) |
Net in net assets resulting from operations | (67,247) |
Distributions to from net investment income | (11,870) |
Distributions to from net realized gain | (4,991) |
Total distributions | (16,861) |
Share transactions - net increase (decrease) | 1,733,448 |
Total increase (decrease) in net assets | 1,649,340 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $596) | $ 1,649,340 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .592 |
Net realized and unrealized gain (loss) | (1.125) |
Total from investment operations | (.533) |
Distributions from net investment income | (.487) |
Distributions from net realized gain | (.190) |
Total distributions | (.677) |
Net asset value, end of period | $ 48.79 |
Total Return B, C, D | (1.13)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 2.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 13% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .525 |
Net realized and unrealized gain (loss) | (1.102) |
Total from investment operations | (.577) |
Distributions from net investment income | (.443) |
Distributions from net realized gain | (.190) |
Total distributions | (.633) |
Net asset value, end of period | $ 48.79 |
Total Return B, C, D | (1.21)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50%A |
Expenses net of all reductions | .50%A |
Net investment income (loss) | 2.48%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 306 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss)E | .430 |
Net realized and unrealized gain (loss) | (1.116) |
Total from investment operations | (.686) |
Distributions from net investment income | (.334) |
Distributions from net realized gain | (.190) |
Total distributions | (.524) |
Net asset value, end of period | $ 48.79 |
Total ReturnB, C, D | (1.42)% |
Ratios to Average Net AssetsF, H | |
Expenses before reductions | 1.00%A |
Expenses net of fee waivers, if any | 1.00%A |
Expenses net of all reductions | 1.00%A |
Net investment income (loss) | 1.98%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2036
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss)D | .623 |
Net realized and unrealized gain (loss) | (1.094) |
Total from investment operations | (.471) |
Distributions from net investment income | (.539) |
Distributions from net realized gain | (.190) |
Total distributions | (.729) |
Net asset value, end of period | $ 48.80 |
Total ReturnB, C | (1.01)% |
Ratios to Average Net AssetsE, G | |
Expenses before reductions | .00%A |
Expenses net of fee waivers, if any | .00%A |
Expenses net of all reductions | .00%A |
Net investment income (loss) | 2.98%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 1,023 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss)D | .643 |
Net realized and unrealized gain (loss) | (1.114) |
Total from investment operations | (.471) |
Distributions from net investment income | (.539) |
Distributions from net realized gain | (.190) |
Total distributions | (.729) |
Net asset value, end of period | $ 48.80 |
Total ReturnB, C | (1.01)% |
Ratios to Average Net AssetsE, G | |
Expenses before reductions | .00%A |
Expenses net of fee waivers, if any | .00%A |
Expenses net of all reductions | .00%A |
Net investment income (loss) | 2.98%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 123 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2038 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.6 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6.0 |
Fidelity Broad Market Opportunities Fund | 10.1 |
Fidelity Disciplined Equity Fund | 6.3 |
Fidelity Equity Income Fund | 6.5 |
Fidelity Large Cap Core Enhanced Index Fund | 10.2 |
Fidelity Small Cap Opportunities Fund | 4.1 |
50.8 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 12.4 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.3 |
Fidelity Strategic Income Fund | 3.3 |
6.6 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.3 |
Fidelity Strategic Real Return Fund | 5.3 |
Fidelity Total Bond Fund | 15.7 |
26.3 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 2.0 |
Fidelity Short-Term Bond Fund | 1.9 |
3.9 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 50.8% | |
| International Equity Funds | 12.4% | |
| High Yield Fixed-Income Funds | 6.6% | |
| Investment Grade Fixed-Income Funds | 26.3% | |
| Short-Term Funds | 3.9% | |
Expected | |||
| Domestic Equity Funds | 50.6% | |
| International Equity Funds | 12.6% | |
| High Yield Fixed-Income Funds | 6.5% | |
| Investment Grade Fixed-Income Funds | 26.1% | |
| Short-Term Funds | 4.2% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2038 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 63.2% | |||
Shares | Value | ||
Domestic Equity Funds - 50.8% | |||
Fidelity 100 Index Fund | 7,927 | $ 78,876 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,938 | 62,302 | |
Fidelity Broad Market Opportunities Fund | 10,898 | 104,405 | |
Fidelity Disciplined Equity Fund | 2,393 | 65,046 | |
Fidelity Equity Income Fund | 1,275 | 66,622 | |
Fidelity Large Cap Core Enhanced Index Fund | 11,050 | 104,752 | |
Fidelity Small Cap Opportunities Fund | 4,943 | 42,211 | |
TOTAL DOMESTIC EQUITY FUNDS | 524,214 | ||
International Equity Funds - 12.4% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 3,311 | 128,557 | |
TOTAL EQUITY FUNDS (Cost $671,309) | 652,771 | ||
Fixed-Income Funds - 32.9% | |||
High Yield Fixed-Income Funds - 6.6% | |||
Fidelity Capital & Income Fund | 4,069 | 34,060 | |
Fidelity Strategic Income Fund | 3,267 | 34,236 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 68,296 | ||
Investment Grade Fixed-Income Funds - 26.3% | |||
Fidelity Government Income Fund | 5,158 | 54,516 | |
Fidelity Strategic Real Return Fund | 5,394 | 54,583 | |
Fidelity Total Bond Fund | 15,607 | 162,623 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 271,722 | ||
TOTAL FIXED-INCOME FUNDS (Cost $338,466) | 340,018 | ||
Short-Term Funds - 3.9% | |||
Fidelity Institutional Money Market Fund Institutional Class | 19,866 | 19,866 | |
Fidelity Short-Term Bond Fund | 2,300 | 19,830 | |
TOTAL SHORT-TERM FUNDS (Cost $39,714) | 39,696 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,049,489) | $ 1,032,485 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2038 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,049,489) - See accompanying schedule | $ 1,032,485 | |
Cash | 39 | |
Total assets | 1,032,524 | |
Liabilities | ||
Distribution fees payable | 143 | |
Net Assets | $ 1,032,381 | |
Net Assets consist of: | ||
Paid in capital | $ 1,049,369 | |
Undistributed net investment income | 309 | |
Accumulated undistributed net realized gain (loss) on investments | (293) | |
Net unrealized appreciation (depreciation) on investments | (17,004) | |
Net Assets | $ 1,032,381 | |
Calculation of Maximum Offering Price Class A: | $ 47.66 | |
Maximum offering price per share (100/94.25 of $47.66) | $ 50.57 | |
Class T: | $ 47.66 | |
Maximum offering price per share (100/96.50 of $47.66) | $ 49.39 | |
Class C: | $ 47.65 | |
Income Replacement 2038: | $ 47.67 | |
Institutional Class: | $ 47.67 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period December 31, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 803 | |
Interest | 39 | |
Total income | 842 | |
Expenses | ||
Distribution fees | 147 | |
Net investment income (loss) | 695 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | $ (293) | |
Change in net unrealized appreciation (depreciation) on underlying funds | (17,004) | |
Net gain (loss) | (17,297) | |
Net increase (decrease) in net assets resulting from operations | $ (16,602) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 695 |
Net realized gain (loss) | (293) |
Change in net unrealized appreciation (depreciation) | (17,004) |
Net in net assets resulting from operations | (16,602) |
Distributions to from net investment income | (386) |
Share transactions - net increase (decrease) | 1,049,369 |
Total increase (decrease) in net assets | 1,032,381 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $309) | $ 1,032,381 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .055 |
Net realized and unrealized gain (loss) | (2.381) |
Total from investment operations | (2.326) |
Distributions from net investment income | (.014) |
Net asset value, end of period | $ 47.66 |
Total Return B, C | (4.65)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 1.31% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .035 |
Net realized and unrealized gain (loss) | (2.369) |
Total from investment operations | (2.334) |
Distributions from net investment income | (.006) |
Net asset value, end of period | $ 47.66 |
Total Return B, C | (4.67)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 1.06% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .024 |
Net realized and unrealized gain (loss) | (2.374) |
Total from investment operations | (2.350) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.70)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | .56% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2038
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .057 |
Net realized and unrealized gain (loss) | (2.365) |
Total from investment operations | (2.308) |
Distributions from net investment income | (.022) |
Net asset value, end of period | $ 47.67 |
Total Return B | (4.62)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.56% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 651 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .066 |
Net realized and unrealized gain (loss) | (2.374) |
Total from investment operations | (2.308) |
Distributions from net investment income | (.022) |
Net asset value, end of period | $ 47.67 |
Total Return B | (4.62)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.56% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2040 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.7 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6.0 |
Fidelity Broad Market Opportunities Fund | 10.1 |
Fidelity Disciplined Equity Fund | 6.3 |
Fidelity Equity Income Fund | 6.5 |
Fidelity Large Cap Core Enhanced Index Fund | 10.1 |
Fidelity Small Cap Opportunities Fund | 4.0 |
50.7 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 12.3 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.5 |
Fidelity Strategic Income Fund | 3.5 |
7.0 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.5 |
Fidelity Strategic Real Return Fund | 5.4 |
Fidelity Total Bond Fund | 16.3 |
27.2 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 1.4 |
Fidelity Short-Term Bond Fund | 1.4 |
2.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 50.7% | |
| International Equity Funds | 12.3% | |
| High Yield Fixed-Income Funds | 7.0% | |
| Investment Grade Fixed-Income Funds | 27.2% | |
| Short-Term Funds | 2.8% | |
Expected | |||
| Domestic Equity Funds | 51.4% | |
| International Equity Funds | 12.9% | |
| High Yield Fixed-Income Funds | 6.8% | |
| Investment Grade Fixed-Income Funds | 26.0% | |
| Short-Term Funds | 2.9% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2040 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 63.0% | |||
Shares | Value | ||
Domestic Equity Funds - 50.7% | |||
Fidelity 100 Index Fund | 5,197 | $ 51,713 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 2,578 | 40,777 | |
Fidelity Broad Market Opportunities Fund | 7,094 | 67,963 | |
Fidelity Disciplined Equity Fund | 1,561 | 42,425 | |
Fidelity Equity Income Fund | 835 | 43,612 | |
Fidelity Large Cap Core Enhanced Index Fund | 7,232 | 68,558 | |
Fidelity Small Cap Opportunities Fund | 3,199 | 27,323 | |
TOTAL DOMESTIC EQUITY FUNDS | 342,371 | ||
International Equity Funds - 12.3% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 2,148 | 83,397 | |
TOTAL EQUITY FUNDS (Cost $451,692) | 425,768 | ||
Fixed-Income Funds - 34.2% | |||
High Yield Fixed-Income Funds - 7.0% | |||
Fidelity Capital & Income Fund | 2,791 | 23,362 | |
Fidelity Strategic Income Fund | 2,287 | 23,971 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 47,333 | ||
Investment Grade Fixed-Income Funds - 27.2% | |||
Fidelity Government Income Fund | 3,508 | 37,079 | |
Fidelity Strategic Real Return Fund | 3,640 | 36,832 | |
Fidelity Total Bond Fund | 10,582 | 110,269 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 184,180 | ||
TOTAL FIXED-INCOME FUNDS (Cost $230,557) | 231,513 | ||
Short-Term Funds - 2.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 9,416 | 9,416 | |
Fidelity Short-Term Bond Fund | 1,093 | 9,420 | |
TOTAL SHORT-TERM FUNDS (Cost $18,832) | 18,836 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $701,081) | $ 676,117 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2040 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $701,081) - See accompanying schedule | $ 676,117 | |
Cash | 39 | |
Receivable for investments sold | 2 | |
Receivable for fund shares sold | 1,350 | |
Total assets | 677,508 | |
Liabilities | ||
Payable for investments purchased | $ 1,352 | |
Distribution fees payable | 140 | |
Total liabilities | 1,492 | |
Net Assets | $ 676,016 | |
Net Assets consist of: | ||
Paid in capital | $ 700,850 | |
Undistributed net investment income | 210 | |
Accumulated undistributed net realized gain (loss) on investments | (80) | |
Net unrealized appreciation (depreciation) on investments | (24,964) | |
Net Assets | $ 676,016 | |
Calculation of Maximum Offering Price Class A: | $ 47.65 | |
Maximum offering price per share (100/94.25 of $47.65) | $ 50.56 | |
Class T: | $ 47.65 | |
Maximum offering price per share (100/96.50 of $47.65) | $ 49.38 | |
Class C: | $ 47.65 | |
Income Replacement 2040: | $ 47.65 | |
Institutional Class: | $ 47.66 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period December 31, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 745 | |
Interest | 39 | |
Total income | 784 | |
Expenses | ||
Distribution fees | 147 | |
Net investment income (loss) | 637 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | $ (80) | |
Change in net unrealized appreciation (depreciation) on underlying funds | (24,964) | |
Net gain (loss) | (25,044) | |
Net increase (decrease) in net assets resulting from operations | $ (24,407) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 637 |
Net realized gain (loss) | (80) |
Change in net unrealized appreciation (depreciation) | (24,964) |
Net in net assets resulting from operations | (24,407) |
Distributions to from net investment income | (427) |
Share transactions - net increase (decrease) | 700,850 |
Total increase (decrease) in net assets | 676,016 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $210) | $ 676,016 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .056 |
Net realized and unrealized gain (loss) | (2.376) |
Total from investment operations | (2.320) |
Distributions from net investment income | (.030) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.64)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 1.32% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
H Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .045 |
Net realized and unrealized gain (loss) | (2.373) |
Total from investment operations | (2.328) |
Distributions from net investment income | (.022) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.66)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 1.07% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
H Amount represents less than 1%.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .024 |
Net realized and unrealized gain (loss) | (2.368) |
Total from investment operations | (2.344) |
Distributions from net investment income | (.006) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.69)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | .57% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
H Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2040
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .061 |
Net realized and unrealized gain (loss) | (2.373) |
Total from investment operations | (2.312) |
Distributions from net investment income | (.038) |
Net asset value, end of period | $ 47.65 |
Total Return B | (4.62)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.57% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 294 |
Portfolio turnover rate | -% G |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
G Amount represents less than 1%.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .066 |
Net realized and unrealized gain (loss) | (2.368) |
Total from investment operations | (2.302) |
Distributions from net investment income | (.038) |
Net asset value, end of period | $ 47.66 |
Total Return B | (4.60)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.57% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% G |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
G Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2042 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.8 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6.1 |
Fidelity Broad Market Opportunities Fund | 10.2 |
Fidelity Disciplined Equity Fund | 6.4 |
Fidelity Equity Income Fund | 6.6 |
Fidelity Large Cap Core Enhanced Index Fund | 10.3 |
Fidelity Small Cap Opportunities Fund | 4.2 |
51.6 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 12.4 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.5 |
Fidelity Strategic Income Fund | 3.6 |
7.1 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.4 |
Fidelity Strategic Real Return Fund | 5.4 |
Fidelity Total Bond Fund | 16.0 |
26.8 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 1.1 |
Fidelity Short-Term Bond Fund | 1.0 |
2.1 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 51.6% | |
| International | 12.4% | |
| High Yield | 7.1% | |
| Investment Grade Fixed-Income Funds | 26.8% | |
| Short-Term Funds | 2.1% | |
Expected | |||
| Domestic Equity Funds | 51.9% | |
| International | 13.0% | |
| High Yield | 6.9% | |
| Investment Grade Fixed-Income Funds | 26.0% | |
| Short-Term Funds | 2.2% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2042 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 64.0% | |||
Shares | Value | ||
Domestic Equity Funds - 51.6% | |||
Fidelity 100 Index Fund | 7,356 | $ 73,195 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,630 | 57,419 | |
Fidelity Broad Market Opportunities Fund | 10,076 | 96,525 | |
Fidelity Disciplined Equity Fund | 2,206 | 59,959 | |
Fidelity Equity Income Fund | 1,189 | 62,148 | |
Fidelity Large Cap Core Enhanced Index Fund | 10,221 | 96,894 | |
Fidelity Small Cap Opportunities Fund | 4,608 | 39,349 | |
TOTAL DOMESTIC EQUITY FUNDS | 485,489 | ||
International Equity Funds - 12.4% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 3,002 | 116,562 | |
TOTAL EQUITY FUNDS (Cost $637,308) | 602,051 | ||
Fixed-Income Funds - 33.9% | |||
High Yield Fixed-Income Funds - 7.1% | |||
Fidelity Capital & Income Fund | 3,978 | 33,300 | |
Fidelity Strategic Income Fund | 3,223 | 33,778 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 67,078 | ||
Investment Grade Fixed-Income Funds - 26.8% | |||
Fidelity Government Income Fund | 4,797 | 50,705 | |
Fidelity Strategic Real Return Fund | 4,988 | 50,483 | |
Fidelity Total Bond Fund | 14,488 | 150,963 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 252,151 | ||
TOTAL FIXED-INCOME FUNDS (Cost $318,011) | 319,229 | ||
Short-Term Funds - 2.1% | |||
Fidelity Institutional Money Market Fund Institutional Class | 9,663 | 9,663 | |
Fidelity Short-Term Bond Fund | 1,119 | 9,649 | |
TOTAL SHORT-TERM FUNDS (Cost $19,309) | 19,312 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $974,628) | $ 940,592 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2042 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $974,628) - See accompanying schedule | $ 940,592 | |
Cash | 39 | |
Receivable for investments sold | 3 | |
Total assets | 940,634 | |
Liabilities | ||
Payable for investments purchased | $ 2 | |
Distribution fees payable | 140 | |
Total liabilities | 142 | |
Net Assets | $ 940,492 | |
Net Assets consist of: | ||
Paid in capital | $ 974,341 | |
Undistributed net investment income | 302 | |
Accumulated undistributed net realized gain (loss) on investments | (115) | |
Net unrealized appreciation (depreciation) on investments | (34,036) | |
Net Assets | $ 940,492 | |
Calculation of Maximum Offering Price Class A: | $ 47.64 | |
Maximum offering price per share (100/94.25 of $47.64) | $ 50.55 | |
Class T: | $ 47.64 | |
Maximum offering price per share (100/96.50 of $47.64) | $ 49.37 | |
Class C: | $ 47.63 | |
Income Replacement 2042: | $ 47.64 | |
Institutional Class: | $ 47.64 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period December 31, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 1,010 | |
Interest | 39 | |
Total income | 1,049 | |
Expenses | ||
Distribution fees | 147 | |
Net investment income (loss) | 902 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (115) | |
Change in net unrealized appreciation (depreciation) on underlying funds | (34,036) | |
Net gain (loss) | (34,151) | |
Net increase (decrease) in net assets resulting from operations | $ (33,249) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 902 |
Net realized gain (loss) | (115) |
Change in net unrealized appreciation (depreciation) | (34,036) |
Net in net assets resulting from operations | (33,249) |
Distributions to from net investment income | (600) |
Share transactions - net increase (decrease) | 974,341 |
Total increase (decrease) in net assets | 940,492 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $302) | $ 940,492 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .054 |
Net realized and unrealized gain (loss) | (2.386) |
Total from investment operations | (2.332) |
Distributions from net investment income | (.028) |
Net asset value, end of period | $ 47.64 |
Total Return B, C | (4.66)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 1.30% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .044 |
Net realized and unrealized gain (loss) | (2.384) |
Total from investment operations | (2.340) |
Distributions from net investment income | (.020) |
Net asset value, end of period | $ 47.64 |
Total Return B, C | (4.69)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 1.05% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .023 |
Net realized and unrealized gain (loss) | (2.389) |
Total from investment operations | (2.366) |
Distributions from net investment income | (.004) |
Net asset value, end of period | $ 47.63 |
Total Return B, C | (4.73)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | .54% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2042
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .059 |
Net realized and unrealized gain (loss) | (2.383) |
Total from investment operations | (2.324) |
Distributions from net investment income | (.036) |
Net asset value, end of period | $ 47.64 |
Total Return B | (4.65)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.55% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 559 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .055 |
Net realized and unrealized gain (loss) | (2.379) |
Total from investment operations | (2.324) |
Distributions from net investment income | (.036) |
Net asset value, end of period | $ 47.64 |
Total Return B | (4.65)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.55% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended January 31, 2008 (Unaudited)
1. Organization.
Fidelity Income Replacement 2016 Fund, Fidelity Income Replacement 2018 Fund, Fidelity Income Replacement 2020 Fund, Fidelity Income Replacement 2022 Fund, Fidelity Income Replacement 2024 Fund, Fidelity Income Replacement 2026 Fund, Fidelity Income Replacement 2028 Fund, Fidelity Income Replacement 2030 Fund, Fidelity Income Replacement 2032 Fund, Fidelity Income Replacement 2034 Fund, Fidelity Income Replacement 2036 Fund, Fidelity Income Replacement 2038 Fund, Fidelity Income Replacement 2040 Fund and Fidelity Income Replacement 2042 Fund (the Funds) are funds of Fidelity Income Fund (the trust). The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Each Fund is authorized to issue an unlimited number of shares. The Funds invest primarily in a combination of other Fidelity equity, fixed income, and short-term funds (the Underlying Funds) managed by Fidelity Management & Research Company (FMR) and its affiliates.
The Funds are designed for investors who seek to convert accumulated assets into regular payments over a defined period of time. The payment strategy for each Fund is designed to be implemented through a shareholder's voluntary participation in the Smart Payment Program. Participation in the Smart Payment Program will result in the gradual liquidation of the shareholder's entire investment in the Fund by its horizon date. Each Fund's name refers to the year of its horizon date.
Each Fund offers Class A, Class T, Class C, Income Replacement and Institutional Class shares, each of which has equal rights as to assets and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Funds:
Security Valuation. Net asset value per share is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Investments in the Underlying Funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from the Underlying Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned. Interest income includes coupon interest and amortization of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust. Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the Underlying Funds. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. Each Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements in connection with the tax positions expected to be taken in the initial filing of each Fund's federal tax return.
Dividends are declared and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Semiannual Report
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows for each Fund:
Cost for Federal Income Tax Purposes | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | |
Fidelity Income Replacement 2016 Fund | $ 5,943,761 | $ 29,751 | $ (202,277) | $ (172,526) |
Fidelity Income Replacement 2018 Fund | 4,535,026 | 24,870 | (167,311) | (142,441) |
Fidelity Income Replacement 2020 Fund | 1,276,020 | 9,493 | (31,516) | (22,023) |
Fidelity Income Replacement 2022 Fund | 3,834,313 | 15,589 | (156,205) | (140,616) |
Fidelity Income Replacement 2024 Fund | 1,120,649 | 7,203 | (36,674) | (29,471) |
Fidelity Income Replacement 2026 Fund | 1,186,282 | 6,513 | (50,736) | (44,223) |
Fidelity Income Replacement 2028 Fund | 4,546,485 | 29,713 | (142,907) | (113,194) |
Fidelity Income Replacement 2030 Fund | 682,950 | 3,628 | (31,283) | (27,655) |
Fidelity Income Replacement 2032 Fund | 1,360,469 | 5,252 | (71,496) | (66,244) |
Fidelity Income Replacement 2034 Fund | 757,508 | 3,265 | (33,401) | (30,136) |
Fidelity Income Replacement 2036 Fund | 1,750,987 | 6,961 | (108,450) | (101,489) |
Fidelity Income Replacement 2038 Fund | 1,049,489 | 8,885 | (25,889) | (17,004) |
Fidelity Income Replacement 2040 Fund | 701,081 | 3,392 | (28,356) | (24,964) |
Fidelity Income Replacement 2042 Fund | 974,627 | 2,112 | (36,147) | (34,035) |
New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Funds' financial statement disclosures.
3. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits certain Funds and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Certain Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Each applicable Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Purchase & Sales of Investments
Purchases and redemptions of the Underlying Fund shares are noted in the table below.
Purchases ($) | Redemptions ($) | |
Fidelity Income Replacement 2016 Fund | 7,976,974 | 2,017,587 |
Fidelity Income Replacement 2018 Fund | 5,640,290 | 1,091,653 |
Fidelity Income Replacement 2020 Fund | 1,401,046 | 124,540 |
Fidelity Income Replacement 2022 Fund | 4,571,275 | 727,790 |
Fidelity Income Replacement 2024 Fund | 1,339,214 | 217,465 |
Fidelity Income Replacement 2026 Fund | 1,325,310 | 138,691 |
Fidelity Income Replacement 2028 Fund | 4,941,421 | 390,877 |
Fidelity Income Replacement 2030 Fund | 750,199 | 67,107 |
Fidelity Income Replacement 2032 Fund | 1,450,060 | 89,288 |
Fidelity Income Replacement 2034 Fund | 810,451 | 52,792 |
Fidelity Income Replacement 2036 Fund | 1,810,293 | 58,784 |
Fidelity Income Replacement 2038 Fund | 1,061,532 | 11,782 |
Fidelity Income Replacement 2040 Fund | 702,345 | 1,185 |
Fidelity Income Replacement 2042 Fund | 989,917 | 15,180 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers, Inc. (Strategic Advisers), an affiliate of FMR, provides the Funds with investment management related services. The Funds do not pay any fees for these services. Under the management contract, Strategic Advisers pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, each Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Fidelity Income Replacement 2016 Fund | Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 183 | $ 104 |
Class T | .25% | .25% | 300 | 214 |
Class C | .75% | .25% | 2,359 | 2,355 |
$ 2,842 | $ 2,673 | |||
Fidelity Income Replacement 2018 Fund | ||||
Class A | 0% | .25% | $ 159 | $ 104 |
Class T | .25% | .25% | 248 | 220 |
Class C | .75% | .25% | 534 | 534 |
$ 941 | $ 858 | |||
Fidelity Income Replacement 2020 Fund | ||||
Class A | 0% | .25% | $ 119 | $ 106 |
Class T | .25% | .25% | 268 | 214 |
Class C | .75% | .25% | 530 | 530 |
$ 917 | $ 850 | |||
Fidelity Income Replacement 2022 Fund | ||||
Class A | 0% | .25% | $ 115 | $ 107 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 432 | 432 |
$ 763 | $ 755 | |||
Fidelity Income Replacement 2024 Fund | ||||
Class A | 0% | .25% | $ 155 | $ 107 |
Class T | .25% | .25% | 218 | 218 |
Class C | .75% | .25% | 432 | 432 |
$ 805 | $ 757 | |||
Fidelity Income Replacement 2026 Fund | ||||
Class A | 0% | .25% | $ 114 | $ 108 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 894 | 893 |
$ 1,224 | $ 1,217 | |||
Fidelity Income Replacement 2028 Fund | ||||
Class A | 0% | .25% | $ 108 | $ 108 |
Class T | .25% | .25% | 262 | 214 |
Class C | .75% | .25% | 433 | 433 |
$ 803 | $ 755 | |||
Fidelity Income Replacement 2030 Fund | ||||
Class A | 0% | .25% | $ 108 | $ 108 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 744 | 743 |
$ 1,068 | $ 1,067 |
Semiannual Report
4. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
Fidelity Income Replacement 2032 Fund | Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 273 | $ 106 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 433 | 433 |
$ 922 | $ 755 | |||
Fidelity Income Replacement 2034 Fund | ||||
Class A | 0% | .25% | $ 109 | $ 109 |
Class T | .25% | .25% | 218 | 218 |
Class C | .75% | .25% | 433 | 433 |
$ 760 | $ 760 | |||
Fidelity Income Replacement 2036 Fund | ||||
Class A | 0% | .25% | $ 109 | $ 109 |
Class T | .25% | .25% | 468 | 212 |
Class C | .75% | .25% | 433 | 433 |
$ 1,010 | $ 754 | |||
Fidelity Income Replacement 2038 Fund | ||||
Class A | 0% | .25% | $ 21 | $ 21 |
Class T | .25% | .25% | 42 | 42 |
Class C | .75% | .25% | 84 | 84 |
$ 147 | $ 147 | |||
Fidelity Income Replacement 2040 Fund | ||||
Class A | 0% | .25% | $ 21 | $ 21 |
Class T | .25% | .25% | 42 | 42 |
Class C | .75% | .25% | 84 | 84 |
$ 147 | $ 147 | |||
Fidelity Income Replacement 2042 Fund | ||||
Class A | 0% | .25% | $ 21 | $ 21 |
Class T | .25% | .25% | 42 | 42 |
Class C | .75% | .25% | 84 | 84 |
$ 147 | $ 147 |
Sales Load. FDC receives a front-end sales charge of up to 5.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 1% for Class C, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Fidelity Income Replacement 2016 Fund | Retained |
Class A | $ 2,450 |
Class T | 264 |
Class C* | 177 |
$ 2,891 | |
Fidelity Income Replacement 2018 Fund | |
Class A | $ 2,516 |
Class T | 125 |
$ 2,641 | |
Fidelity Income Replacement 2020 Fund | |
Class A | $ 643 |
Class T | 237 |
$ 880 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
Fidelity Income Replacement 2022 Fund | Retained |
Class A | $ 412 |
Fidelity Income Replacement 2024 Fund | |
Class A | $ 996 |
Fidelity Income Replacement 2028 Fund | |
Class T | $ 163 |
Fidelity Income Replacement 2032 Fund | |
Class A | $ 1,114 |
* When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
5. Expense Reductions.
FMR voluntarily agreed to reimburse funds to the extent annual operating expenses exceeded 0.00% of average net assets plus distribution and service fees applicable to each class. Some expenses, for example interest expense, are excluded from this reimbursement.
The following classes of each applicable Fund were in reimbursement during the period:
Reimbursement | |
Fidelity Income Replacement 2016 Fund | |
Income Replacement 2016 | $ 3 |
Fidelity Income Replacement 2018 Fund | |
Income Replacement 2018 | 2 |
Fidelity Income Replacement 2020 Fund | |
Income Replacement 2020 | 1 |
Fidelity Income Replacement 2022 Fund | |
Income Replacement 2022 | 2 |
Fidelity Income Replacement 2024 Fund | |
Income Replacement 2024 | 1 |
Fidelity Income Replacement 2026 Fund | |
Income Replacement 2026 | 1 |
Fidelity Income Replacement 2028 Fund | |
Income Replacement 2028 | 2 |
Fidelity Income Replacement 2030 Fund | |
Income Replacement 2030 | 1 |
Fidelity Income Replacement 2032 Fund | |
Income Replacement 2032 | 1 |
Fidelity Income Replacement 2036 Fund | |
Income Replacement 2036 | 1 |
6. Other.
The Funds' organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
Semiannual Report
6. Other - continued
The Funds do not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Funds within their principal investment strategies may represent a significant portion of the Underlying Fund's net assets. At the end of the period, the following Funds were the owners of record of 10% or more of the total outstanding shares of the Underlying Funds.
Fund | Income Replacement 2016 Fund | Income Replacement 2028 Fund |
Fidelity Broad Market Opportunities Fund | 11% | 12% |
The Funds, in aggregate, were the owners of record of more than 20% of the total outstanding shares of the following Underlying Funds.
Fund | % of shares held |
Fidelity Broad Market Opportunities Fund | 71% |
In addition, at the end of the period, FMR or its affiliates were owners of record of more than 10% of the outstanding shares of the following funds:
Affiliated % | |
Fidelity Income Replacement 2020 Fund | 32% |
Fidelity Income Replacement 2022 Fund | 11% |
Fidelity Income Replacement 2024 Fund | 37% |
Fidelity Income Replacement 2026 Fund | 35% |
Fidelity Income Replacement 2030 Fund | 61% |
Fidelity Income Replacement 2032 Fund | 31% |
Fidelity Income Replacement 2034 Fund | 54% |
Fidelity Income Replacement 2036 Fund | 25% |
Fidelity Income Replacement 2038 Fund | 37% |
Fidelity Income Replacement 2040 Fund | 57% |
Fidelity Income Replacement 2042 Fund | 41% |
7. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Period ended | |
Fidelity Income Replacement 2016 Fund | |
From net investment income | |
Class A | $ 2,052 |
Class T | 1,490 |
Class C | 5,633 |
Income Replacement 2016 | 28,906 |
Institutional Class | 1,299 |
Total | $ 39,380 |
From net realized gain | |
Class A | $ 614 |
Class T | 512 |
Class C | 2,180 |
Income Replacement 2016 | 9,335 |
Institutional Class | 282 |
Total | $ 12,923 |
Fidelity Income Replacement 2018 Fund | |
From net investment income | |
Class A | $ 1,534 |
Class T | 1,224 |
Class C | 1,208 |
Income Replacement 2018 | 23,768 |
Institutional Class | 1,298 |
Total | $ 29,032 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Distributions to Shareholders - continued
Period ended | |
From net realized gain | |
Class A | $ 262 |
Class T | 323 |
Class C | 389 |
Income Replacement 2018 | 6,892 |
Institutional Class | 262 |
Total | $ 8,128 |
Fidelity Income Replacement 2020 Fund | |
From net investment income | |
Class A | $ 1,285 |
Class T | 1,454 |
Class C | 1,236 |
Income Replacement 2020 | 2,600 |
Institutional Class | 1,325 |
Total | $ 7,900 |
From net realized gain | |
Class A | $ 342 |
Class T | 498 |
Class C | 510 |
Income Replacement 2020 | 790 |
Institutional Class | 342 |
Total | $ 2,482 |
Fidelity Income Replacement 2022 Fund | |
From net investment income | |
Class A | $ 1,104 |
Class T | 941 |
Class C | 747 |
Income Replacement 2022 | 20,131 |
Institutional Class | 2,653 |
Total | $ 25,576 |
From net realized gain | |
Class A | $ 341 |
Class T | 341 |
Class C | 341 |
Income Replacement 2022 | 7,075 |
Institutional Class | 994 |
Total | $ 9,092 |
Fidelity Income Replacement 2024 Fund | |
From net investment income | |
Class A | $ 1,810 |
Class T | 1,004 |
Class C | 796 |
Income Replacement 2024 | 3,066 |
Institutional Class | 1,214 |
Total | $ 7,890 |
From net realized gain | |
Class A | $ 761 |
Class T | 342 |
Class C | 341 |
Income Replacement 2024 | 1,110 |
Institutional Class | 342 |
Total | $ 2,896 |
Semiannual Report
7. Distributions to Shareholders - continued
Period ended | |
Fidelity Income Replacement 2026 Fund | |
From net investment income | |
Class A | $ 1,244 |
Class T | 1,044 |
Class C | 2,264 |
Income Replacement 2026 | 3,731 |
Institutional Class | 1,252 |
Total | $ 9,535 |
From net realized gain | |
Class A | $ 407 |
Class T | 362 |
Class C | 1,176 |
Income Replacement 2026 | 1,399 |
Institutional Class | 362 |
Total | $ 3,706 |
Fidelity Income Replacement 2028 Fund | |
From net investment income | |
Class A | $ 943 |
Class T | 1,140 |
Class C | 639 |
Income Replacement 2028 | 15,532 |
Institutional Class | 1,048 |
Total | $ 19,302 |
From net realized gain | |
Class A | $ 322 |
Class T | 519 |
Class C | 321 |
Income Replacement 2028 | 7,120 |
Institutional Class | 322 |
Total | $ 8,604 |
Fidelity Income Replacement 2030 Fund | |
From net investment income | |
Class A | $ 1,165 |
Class T | 1,062 |
Class C | 1,753 |
Income Replacement 2030 | 1,486 |
Institutional Class | 1,271 |
Total | $ 6,737 |
From net realized gain | |
Class A | $ 382 |
Class T | 382 |
Class C | 905 |
Income Replacement 2030 | 477 |
Institutional Class | 382 |
Total | $ 2,528 |
Fidelity Income Replacement 2032 Fund | |
From net investment income | |
Class A | $ 3,128 |
Class T | 986 |
Class C | 778 |
Income Replacement 2032 | 4,221 |
Institutional Class | 1,192 |
Total | $ 10,305 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Distributions to Shareholders - continued
Period ended | |
From net realized gain | |
Class A | $ 1,345 |
Class T | 382 |
Class C | 381 |
Income Replacement 2032 | 1,930 |
Institutional Class | 382 |
Total | $ 4,420 |
Fidelity Income Replacement 2034 Fund | |
From net investment income | |
Class A | $ 1,085 |
Class T | 982 |
Class C | 774 |
Income Replacement 2034 | 3,120 |
Institutional Class | 1,192 |
Total | $ 7,153 |
From net realized gain | |
Class A | $ 402 |
Class T | 402 |
Class C | 401 |
Income Replacement 2034 | 1,356 |
Institutional Class | 402 |
Total | $ 2,963 |
Fidelity Income Replacement 2036 Fund | |
From net investment income | |
Class A | $ 980 |
Class T | 2,346 |
Class C | 671 |
Income Replacement 2036 | 6,521 |
Institutional Class | 1,352 |
Total | $ 11,870 |
From net realized gain | |
Class A | $ 381 |
Class T | 1,187 |
Class C | 381 |
Income Replacement 2036 | 2,566 |
Institutional Class | 476 |
Total | $ 4,991 |
Fidelity Income Replacement 2038 Fund | |
From net investment income | |
Class A | $ 28 |
Class T | 12 |
Income Replacement 2038 | 302 |
Institutional Class | 44 |
Total | $ 386 |
Fidelity Income Replacement 2040 Fund | |
From net investment income | |
Class A | $ 60 |
Class T | 44 |
Class C | 12 |
Income Replacement 2040 | 235 |
Institutional Class | 76 |
Total | $ 427 |
Semiannual Report
7. Distributions to Shareholders - continued
Period ended | |
Fidelity Income Replacement 2042 Fund | |
From net investment income | |
Class A | $ 56 |
Class T | 40 |
Class C | 8 |
Income Replacement 2042 | 424 |
Institutional Class | 72 |
Total | $ 600 |
A For the period August 30, 2007 (commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and for the period December 31, 2007
(commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2038, 2040, 2042 Funds.
8. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |
Period ended | Period ended | |
Fidelity Income Replacement 2016 Fund | ||
Class A | ||
Shares sold | 8,405 | $ 424,112 |
Reinvestment of distributions | 51 | 2,562 |
Shares redeemed | (50) | (2,507) |
Net increase (decrease) | 8,406 | $ 424,167 |
Class T | ||
Shares sold | 4,642 | $ 234,270 |
Reinvestment of distributions | 39 | 2,002 |
Shares redeemed | (6) | (300) |
Net increase (decrease) | 4,675 | $ 235,972 |
Class C | ||
Shares sold | 27,572 | $ 1,396,273 |
Reinvestment of distributions | 154 | 7,813 |
Shares redeemed | (1,571) | (78,883) |
Net increase (decrease) | 26,155 | $ 1,325,203 |
Income Replacement 2016 | ||
Shares sold | 82,539 | $ 4,212,576 |
Reinvestment of distributions | 203 | 10,378 |
Shares redeemed | (9,443) | (474,803) |
Net increase (decrease) | 73,299 | $ 3,748,151 |
Institutional Class | ||
Shares sold | 3,795 | $ 190,050 |
Reinvestment of distributions | 31 | 1,580 |
Net increase (decrease) | 3,826 | $ 191,630 |
Fidelity Income Replacement 2018 Fund | ||
Class A | ||
Shares sold | 8,680 | $ 434,028 |
Reinvestment of distributions | 30 | 1,530 |
Shares redeemed | (34) | (1,686) |
Net increase (decrease) | 8,676 | $ 433,872 |
Class T | ||
Shares sold | 2,476 | $ 123,791 |
Reinvestment of distributions | 25 | 1,287 |
Net increase (decrease) | 2,501 | $ 125,078 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Class C | ||
Shares sold | 5,260 | $ 261,710 |
Reinvestment of distributions | 31 | 1,597 |
Shares redeemed | (988) | (49,489) |
Net increase (decrease) | 4,303 | $ 213,818 |
Income Replacement 2018 | ||
Shares sold | 71,315 | $ 3,643,888 |
Reinvestment of distributions | 165 | 8,444 |
Shares redeemed | (1,127) | (56,272) |
Net increase (decrease) | 70,353 | $ 3,596,060 |
Institutional Class | ||
Shares sold | 3,025 | $ 152,091 |
Reinvestment of distributions | 31 | 1,560 |
Net increase (decrease) | 3,056 | $ 153,651 |
Fidelity Income Replacement 2020 Fund | ||
Class A | ||
Shares sold | 3,631 | $ 181,220 |
Reinvestment of distributions | 31 | 1,560 |
Net increase (decrease) | 3,662 | $ 182,780 |
Class T | ||
Shares sold | 2,937 | $ 147,611 |
Reinvestment of distributions | 38 | 1,952 |
Net increase (decrease) | 2,975 | $ 149,563 |
Class C | ||
Shares sold | 2,992 | $ 150,050 |
Reinvestment of distributions | 29 | 1,502 |
Shares redeemed | (10) | (489) |
Net increase (decrease) | 3,011 | $ 151,063 |
Income Replacement 2020 | ||
Shares sold | 13,861 | $ 685,286 |
Reinvestment of distributions | 41 | 2,115 |
Shares redeemed | (73) | (3,572) |
Net increase (decrease) | 13,829 | $ 683,829 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 33 | 1,667 |
Net increase (decrease) | 2,034 | $ 101,717 |
Fidelity Income Replacement 2022 Fund | ||
Class A | ||
Shares sold | 3,870 | $ 192,360 |
Reinvestment of distributions | 27 | 1,388 |
Net increase (decrease) | 3,897 | $ 193,748 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 25 | 1,282 |
Net increase (decrease) | 2,026 | $ 101,332 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 21 | 1,088 |
Net increase (decrease) | 2,022 | $ 101,138 |
Income Replacement 2022 | ||
Shares sold | 64,297 | $ 3,266,066 |
Reinvestment of distributions | 161 | 8,256 |
Shares redeemed | (3,075) | (154,718) |
Net increase (decrease) | 61,383 | $ 3,119,604 |
Semiannual Report
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Institutional Class | ||
Shares sold | 5,837 | $ 300,050 |
Reinvestment of distributions | 29 | 1,491 |
Net increase (decrease) | 5,866 | $ 301,541 |
Fidelity Income Replacement 2024 Fund | ||
Class A | ||
Shares sold | 4,465 | $ 227,886 |
Reinvestment of distributions | 50 | 2,570 |
Shares redeemed | (17) | (850) |
Net increase (decrease) | 4,498 | $ 229,606 |
Class T | ||
Shares sold | 2,001 | $ 99,021 |
Reinvestment of distributions | 26 | 1,345 |
Net increase (decrease) | 2,027 | $ 100,366 |
Class C | ||
Shares sold | 2,001 | $ 100,277 |
Reinvestment of distributions | 22 | 1,137 |
Net increase (decrease) | 2,023 | $ 101,414 |
Income Replacement 2024 | ||
Shares sold | 11,641 | $ 580,594 |
Reinvestment of distributions | 45 | 2,323 |
Shares redeemed | (60) | (2,945) |
Net increase (decrease) | 11,626 | $ 579,972 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,277 |
Reinvestment of distributions | 30 | 1,556 |
Net increase (decrease) | 2,031 | $ 101,833 |
Fidelity Income Replacement 2026 Fund | ||
Class A | ||
Shares sold | 2,252 | $ 112,887 |
Reinvestment of distributions | 32 | 1,651 |
Net increase (decrease) | 2,284 | $ 114,538 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,406 |
Net increase (decrease) | 2,028 | $ 101,456 |
Class C | ||
Shares sold | 6,521 | $ 330,049 |
Reinvestment of distributions | 67 | 3,440 |
Shares redeemed | (38) | (1,873) |
Net increase (decrease) | 6,550 | $ 331,616 |
Income Replacement 2026 | ||
Shares sold | 10,421 | $ 523,958 |
Reinvestment of distributions | 59 | 3,023 |
Shares redeemed | (47) | (2,314) |
Net increase (decrease) | 10,433 | $ 524,667 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 32 | 1,614 |
Net increase (decrease) | 2,033 | $ 101,664 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Fidelity Income Replacement 2028 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 25 | 1,265 |
Net increase (decrease) | 2,026 | $ 101,315 |
Class T | ||
Shares sold | 3,236 | $ 164,074 |
Reinvestment of distributions | 32 | 1,659 |
Net increase (decrease) | 3,268 | $ 165,733 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 19 | 960 |
Net increase (decrease) | 2,020 | $ 101,010 |
Income Replacement 2028 | ||
Shares sold | 82,062 | $ 4,104,415 |
Reinvestment of distributions | 159 | 8,168 |
Shares redeemed | (1,159) | (58,015) |
Net increase (decrease) | 81,062 | $ 4,054,568 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,370 |
Net increase (decrease) | 2,028 | $ 101,420 |
Fidelity Income Replacement 2030 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 30 | 1,547 |
Net increase (decrease) | 2,031 | $ 101,597 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 28 | 1,444 |
Net increase (decrease) | 2,029 | $ 101,494 |
Class C | ||
Shares sold | 4,773 | $ 241,760 |
Reinvestment of distributions | 52 | 2,658 |
Shares redeemed | (31) | (1,546) |
Net increase (decrease) | 4,794 | $ 242,872 |
Income Replacement 2030 | ||
Shares sold | 2,499 | $ 125,050 |
Reinvestment of distributions | 35 | 1,777 |
Shares redeemed | (4) | (183) |
Net increase (decrease) | 2,530 | $ 126,644 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 32 | 1,653 |
Net increase (decrease) | 2,033 | $ 101,703 |
Fidelity Income Replacement 2032 Fund | ||
Class A | ||
Shares sold | 7,063 | $ 360,632 |
Reinvestment of distributions | 87 | 4,473 |
Net increase (decrease) | 7,150 | $ 365,105 |
Semiannual Report
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,367 |
Net increase (decrease) | 2,028 | $ 101,417 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 23 | 1,159 |
Net increase (decrease) | 2,024 | $ 101,209 |
Income Replacement 2032 | ||
Shares sold | 13,242 | $ 674,788 |
Reinvestment of distributions | 70 | 3,614 |
Shares redeemed | (42) | (2,047) |
Net increase (decrease) | 13,270 | $ 676,355 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 31 | 1,574 |
Net increase (decrease) | 2,032 | $ 101,624 |
Fidelity Income Replacement 2034 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 29 | 1,487 |
Net increase (decrease) | 2,030 | $ 101,537 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,383 |
Net increase (decrease) | 2,028 | $ 101,433 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 23 | 1,175 |
Net increase (decrease) | 2,024 | $ 101,225 |
Income Replacement 2034 | ||
Shares sold | 6,781 | $ 340,050 |
Reinvestment of distributions | 55 | 2,824 |
Shares redeemed | (31) | (1,559) |
Net increase (decrease) | 6,805 | $ 341,315 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 31 | 1,594 |
Net increase (decrease) | 2,032 | $ 101,644 |
Fidelity Income Replacement 2036 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 26 | 1,361 |
Net increase (decrease) | 2,027 | $ 101,411 |
Class T | ||
Shares sold | 6,254 | $ 324,140 |
Reinvestment of distributions | 44 | 2,281 |
Shares redeemed | (30) | (1,508) |
Net increase (decrease) | 6,268 | $ 324,913 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 20 | 1,052 |
Net increase (decrease) | 2,021 | $ 101,102 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Income Replacement 2036 | ||
Shares sold | 20,941 | $ 1,078,372 |
Reinvestment of distributions | 101 | 5,181 |
Shares redeemed | (88) | (4,409) |
Net increase (decrease) | 20,954 | $ 1,079,144 |
Institutional Class | ||
Shares sold | 2,495 | $ 125,050 |
Reinvestment of distributions | 36 | 1,828 |
Net increase (decrease) | 2,531 | $ 126,878 |
Fidelity Income Replacement 2038 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 28 |
Net increase (decrease) | 2,002 | $ 100,078 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | - B | 12 |
Net increase (decrease) | 2,001 | $ 100,062 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Net increase (decrease) | 2,001 | $ 100,050 |
Income Replacement 2038 | ||
Shares sold | 13,706 | $ 651,601 |
Reinvestment of distributions | 1 | 44 |
Shares redeemed | (54) | (2,560) |
Net increase (decrease) | 13,653 | $ 649,085 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 44 |
Net increase (decrease) | 2,002 | $ 100,094 |
Fidelity Income Replacement 2040 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 60 |
Net increase (decrease) | 2,002 | $ 100,110 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 44 |
Net increase (decrease) | 2,002 | $ 100,094 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | - B | 12 |
Net increase (decrease) | 2,001 | $ 100,062 |
Income Replacement 2040 | ||
Shares sold | 6,198 | $ 301,400 |
Reinvestment of distributions | 2 | 76 |
Shares redeemed | (22) | (1,018) |
Net increase (decrease) | 6,178 | $ 300,458 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 2 | 76 |
Net increase (decrease) | 2,003 | $ 100,126 |
Semiannual Report
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Fidelity Income Replacement 2042 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 56 |
Net increase (decrease) | 2,002 | $ 100,106 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 40 |
Net increase (decrease) | 2,002 | $ 100,090 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | - B | 8 |
Net increase (decrease) | 2,001 | $ 100,058 |
Income Replacement 2042 | ||
Shares sold | 11,772 | $ 575,799 |
Reinvestment of distributions | 2 | 72 |
Shares redeemed | (40) | (1,906) |
Net increase (decrease) | 11,734 | $ 573,965 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 2 | 72 |
Net increase (decrease) | 2,003 | $ 100,122 |
A For the period August 30, 2007 (commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and for the period December 31, 2007
(commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2038, 2040, 2042 Funds.
B Amount represents less than 1 share.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Income Replacement 2016 Fund, Fidelity Income Replacement 2018 Fund, Fidelity Income Replacement 2020 Fund, Fidelity Income Replacement 2022 Fund, Fidelity Income Replacement 2024 Fund, Fidelity Income Replacement 2026 Fund, Fidelity Income Replacement 2028 Fund, Fidelity Income Replacement 2030 Fund, Fidelity Income Replacement 2032 Fund, Fidelity Income Replacement 2034 Fund, and Fidelity Income Replacement 2036 Fund
On July 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract (the Advisory Contract) for each fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In determining whether to approve the Advisory Contract for each fund, the Board was aware that shareholders have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that shareholders, with the opportunity to review and weigh the disclosure provided by each fund in its prospectus and other public disclosures, may choose to invest in that fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, Strategic Advisers, Inc., (Strategic Advisers) and FMR, including the backgrounds of the funds' portfolio managers and the funds' investment objectives and disciplines.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of Strategic Advisers' and FMR's investment staff, their use of technology, and Strategic Advisers' and FMR's approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, distribution, and shareholder services performed by Strategic Advisers and FMR and their affiliates under each Advisory Contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for each fund. The Board also considered the nature and extent of Strategic Advisers' and FMR's supervision of third party service providers, principally custodians and subcustodians.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying an additional sales charge.
Investment Performance. Each Fidelity Income Replacement Fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contract. Once each fund has been in operation for at least one calendar year, the Board will review each fund's absolute investment performance for each class, as well as each fund's relative investment performance for each class measured against a broad-based securities market index.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided to each fund will benefit each fund's shareholders, particularly in light of the Board's view that each fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered each fund's proposed management fee and projected total operating expenses for each class in reviewing each fund's Advisory Contract. The Board noted that each fund's management fee and projected total expenses are comparable to those of similar funds that Fidelity offers to shareholders. The Board noted that the funds do not pay a management fee for investment advisory services. In its review of each fund's total expenses, the Board considered that the funds do not pay transfer agency fees. Instead, each underlying fund bears its pro rata portion of the transfer agency fee according to the percentage of each fund's assets invested in that underlying fund. The Board further noted that Strategic Advisers or FMR pays all other expenses of each fund, with limited exceptions.
Based on its review, the Board concluded that the projected total expenses for each class of each fund were fair and reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. Each of the funds is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved each fund's Advisory Contract. In connection with its future renewal of each fund's management contract, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and its shareholders.
Semiannual Report
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the approval of each fund's Advisory Contract because under these arrangements the funds would not pay any expenses.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that each fund's Advisory Contract should be approved.
Fidelity Income Replacement 2038 Fund, Fidelity Income Replacement 2040 Fund and Fidelity Income Replacement 2042 Fund
On November 15, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract (the Advisory Contract) for each fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In determining whether to approve the Advisory Contract for each fund, the Board was aware that shareholders have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that shareholders, with the opportunity to review and weigh the disclosure provided by each fund in its prospectus and other public disclosures, may choose to invest in that fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, Strategic Advisers, Inc., (Strategic Advisers) and FMR, including the backgrounds of the funds' portfolio managers and the funds' investment objectives and disciplines.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of Strategic Advisers' and FMR's investment staff, their use of technology, and Strategic Advisers' and FMR's approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, distribution, and shareholder services performed by Strategic Advisers and FMR and their affiliates under each Advisory Contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for each fund. The Board also considered the nature and extent of Strategic Advisers' and FMR's supervision of third party service providers, principally custodians and subcustodians.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of a fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying an additional sales charge.
Investment Performance. Each Fidelity Income Replacement Fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contract. Once each fund has been in operation for at least one calendar year, the Board will review each fund's absolute investment performance for each class, as well as each fund's relative investment performance for each class measured against a broad-based securities market index.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided to each fund will benefit each fund's shareholders, particularly in light of the Board's view that each fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered each fund's proposed management fee and projected total operating expenses for each class in reviewing each fund's Advisory Contract. The Board noted that each fund's management fee and projected total expenses are comparable to those of similar funds that Fidelity offers to shareholders. The Board noted that the funds do not pay a management fee for investment advisory services. In its review of each fund's total expenses, the Board considered that the funds do not pay transfer agency fees. Instead, each underlying fund bears its pro rata portion of the transfer agency fee according to the percentage of each fund's assets invested in that underlying fund. The Board further noted that Strategic Advisers or FMR pays all other expenses of each fund, with limited exceptions.
Based on its review, the Board concluded that the projected total expenses for each class of each fund were fair and reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. Each of the funds is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved each fund's Advisory Contract. In connection with its future renewal of each fund's Advisory Contract, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and its shareholders.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees - continued
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the approval of each fund's Advisory Contract because under these arrangements the funds do not pay management fees and Strategic Advisers or FMR pays all other expenses of each fund, with limited exceptions.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that each fund's Advisory Contract should be approved.
Semiannual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)
Fidelity Automated Service Telephone (FAST®)
1-800-544-5555
Press
1 For mutual fund and brokerage trading.
2 For quotes.*
3 For account balances and holdings.
4 To review orders and mutual fund activity.
5 To change your PIN.
*0 To speak to a Fidelity representative.
By PC
Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
(computer_graphic)
Fidelity's Web Site
www.fidelity.com
* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Semiannual Report
Investment Adviser
Strategic Advisers, Inc.
Boston, MA
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Mellon Bank
Pittsburgh, PA
RW-USAN-0308
1.848177.100
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor Income Replacement Funds -
2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036, 2038, 2040, 2042 -
Class A, Class T and Class C
Semiannual Report
January 31, 2008
Each Class A, Class T, and Class C are
classes of Fidelity Income Replacement Funds
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Advisor Income Replacement 2016 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2018 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2020 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2022 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2024 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2026 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2028 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2030 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2032 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2034 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2036 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2038 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2040 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2042 | Investment Summary | |
Investments | ||
Financial Statements | ||
Notes | Notes to the financial statements. | |
Board Approval of Investment Advisory Contracts and Management Fees |
Semiannual Report
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the funds nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(Photograph of Edward C. Johnson 3d.)
Dear Shareholder:
Stocks got off to a poor start in 2008, while investment-grade bonds and money markets showed positive returns, once again underscoring the importance of a diversified portfolio. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies
indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 30, 2007 to January 31, 2008) for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and for the entire period (December 31, 2007 to January 31, 2008) for Fidelity Income Replacement 2038, 2040, 2042 Funds. The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2007 to January 31, 2008).
Actual Expenses
The first line of the accompanying table for each class of each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, each Fund, as a shareholder in underlying Fidelity Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimates in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of each fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, each Fund, as a shareholder in underlying Fidelity Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimates in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | |
Fidelity Income Replacement 2016 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 1,005.00 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 1,004.00 | $ 2.12B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 1,001.90 | $ 4.24B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2016 | |||
Actual | $ 1,000.00 | $ 1,006.20 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,006.20 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2018 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 1,001.70 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 1,000.90 | $ 2.12B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 998.70 | $ 4.23B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Beginning | Ending | Expenses Paid | |
Income Replacement 2018 | |||
Actual | $ 1,000.00 | $ 1,002.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,002.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2020 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 998.00 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 996.90 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 994.90 | $ 4.22B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2020 | |||
Actual | $ 1,000.00 | $ 999.00 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 999.00 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2022 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 996.60 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 995.50 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 993.50 | $ 4.22B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2022 | |||
Actual | $ 1,000.00 | $ 997.70 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 997.50 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2024 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 996.50 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 995.50 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 993.30 | $ 4.22B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2024 | |||
Actual | $ 1,000.00 | $ 997.70 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 997.70 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Beginning | Ending | Expenses Paid | |
Fidelity Income Replacement 2026 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 993.50 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 992.40 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 990.30 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2026 | |||
Actual | $ 1,000.00 | $ 994.40 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 994.40 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2028 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 992.90 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 991.80 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 989.80 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2028 | |||
Actual | $ 1,000.00 | $ 993.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 993.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2030 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 991.30 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 990.40 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 988.20 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2030 | |||
Actual | $ 1,000.00 | $ 992.30 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 992.30 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2032 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 990.50 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 989.60 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 987.40 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Beginning | Ending | Expenses Paid | |
Income Replacement 2032 | |||
Actual | $ 1,000.00 | $ 991.60 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 991.60 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2034 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 989.10 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 987.90 | $ 2.10B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 985.90 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2034 | |||
Actual | $ 1,000.00 | $ 990.10 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 990.10 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2036 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 988.70 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 987.90 | $ 2.10B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 985.80 | $ 4.20B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2036 | |||
Actual | $ 1,000.00 | $ 989.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 989.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2038 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 953.50 | $ .21B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 953.30 | $ .43B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 953.00 | $ .85B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2038 | |||
Actual | $ 1,000.00 | $ 953.80 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 953.80 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Beginning | Ending | Expenses Paid | |
Fidelity Income Replacement 2040 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 953.60 | $ .21B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 953.40 | $ .43B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 953.10 | $ .85B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2040 | |||
Actual | $ 1,000.00 | $ 953.80 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 954.00 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2042 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 953.40 | $ .21B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 953.10 | $ .43B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 952.70 | $ .85B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2042 | |||
Actual | $ 1,000.00 | $ 953.50 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 953.50 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
A 5% return per year before expenses
B Actual expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 155/366 (to reflect the period August 30, 2007 to January 31, 2008) for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and multiplied by 32/366 (to reflect the period December 31, 2007 to January 31, 2008) for Fidelity Income Replacement 2038, 2040, 2042 Funds.
C Hypothetical expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
The fees and expenses of the underlying Fidelity Funds in which the Fund invests are not included in each Class' annualized expense ratio.
Annualized | |
Fidelity Income Replacement 2016 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2016 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2018 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2018 | .00% |
Institutional Class | .00% |
Annualized | |
Fidelity Income Replacement 2020 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2020 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2022 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2022 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2024 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2024 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2026 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2026 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2028 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2028 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2030 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2030 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2032 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2032 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2034 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2034 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2036 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2036 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2038 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2038 | .00% |
Institutional Class | .00% |
Annualized | |
Fidelity Income Replacement 2040 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2040 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2042 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2042 | .00% |
Institutional Class | .00% |
Semiannual Report
Fidelity Income Replacement 2016 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 4.7 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3.7 |
Fidelity Broad Market Opportunities Fund | 6.2 |
Fidelity Disciplined Equity Fund | 3.9 |
Fidelity Equity Income Fund | 3.9 |
Fidelity Large Cap Core Enhanced Index Fund | 6.3 |
Fidelity Small Cap Opportunities Fund | 2.4 |
31.1 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 3.3 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 1.2 |
Fidelity Strategic Income Fund | 1.3 |
2.5 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 7.8 |
Fidelity Strategic Real Return Fund | 7.7 |
Fidelity Total Bond Fund | 23.0 |
38.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 12.2 |
Fidelity Short-Term Bond Fund | 12.4 |
24.6 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 31.1% | |
| International | 3.3% | |
| High Yield | 2.5% | |
| Investment Grade Fixed-Income Funds | 38.5% | |
| Short-Term Funds | 24.6% | |
Expected | |||
| Domestic Equity Funds | 31.1% | |
| International | 3.2% | |
| High Yield | 2.1% | |
| Investment Grade Fixed-Income Funds | 38.0% | |
| Short-Term Funds | 25.6% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2016 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 34.4% | |||
Shares | Value | ||
Domestic Equity Funds - 31.1% | |||
Fidelity 100 Index Fund | 27,287 | $ 271,506 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 13,565 | 214,604 | |
Fidelity Broad Market Opportunities Fund | 37,219 | 356,556 | |
Fidelity Disciplined Equity Fund | 8,302 | 225,648 | |
Fidelity Equity Income Fund | 4,325 | 225,959 | |
Fidelity Large Cap Core Enhanced Index Fund | 38,274 | 362,835 | |
Fidelity Small Cap Opportunities Fund | 16,366 | 139,762 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,796,870 | ||
International Equity Funds - 3.3% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 4,869 | 189,048 | |
TOTAL EQUITY FUNDS (Cost $2,179,246) | 1,985,918 | ||
Fixed-Income Funds - 41.0% | |||
High Yield Fixed-Income Funds - 2.5% | |||
Fidelity Capital & Income Fund | 8,344 | 69,843 | |
Fidelity Strategic Income Fund | 6,967 | 73,017 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 142,860 | ||
Investment Grade Fixed-Income Funds - 38.5% | |||
Fidelity Government Income Fund | 42,659 | 450,908 | |
Fidelity Strategic Real Return Fund | 43,629 | 441,524 | |
Fidelity Total Bond Fund | 127,632 | 1,329,928 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 2,222,360 | ||
TOTAL FIXED-INCOME FUNDS (Cost $2,343,255) | 2,365,220 | ||
Short-Term Funds - 24.6% | |||
Fidelity Institutional Money Market Fund Institutional Class | 706,314 | 706,314 | |
Fidelity Short-Term Bond Fund | 82,805 | 713,783 | |
TOTAL SHORT-TERM FUNDS (Cost $1,421,257) | 1,420,097 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $5,943,758) | $ 5,771,235 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2016 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $5,943,758) - See accompanying schedule | $ 5,771,235 | |
Cash | 10 | |
Receivable for investments sold | 7,137 | |
Receivable for fund shares sold | 5,000 | |
Total assets | 5,783,382 | |
Liabilities | ||
Payable for investments purchased | $ 4,222 | |
Payable for fund shares redeemed | 7,739 | |
Distribution fees payable | 1,062 | |
Total liabilities | 13,023 | |
Net Assets | $ 5,770,359 | |
Net Assets consist of: | ||
Paid in capital | $ 5,925,123 | |
Undistributed net investment income | 3,240 | |
Accumulated undistributed net | 14,519 | |
Net unrealized appreciation | (172,523) | |
Net Assets | $ 5,770,359 | |
Calculation of Maximum Offering Price Class A: | $ 49.59 | |
Maximum offering price per share (100/94.25 of $49.59) | $ 52.62 | |
Class T: | $ 49.59 | |
Maximum offering price per share (100/96.50 of $49.59) | $ 51.39 | |
Class C: | $ 49.57 | |
Income Replacement 2016: | $ 49.60 | |
Institutional Class: | $ 49.60 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 45,291 | |
Interest | 171 | |
Total income | 45,462 | |
Expenses | ||
Distribution fees | $ 2,842 | |
Independent trustees' compensation | 3 | |
Total expenses before reductions | 2,845 | |
Expense reductions | (3) | 2,842 |
Net investment income (loss) | 42,620 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (15,698) | |
Capital gain distributions from underlying funds | 43,140 | 27,442 |
Change in net unrealized appreciation (depreciation) on underlying funds | (172,523) | |
Net gain (loss) | (145,081) | |
Net increase (decrease) in net assets resulting from operations | $ (102,461) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 42,620 |
Net realized gain (loss) | 27,442 |
Change in net unrealized appreciation (depreciation) | (172,523) |
Net in net assets resulting from operations | (102,461) |
Distributions to from net investment income | (39,380) |
Distributions to from net realized gain | (12,923) |
Total distributions | (52,303) |
Share transactions - net increase (decrease) | 5,925,123 |
Total increase (decrease) in net assets | 5,770,359 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $3,240) | $ 5,770,359 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .727 |
Net realized and unrealized gain (loss) | (.462) |
Total from investment operations | .265 |
Distributions from net investment income | (.535) |
Distributions from net realized gain | (.140) |
Total distributions | (.675) |
Net asset value, end of period | $ 49.59 |
Total Return B, C, D | .50% |
Ratios to Average Net Assets F,H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.48% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 417 |
Portfolio turnover rate | 158% A |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .683 |
Net realized and unrealized gain (loss) | (.470) |
Total from investment operations | .213 |
Distributions from net investment income | (.483) |
Distributions from net realized gain | (.140) |
Total distributions | (.623) |
Net asset value, end of period | $ 49.59 |
Total Return B, C, D | .40% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 3.22% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 232 |
Portfolio turnover rate | 158% A |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .566 |
Net realized and unrealized gain (loss) | (.461) |
Total from investment operations | .105 |
Distributions from net investment income | (.395) |
Distributions from net realized gain | (.140) |
Total distributions | (.535) |
Net asset value, end of period | $ 49.57 |
Total Return B, C, D | .19% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 1,296 |
Portfolio turnover rate | 158% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2016
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .777 |
Net realized and unrealized gain (loss) | (.455) |
Total from investment operations | .322 |
Distributions from net investment income | (.582) |
Distributions from net realized gain | (.140) |
Total distributions | (.722) |
Net asset value, end of period | $ 49.60 |
Total Return B, C | .62% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,635 |
Portfolio turnover rate | 158% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .793 |
Net realized and unrealized gain (loss) | (.471) |
Total from investment operations | .322 |
Distributions from net investment income | (.582) |
Distributions from net realized gain | (.140) |
Total distributions | (.722) |
Net asset value, end of period | $ 49.60 |
Total Return B, C | .62% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 190 |
Portfolio turnover rate | 158% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2018 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 5.3 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4.3 |
Fidelity Broad Market Opportunities Fund | 7.1 |
Fidelity Disciplined Equity Fund | 4.5 |
Fidelity Equity Income Fund | 4.5 |
Fidelity Large Cap Core Enhanced Index Fund | 7.1 |
Fidelity Small Cap Opportunities Fund | 2.8 |
35.6 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 4.2 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 1.6 |
Fidelity Strategic Income Fund | 1.7 |
3.3 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 7.3 |
Fidelity Strategic Real Return Fund | 7.2 |
Fidelity Total Bond Fund | 21.5 |
36.0 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 10.4 |
Fidelity Short-Term Bond Fund | 10.5 |
20.9 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 35.6% | |
| International | 4.2% | |
| High Yield | 3.3% | |
| Investment Grade Fixed-Income Funds | 36.0% | |
| Short-Term Funds | 20.9% | |
Expected | |||
| Domestic Equity Funds | 36.1% | |
| International | 4.1% | |
| High Yield | 3.0% | |
| Investment Grade Fixed-Income Funds | 35.4% | |
| Short-Term Funds | 21.4% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2018 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 39.8% | |||
Shares | Value | ||
Domestic Equity Funds - 35.6% | |||
Fidelity 100 Index Fund | 23,668 | $ 235,493 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 11,845 | 187,389 | |
Fidelity Broad Market Opportunities Fund | 32,402 | 310,407 | |
Fidelity Disciplined Equity Fund | 7,240 | 196,780 | |
Fidelity Equity Income Fund | 3,766 | 196,760 | |
Fidelity Large Cap Core Enhanced Index Fund | 33,167 | 314,420 | |
Fidelity Small Cap Opportunities Fund | 14,381 | 122,813 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,564,062 | ||
International Equity Funds - 4.2% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 4,708 | 182,820 | |
TOTAL EQUITY FUNDS (Cost $1,904,742) | 1,746,882 | ||
Fixed-Income Funds - 39.3% | |||
High Yield Fixed-Income Funds - 3.3% | |||
Fidelity Capital & Income Fund | 8,444 | 70,677 | |
Fidelity Strategic Income Fund | 7,026 | 73,637 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 144,314 | ||
Investment Grade Fixed-Income Funds - 36.0% | |||
Fidelity Government Income Fund | 30,382 | 321,139 | |
Fidelity Strategic Real Return Fund | 31,176 | 315,505 | |
Fidelity Total Bond Fund | 90,969 | 947,898 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 1,584,542 | ||
TOTAL FIXED-INCOME FUNDS (Cost $1,712,584) | 1,728,856 | ||
Short-Term Funds - 20.9% | |||
Fidelity Institutional Money Market Fund Institutional Class | 457,834 | 457,834 | |
Fidelity Short-Term Bond Fund | 53,250 | 459,013 | |
TOTAL SHORT-TERM FUNDS (Cost $917,687) | 916,847 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $4,535,013) | $ 4,392,585 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2018 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $4,535,013) - See accompanying schedule | $ 4,392,585 | |
Cash | 7 | |
Receivable for investments sold | 10,002 | |
Total assets | 4,402,594 | |
Liabilities | ||
Payable for fund shares redeemed | $ 10,003 | |
Distribution fees payable | 232 | |
Total liabilities | 10,235 | |
Net Assets | $ 4,392,359 | |
Net Assets consist of: | ||
Paid in capital | $ 4,522,479 | |
Undistributed net investment income | 2,412 | |
Accumulated undistributed net realized gain (loss) on investments | 9,896 | |
Net unrealized appreciation | (142,428) | |
Net Assets | $ 4,392,359 | |
Calculation of Maximum Offering Price Class A: | $ 49.41 | |
Maximum offering price per share (100/94.25 of $49.41) | $ 52.42 | |
Class T: | $ 49.42 | |
Maximum offering price per share (100/96.50 of $49.42) | $ 51.21 | |
Class C: | $ 49.39 | |
Income Replacement 2018: | $ 49.42 | |
Institutional Class: | $ 49.42 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 32,223 | |
Interest | 162 | |
Total income | 32,385 | |
Expenses | ||
Distribution fees | $ 941 | |
Independent trustees' compensation | 2 | |
Total expenses before reductions | 943 | |
Expense reductions | (2) | 941 |
Net investment income (loss) | 31,444 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of | (13,657) | |
Capital gain distributions from | 31,681 | 18,024 |
Change in net unrealized appreciation (depreciation) on underlying funds | (142,428) | |
Net gain (loss) | (124,404) | |
Net increase (decrease) in net assets resulting from operations | $ (92,960) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 31,444 |
Net realized gain (loss) | 18,024 |
Change in net unrealized appreciation (depreciation) | (142,428) |
Net in net assets resulting from operations | (92,960) |
Distributions to from net investment income | (29,032) |
Distributions to from net realized gain | (8,128) |
Total distributions | (37,160) |
Share transactions - net increase (decrease) | 4,522,479 |
Total increase (decrease) in net assets | 4,392,359 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $2,412) | $ 4,392,359 |
Financial Highlights - Class A
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .696 |
Net realized and unrealized gain (loss) | (.591) |
Total from investment operations | .105 |
Distributions from net investment income | (.565) |
Distributions from net realized gain | (.130) |
Total distributions | (.695) |
Net asset value, end of period | $ 49.41 |
Total Return B, C, D | .17% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.34% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 429 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .663 |
Net realized and unrealized gain (loss) | (.603) |
Total from investment operations | .060 |
Distributions from net investment income | (.510) |
Distributions from net realized gain | (.130) |
Total distributions | (.640) |
Net asset value, end of period | $ 49.42 |
Total Return B, C, D | .09% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 3.09% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 124 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .551 |
Net realized and unrealized gain (loss) | (.601) |
Total from investment operations | (.050) |
Distributions from net investment income | (.430) |
Distributions from net realized gain | (.130) |
Total distributions | (.560) |
Net asset value, end of period | $ 49.39 |
Total Return B, C, D | (.13)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.59% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 213 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2018
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .746 |
Net realized and unrealized gain (loss) | (.583) |
Total from investment operations | .163 |
Distributions from net investment income | (.613) |
Distributions from net realized gain | (.130) |
Total distributions | (.743) |
Net asset value, end of period | $ 49.42 |
Total Return B, C | .29% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.59% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,477 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .767 |
Net realized and unrealized gain (loss) | (.604) |
Total from investment operations | .163 |
Distributions from net investment income | (.613) |
Distributions from net realized gain | (.130) |
Total distributions | (.743) |
Net asset value, end of period | $ 49.42 |
Total Return B, C | .29% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.59% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 151 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2020 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.0 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4.7 |
Fidelity Broad Market Opportunities Fund | 7.9 |
Fidelity Disciplined Equity Fund | 4.9 |
Fidelity Equity Income Fund | 4.9 |
Fidelity Large Cap Core Enhanced Index Fund | 7.9 |
Fidelity Small Cap Opportunities Fund | 3.1 |
39.4 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 5.3 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 1.9 |
Fidelity Strategic Income Fund | 2.0 |
3.9 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.7 |
Fidelity Strategic Real Return Fund | 6.7 |
Fidelity Total Bond Fund | 20.1 |
33.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 8.9 |
Fidelity Short-Term Bond Fund | 9.0 |
17.9 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 39.4% | |
| International Equity Funds | 5.3% | |
| High Yield Fixed-Income Funds | 3.9% | |
| Investment Grade Fixed-Income Funds | 33.5% | |
| Short-Term Funds | 17.9% | |
Expected | |||
| Domestic Equity Funds | 39.6% | |
| International Equity Funds | 5.0% | |
| High Yield Fixed-Income Funds | 3.7% | |
| Investment Grade Fixed-Income Funds | 33.2% | |
| Short-Term Funds | 18.5% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2020 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 44.7% | |||
Shares | Value | ||
Domestic Equity Funds - 39.4% | |||
Fidelity 100 Index Fund | 7,506 | $ 74,689 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,754 | 59,383 | |
Fidelity Broad Market Opportunities Fund | 10,328 | 98,943 | |
Fidelity Disciplined Equity Fund | 2,285 | 62,098 | |
Fidelity Equity Income Fund | 1,173 | 61,271 | |
Fidelity Large Cap Core Enhanced Index Fund | 10,494 | 99,482 | |
Fidelity Small Cap Opportunities Fund | 4,510 | 38,514 | |
TOTAL DOMESTIC EQUITY FUNDS | 494,380 | ||
International Equity Funds - 5.3% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 1,691 | 65,647 | |
TOTAL EQUITY FUNDS (Cost $585,232) | 560,027 | ||
Fixed-Income Funds - 37.4% | |||
High Yield Fixed-Income Funds - 3.9% | |||
Fidelity Capital & Income Fund | 2,865 | 23,978 | |
Fidelity Strategic Income Fund | 2,345 | 24,571 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 48,549 | ||
Investment Grade Fixed-Income Funds - 33.5% | |||
Fidelity Government Income Fund | 7,990 | 84,459 | |
Fidelity Strategic Real Return Fund | 8,321 | 84,207 | |
Fidelity Total Bond Fund | 24,199 | 252,157 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 420,823 | ||
TOTAL FIXED-INCOME FUNDS (Cost $465,693) | 469,372 | ||
Short-Term Funds - 17.9% | |||
Fidelity Institutional Money Market Fund Institutional Class | 111,174 | 111,174 | |
Fidelity Short-Term Bond Fund | 13,158 | 113,424 | |
TOTAL SHORT-TERM FUNDS (Cost $225,096) | 224,598 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,276,021) | $ 1,253,997 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2020 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,276,021) - See accompanying schedule | $ 1,253,997 | |
Cash | 72 | |
Receivable for fund shares sold | 100,000 | |
Total assets | 1,354,069 | |
Liabilities | ||
Payable for investments purchased | $ 99,982 | |
Distribution fees payable | 217 | |
Total liabilities | 100,199 | |
Net Assets | $ 1,253,870 | |
Net Assets consist of: | ||
Paid in capital | $ 1,268,952 | |
Undistributed net investment income | 496 | |
Accumulated undistributed net realized gain (loss) on investments | 6,446 | |
Net unrealized appreciation | (22,024) | |
Net Assets | $ 1,253,870 | |
Calculation of Maximum Offering Price Net Asset Value and redemption price per share ($179,973 ÷ 3,661.5 shares) | $ 49.15 | |
Maximum offering price per share (100/94.25 of $49.15) | $ 52.15 | |
Class T: | $ 49.14 | |
Maximum offering price per share (100/96.50 of $49.14) | $ 50.92 | |
Class C: | $ 49.13 | |
Income Replacement 2020: | $ 49.15 | |
Institutional Class: | $ 49.15 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 9,207 | |
Interest | 106 | |
Total income | 9,313 | |
Expenses | ||
Distribution fees | $ 917 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 918 | |
Expense reductions | (1) | 917 |
Net investment income (loss) | 8,396 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (486) | |
Capital gain distributions from underlying funds | 9,414 | 8,928 |
Change in net unrealized appreciation (depreciation) on underlying funds | (22,024) | |
Net gain (loss) | (13,096) | |
Net increase (decrease) in net assets resulting from operations | $ (4,700) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 8,396 |
Net realized gain (loss) | 8,928 |
Change in net unrealized appreciation (depreciation) | (22,024) |
Net in net assets resulting from operations | (4,700) |
Distributions to from net investment income | (7,900) |
Distributions to from net realized gain | (2,482) |
Total distributions | (10,382) |
Share transactions - net increase (decrease) | 1,268,952 |
Total increase (decrease) in net assets | 1,253,870 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $496) | $ 1,253,870 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .676 |
Net realized and unrealized gain (loss) | (.751) |
Total from investment operations | (.075) |
Distributions from net investment income | (.605) |
Distributions from net realized gain | (.170) |
Total distributions | (.775) |
Net asset value, end of period | $ 49.15 |
Total Return B, C, D | (.20)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 180 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .615 |
Net realized and unrealized gain (loss) | (.746) |
Total from investment operations | (.131) |
Distributions from net investment income | (.559) |
Distributions from net realized gain | (.170) |
Total distributions | (.729) |
Net asset value, end of period | $ 49.14 |
Total Return B, C, D | (.31)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.92% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 146 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .517 |
Net realized and unrealized gain (loss) | (.752) |
Total from investment operations | (.235) |
Distributions from net investment income | (.465) |
Distributions from net realized gain | (.170) |
Total distributions | (.635) |
Net asset value, end of period | $ 49.13 |
Total Return B, C, D | (.51)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.42% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 148 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2020
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .706 |
Net realized and unrealized gain (loss) | (.728) |
Total from investment operations | (.022) |
Distributions from net investment income | (.658) |
Distributions from net realized gain | (.170) |
Total distributions | (.828) |
Net asset value, end of period | $ 49.15 |
Total Return B, C | (.10)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.42% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 680 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .738 |
Net realized and unrealized gain (loss) | (.760) |
Total from investment operations | (.022) |
Distributions from net investment income | (.658) |
Distributions from net realized gain | (.170) |
Total distributions | (.828) |
Net asset value, end of period | $ 49.15 |
Total Return B, C | (.10)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.42% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2022 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.2 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4.9 |
Fidelity Broad Market Opportunities Fund | 8.1 |
Fidelity Disciplined Equity Fund | 5.1 |
Fidelity Equity Income Fund | 5.1 |
Fidelity Large Cap Core Enhanced Index Fund | 8.2 |
Fidelity Small Cap Opportunities Fund | 3.2 |
40.8 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 5.8 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.1 |
Fidelity Strategic Income Fund | 2.2 |
4.3 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.6 |
Fidelity Strategic Real Return Fund | 6.4 |
Fidelity Total Bond Fund | 19.5 |
32.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 8.2 |
Fidelity Short-Term Bond Fund | 8.4 |
16.6 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 40.8% | |
| International | 5.8% | |
| High Yield | 4.3% | |
| Investment Grade Fixed-Income Funds | 32.5% | |
| Short-Term Funds | 16.6% | |
Expected | |||
| Domestic Equity Funds | 41.8% | |
| International | 5.8% | |
| High Yield | 4.1% | |
| Investment Grade Fixed-Income Funds | 31.7% | |
| Short-Term Funds | 16.6% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2022 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 46.6% | |||
Shares | Value | ||
Domestic Equity Funds - 40.8% | |||
Fidelity 100 Index Fund | 22,898 | $ 227,830 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 11,403 | 180,391 | |
Fidelity Broad Market Opportunities Fund | 31,233 | 299,208 | |
Fidelity Disciplined Equity Fund | 6,973 | 189,534 | |
Fidelity Equity Income Fund | 3,624 | 189,356 | |
Fidelity Large Cap Core Enhanced Index Fund | 32,121 | 304,509 | |
Fidelity Small Cap Opportunities Fund | 13,808 | 117,918 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,508,746 | ||
International Equity Funds - 5.8% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 5,495 | 213,379 | |
TOTAL EQUITY FUNDS (Cost $1,869,637) | 1,722,125 | ||
Fixed-Income Funds - 36.8% | |||
High Yield Fixed-Income Funds - 4.3% | |||
Fidelity Capital & Income Fund | 9,343 | 78,200 | |
Fidelity Strategic Income Fund | 7,761 | 81,333 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 159,533 | ||
Investment Grade Fixed-Income Funds - 32.5% | |||
Fidelity Government Income Fund | 23,039 | 243,520 | |
Fidelity Strategic Real Return Fund | 23,575 | 238,580 | |
Fidelity Total Bond Fund | 69,003 | 719,009 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 1,201,109 | ||
TOTAL FIXED-INCOME FUNDS (Cost $1,353,031) | 1,360,642 | ||
Short-Term Funds - 16.6% | |||
Fidelity Institutional Money Market Fund Institutional Class | 303,453 | 303,453 | |
Fidelity Short-Term Bond Fund | 35,670 | 307,477 | |
TOTAL SHORT-TERM FUNDS (Cost $611,644) | 610,930 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $3,834,312) | $ 3,693,697 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2022 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $3,834,312) - See accompanying schedule | $ 3,693,697 | |
Cash | 72 | |
Receivable for fund shares sold | 39,786 | |
Total assets | 3,733,555 | |
Liabilities | ||
Payable for investments purchased | $ 36,552 | |
Distribution fees payable | 153 | |
Total liabilities | 36,705 | |
Net Assets | $ 3,696,850 | |
Net Assets consist of: | ||
Paid in capital | $ 3,817,363 | |
Undistributed net investment income | 1,240 | |
Accumulated undistributed net | 18,862 | |
Net unrealized appreciation | (140,615) | |
Net Assets | $ 3,696,850 | |
Calculation of Maximum Offering Price Net Asset Value and redemption price per share ($191,577 ÷ 3,897 shares) | $ 49.16 | |
Maximum offering price per share (100/94.25 of $49.16) | $ 52.16 | |
Class T: | $ 49.16 | |
Maximum offering price per share (100/96.50 of $49.16) | $ 50.94 | |
Class C: | $ 49.15 | |
Income Replacement 2022: | $ 49.17 | |
Institutional Class: | $ 49.16 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 27,471 | |
Interest | 108 | |
Total income | 27,579 | |
Expenses | ||
Distribution fees | $ 763 | |
Independent trustees' compensation | 2 | |
Total expenses before reductions | 765 | |
Expense reductions | (2) | 763 |
Net investment income (loss) | 26,816 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (9,177) | |
Capital gain distributions from underlying funds | 37,131 | 27,954 |
Change in net unrealized appreciation (depreciation) on underlying funds | (140,615) | |
Net gain (loss) | (112,661) | |
Net increase (decrease) in net assets resulting from operations | $ (85,845) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 26,816 |
Net realized gain (loss) | 27,954 |
Change in net unrealized appreciation (depreciation) | (140,615) |
Net in net assets resulting from operations | (85,845) |
Distributions to from net investment income | (25,576) |
Distributions to from net realized gain | (9,092) |
Total distributions | (34,668) |
Share transactions - net increase (decrease) | 3,817,363 |
Total increase (decrease) in net assets | 3,696,850 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $1,240) | $ 3,696,850 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .693 |
Net realized and unrealized gain (loss) | (.843) |
Total from investment operations | (.150) |
Distributions from net investment income | (.520) |
Distributions from net realized gain | (.170) |
Total distributions | (.690) |
Net asset value, end of period | $ 49.16 |
Total Return B, C, D | (.34)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.25% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 192 |
Portfolio turnover rate | 86% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .646 |
Net realized and unrealized gain (loss) | (.848) |
Total from investment operations | (.202) |
Distributions from net investment income | (.468) |
Distributions from net realized gain | (.170) |
Total distributions | (.638) |
Net asset value, end of period | $ 49.16 |
Total Return B, C, D | (.45)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.99% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 86%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .539 |
Net realized and unrealized gain (loss) | (.847) |
Total from investment operations | (.308) |
Distributions from net investment income | (.372) |
Distributions from net realized gain | (.170) |
Total distributions | (.542) |
Net asset value, end of period | $ 49.15 |
Total Return B, C, D | (.65)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.50% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 86%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2022
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .725 |
Net realized and unrealized gain (loss) | (.814) |
Total from investment operations | (.089) |
Distributions from net investment income | (.571) |
Distributions from net realized gain | (.170) |
Total distributions | (.741) |
Net asset value, end of period | $ 49.17 |
Total Return B, C | (.23)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.49% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,018 |
Portfolio turnover rate | 86% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .741 |
Net realized and unrealized gain (loss) | (.840) |
Total from investment operations | (.099) |
Distributions from net investment income | (.571) |
Distributions from net realized gain | (.170) |
Total distributions | (.741) |
Net asset value, end of period | $ 49.16 |
Total Return B, C | (.25)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.49% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 288 |
Portfolio turnover rate | 86% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2024 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.4 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.2 |
Fidelity Broad Market Opportunities Fund | 8.5 |
Fidelity Disciplined Equity Fund | 5.4 |
Fidelity Equity Income Fund | 5.3 |
Fidelity Large Cap Core Enhanced Index Fund | 8.5 |
Fidelity Small Cap Opportunities Fund | 3.3 |
42.6 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 6.7 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.3 |
Fidelity Strategic Income Fund | 2.4 |
4.7 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.3 |
Fidelity Strategic Real Return Fund | 6.3 |
Fidelity Total Bond Fund | 18.4 |
31.0 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 7.4 |
Fidelity Short-Term Bond Fund | 7.6 |
15.0 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 42.6% | |
| International | 6.7% | |
| High Yield | 4.7% | |
| Investment Grade Fixed-Income Funds | 31.0% | |
| Short-Term Funds | 15.0% | |
Expected | |||
| Domestic Equity Funds | 43.4% | |
| International | 6.6% | |
| High Yield | 4.5% | |
| Investment Grade Fixed-Income Funds | 30.3% | |
| Short-Term Funds | 15.2% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2024 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 49.3% | |||
Shares | Value | ||
Domestic Equity Funds - 42.6% | |||
Fidelity 100 Index Fund | 7,023 | $ 69,876 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,552 | 56,198 | |
Fidelity Broad Market Opportunities Fund | 9,668 | 92,624 | |
Fidelity Disciplined Equity Fund | 2,157 | 58,621 | |
Fidelity Equity Income Fund | 1,104 | 57,691 | |
Fidelity Large Cap Core Enhanced Index Fund | 9,839 | 93,270 | |
Fidelity Small Cap Opportunities Fund | 4,238 | 36,190 | |
TOTAL DOMESTIC EQUITY FUNDS | 464,470 | ||
International Equity Funds - 6.7% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 1,898 | 73,707 | |
TOTAL EQUITY FUNDS (Cost $571,412) | 538,177 | ||
Fixed-Income Funds - 35.7% | |||
High Yield Fixed-Income Funds - 4.7% | |||
Fidelity Capital & Income Fund | 2,990 | 25,026 | |
Fidelity Strategic Income Fund | 2,474 | 25,930 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 50,956 | ||
Investment Grade Fixed-Income Funds - 31.0% | |||
Fidelity Government Income Fund | 6,501 | 68,719 | |
Fidelity Strategic Real Return Fund | 6,743 | 68,236 | |
Fidelity Total Bond Fund | 19,297 | 201,075 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 338,030 | ||
TOTAL FIXED-INCOME FUNDS (Cost $384,994) | 388,986 | ||
Short-Term Funds - 15.0% | |||
Fidelity Institutional Money Market Fund Institutional Class | 81,099 | 81,099 | |
Fidelity Short-Term Bond Fund | 9,619 | 82,916 | |
TOTAL SHORT-TERM FUNDS (Cost $164,243) | 164,015 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,120,649) | $ 1,091,178 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2024 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,120,649) - See accompanying schedule | $ 1,091,178 | |
Cash | 72 | |
Receivable for fund shares sold | 26,000 | |
Total assets | 1,117,250 | |
Liabilities | ||
Payable for investments purchased | $ 26,001 | |
Distribution fees payable | 171 | |
Total liabilities | 26,172 | |
Net Assets | $ 1,091,078 | |
Net Assets consist of: | ||
Paid in capital | $ 1,113,191 | |
Undistributed net investment income | 435 | |
Accumulated undistributed net realized gain (loss) on investments | 6,923 | |
Net unrealized appreciation | (29,471) | |
Net Assets | $ 1,091,078 | |
Calculation of Maximum Offering Price Net Asset Value and redemption | $ 49.13 | |
Maximum offering price per share (100/94.25 of $49.13) | $ 52.13 | |
Class T: | $ 49.13 | |
Maximum offering price per share (100/96.50 of $49.13) | $ 50.91 | |
Class C: | $ 49.12 | |
Income Replacement 2024: | $ 49.14 | |
Institutional Class: | $ 49.14 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 9,058 | |
Interest | 72 | |
Total income | 9,130 | |
Expenses | ||
Distribution fees | $ 805 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 806 | |
Expense reductions | (1) | 805 |
Net investment income (loss) | 8,325 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (1,178) | |
Capital gain distributions from underlying funds | 10,997 | 9,819 |
Change in net unrealized appreciation (depreciation) on underlying funds | (29,471) | |
Net gain (loss) | (19,652) | |
Net increase (decrease) in net assets resulting from operations | $ (11,327) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 8,325 |
Net realized gain (loss) | 9,819 |
Change in net unrealized appreciation (depreciation) | (29,471) |
Net in net assets resulting from operations | (11,327) |
Distributions to from net investment income | (7,890) |
Distributions to from net realized gain | (2,896) |
Total distributions | (10,786) |
Share transactions - net increase (decrease) | 1,113,191 |
Total increase (decrease) in net assets | 1,091,078 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $435) | $ 1,091,078 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .643 |
Net realized and unrealized gain (loss) | (.790) |
Total from investment operations | (.147) |
Distributions from net investment income | (.553) |
Distributions from net realized gain | (.170) |
Total distributions | (.723) |
Net asset value, end of period | $ 49.13 |
Total Return B, C | (.35)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.03% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 221 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .600 |
Net realized and unrealized gain (loss) | (.801) |
Total from investment operations | (.201) |
Distributions from net investment income | (.499) |
Distributions from net realized gain | (.170) |
Total distributions | (.669) |
Net asset value, end of period | $ 49.13 |
Total Return B, C | (.45)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.78% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .492 |
Net realized and unrealized gain (loss) | (.806) |
Total from investment operations | (.314) |
Distributions from net investment income | (.396) |
Distributions from net realized gain | (.170) |
Total distributions | (.566) |
Net asset value, end of period | $ 49.12 |
Total Return B, C | (.67)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.28% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31,2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2024
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .682 |
Net realized and unrealized gain (loss) | (.769) |
Total from investment operations | (.087) |
Distributions from net investment income | (.603) |
Distributions from net realized gain | (.170) |
Total distributions | (.773) |
Net asset value, end of period | $ 49.14 |
Total Return B | (.23)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.28% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 571 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .708 |
Net realized and unrealized gain (loss) | (.795) |
Total from investment operations | (.087) |
Distributions from net investment income | (.603) |
Distributions from net realized gain | (.170) |
Total distributions | (.773) |
Net asset value, end of period | $ 49.14 |
Total Return B | (.23)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.28% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2026 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.6 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.2 |
Fidelity Broad Market Opportunities Fund | 8.6 |
Fidelity Disciplined Equity Fund | 5.5 |
Fidelity Equity Income Fund | 5.4 |
Fidelity Large Cap Core Enhanced Index Fund | 8.8 |
Fidelity Small Cap Opportunities Fund | 3.3 |
43.4 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 7.4 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.4 |
Fidelity Strategic Income Fund | 2.5 |
4.9 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.2 |
Fidelity Strategic Real Return Fund | 6.1 |
Fidelity Total Bond Fund | 18.2 |
30.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 6.8 |
Fidelity Short-Term Bond Fund | 7.0 |
13.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 43.4% | |
| International Equity Funds | 7.4% | |
| High Yield Fixed-Income Funds | 4.9% | |
| Investment Grade Fixed-Income Funds | 30.5% | |
| Short-Term Funds | 13.8% | |
Expected | |||
| Domestic Equity Funds | 44.5% | |
| International Equity Funds | 7.4% | |
| High Yield Fixed-Income Funds | 4.8% | |
| Investment Grade Fixed-Income Funds | 29.5% | |
| Short-Term Funds | 13.8% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2026 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 50.8% | |||
Shares | Value | ||
Domestic Equity Funds - 43.4% | |||
Fidelity 100 Index Fund | 7,522 | $ 74,844 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,767 | 59,600 | |
Fidelity Broad Market Opportunities Fund | 10,282 | 98,499 | |
Fidelity Disciplined Equity Fund | 2,307 | 62,708 | |
Fidelity Equity Income Fund | 1,178 | 61,540 | |
Fidelity Large Cap Core Enhanced Index Fund | 10,544 | 99,957 | |
Fidelity Small Cap Opportunities Fund | 4,480 | 38,263 | |
TOTAL DOMESTIC EQUITY FUNDS | 495,411 | ||
International Equity Funds - 7.4% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 2,178 | 84,560 | |
TOTAL EQUITY FUNDS (Cost $627,496) | 579,971 | ||
Fixed-Income Funds - 35.4% | |||
High Yield Fixed-Income Funds - 4.9% | |||
Fidelity Capital & Income Fund | 3,308 | 27,687 | |
Fidelity Strategic Income Fund | 2,749 | 28,805 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 56,492 | ||
Investment Grade Fixed-Income Funds - 30.5% | |||
Fidelity Government Income Fund | 6,678 | 70,585 | |
Fidelity Strategic Real Return Fund | 6,871 | 69,530 | |
Fidelity Total Bond Fund | 19,990 | 208,291 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 348,406 | ||
TOTAL FIXED-INCOME FUNDS (Cost $401,333) | 404,898 | ||
Short-Term Funds - 13.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 77,955 | 77,955 | |
Fidelity Short-Term Bond Fund | 9,192 | 79,235 | |
TOTAL SHORT-TERM FUNDS (Cost $157,453) | 157,190 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,186,282) | $ 1,142,059 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2026 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,186,282) - See accompanying schedule | $ 1,142,059 | |
Cash | 72 | |
Receivable for investments sold | 873 | |
Receivable for fund shares sold | 29,950 | |
Total assets | 1,172,954 | |
Liabilities | ||
Payable for investments purchased | $ 29,888 | |
Payable for fund shares redeemed | 936 | |
Distribution fees payable | 334 | |
Total liabilities | 31,158 | |
Net Assets | $ 1,141,796 | |
Net Assets consist of: | ||
Paid in capital | $ 1,173,941 | |
Undistributed net investment income | 431 | |
Accumulated undistributed net realized gain (loss) on investments | 11,647 | |
Net unrealized appreciation | (44,223) | |
Net Assets | $ 1,141,796 | |
Calculation of Maximum Offering Price Class A: | $ 48.95 | |
Maximum offering price per share (100/94.25 of $48.95) | $ 51.94 | |
Class T: | $ 48.95 | |
Maximum offering price per share (100/96.50 of $48.95) | $ 50.73 | |
Class C: | $ 48.92 | |
Income Replacement 2026: | $ 48.95 | |
Institutional Class: | $ 48.95 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 11,080 | |
Interest | 110 | |
Total income | 11,190 | |
Expenses | ||
Distribution fees | $ 1,224 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 1,225 | |
Expense reductions | (1) | 1,224 |
Net investment income (loss) | 9,966 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (337) | |
Capital gain distributions from underlying funds | 15,690 | 15,353 |
Change in net unrealized appreciation (depreciation) on underlying funds | (44,223) | |
Net gain (loss) | (28,870) | |
Net increase (decrease) in net assets resulting from operations | $ (18,904) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | (Unaudited) |
Operations | |
Net investment income (loss) | $ 9,966 |
Net realized gain (loss) | 15,353 |
Change in net unrealized appreciation (depreciation) | (44,223) |
Net in net assets resulting from operations | (18,904) |
Distributions to from net investment income | (9,535) |
Distributions to from net realized gain | (3,706) |
Total distributions | (13,241) |
Share transactions - net increase (decrease) | 1,173,941 |
Total increase (decrease) in net assets | 1,141,796 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $431) | $ 1,141,796 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .675 |
Net realized and unrealized gain (loss) | (.974) |
Total from investment operations | (.299) |
Distributions from net investment income | (.571) |
Distributions from net realized gain | (.180) |
Total distributions | (.751) |
Net asset value, end of period | $ 48.95 |
Total Return B, C, D | (.65)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.13% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 112 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .622 |
Net realized and unrealized gain (loss) | (.973) |
Total from investment operations | (.351) |
Distributions from net investment income | (.519) |
Distributions from net realized gain | (.180) |
Total distributions | (.699) |
Net asset value, end of period | $ 48.95 |
Total Return B, C, D | (.76)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.88% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .502 |
Net realized and unrealized gain (loss) | (.962) |
Total from investment operations | (.460) |
Distributions from net investment income | (.440) |
Distributions from net realized gain | (.180) |
Total distributions | (.620) |
Net asset value, end of period | $ 48.92 |
Total Return B, C, D | (.97)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.38% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 320 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2026
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .709 |
Net realized and unrealized gain (loss) | (.957) |
Total from investment operations | (.248) |
Distributions from net investment income | (.622) |
Distributions from net realized gain | (.180) |
Total distributions | (.802) |
Net asset value, end of period | $ 48.95 |
Total Return B, C | (.56)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.39% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 511 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .731 |
Net realized and unrealized gain (loss) | (.979) |
Total from investment operations | (.248) |
Distributions from net investment income | (.622) |
Distributions from net realized gain | (.180) |
Total distributions | (.802) |
Net asset value, end of period | $ 48.95 |
Total Return B, C | (.56)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.38% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2028 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.8 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.4 |
Fidelity Broad Market Opportunities Fund | 8.9 |
Fidelity Disciplined Equity Fund | 5.6 |
Fidelity Equity Income Fund | 5.6 |
Fidelity Large Cap Core Enhanced Index Fund | 9.0 |
Fidelity Small Cap Opportunities Fund | 3.6 |
44.9 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 8.1 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.6 |
Fidelity Strategic Income Fund | 2.6 |
5.2 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.8 |
Fidelity Strategic Real Return Fund | 5.8 |
Fidelity Total Bond Fund | 17.4 |
29.0 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 6.5 |
Fidelity Short-Term Bond Fund | 6.3 |
12.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 44.9% | |
| International Equity Funds | 8.1% | |
| High Yield Fixed-Income Funds | 5.2% | |
| Investment Grade Fixed-Income Funds | 29.0% | |
| Short-Term Funds | 12.8% | |
Expected | |||
| Domestic Equity Funds | 45.5% | |
| International Equity Funds | 8.2% | |
| High Yield Fixed-Income Funds | 5.0% | |
| Investment Grade Fixed-Income Funds | 28.3% | |
| Short-Term Funds | 13.0% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2028 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 53.0% | |||
Shares | Value | ||
Domestic Equity Funds - 44.9% | |||
Fidelity 100 Index Fund | 30,242 | $ 300,908 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 15,056 | 238,185 | |
Fidelity Broad Market Opportunities Fund | 41,152 | 394,233 | |
Fidelity Disciplined Equity Fund | 9,128 | 248,101 | |
Fidelity Equity Income Fund | 4,807 | 251,166 | |
Fidelity Large Cap Core Enhanced Index Fund | 41,940 | 397,591 | |
Fidelity Small Cap Opportunities Fund | 18,540 | 158,332 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,988,516 | ||
International Equity Funds - 8.1% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 9,242 | 358,868 | |
TOTAL EQUITY FUNDS (Cost $2,466,982) | 2,347,384 | ||
Fixed-Income Funds - 34.2% | |||
High Yield Fixed-Income Funds - 5.2% | |||
Fidelity Capital & Income Fund | 13,677 | 114,480 | |
Fidelity Strategic Income Fund | 11,202 | 117,399 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 231,879 | ||
Investment Grade Fixed-Income Funds - 29.0% | |||
Fidelity Government Income Fund | 24,471 | 258,654 | |
Fidelity Strategic Real Return Fund | 25,356 | 256,601 | |
Fidelity Total Bond Fund | 73,858 | 769,596 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 1,284,851 | ||
TOTAL FIXED-INCOME FUNDS (Cost $1,509,876) | 1,516,730 | ||
Short-Term Funds - 12.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 286,999 | 286,999 | |
Fidelity Short-Term Bond Fund | 32,735 | 282,178 | |
TOTAL SHORT-TERM FUNDS (Cost $569,627) | 569,177 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $4,546,485) | $ 4,433,291 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2028 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $4,546,485) - See accompanying schedule | $ 4,433,291 | |
Cash | 72 | |
Receivable for fund shares sold | 200,000 | |
Total assets | 4,633,363 | |
Liabilities | ||
Payable for investments purchased | $ 199,998 | |
Distribution fees payable | 171 | |
Total liabilities | 200,169 | |
Net Assets | $ 4,433,194 | |
Net Assets consist of: | ||
Paid in capital | $ 4,524,046 | |
Undistributed net investment income | 1,904 | |
Accumulated undistributed net realized gain (loss) on investments | 20,438 | |
Net unrealized appreciation | (113,194) | |
Net Assets | $ 4,433,194 | |
Calculation of Maximum Offering Price Class A: | $ 49.04 | |
Maximum offering price per share (100/94.25 of $49.04) | $ 52.03 | |
Class T: | $ 49.03 | |
Maximum offering price per share (100/96.50 of $49.03) | $ 50.81 | |
Class C: | $ 49.03 | |
Income Replacement 2028: | $ 49.04 | |
Institutional Class: | $ 49.04 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 21,890 | |
Interest | 119 | |
Total income | 22,009 | |
Expenses | ||
Distribution fees | $ 803 | |
Independent trustees' compensation | 2 | |
Total expenses before reductions | 805 | |
Expense reductions | (2) | 803 |
Net investment income (loss) | 21,206 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (4,058) | |
Capital gain distributions from underlying funds | 33,100 | 29,042 |
Change in net unrealized appreciation (depreciation) on underlying funds | (113,194) | |
Net gain (loss) | (84,152) | |
Net increase (decrease) in net assets resulting from operations | $ (62,946) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 21,206 |
Net realized gain (loss) | 29,042 |
Change in net unrealized appreciation (depreciation) | (113,194) |
Net in net assets resulting from operations | (62,946) |
Distributions to from net investment income | (19,302) |
Distributions to from net realized gain | (8,604) |
Total distributions | (27,906) |
Share transactions - net increase (decrease) | 4,524,046 |
Total increase (decrease) in net assets | 4,433,194 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $1,904) | $ 4,433,194 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .657 |
Net realized and unrealized gain (loss) | (.988) |
Total from investment operations | (.331) |
Distributions from net investment income | (.469) |
Distributions from net realized gain | (.160) |
Total distributions | (.629) |
Net asset value, end of period | $ 49.04 |
Total Return B, C, D | (.71)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.04% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .598 |
Net realized and unrealized gain (loss) | (.985) |
Total from investment operations | (.387) |
Distributions from net investment income | (.423) |
Distributions from net realized gain | (.160) |
Total distributions | (.583) |
Net asset value, end of period | $ 49.03 |
Total Return B, C, D | (.82)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.79% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 160 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .495 |
Net realized and unrealized gain (loss) | (.987) |
Total from investment operations | (.492) |
Distributions from net investment income | (.318) |
Distributions from net realized gain | (.160) |
Total distributions | (.478) |
Net asset value, end of period | $ 49.03 |
Total Return B, C, D | (1.02)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00%A |
Expenses net of all reductions | 1.00%A |
Net investment income (loss) | 2.29%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 53%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2028
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .670 |
Net realized and unrealized gain (loss) | (.949) |
Total from investment operations | (.279) |
Distributions from net investment income | (.521) |
Distributions from net realized gain | (.160) |
Total distributions | (.681) |
Net asset value, end of period | $ 49.04 |
Total Return B, C | (.61)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.29% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,975 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .712 |
Net realized and unrealized gain (loss) | (.991) |
Total from investment operations | (.279) |
Distributions from net investment income | (.521) |
Distributions from net realized gain | (.160) |
Total distributions | (.681) |
Net asset value, end of period | $ 49.04 |
Total Return B, C | (.61)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.29% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2030 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.8 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.4 |
Fidelity Broad Market Opportunities Fund | 8.9 |
Fidelity Disciplined Equity Fund | 5.7 |
Fidelity Equity Income Fund | 5.5 |
Fidelity Large Cap Core Enhanced Index Fund | 9.1 |
Fidelity Small Cap Opportunities Fund | 3.4 |
44.8 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 9.1 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.7 |
Fidelity Strategic Income Fund | 2.8 |
5.5 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.9 |
Fidelity Strategic Real Return Fund | 5.8 |
Fidelity Total Bond Fund | 17.4 |
29.1 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 5.6 |
Fidelity Short-Term Bond Fund | 5.9 |
11.5 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 44.8% | |
| International Equity Funds | 9.1% | |
| High Yield Fixed-Income Funds | 5.5% | |
| Investment Grade Fixed-Income Funds | 29.1% | |
| Short-Term Funds | 11.5% | |
Expected | |||
| Domestic Equity Funds | 46.3% | |
| International Equity Funds | 8.9% | |
| High Yield Fixed-Income Funds | 5.3% | |
| Investment Grade Fixed-Income Funds | 27.8% | |
| Short-Term Funds | 11.7% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2030 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 53.9% | |||
Shares | Value | ||
Domestic Equity Funds - 44.8% | |||
Fidelity 100 Index Fund | 4,447 | $ 44,251 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 2,249 | 35,583 | |
Fidelity Broad Market Opportunities Fund | 6,109 | 58,524 | |
Fidelity Disciplined Equity Fund | 1,379 | 37,485 | |
Fidelity Equity Income Fund | 689 | 35,985 | |
Fidelity Large Cap Core Enhanced Index Fund | 6,251 | 59,259 | |
Fidelity Small Cap Opportunities Fund | 2,623 | 22,399 | |
TOTAL DOMESTIC EQUITY FUNDS | 293,486 | ||
International Equity Funds - 9.1% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 1,536 | 59,655 | |
TOTAL EQUITY FUNDS (Cost $383,324) | 353,141 | ||
Fixed-Income Funds - 34.6% | |||
High Yield Fixed-Income Funds - 5.5% | |||
Fidelity Capital & Income Fund | 2,099 | 17,567 | |
Fidelity Strategic Income Fund | 1,757 | 18,414 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 35,981 | ||
Investment Grade Fixed-Income Funds - 29.1% | |||
Fidelity Government Income Fund | 3,680 | 38,897 | |
Fidelity Strategic Real Return Fund | 3,789 | 38,347 | |
Fidelity Total Bond Fund | 10,923 | 113,816 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 191,060 | ||
TOTAL FIXED-INCOME FUNDS (Cost $224,329) | 227,041 | ||
Short-Term Funds - 11.5% | |||
Fidelity Institutional Money Market Fund Institutional Class | 36,576 | 36,576 | |
Fidelity Short-Term Bond Fund | 4,471 | 38,537 | |
TOTAL SHORT-TERM FUNDS (Cost $75,297) | 75,113 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $682,950) | $ 655,295 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2030 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $682,950) - See accompanying schedule | $ 655,295 | |
Cash | 72 | |
Total assets | 655,367 | |
Liabilities | ||
Distribution fees payable | $ 263 | |
Total liabilities | 263 | |
Net Assets | $ 655,104 | |
Net Assets consist of: | ||
Paid in capital | $ 674,310 | |
Undistributed net investment income | 224 | |
Accumulated undistributed net realized gain (loss) on investments | 8,225 | |
Net unrealized appreciation (depreciation) on investments | (27,655) | |
Net Assets | $ 655,104 | |
Calculation of Maximum Offering Price Class A: | $ 48.83 | |
Maximum offering price per share (100/94.25 of $48.83) | $ 51.81 | |
Class T: | $ 48.83 | |
Maximum offering price per share (100/96.50 of $48.83) | $ 50.60 | |
Class C: | $ 48.81 | |
Income Replacement 2030: | $ 48.83 | |
Institutional Class: | $ 48.83 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 7,918 | |
Interest | 111 | |
Total income | 8,029 | |
Expenses | ||
Distribution fees | $ 1,068 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 1,069 | |
Expense reductions | (1) | 1,068 |
Net investment income (loss) | 6,961 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (143) | |
Capital gain distributions from underlying funds | 10,896 | 10,753 |
Change in net unrealized appreciation (depreciation) on underlying funds | (27,655) | |
Net gain (loss) | (16,902) | |
Net increase (decrease) in net assets resulting from operations | $ (9,941) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 6,961 |
Net realized gain (loss) | 10,753 |
Change in net unrealized appreciation (depreciation) | (27,655) |
Net in net assets resulting from operations | (9,941) |
Distributions to from net investment income | (6,737) |
Distributions to from net realized gain | (2,528) |
Total distributions | (9,265) |
Share transactions - net increase (decrease) | 674,310 |
Total increase (decrease) in net assets | 655,104 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $224) | $ 655,104 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .632 |
Net realized and unrealized gain (loss) | (1.033) |
Total from investment operations | (.401) |
Distributions from net investment income | (.579) |
Distributions from net realized gain | (.190) |
Total distributions | (.769) |
Net asset value, end of period | $ 48.83 |
Total Return B, C, D | (.87)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 2.93% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .578 |
Net realized and unrealized gain (loss) | (1.030) |
Total from investment operations | (.452) |
Distributions from net investment income | (.528) |
Distributions from net realized gain | (.190) |
Total distributions | (.718) |
Net asset value, end of period | $ 48.83 |
Total Return B, C, D | (.96)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.67% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .463 |
Net realized and unrealized gain (loss) | (1.024) |
Total from investment operations | (.561) |
Distributions from net investment income | (.439) |
Distributions from net realized gain | (.190) |
Total distributions | (.629) |
Net asset value, end of period | $ 48.81 |
Total Return B, C, D | (1.18)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 234 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2030
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .675 |
Net realized and unrealized gain (loss) | (1.024) |
Total from investment operations | (.349) |
Distributions from net investment income | (.631) |
Distributions from net realized gain | (.190) |
Total distributions | (.821) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.77)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 124 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .687 |
Net realized and unrealized gain (loss) | (1.036) |
Total from investment operations | (.349) |
Distributions from net investment income | (.631) |
Distributions from net realized gain | (.190) |
Total distributions | (.821) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.77)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2032 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.9 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.5 |
Fidelity Broad Market Opportunities Fund | 9.1 |
Fidelity Disciplined Equity Fund | 5.8 |
Fidelity Equity Income Fund | 5.7 |
Fidelity Large Cap Core Enhanced Index Fund | 9.2 |
Fidelity Small Cap Opportunities Fund | 3.5 |
45.7 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 9.7 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.8 |
Fidelity Strategic Income Fund | 3.0 |
5.8 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.8 |
Fidelity Strategic Real Return Fund | 5.7 |
Fidelity Total Bond Fund | 16.9 |
28.4 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 5.1 |
Fidelity Short-Term Bond Fund | 5.3 |
10.4 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 45.7% | |
| International | 9.7% | |
| High Yield Fixed-Income Funds | 5.8% | |
| Investment Grade Fixed-Income Funds | 28.4% | |
| Short-Term Funds | 10.4% | |
Expected | |||
| Domestic Equity Funds | 47.1% | |
| International | 9.8% | |
| High Yield | 5.5% | |
| Investment Grade Fixed-Income Funds | 27.2% | |
| Short-Term Funds | 10.4% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2032 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 55.4% | |||
Shares | Value | ||
Domestic Equity Funds - 45.7% | |||
Fidelity 100 Index Fund | 8,973 | $ 89,286 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4,502 | 71,223 | |
Fidelity Broad Market Opportunities Fund | 12,275 | 117,594 | |
Fidelity Disciplined Equity Fund | 2,748 | 74,683 | |
Fidelity Equity Income Fund | 1,413 | 73,809 | |
Fidelity Large Cap Core Enhanced Index Fund | 12,577 | 119,232 | |
Fidelity Small Cap Opportunities Fund | 5,398 | 46,097 | |
TOTAL DOMESTIC EQUITY FUNDS | 591,924 | ||
International Equity Funds - 9.7% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 3,234 | 125,589 | |
TOTAL EQUITY FUNDS (Cost $786,824) | 717,513 | ||
Fixed-Income Funds - 34.2% | |||
High Yield Fixed-Income Funds - 5.8% | |||
Fidelity Capital & Income Fund | 4,371 | 36,587 | |
Fidelity Strategic Income Fund | 3,639 | 38,134 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 74,721 | ||
Investment Grade Fixed-Income Funds - 28.4% | |||
Fidelity Government Income Fund | 7,066 | 74,690 | |
Fidelity Strategic Real Return Fund | 7,294 | 73,820 | |
Fidelity Total Bond Fund | 20,996 | 218,777 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 367,287 | ||
TOTAL FIXED-INCOME FUNDS (Cost $438,710) | 442,008 | ||
Short-Term Funds - 10.4% | |||
Fidelity Institutional Money Market Fund Institutional Class | 66,609 | 66,609 | |
Fidelity Short-Term Bond Fund | 7,900 | 68,095 | |
TOTAL SHORT-TERM FUNDS (Cost $134,935) | 134,704 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,360,469) | $ 1,294,225 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2032 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,360,469) - See accompanying schedule | $ 1,294,225 | |
Cash | 72 | |
Total assets | 1,294,297 | |
Liabilities | ||
Payable for investments purchased | $ 3 | |
Distribution fees payable | 197 | |
Total liabilities | 200 | |
Net Assets | $ 1,294,097 | |
Net Assets consist of: | ||
Paid in capital | $ 1,345,710 | |
Undistributed net investment income | 508 | |
Accumulated undistributed net realized gain (loss) on investments | 14,123 | |
Net unrealized appreciation (depreciation) on investments | (66,244) | |
Net Assets | $ 1,294,097 | |
Calculation of Maximum Offering Price Class A: | $ 48.82 | |
Maximum offering price per share (100/94.25 of $48.82) | $ 51.80 | |
Class T: | $ 48.83 | |
Maximum offering price per share (100/96.50 of $48.83) | $ 50.60 | |
Class C: | $ 48.82 | |
Income Replacement 2032: | $ 48.83 | |
Institutional Class: | $ 48.83 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 11,623 | |
Interest | 112 | |
Total income | 11,735 | |
Expenses | ||
Distribution fees | $ 922 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 923 | |
Expense reductions | (1) | 922 |
Net investment income (loss) | 10,813 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (304) | |
Capital gain distributions from underlying funds | 18,847 | 18,543 |
Change in net unrealized appreciation (depreciation) on underlying funds | (66,244) | |
Net gain (loss) | (47,701) | |
Net increase (decrease) in net assets resulting from operations | $ (36,888) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 10,813 |
Net realized gain (loss) | 18,543 |
Change in net unrealized appreciation (depreciation) | (66,244) |
Net in net assets resulting from operations | (36,888) |
Distributions to from net investment income | (10,305) |
Distributions to from net realized gain | (4,420) |
Total distributions | (14,725) |
Share transactions - net increase (decrease) | 1,345,710 |
Total increase (decrease) in net assets | 1,294,097 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $508) | $ 1,294,097 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .649 |
Net realized and unrealized gain (loss) | (1.093) |
Total from investment operations | (.444) |
Distributions from net investment income | (.546) |
Distributions from net realized gain | (.190) |
Total distributions | (.736) |
Net asset value, end of period | $ 48.82 |
Total ReturnB, C, D | (.95)% |
Ratios to Average Net AssetsF, H | |
Expenses before reductions | .25%A |
Expenses net of fee waivers, if any | .25%A |
Expenses net of all reductions | .25%A |
Net investment income (loss) | 3.08%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 349 |
Portfolio turnover rate | 25%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .606 |
Net realized and unrealized gain (loss) | (1.096) |
Total from investment operations | (.490) |
Distributions from net investment income | (.490) |
Distributions from net realized gain | (.190) |
Total distributions | (.680) |
Net asset value, end of period | $ 48.83 |
Total Return B, C, D | (1.04)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50%A |
Expenses net of all reductions | .50%A |
Net investment income (loss) | 2.83%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 25%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .499 |
Net realized and unrealized gain (loss) | (1.102) |
Total from investment operations | (.603) |
Distributions from net investment income | (.387) |
Distributions from net realized gain | (.190) |
Total distributions | (.577) |
Net asset value, end of period | $ 48.82 |
Total Return B, C, D | (1.26)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.33% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 25% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2032
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .690 |
Net realized and unrealized gain (loss) | (1.078) |
Total from investment operations | (.388) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.190) |
Total distributions | (.782) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.84)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.33% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 648 |
Portfolio turnover rate | 25% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .713 |
Net realized and unrealized gain (loss) | (1.101) |
Total from investment operations | (.388) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.190) |
Total distributions | (.782) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.84)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00%A |
Expenses net of all reductions | .00%A |
Net investment income (loss) | 3.32%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 25%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2034 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.1 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.7 |
Fidelity Broad Market Opportunities Fund | 9.4 |
Fidelity Disciplined Equity Fund | 6.0 |
Fidelity Equity Income Fund | 5.8 |
Fidelity Large Cap Core Enhanced Index Fund | 9.5 |
Fidelity Small Cap Opportunities Fund | 3.6 |
47.1 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 10.9 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.0 |
Fidelity Strategic Income Fund | 3.1 |
6.1 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.6 |
Fidelity Strategic Real Return Fund | 5.6 |
Fidelity Total Bond Fund | 16.5 |
27.7 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 3.9 |
Fidelity Short-Term Bond Fund | 4.3 |
8.2 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 47.1% | |
| International Equity Funds | 10.9% | |
| High Yield Fixed-Income Funds | 6.1% | |
| Investment Grade Fixed-Income Funds | 27.7% | |
| Short-Term Funds | 8.2% | |
Expected | |||
| Domestic Equity Funds | 48.1% | |
| International Equity Funds | 10.7% | |
| High Yield Fixed-Income Funds | 5.8% | |
| Investment Grade Fixed-Income Funds | 26.6% | |
| Short-Term Funds | 8.8% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2034 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 58.0% | |||
Shares | Value | ||
Domestic Equity Funds - 47.1% | |||
Fidelity 100 Index Fund | 5,177 | $ 51,509 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 2,621 | 41,466 | |
Fidelity Broad Market Opportunities Fund | 7,122 | 68,228 | |
Fidelity Disciplined Equity Fund | 1,603 | 43,562 | |
Fidelity Equity Income Fund | 808 | 42,212 | |
Fidelity Large Cap Core Enhanced Index Fund | 7,278 | 68,992 | |
Fidelity Small Cap Opportunities Fund | 3,074 | 26,250 | |
TOTAL DOMESTIC EQUITY FUNDS | 342,219 | ||
International Equity Funds - 10.9% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 2,043 | 79,318 | |
TOTAL EQUITY FUNDS (Cost $453,841) | 421,537 | ||
Fixed-Income Funds - 33.8% | |||
High Yield Fixed-Income Funds - 6.1% | |||
Fidelity Capital & Income Fund | 2,579 | 21,583 | |
Fidelity Strategic Income Fund | 2,146 | 22,490 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 44,073 | ||
Investment Grade Fixed-Income Funds - 27.7% | |||
Fidelity Government Income Fund | 3,878 | 40,992 | |
Fidelity Strategic Real Return Fund | 4,012 | 40,605 | |
Fidelity Total Bond Fund | 11,539 | 120,234 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 201,831 | ||
TOTAL FIXED-INCOME FUNDS (Cost $243,595) | 245,904 | ||
Short-Term Funds - 8.2% | |||
Fidelity Institutional Money Market Fund Institutional Class | 28,633 | 28,633 | |
Fidelity Short-Term Bond Fund | 3,631 | 31,298 | |
TOTAL SHORT-TERM FUNDS (Cost $60,072) | 59,931 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $757,508) | $ 727,372 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2034 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $757,508) - See accompanying schedule | $ 727,372 | |
Cash | 72 | |
Total assets | 727,444 | |
Liabilities | ||
Payable for investments purchased | $ 67 | |
Distribution fees payable | 145 | |
Total liabilities | 212 | |
Net Assets | $ 727,232 | |
Net Assets consist of: | ||
Paid in capital | $ 747,154 | |
Undistributed net investment income | 264 | |
Accumulated undistributed net realized gain (loss) on investments | 9,950 | |
Net unrealized appreciation (depreciation) on investments | (30,136) | |
Net Assets | $ 727,232 | |
Calculation of Maximum Offering Price Class A: | $ 48.75 | |
Maximum offering price per share (100/94.25 of $48.75) | $ 51.72 | |
Class T: | $ 48.74 | |
Maximum offering price per share (100/96.50 of $48.74) | $ 50.51 | |
Class C: | $ 48.74 | |
Income Replacement 2034: | $ 48.75 | |
Institutional Class: | $ 48.75 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 8,064 | |
Interest | 113 | |
Total income | 8,177 | |
Expenses | ||
Distribution fees | 760 | |
Net investment income (loss) | 7,417 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | $ (151) | |
Capital gain distributions from underlying funds | 13,064 | 12,913 |
Change in net unrealized appreciation (depreciation) on underlying funds | (30,136) | |
Net gain (loss) | (17,223) | |
Net increase (decrease) in net assets resulting from operations | $ (9,806) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 7,417 |
Net realized gain (loss) | 12,913 |
Change in net unrealized appreciation (depreciation) | (30,136) |
Net in net assets resulting from operations | (9,806) |
Distributions to from net investment income | (7,153) |
Distributions to from net realized gain | (2,963) |
Total distributions | (10,116) |
Share transactions - net increase (decrease) | 747,154 |
Total increase (decrease) in net assets | 727,232 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $264) | $ 727,232 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .624 |
Net realized and unrealized gain (loss) | (1.135) |
Total from investment operations | (.511) |
Distributions from net investment income | (.539) |
Distributions from net realized gain | (.200) |
Total distributions | (.739) |
Net asset value, end of period | $ 48.75 |
Total Return B, C | (1.09)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 2.88% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .570 |
Net realized and unrealized gain (loss) | (1.142) |
Total from investment operations | (.572) |
Distributions from net investment income | (.488) |
Distributions from net realized gain | (.200) |
Total distributions | (.688) |
Net asset value, end of period | $ 48.74 |
Total Return B, C | (1.21)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.63% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .463 |
Net realized and unrealized gain (loss) | (1.138) |
Total from investment operations | (.675) |
Distributions from net investment income | (.385) |
Distributions from net realized gain | (.200) |
Total distributions | (.585) |
Net asset value, end of period | $ 48.74 |
Total Return B, C | (1.41)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.14% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2034
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .662 |
Net realized and unrealized gain (loss) | (1.120) |
Total from investment operations | (.458) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.200) |
Total distributions | (.792) |
Net asset value, end of period | $ 48.75 |
Total Return B | (.99)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.14% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 332 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .679 |
Net realized and unrealized gain (loss) | (1.137) |
Total from investment operations | (.458) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.200) |
Total distributions | (.792) |
Net asset value, end of period | $ 48.75 |
Total Return B | (.99)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.14% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2036 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.3 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.8 |
Fidelity Broad Market Opportunities Fund | 9.5 |
Fidelity Disciplined Equity Fund | 6.0 |
Fidelity Equity Income Fund | 6.0 |
Fidelity Large Cap Core Enhanced Index Fund | 9.6 |
Fidelity Small Cap Opportunities Fund | 3.7 |
47.9 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 11.7 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.2 |
Fidelity Strategic Income Fund | 3.3 |
6.5 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.7 |
Fidelity Strategic Real Return Fund | 5.6 |
Fidelity Total Bond Fund | 16.8 |
28.1 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 2.8 |
Fidelity Short-Term Bond Fund | 3.0 |
5.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 47.9% | |
| International | 11.7% | |
| High Yield | 6.5% | |
| Investment Grade Fixed-Income Funds | 28.1% | |
| Short-Term Funds | 5.8% | |
Expected | |||
| Domestic Equity Funds | 49.3% | |
| International | 11.7% | |
| High Yield | 6.2% | |
| Investment Grade Fixed-Income Funds | 26.3% | |
| Short-Term Funds | 6.5% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2036 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 59.6% | |||
Shares | Value | ||
Domestic Equity Funds - 47.9% | |||
Fidelity 100 Index Fund | 12,038 | $ 119,782 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6,009 | 95,064 | |
Fidelity Broad Market Opportunities Fund | 16,344 | 156,571 | |
Fidelity Disciplined Equity Fund | 3,670 | 99,750 | |
Fidelity Equity Income Fund | 1,884 | 98,461 | |
Fidelity Large Cap Core Enhanced Index Fund | 16,795 | 159,217 | |
Fidelity Small Cap Opportunities Fund | 7,199 | 61,476 | |
TOTAL DOMESTIC EQUITY FUNDS | 790,321 | ||
International Equity Funds - 11.7% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 4,965 | 192,801 | |
TOTAL EQUITY FUNDS (Cost $1,088,121) | 983,122 | ||
Fixed-Income Funds - 34.6% | |||
High Yield Fixed-Income Funds - 6.5% | |||
Fidelity Capital & Income Fund | 6,229 | 52,139 | |
Fidelity Strategic Income Fund | 5,222 | 54,732 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 106,871 | ||
Investment Grade Fixed-Income Funds - 28.1% | |||
Fidelity Government Income Fund | 8,891 | 93,976 | |
Fidelity Strategic Real Return Fund | 9,088 | 91,969 | |
Fidelity Total Bond Fund | 26,591 | 277,079 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 463,024 | ||
TOTAL FIXED-INCOME FUNDS (Cost $566,217) | 569,895 | ||
Short-Term Funds - 5.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 47,181 | 47,181 | |
Fidelity Short-Term Bond Fund | 5,719 | 49,300 | |
TOTAL SHORT-TERM FUNDS (Cost $96,649) | 96,481 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,750,987) | $ 1,649,498 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2036 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,750,987) - See accompanying schedule | $ 1,649,498 | |
Cash | 74 | |
Total assets | 1,649,572 | |
Liabilities | ||
Distribution fees payable | 232 | |
Net Assets | $ 1,649,340 | |
Net Assets consist of: | ||
Paid in capital | $ 1,733,448 | |
Undistributed net investment income | 596 | |
Accumulated undistributed net realized gain (loss) on investments | 16,785 | |
Net unrealized appreciation (depreciation) on investments | (101,489) | |
Net Assets | $ 1,649,340 | |
Calculation of Maximum Offering Price Class A: | $ 48.79 | |
Maximum offering price per share (100/94.25 of $48.79) | $ 51.77 | |
Class T: | $ 48.79 | |
Maximum offering price per share (100/96.50 of $48.79) | $ 50.56 | |
Class C: | $ 48.79 | |
Income Replacement 2036: | $ 48.80 | |
Institutional Class: | $ 48.80 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 13,401 | |
Interest | 75 | |
Total income | 13,476 | |
Expenses | ||
Distribution fees | $ 1,010 | |
Independent trustee's compensation | 1 | |
Total expenses before reductions | 1,011 | |
Expense reductions | (1) | 1,010 |
Net investment income (loss) | 12,466 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (522) | |
Capital gain distributions from underlying funds | 22,298 | 21,776 |
Change in net unrealized appreciation (depreciation) on underlying funds | (101,489) | |
Net gain (loss) | (79,713) | |
Net increase (decrease) in net assets resulting from operations | $ (67,247) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 12,466 |
Net realized gain (loss) | 21,776 |
Change in net unrealized appreciation (depreciation) | (101,489) |
Net in net assets resulting from operations | (67,247) |
Distributions to from net investment income | (11,870) |
Distributions to from net realized gain | (4,991) |
Total distributions | (16,861) |
Share transactions - net increase (decrease) | 1,733,448 |
Total increase (decrease) in net assets | 1,649,340 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $596) | $ 1,649,340 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .592 |
Net realized and unrealized gain (loss) | (1.125) |
Total from investment operations | (.533) |
Distributions from net investment income | (.487) |
Distributions from net realized gain | (.190) |
Total distributions | (.677) |
Net asset value, end of period | $ 48.79 |
Total Return B, C, D | (1.13)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 2.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 13% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .525 |
Net realized and unrealized gain (loss) | (1.102) |
Total from investment operations | (.577) |
Distributions from net investment income | (.443) |
Distributions from net realized gain | (.190) |
Total distributions | (.633) |
Net asset value, end of period | $ 48.79 |
Total Return B, C, D | (1.21)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50%A |
Expenses net of all reductions | .50%A |
Net investment income (loss) | 2.48%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 306 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss)E | .430 |
Net realized and unrealized gain (loss) | (1.116) |
Total from investment operations | (.686) |
Distributions from net investment income | (.334) |
Distributions from net realized gain | (.190) |
Total distributions | (.524) |
Net asset value, end of period | $ 48.79 |
Total ReturnB, C, D | (1.42)% |
Ratios to Average Net AssetsF, H | |
Expenses before reductions | 1.00%A |
Expenses net of fee waivers, if any | 1.00%A |
Expenses net of all reductions | 1.00%A |
Net investment income (loss) | 1.98%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2036
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss)D | .623 |
Net realized and unrealized gain (loss) | (1.094) |
Total from investment operations | (.471) |
Distributions from net investment income | (.539) |
Distributions from net realized gain | (.190) |
Total distributions | (.729) |
Net asset value, end of period | $ 48.80 |
Total ReturnB, C | (1.01)% |
Ratios to Average Net AssetsE, G | |
Expenses before reductions | .00%A |
Expenses net of fee waivers, if any | .00%A |
Expenses net of all reductions | .00%A |
Net investment income (loss) | 2.98%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 1,023 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss)D | .643 |
Net realized and unrealized gain (loss) | (1.114) |
Total from investment operations | (.471) |
Distributions from net investment income | (.539) |
Distributions from net realized gain | (.190) |
Total distributions | (.729) |
Net asset value, end of period | $ 48.80 |
Total ReturnB, C | (1.01)% |
Ratios to Average Net AssetsE, G | |
Expenses before reductions | .00%A |
Expenses net of fee waivers, if any | .00%A |
Expenses net of all reductions | .00%A |
Net investment income (loss) | 2.98%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 123 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2038 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.6 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6.0 |
Fidelity Broad Market Opportunities Fund | 10.1 |
Fidelity Disciplined Equity Fund | 6.3 |
Fidelity Equity Income Fund | 6.5 |
Fidelity Large Cap Core Enhanced Index Fund | 10.2 |
Fidelity Small Cap Opportunities Fund | 4.1 |
50.8 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 12.4 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.3 |
Fidelity Strategic Income Fund | 3.3 |
6.6 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.3 |
Fidelity Strategic Real Return Fund | 5.3 |
Fidelity Total Bond Fund | 15.7 |
26.3 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 2.0 |
Fidelity Short-Term Bond Fund | 1.9 |
3.9 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 50.8% | |
| International Equity Funds | 12.4% | |
| High Yield Fixed-Income Funds | 6.6% | |
| Investment Grade Fixed-Income Funds | 26.3% | |
| Short-Term Funds | 3.9% | |
Expected | |||
| Domestic Equity Funds | 50.6% | |
| International Equity Funds | 12.6% | |
| High Yield Fixed-Income Funds | 6.5% | |
| Investment Grade Fixed-Income Funds | 26.1% | |
| Short-Term Funds | 4.2% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2038 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 63.2% | |||
Shares | Value | ||
Domestic Equity Funds - 50.8% | |||
Fidelity 100 Index Fund | 7,927 | $ 78,876 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,938 | 62,302 | |
Fidelity Broad Market Opportunities Fund | 10,898 | 104,405 | |
Fidelity Disciplined Equity Fund | 2,393 | 65,046 | |
Fidelity Equity Income Fund | 1,275 | 66,622 | |
Fidelity Large Cap Core Enhanced Index Fund | 11,050 | 104,752 | |
Fidelity Small Cap Opportunities Fund | 4,943 | 42,211 | |
TOTAL DOMESTIC EQUITY FUNDS | 524,214 | ||
International Equity Funds - 12.4% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 3,311 | 128,557 | |
TOTAL EQUITY FUNDS (Cost $671,309) | 652,771 | ||
Fixed-Income Funds - 32.9% | |||
High Yield Fixed-Income Funds - 6.6% | |||
Fidelity Capital & Income Fund | 4,069 | 34,060 | |
Fidelity Strategic Income Fund | 3,267 | 34,236 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 68,296 | ||
Investment Grade Fixed-Income Funds - 26.3% | |||
Fidelity Government Income Fund | 5,158 | 54,516 | |
Fidelity Strategic Real Return Fund | 5,394 | 54,583 | |
Fidelity Total Bond Fund | 15,607 | 162,623 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 271,722 | ||
TOTAL FIXED-INCOME FUNDS (Cost $338,466) | 340,018 | ||
Short-Term Funds - 3.9% | |||
Fidelity Institutional Money Market Fund Institutional Class | 19,866 | 19,866 | |
Fidelity Short-Term Bond Fund | 2,300 | 19,830 | |
TOTAL SHORT-TERM FUNDS (Cost $39,714) | 39,696 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,049,489) | $ 1,032,485 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2038 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,049,489) - See accompanying schedule | $ 1,032,485 | |
Cash | 39 | |
Total assets | 1,032,524 | |
Liabilities | ||
Distribution fees payable | 143 | |
Net Assets | $ 1,032,381 | |
Net Assets consist of: | ||
Paid in capital | $ 1,049,369 | |
Undistributed net investment income | 309 | |
Accumulated undistributed net realized gain (loss) on investments | (293) | |
Net unrealized appreciation (depreciation) on investments | (17,004) | |
Net Assets | $ 1,032,381 | |
Calculation of Maximum Offering Price Class A: | $ 47.66 | |
Maximum offering price per share (100/94.25 of $47.66) | $ 50.57 | |
Class T: | $ 47.66 | |
Maximum offering price per share (100/96.50 of $47.66) | $ 49.39 | |
Class C: | $ 47.65 | |
Income Replacement 2038: | $ 47.67 | |
Institutional Class: | $ 47.67 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period December 31, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 803 | |
Interest | 39 | |
Total income | 842 | |
Expenses | ||
Distribution fees | 147 | |
Net investment income (loss) | 695 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | $ (293) | |
Change in net unrealized appreciation (depreciation) on underlying funds | (17,004) | |
Net gain (loss) | (17,297) | |
Net increase (decrease) in net assets resulting from operations | $ (16,602) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 695 |
Net realized gain (loss) | (293) |
Change in net unrealized appreciation (depreciation) | (17,004) |
Net in net assets resulting from operations | (16,602) |
Distributions to from net investment income | (386) |
Share transactions - net increase (decrease) | 1,049,369 |
Total increase (decrease) in net assets | 1,032,381 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $309) | $ 1,032,381 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .055 |
Net realized and unrealized gain (loss) | (2.381) |
Total from investment operations | (2.326) |
Distributions from net investment income | (.014) |
Net asset value, end of period | $ 47.66 |
Total Return B, C | (4.65)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 1.31% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .035 |
Net realized and unrealized gain (loss) | (2.369) |
Total from investment operations | (2.334) |
Distributions from net investment income | (.006) |
Net asset value, end of period | $ 47.66 |
Total Return B, C | (4.67)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 1.06% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .024 |
Net realized and unrealized gain (loss) | (2.374) |
Total from investment operations | (2.350) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.70)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | .56% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2038
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .057 |
Net realized and unrealized gain (loss) | (2.365) |
Total from investment operations | (2.308) |
Distributions from net investment income | (.022) |
Net asset value, end of period | $ 47.67 |
Total Return B | (4.62)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.56% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 651 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .066 |
Net realized and unrealized gain (loss) | (2.374) |
Total from investment operations | (2.308) |
Distributions from net investment income | (.022) |
Net asset value, end of period | $ 47.67 |
Total Return B | (4.62)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.56% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2040 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.7 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6.0 |
Fidelity Broad Market Opportunities Fund | 10.1 |
Fidelity Disciplined Equity Fund | 6.3 |
Fidelity Equity Income Fund | 6.5 |
Fidelity Large Cap Core Enhanced Index Fund | 10.1 |
Fidelity Small Cap Opportunities Fund | 4.0 |
50.7 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 12.3 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.5 |
Fidelity Strategic Income Fund | 3.5 |
7.0 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.5 |
Fidelity Strategic Real Return Fund | 5.4 |
Fidelity Total Bond Fund | 16.3 |
27.2 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 1.4 |
Fidelity Short-Term Bond Fund | 1.4 |
2.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 50.7% | |
| International Equity Funds | 12.3% | |
| High Yield Fixed-Income Funds | 7.0% | |
| Investment Grade Fixed-Income Funds | 27.2% | |
| Short-Term Funds | 2.8% | |
Expected | |||
| Domestic Equity Funds | 51.4% | |
| International Equity Funds | 12.9% | |
| High Yield Fixed-Income Funds | 6.8% | |
| Investment Grade Fixed-Income Funds | 26.0% | |
| Short-Term Funds | 2.9% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2040 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 63.0% | |||
Shares | Value | ||
Domestic Equity Funds - 50.7% | |||
Fidelity 100 Index Fund | 5,197 | $ 51,713 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 2,578 | 40,777 | |
Fidelity Broad Market Opportunities Fund | 7,094 | 67,963 | |
Fidelity Disciplined Equity Fund | 1,561 | 42,425 | |
Fidelity Equity Income Fund | 835 | 43,612 | |
Fidelity Large Cap Core Enhanced Index Fund | 7,232 | 68,558 | |
Fidelity Small Cap Opportunities Fund | 3,199 | 27,323 | |
TOTAL DOMESTIC EQUITY FUNDS | 342,371 | ||
International Equity Funds - 12.3% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 2,148 | 83,397 | |
TOTAL EQUITY FUNDS (Cost $451,692) | 425,768 | ||
Fixed-Income Funds - 34.2% | |||
High Yield Fixed-Income Funds - 7.0% | |||
Fidelity Capital & Income Fund | 2,791 | 23,362 | |
Fidelity Strategic Income Fund | 2,287 | 23,971 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 47,333 | ||
Investment Grade Fixed-Income Funds - 27.2% | |||
Fidelity Government Income Fund | 3,508 | 37,079 | |
Fidelity Strategic Real Return Fund | 3,640 | 36,832 | |
Fidelity Total Bond Fund | 10,582 | 110,269 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 184,180 | ||
TOTAL FIXED-INCOME FUNDS (Cost $230,557) | 231,513 | ||
Short-Term Funds - 2.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 9,416 | 9,416 | |
Fidelity Short-Term Bond Fund | 1,093 | 9,420 | |
TOTAL SHORT-TERM FUNDS (Cost $18,832) | 18,836 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $701,081) | $ 676,117 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2040 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $701,081) - See accompanying schedule | $ 676,117 | |
Cash | 39 | |
Receivable for investments sold | 2 | |
Receivable for fund shares sold | 1,350 | |
Total assets | 677,508 | |
Liabilities | ||
Payable for investments purchased | $ 1,352 | |
Distribution fees payable | 140 | |
Total liabilities | 1,492 | |
Net Assets | $ 676,016 | |
Net Assets consist of: | ||
Paid in capital | $ 700,850 | |
Undistributed net investment income | 210 | |
Accumulated undistributed net realized gain (loss) on investments | (80) | |
Net unrealized appreciation (depreciation) on investments | (24,964) | |
Net Assets | $ 676,016 | |
Calculation of Maximum Offering Price Class A: | $ 47.65 | |
Maximum offering price per share (100/94.25 of $47.65) | $ 50.56 | |
Class T: | $ 47.65 | |
Maximum offering price per share (100/96.50 of $47.65) | $ 49.38 | |
Class C: | $ 47.65 | |
Income Replacement 2040: | $ 47.65 | |
Institutional Class: | $ 47.66 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period December 31, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 745 | |
Interest | 39 | |
Total income | 784 | |
Expenses | ||
Distribution fees | 147 | |
Net investment income (loss) | 637 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | $ (80) | |
Change in net unrealized appreciation (depreciation) on underlying funds | (24,964) | |
Net gain (loss) | (25,044) | |
Net increase (decrease) in net assets resulting from operations | $ (24,407) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 637 |
Net realized gain (loss) | (80) |
Change in net unrealized appreciation (depreciation) | (24,964) |
Net in net assets resulting from operations | (24,407) |
Distributions to from net investment income | (427) |
Share transactions - net increase (decrease) | 700,850 |
Total increase (decrease) in net assets | 676,016 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $210) | $ 676,016 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .056 |
Net realized and unrealized gain (loss) | (2.376) |
Total from investment operations | (2.320) |
Distributions from net investment income | (.030) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.64)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 1.32% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
H Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .045 |
Net realized and unrealized gain (loss) | (2.373) |
Total from investment operations | (2.328) |
Distributions from net investment income | (.022) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.66)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 1.07% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
H Amount represents less than 1%.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .024 |
Net realized and unrealized gain (loss) | (2.368) |
Total from investment operations | (2.344) |
Distributions from net investment income | (.006) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.69)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | .57% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
H Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2040
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .061 |
Net realized and unrealized gain (loss) | (2.373) |
Total from investment operations | (2.312) |
Distributions from net investment income | (.038) |
Net asset value, end of period | $ 47.65 |
Total Return B | (4.62)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.57% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 294 |
Portfolio turnover rate | -% G |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
G Amount represents less than 1%.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .066 |
Net realized and unrealized gain (loss) | (2.368) |
Total from investment operations | (2.302) |
Distributions from net investment income | (.038) |
Net asset value, end of period | $ 47.66 |
Total Return B | (4.60)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.57% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% G |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
G Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2042 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.8 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6.1 |
Fidelity Broad Market Opportunities Fund | 10.2 |
Fidelity Disciplined Equity Fund | 6.4 |
Fidelity Equity Income Fund | 6.6 |
Fidelity Large Cap Core Enhanced Index Fund | 10.3 |
Fidelity Small Cap Opportunities Fund | 4.2 |
51.6 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 12.4 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.5 |
Fidelity Strategic Income Fund | 3.6 |
7.1 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.4 |
Fidelity Strategic Real Return Fund | 5.4 |
Fidelity Total Bond Fund | 16.0 |
26.8 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 1.1 |
Fidelity Short-Term Bond Fund | 1.0 |
2.1 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 51.6% | |
| International | 12.4% | |
| High Yield | 7.1% | |
| Investment Grade Fixed-Income Funds | 26.8% | |
| Short-Term Funds | 2.1% | |
Expected | |||
| Domestic Equity Funds | 51.9% | |
| International | 13.0% | |
| High Yield | 6.9% | |
| Investment Grade Fixed-Income Funds | 26.0% | |
| Short-Term Funds | 2.2% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2042 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 64.0% | |||
Shares | Value | ||
Domestic Equity Funds - 51.6% | |||
Fidelity 100 Index Fund | 7,356 | $ 73,195 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,630 | 57,419 | |
Fidelity Broad Market Opportunities Fund | 10,076 | 96,525 | |
Fidelity Disciplined Equity Fund | 2,206 | 59,959 | |
Fidelity Equity Income Fund | 1,189 | 62,148 | |
Fidelity Large Cap Core Enhanced Index Fund | 10,221 | 96,894 | |
Fidelity Small Cap Opportunities Fund | 4,608 | 39,349 | |
TOTAL DOMESTIC EQUITY FUNDS | 485,489 | ||
International Equity Funds - 12.4% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 3,002 | 116,562 | |
TOTAL EQUITY FUNDS (Cost $637,308) | 602,051 | ||
Fixed-Income Funds - 33.9% | |||
High Yield Fixed-Income Funds - 7.1% | |||
Fidelity Capital & Income Fund | 3,978 | 33,300 | |
Fidelity Strategic Income Fund | 3,223 | 33,778 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 67,078 | ||
Investment Grade Fixed-Income Funds - 26.8% | |||
Fidelity Government Income Fund | 4,797 | 50,705 | |
Fidelity Strategic Real Return Fund | 4,988 | 50,483 | |
Fidelity Total Bond Fund | 14,488 | 150,963 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 252,151 | ||
TOTAL FIXED-INCOME FUNDS (Cost $318,011) | 319,229 | ||
Short-Term Funds - 2.1% | |||
Fidelity Institutional Money Market Fund Institutional Class | 9,663 | 9,663 | |
Fidelity Short-Term Bond Fund | 1,119 | 9,649 | |
TOTAL SHORT-TERM FUNDS (Cost $19,309) | 19,312 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $974,628) | $ 940,592 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2042 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $974,628) - See accompanying schedule | $ 940,592 | |
Cash | 39 | |
Receivable for investments sold | 3 | |
Total assets | 940,634 | |
Liabilities | ||
Payable for investments purchased | $ 2 | |
Distribution fees payable | 140 | |
Total liabilities | 142 | |
Net Assets | $ 940,492 | |
Net Assets consist of: | ||
Paid in capital | $ 974,341 | |
Undistributed net investment income | 302 | |
Accumulated undistributed net realized gain (loss) on investments | (115) | |
Net unrealized appreciation (depreciation) on investments | (34,036) | |
Net Assets | $ 940,492 | |
Calculation of Maximum Offering Price Class A: | $ 47.64 | |
Maximum offering price per share (100/94.25 of $47.64) | $ 50.55 | |
Class T: | $ 47.64 | |
Maximum offering price per share (100/96.50 of $47.64) | $ 49.37 | |
Class C: | $ 47.63 | |
Income Replacement 2042: | $ 47.64 | |
Institutional Class: | $ 47.64 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period December 31, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 1,010 | |
Interest | 39 | |
Total income | 1,049 | |
Expenses | ||
Distribution fees | 147 | |
Net investment income (loss) | 902 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (115) | |
Change in net unrealized appreciation (depreciation) on underlying funds | (34,036) | |
Net gain (loss) | (34,151) | |
Net increase (decrease) in net assets resulting from operations | $ (33,249) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 902 |
Net realized gain (loss) | (115) |
Change in net unrealized appreciation (depreciation) | (34,036) |
Net in net assets resulting from operations | (33,249) |
Distributions to from net investment income | (600) |
Share transactions - net increase (decrease) | 974,341 |
Total increase (decrease) in net assets | 940,492 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $302) | $ 940,492 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .054 |
Net realized and unrealized gain (loss) | (2.386) |
Total from investment operations | (2.332) |
Distributions from net investment income | (.028) |
Net asset value, end of period | $ 47.64 |
Total Return B, C | (4.66)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 1.30% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .044 |
Net realized and unrealized gain (loss) | (2.384) |
Total from investment operations | (2.340) |
Distributions from net investment income | (.020) |
Net asset value, end of period | $ 47.64 |
Total Return B, C | (4.69)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 1.05% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .023 |
Net realized and unrealized gain (loss) | (2.389) |
Total from investment operations | (2.366) |
Distributions from net investment income | (.004) |
Net asset value, end of period | $ 47.63 |
Total Return B, C | (4.73)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | .54% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2042
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .059 |
Net realized and unrealized gain (loss) | (2.383) |
Total from investment operations | (2.324) |
Distributions from net investment income | (.036) |
Net asset value, end of period | $ 47.64 |
Total Return B | (4.65)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.55% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 559 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .055 |
Net realized and unrealized gain (loss) | (2.379) |
Total from investment operations | (2.324) |
Distributions from net investment income | (.036) |
Net asset value, end of period | $ 47.64 |
Total Return B | (4.65)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.55% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended January 31, 2008 (Unaudited)
1. Organization.
Fidelity Income Replacement 2016 Fund, Fidelity Income Replacement 2018 Fund, Fidelity Income Replacement 2020 Fund, Fidelity Income Replacement 2022 Fund, Fidelity Income Replacement 2024 Fund, Fidelity Income Replacement 2026 Fund, Fidelity Income Replacement 2028 Fund, Fidelity Income Replacement 2030 Fund, Fidelity Income Replacement 2032 Fund, Fidelity Income Replacement 2034 Fund, Fidelity Income Replacement 2036 Fund, Fidelity Income Replacement 2038 Fund, Fidelity Income Replacement 2040 Fund and Fidelity Income Replacement 2042 Fund (the Funds) are funds of Fidelity Income Fund (the trust). The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Each Fund is authorized to issue an unlimited number of shares. The Funds invest primarily in a combination of other Fidelity equity, fixed income, and short-term funds (the Underlying Funds) managed by Fidelity Management & Research Company (FMR) and its affiliates.
The Funds are designed for investors who seek to convert accumulated assets into regular payments over a defined period of time. The payment strategy for each Fund is designed to be implemented through a shareholder's voluntary participation in the Smart Payment Program. Participation in the Smart Payment Program will result in the gradual liquidation of the shareholder's entire investment in the Fund by its horizon date. Each Fund's name refers to the year of its horizon date.
Each Fund offers Class A, Class T, Class C, Income Replacement and Institutional Class shares, each of which has equal rights as to assets and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Funds:
Security Valuation. Net asset value per share is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Investments in the Underlying Funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from the Underlying Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned. Interest income includes coupon interest and amortization of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust. Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the Underlying Funds. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. Each Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements in connection with the tax positions expected to be taken in the initial filing of each Fund's federal tax return.
Dividends are declared and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Semiannual Report
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows for each Fund:
Cost for Federal Income Tax Purposes | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | |
Fidelity Income Replacement 2016 Fund | $ 5,943,761 | $ 29,751 | $ (202,277) | $ (172,526) |
Fidelity Income Replacement 2018 Fund | 4,535,026 | 24,870 | (167,311) | (142,441) |
Fidelity Income Replacement 2020 Fund | 1,276,020 | 9,493 | (31,516) | (22,023) |
Fidelity Income Replacement 2022 Fund | 3,834,313 | 15,589 | (156,205) | (140,616) |
Fidelity Income Replacement 2024 Fund | 1,120,649 | 7,203 | (36,674) | (29,471) |
Fidelity Income Replacement 2026 Fund | 1,186,282 | 6,513 | (50,736) | (44,223) |
Fidelity Income Replacement 2028 Fund | 4,546,485 | 29,713 | (142,907) | (113,194) |
Fidelity Income Replacement 2030 Fund | 682,950 | 3,628 | (31,283) | (27,655) |
Fidelity Income Replacement 2032 Fund | 1,360,469 | 5,252 | (71,496) | (66,244) |
Fidelity Income Replacement 2034 Fund | 757,508 | 3,265 | (33,401) | (30,136) |
Fidelity Income Replacement 2036 Fund | 1,750,987 | 6,961 | (108,450) | (101,489) |
Fidelity Income Replacement 2038 Fund | 1,049,489 | 8,885 | (25,889) | (17,004) |
Fidelity Income Replacement 2040 Fund | 701,081 | 3,392 | (28,356) | (24,964) |
Fidelity Income Replacement 2042 Fund | 974,627 | 2,112 | (36,147) | (34,035) |
New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Funds' financial statement disclosures.
3. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits certain Funds and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Certain Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Each applicable Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Purchase & Sales of Investments
Purchases and redemptions of the Underlying Fund shares are noted in the table below.
Purchases ($) | Redemptions ($) | |
Fidelity Income Replacement 2016 Fund | 7,976,974 | 2,017,587 |
Fidelity Income Replacement 2018 Fund | 5,640,290 | 1,091,653 |
Fidelity Income Replacement 2020 Fund | 1,401,046 | 124,540 |
Fidelity Income Replacement 2022 Fund | 4,571,275 | 727,790 |
Fidelity Income Replacement 2024 Fund | 1,339,214 | 217,465 |
Fidelity Income Replacement 2026 Fund | 1,325,310 | 138,691 |
Fidelity Income Replacement 2028 Fund | 4,941,421 | 390,877 |
Fidelity Income Replacement 2030 Fund | 750,199 | 67,107 |
Fidelity Income Replacement 2032 Fund | 1,450,060 | 89,288 |
Fidelity Income Replacement 2034 Fund | 810,451 | 52,792 |
Fidelity Income Replacement 2036 Fund | 1,810,293 | 58,784 |
Fidelity Income Replacement 2038 Fund | 1,061,532 | 11,782 |
Fidelity Income Replacement 2040 Fund | 702,345 | 1,185 |
Fidelity Income Replacement 2042 Fund | 989,917 | 15,180 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers, Inc. (Strategic Advisers), an affiliate of FMR, provides the Funds with investment management related services. The Funds do not pay any fees for these services. Under the management contract, Strategic Advisers pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, each Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Fidelity Income Replacement 2016 Fund | Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 183 | $ 104 |
Class T | .25% | .25% | 300 | 214 |
Class C | .75% | .25% | 2,359 | 2,355 |
$ 2,842 | $ 2,673 | |||
Fidelity Income Replacement 2018 Fund | ||||
Class A | 0% | .25% | $ 159 | $ 104 |
Class T | .25% | .25% | 248 | 220 |
Class C | .75% | .25% | 534 | 534 |
$ 941 | $ 858 | |||
Fidelity Income Replacement 2020 Fund | ||||
Class A | 0% | .25% | $ 119 | $ 106 |
Class T | .25% | .25% | 268 | 214 |
Class C | .75% | .25% | 530 | 530 |
$ 917 | $ 850 | |||
Fidelity Income Replacement 2022 Fund | ||||
Class A | 0% | .25% | $ 115 | $ 107 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 432 | 432 |
$ 763 | $ 755 | |||
Fidelity Income Replacement 2024 Fund | ||||
Class A | 0% | .25% | $ 155 | $ 107 |
Class T | .25% | .25% | 218 | 218 |
Class C | .75% | .25% | 432 | 432 |
$ 805 | $ 757 | |||
Fidelity Income Replacement 2026 Fund | ||||
Class A | 0% | .25% | $ 114 | $ 108 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 894 | 893 |
$ 1,224 | $ 1,217 | |||
Fidelity Income Replacement 2028 Fund | ||||
Class A | 0% | .25% | $ 108 | $ 108 |
Class T | .25% | .25% | 262 | 214 |
Class C | .75% | .25% | 433 | 433 |
$ 803 | $ 755 | |||
Fidelity Income Replacement 2030 Fund | ||||
Class A | 0% | .25% | $ 108 | $ 108 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 744 | 743 |
$ 1,068 | $ 1,067 |
Semiannual Report
4. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
Fidelity Income Replacement 2032 Fund | Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 273 | $ 106 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 433 | 433 |
$ 922 | $ 755 | |||
Fidelity Income Replacement 2034 Fund | ||||
Class A | 0% | .25% | $ 109 | $ 109 |
Class T | .25% | .25% | 218 | 218 |
Class C | .75% | .25% | 433 | 433 |
$ 760 | $ 760 | |||
Fidelity Income Replacement 2036 Fund | ||||
Class A | 0% | .25% | $ 109 | $ 109 |
Class T | .25% | .25% | 468 | 212 |
Class C | .75% | .25% | 433 | 433 |
$ 1,010 | $ 754 | |||
Fidelity Income Replacement 2038 Fund | ||||
Class A | 0% | .25% | $ 21 | $ 21 |
Class T | .25% | .25% | 42 | 42 |
Class C | .75% | .25% | 84 | 84 |
$ 147 | $ 147 | |||
Fidelity Income Replacement 2040 Fund | ||||
Class A | 0% | .25% | $ 21 | $ 21 |
Class T | .25% | .25% | 42 | 42 |
Class C | .75% | .25% | 84 | 84 |
$ 147 | $ 147 | |||
Fidelity Income Replacement 2042 Fund | ||||
Class A | 0% | .25% | $ 21 | $ 21 |
Class T | .25% | .25% | 42 | 42 |
Class C | .75% | .25% | 84 | 84 |
$ 147 | $ 147 |
Sales Load. FDC receives a front-end sales charge of up to 5.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 1% for Class C, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Fidelity Income Replacement 2016 Fund | Retained |
Class A | $ 2,450 |
Class T | 264 |
Class C* | 177 |
$ 2,891 | |
Fidelity Income Replacement 2018 Fund | |
Class A | $ 2,516 |
Class T | 125 |
$ 2,641 | |
Fidelity Income Replacement 2020 Fund | |
Class A | $ 643 |
Class T | 237 |
$ 880 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
Fidelity Income Replacement 2022 Fund | Retained |
Class A | $ 412 |
Fidelity Income Replacement 2024 Fund | |
Class A | $ 996 |
Fidelity Income Replacement 2028 Fund | |
Class T | $ 163 |
Fidelity Income Replacement 2032 Fund | |
Class A | $ 1,114 |
* When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
5. Expense Reductions.
FMR voluntarily agreed to reimburse funds to the extent annual operating expenses exceeded 0.00% of average net assets plus distribution and service fees applicable to each class. Some expenses, for example interest expense, are excluded from this reimbursement.
The following classes of each applicable Fund were in reimbursement during the period:
Reimbursement | |
Fidelity Income Replacement 2016 Fund | |
Income Replacement 2016 | $ 3 |
Fidelity Income Replacement 2018 Fund | |
Income Replacement 2018 | 2 |
Fidelity Income Replacement 2020 Fund | |
Income Replacement 2020 | 1 |
Fidelity Income Replacement 2022 Fund | |
Income Replacement 2022 | 2 |
Fidelity Income Replacement 2024 Fund | |
Income Replacement 2024 | 1 |
Fidelity Income Replacement 2026 Fund | |
Income Replacement 2026 | 1 |
Fidelity Income Replacement 2028 Fund | |
Income Replacement 2028 | 2 |
Fidelity Income Replacement 2030 Fund | |
Income Replacement 2030 | 1 |
Fidelity Income Replacement 2032 Fund | |
Income Replacement 2032 | 1 |
Fidelity Income Replacement 2036 Fund | |
Income Replacement 2036 | 1 |
6. Other.
The Funds' organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
Semiannual Report
6. Other - continued
The Funds do not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Funds within their principal investment strategies may represent a significant portion of the Underlying Fund's net assets. At the end of the period, the following Funds were the owners of record of 10% or more of the total outstanding shares of the Underlying Funds.
Fund | Income Replacement 2016 Fund | Income Replacement 2028 Fund |
Fidelity Broad Market Opportunities Fund | 11% | 12% |
The Funds, in aggregate, were the owners of record of more than 20% of the total outstanding shares of the following Underlying Funds.
Fund | % of shares held |
Fidelity Broad Market Opportunities Fund | 71% |
In addition, at the end of the period, FMR or its affiliates were owners of record of more than 10% of the outstanding shares of the following funds:
Affiliated % | |
Fidelity Income Replacement 2020 Fund | 32% |
Fidelity Income Replacement 2022 Fund | 11% |
Fidelity Income Replacement 2024 Fund | 37% |
Fidelity Income Replacement 2026 Fund | 35% |
Fidelity Income Replacement 2030 Fund | 61% |
Fidelity Income Replacement 2032 Fund | 31% |
Fidelity Income Replacement 2034 Fund | 54% |
Fidelity Income Replacement 2036 Fund | 25% |
Fidelity Income Replacement 2038 Fund | 37% |
Fidelity Income Replacement 2040 Fund | 57% |
Fidelity Income Replacement 2042 Fund | 41% |
7. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Period ended | |
Fidelity Income Replacement 2016 Fund | |
From net investment income | |
Class A | $ 2,052 |
Class T | 1,490 |
Class C | 5,633 |
Income Replacement 2016 | 28,906 |
Institutional Class | 1,299 |
Total | $ 39,380 |
From net realized gain | |
Class A | $ 614 |
Class T | 512 |
Class C | 2,180 |
Income Replacement 2016 | 9,335 |
Institutional Class | 282 |
Total | $ 12,923 |
Fidelity Income Replacement 2018 Fund | |
From net investment income | |
Class A | $ 1,534 |
Class T | 1,224 |
Class C | 1,208 |
Income Replacement 2018 | 23,768 |
Institutional Class | 1,298 |
Total | $ 29,032 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Distributions to Shareholders - continued
Period ended | |
From net realized gain | |
Class A | $ 262 |
Class T | 323 |
Class C | 389 |
Income Replacement 2018 | 6,892 |
Institutional Class | 262 |
Total | $ 8,128 |
Fidelity Income Replacement 2020 Fund | |
From net investment income | |
Class A | $ 1,285 |
Class T | 1,454 |
Class C | 1,236 |
Income Replacement 2020 | 2,600 |
Institutional Class | 1,325 |
Total | $ 7,900 |
From net realized gain | |
Class A | $ 342 |
Class T | 498 |
Class C | 510 |
Income Replacement 2020 | 790 |
Institutional Class | 342 |
Total | $ 2,482 |
Fidelity Income Replacement 2022 Fund | |
From net investment income | |
Class A | $ 1,104 |
Class T | 941 |
Class C | 747 |
Income Replacement 2022 | 20,131 |
Institutional Class | 2,653 |
Total | $ 25,576 |
From net realized gain | |
Class A | $ 341 |
Class T | 341 |
Class C | 341 |
Income Replacement 2022 | 7,075 |
Institutional Class | 994 |
Total | $ 9,092 |
Fidelity Income Replacement 2024 Fund | |
From net investment income | |
Class A | $ 1,810 |
Class T | 1,004 |
Class C | 796 |
Income Replacement 2024 | 3,066 |
Institutional Class | 1,214 |
Total | $ 7,890 |
From net realized gain | |
Class A | $ 761 |
Class T | 342 |
Class C | 341 |
Income Replacement 2024 | 1,110 |
Institutional Class | 342 |
Total | $ 2,896 |
Semiannual Report
7. Distributions to Shareholders - continued
Period ended | |
Fidelity Income Replacement 2026 Fund | |
From net investment income | |
Class A | $ 1,244 |
Class T | 1,044 |
Class C | 2,264 |
Income Replacement 2026 | 3,731 |
Institutional Class | 1,252 |
Total | $ 9,535 |
From net realized gain | |
Class A | $ 407 |
Class T | 362 |
Class C | 1,176 |
Income Replacement 2026 | 1,399 |
Institutional Class | 362 |
Total | $ 3,706 |
Fidelity Income Replacement 2028 Fund | |
From net investment income | |
Class A | $ 943 |
Class T | 1,140 |
Class C | 639 |
Income Replacement 2028 | 15,532 |
Institutional Class | 1,048 |
Total | $ 19,302 |
From net realized gain | |
Class A | $ 322 |
Class T | 519 |
Class C | 321 |
Income Replacement 2028 | 7,120 |
Institutional Class | 322 |
Total | $ 8,604 |
Fidelity Income Replacement 2030 Fund | |
From net investment income | |
Class A | $ 1,165 |
Class T | 1,062 |
Class C | 1,753 |
Income Replacement 2030 | 1,486 |
Institutional Class | 1,271 |
Total | $ 6,737 |
From net realized gain | |
Class A | $ 382 |
Class T | 382 |
Class C | 905 |
Income Replacement 2030 | 477 |
Institutional Class | 382 |
Total | $ 2,528 |
Fidelity Income Replacement 2032 Fund | |
From net investment income | |
Class A | $ 3,128 |
Class T | 986 |
Class C | 778 |
Income Replacement 2032 | 4,221 |
Institutional Class | 1,192 |
Total | $ 10,305 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Distributions to Shareholders - continued
Period ended | |
From net realized gain | |
Class A | $ 1,345 |
Class T | 382 |
Class C | 381 |
Income Replacement 2032 | 1,930 |
Institutional Class | 382 |
Total | $ 4,420 |
Fidelity Income Replacement 2034 Fund | |
From net investment income | |
Class A | $ 1,085 |
Class T | 982 |
Class C | 774 |
Income Replacement 2034 | 3,120 |
Institutional Class | 1,192 |
Total | $ 7,153 |
From net realized gain | |
Class A | $ 402 |
Class T | 402 |
Class C | 401 |
Income Replacement 2034 | 1,356 |
Institutional Class | 402 |
Total | $ 2,963 |
Fidelity Income Replacement 2036 Fund | |
From net investment income | |
Class A | $ 980 |
Class T | 2,346 |
Class C | 671 |
Income Replacement 2036 | 6,521 |
Institutional Class | 1,352 |
Total | $ 11,870 |
From net realized gain | |
Class A | $ 381 |
Class T | 1,187 |
Class C | 381 |
Income Replacement 2036 | 2,566 |
Institutional Class | 476 |
Total | $ 4,991 |
Fidelity Income Replacement 2038 Fund | |
From net investment income | |
Class A | $ 28 |
Class T | 12 |
Income Replacement 2038 | 302 |
Institutional Class | 44 |
Total | $ 386 |
Fidelity Income Replacement 2040 Fund | |
From net investment income | |
Class A | $ 60 |
Class T | 44 |
Class C | 12 |
Income Replacement 2040 | 235 |
Institutional Class | 76 |
Total | $ 427 |
Semiannual Report
7. Distributions to Shareholders - continued
Period ended | |
Fidelity Income Replacement 2042 Fund | |
From net investment income | |
Class A | $ 56 |
Class T | 40 |
Class C | 8 |
Income Replacement 2042 | 424 |
Institutional Class | 72 |
Total | $ 600 |
A For the period August 30, 2007 (commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and for the period December 31, 2007
(commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2038, 2040, 2042 Funds.
8. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |
Period ended | Period ended | |
Fidelity Income Replacement 2016 Fund | ||
Class A | ||
Shares sold | 8,405 | $ 424,112 |
Reinvestment of distributions | 51 | 2,562 |
Shares redeemed | (50) | (2,507) |
Net increase (decrease) | 8,406 | $ 424,167 |
Class T | ||
Shares sold | 4,642 | $ 234,270 |
Reinvestment of distributions | 39 | 2,002 |
Shares redeemed | (6) | (300) |
Net increase (decrease) | 4,675 | $ 235,972 |
Class C | ||
Shares sold | 27,572 | $ 1,396,273 |
Reinvestment of distributions | 154 | 7,813 |
Shares redeemed | (1,571) | (78,883) |
Net increase (decrease) | 26,155 | $ 1,325,203 |
Income Replacement 2016 | ||
Shares sold | 82,539 | $ 4,212,576 |
Reinvestment of distributions | 203 | 10,378 |
Shares redeemed | (9,443) | (474,803) |
Net increase (decrease) | 73,299 | $ 3,748,151 |
Institutional Class | ||
Shares sold | 3,795 | $ 190,050 |
Reinvestment of distributions | 31 | 1,580 |
Net increase (decrease) | 3,826 | $ 191,630 |
Fidelity Income Replacement 2018 Fund | ||
Class A | ||
Shares sold | 8,680 | $ 434,028 |
Reinvestment of distributions | 30 | 1,530 |
Shares redeemed | (34) | (1,686) |
Net increase (decrease) | 8,676 | $ 433,872 |
Class T | ||
Shares sold | 2,476 | $ 123,791 |
Reinvestment of distributions | 25 | 1,287 |
Net increase (decrease) | 2,501 | $ 125,078 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Class C | ||
Shares sold | 5,260 | $ 261,710 |
Reinvestment of distributions | 31 | 1,597 |
Shares redeemed | (988) | (49,489) |
Net increase (decrease) | 4,303 | $ 213,818 |
Income Replacement 2018 | ||
Shares sold | 71,315 | $ 3,643,888 |
Reinvestment of distributions | 165 | 8,444 |
Shares redeemed | (1,127) | (56,272) |
Net increase (decrease) | 70,353 | $ 3,596,060 |
Institutional Class | ||
Shares sold | 3,025 | $ 152,091 |
Reinvestment of distributions | 31 | 1,560 |
Net increase (decrease) | 3,056 | $ 153,651 |
Fidelity Income Replacement 2020 Fund | ||
Class A | ||
Shares sold | 3,631 | $ 181,220 |
Reinvestment of distributions | 31 | 1,560 |
Net increase (decrease) | 3,662 | $ 182,780 |
Class T | ||
Shares sold | 2,937 | $ 147,611 |
Reinvestment of distributions | 38 | 1,952 |
Net increase (decrease) | 2,975 | $ 149,563 |
Class C | ||
Shares sold | 2,992 | $ 150,050 |
Reinvestment of distributions | 29 | 1,502 |
Shares redeemed | (10) | (489) |
Net increase (decrease) | 3,011 | $ 151,063 |
Income Replacement 2020 | ||
Shares sold | 13,861 | $ 685,286 |
Reinvestment of distributions | 41 | 2,115 |
Shares redeemed | (73) | (3,572) |
Net increase (decrease) | 13,829 | $ 683,829 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 33 | 1,667 |
Net increase (decrease) | 2,034 | $ 101,717 |
Fidelity Income Replacement 2022 Fund | ||
Class A | ||
Shares sold | 3,870 | $ 192,360 |
Reinvestment of distributions | 27 | 1,388 |
Net increase (decrease) | 3,897 | $ 193,748 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 25 | 1,282 |
Net increase (decrease) | 2,026 | $ 101,332 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 21 | 1,088 |
Net increase (decrease) | 2,022 | $ 101,138 |
Income Replacement 2022 | ||
Shares sold | 64,297 | $ 3,266,066 |
Reinvestment of distributions | 161 | 8,256 |
Shares redeemed | (3,075) | (154,718) |
Net increase (decrease) | 61,383 | $ 3,119,604 |
Semiannual Report
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Institutional Class | ||
Shares sold | 5,837 | $ 300,050 |
Reinvestment of distributions | 29 | 1,491 |
Net increase (decrease) | 5,866 | $ 301,541 |
Fidelity Income Replacement 2024 Fund | ||
Class A | ||
Shares sold | 4,465 | $ 227,886 |
Reinvestment of distributions | 50 | 2,570 |
Shares redeemed | (17) | (850) |
Net increase (decrease) | 4,498 | $ 229,606 |
Class T | ||
Shares sold | 2,001 | $ 99,021 |
Reinvestment of distributions | 26 | 1,345 |
Net increase (decrease) | 2,027 | $ 100,366 |
Class C | ||
Shares sold | 2,001 | $ 100,277 |
Reinvestment of distributions | 22 | 1,137 |
Net increase (decrease) | 2,023 | $ 101,414 |
Income Replacement 2024 | ||
Shares sold | 11,641 | $ 580,594 |
Reinvestment of distributions | 45 | 2,323 |
Shares redeemed | (60) | (2,945) |
Net increase (decrease) | 11,626 | $ 579,972 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,277 |
Reinvestment of distributions | 30 | 1,556 |
Net increase (decrease) | 2,031 | $ 101,833 |
Fidelity Income Replacement 2026 Fund | ||
Class A | ||
Shares sold | 2,252 | $ 112,887 |
Reinvestment of distributions | 32 | 1,651 |
Net increase (decrease) | 2,284 | $ 114,538 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,406 |
Net increase (decrease) | 2,028 | $ 101,456 |
Class C | ||
Shares sold | 6,521 | $ 330,049 |
Reinvestment of distributions | 67 | 3,440 |
Shares redeemed | (38) | (1,873) |
Net increase (decrease) | 6,550 | $ 331,616 |
Income Replacement 2026 | ||
Shares sold | 10,421 | $ 523,958 |
Reinvestment of distributions | 59 | 3,023 |
Shares redeemed | (47) | (2,314) |
Net increase (decrease) | 10,433 | $ 524,667 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 32 | 1,614 |
Net increase (decrease) | 2,033 | $ 101,664 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Fidelity Income Replacement 2028 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 25 | 1,265 |
Net increase (decrease) | 2,026 | $ 101,315 |
Class T | ||
Shares sold | 3,236 | $ 164,074 |
Reinvestment of distributions | 32 | 1,659 |
Net increase (decrease) | 3,268 | $ 165,733 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 19 | 960 |
Net increase (decrease) | 2,020 | $ 101,010 |
Income Replacement 2028 | ||
Shares sold | 82,062 | $ 4,104,415 |
Reinvestment of distributions | 159 | 8,168 |
Shares redeemed | (1,159) | (58,015) |
Net increase (decrease) | 81,062 | $ 4,054,568 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,370 |
Net increase (decrease) | 2,028 | $ 101,420 |
Fidelity Income Replacement 2030 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 30 | 1,547 |
Net increase (decrease) | 2,031 | $ 101,597 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 28 | 1,444 |
Net increase (decrease) | 2,029 | $ 101,494 |
Class C | ||
Shares sold | 4,773 | $ 241,760 |
Reinvestment of distributions | 52 | 2,658 |
Shares redeemed | (31) | (1,546) |
Net increase (decrease) | 4,794 | $ 242,872 |
Income Replacement 2030 | ||
Shares sold | 2,499 | $ 125,050 |
Reinvestment of distributions | 35 | 1,777 |
Shares redeemed | (4) | (183) |
Net increase (decrease) | 2,530 | $ 126,644 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 32 | 1,653 |
Net increase (decrease) | 2,033 | $ 101,703 |
Fidelity Income Replacement 2032 Fund | ||
Class A | ||
Shares sold | 7,063 | $ 360,632 |
Reinvestment of distributions | 87 | 4,473 |
Net increase (decrease) | 7,150 | $ 365,105 |
Semiannual Report
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,367 |
Net increase (decrease) | 2,028 | $ 101,417 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 23 | 1,159 |
Net increase (decrease) | 2,024 | $ 101,209 |
Income Replacement 2032 | ||
Shares sold | 13,242 | $ 674,788 |
Reinvestment of distributions | 70 | 3,614 |
Shares redeemed | (42) | (2,047) |
Net increase (decrease) | 13,270 | $ 676,355 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 31 | 1,574 |
Net increase (decrease) | 2,032 | $ 101,624 |
Fidelity Income Replacement 2034 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 29 | 1,487 |
Net increase (decrease) | 2,030 | $ 101,537 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,383 |
Net increase (decrease) | 2,028 | $ 101,433 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 23 | 1,175 |
Net increase (decrease) | 2,024 | $ 101,225 |
Income Replacement 2034 | ||
Shares sold | 6,781 | $ 340,050 |
Reinvestment of distributions | 55 | 2,824 |
Shares redeemed | (31) | (1,559) |
Net increase (decrease) | 6,805 | $ 341,315 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 31 | 1,594 |
Net increase (decrease) | 2,032 | $ 101,644 |
Fidelity Income Replacement 2036 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 26 | 1,361 |
Net increase (decrease) | 2,027 | $ 101,411 |
Class T | ||
Shares sold | 6,254 | $ 324,140 |
Reinvestment of distributions | 44 | 2,281 |
Shares redeemed | (30) | (1,508) |
Net increase (decrease) | 6,268 | $ 324,913 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 20 | 1,052 |
Net increase (decrease) | 2,021 | $ 101,102 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Income Replacement 2036 | ||
Shares sold | 20,941 | $ 1,078,372 |
Reinvestment of distributions | 101 | 5,181 |
Shares redeemed | (88) | (4,409) |
Net increase (decrease) | 20,954 | $ 1,079,144 |
Institutional Class | ||
Shares sold | 2,495 | $ 125,050 |
Reinvestment of distributions | 36 | 1,828 |
Net increase (decrease) | 2,531 | $ 126,878 |
Fidelity Income Replacement 2038 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 28 |
Net increase (decrease) | 2,002 | $ 100,078 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | - B | 12 |
Net increase (decrease) | 2,001 | $ 100,062 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Net increase (decrease) | 2,001 | $ 100,050 |
Income Replacement 2038 | ||
Shares sold | 13,706 | $ 651,601 |
Reinvestment of distributions | 1 | 44 |
Shares redeemed | (54) | (2,560) |
Net increase (decrease) | 13,653 | $ 649,085 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 44 |
Net increase (decrease) | 2,002 | $ 100,094 |
Fidelity Income Replacement 2040 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 60 |
Net increase (decrease) | 2,002 | $ 100,110 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 44 |
Net increase (decrease) | 2,002 | $ 100,094 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | - B | 12 |
Net increase (decrease) | 2,001 | $ 100,062 |
Income Replacement 2040 | ||
Shares sold | 6,198 | $ 301,400 |
Reinvestment of distributions | 2 | 76 |
Shares redeemed | (22) | (1,018) |
Net increase (decrease) | 6,178 | $ 300,458 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 2 | 76 |
Net increase (decrease) | 2,003 | $ 100,126 |
Semiannual Report
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Fidelity Income Replacement 2042 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 56 |
Net increase (decrease) | 2,002 | $ 100,106 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 40 |
Net increase (decrease) | 2,002 | $ 100,090 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | - B | 8 |
Net increase (decrease) | 2,001 | $ 100,058 |
Income Replacement 2042 | ||
Shares sold | 11,772 | $ 575,799 |
Reinvestment of distributions | 2 | 72 |
Shares redeemed | (40) | (1,906) |
Net increase (decrease) | 11,734 | $ 573,965 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 2 | 72 |
Net increase (decrease) | 2,003 | $ 100,122 |
A For the period August 30, 2007 (commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and for the period December 31, 2007
(commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2038, 2040, 2042 Funds.
B Amount represents less than 1 share.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Income Replacement 2016 Fund, Fidelity Income Replacement 2018 Fund, Fidelity Income Replacement 2020 Fund, Fidelity Income Replacement 2022 Fund, Fidelity Income Replacement 2024 Fund, Fidelity Income Replacement 2026 Fund, Fidelity Income Replacement 2028 Fund, Fidelity Income Replacement 2030 Fund, Fidelity Income Replacement 2032 Fund, Fidelity Income Replacement 2034 Fund, and Fidelity Income Replacement 2036 Fund
On July 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract (the Advisory Contract) for each fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In determining whether to approve the Advisory Contract for each fund, the Board was aware that shareholders have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that shareholders, with the opportunity to review and weigh the disclosure provided by each fund in its prospectus and other public disclosures, may choose to invest in that fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, Strategic Advisers, Inc., (Strategic Advisers) and FMR, including the backgrounds of the funds' portfolio managers and the funds' investment objectives and disciplines.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of Strategic Advisers' and FMR's investment staff, their use of technology, and Strategic Advisers' and FMR's approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, distribution, and shareholder services performed by Strategic Advisers and FMR and their affiliates under each Advisory Contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for each fund. The Board also considered the nature and extent of Strategic Advisers' and FMR's supervision of third party service providers, principally custodians and subcustodians.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying an additional sales charge.
Investment Performance. Each Fidelity Income Replacement Fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contract. Once each fund has been in operation for at least one calendar year, the Board will review each fund's absolute investment performance for each class, as well as each fund's relative investment performance for each class measured against a broad-based securities market index.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided to each fund will benefit each fund's shareholders, particularly in light of the Board's view that each fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered each fund's proposed management fee and projected total operating expenses for each class in reviewing each fund's Advisory Contract. The Board noted that each fund's management fee and projected total expenses are comparable to those of similar funds that Fidelity offers to shareholders. The Board noted that the funds do not pay a management fee for investment advisory services. In its review of each fund's total expenses, the Board considered that the funds do not pay transfer agency fees. Instead, each underlying fund bears its pro rata portion of the transfer agency fee according to the percentage of each fund's assets invested in that underlying fund. The Board further noted that Strategic Advisers or FMR pays all other expenses of each fund, with limited exceptions.
Based on its review, the Board concluded that the projected total expenses for each class of each fund were fair and reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. Each of the funds is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved each fund's Advisory Contract. In connection with its future renewal of each fund's management contract, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and its shareholders.
Semiannual Report
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the approval of each fund's Advisory Contract because under these arrangements the funds would not pay any expenses.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that each fund's Advisory Contract should be approved.
Fidelity Income Replacement 2038 Fund, Fidelity Income Replacement 2040 Fund and Fidelity Income Replacement 2042 Fund
On November 15, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract (the Advisory Contract) for each fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In determining whether to approve the Advisory Contract for each fund, the Board was aware that shareholders have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that shareholders, with the opportunity to review and weigh the disclosure provided by each fund in its prospectus and other public disclosures, may choose to invest in that fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, Strategic Advisers, Inc., (Strategic Advisers) and FMR, including the backgrounds of the funds' portfolio managers and the funds' investment objectives and disciplines.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of Strategic Advisers' and FMR's investment staff, their use of technology, and Strategic Advisers' and FMR's approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, distribution, and shareholder services performed by Strategic Advisers and FMR and their affiliates under each Advisory Contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for each fund. The Board also considered the nature and extent of Strategic Advisers' and FMR's supervision of third party service providers, principally custodians and subcustodians.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of a fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying an additional sales charge.
Investment Performance. Each Fidelity Income Replacement Fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contract. Once each fund has been in operation for at least one calendar year, the Board will review each fund's absolute investment performance for each class, as well as each fund's relative investment performance for each class measured against a broad-based securities market index.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided to each fund will benefit each fund's shareholders, particularly in light of the Board's view that each fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered each fund's proposed management fee and projected total operating expenses for each class in reviewing each fund's Advisory Contract. The Board noted that each fund's management fee and projected total expenses are comparable to those of similar funds that Fidelity offers to shareholders. The Board noted that the funds do not pay a management fee for investment advisory services. In its review of each fund's total expenses, the Board considered that the funds do not pay transfer agency fees. Instead, each underlying fund bears its pro rata portion of the transfer agency fee according to the percentage of each fund's assets invested in that underlying fund. The Board further noted that Strategic Advisers or FMR pays all other expenses of each fund, with limited exceptions.
Based on its review, the Board concluded that the projected total expenses for each class of each fund were fair and reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. Each of the funds is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved each fund's Advisory Contract. In connection with its future renewal of each fund's Advisory Contract, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and its shareholders.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees - continued
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the approval of each fund's Advisory Contract because under these arrangements the funds do not pay management fees and Strategic Advisers or FMR pays all other expenses of each fund, with limited exceptions.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that each fund's Advisory Contract should be approved.
Semiannual Report
Semiannual Report
Investment Adviser
Strategic Advisers, Inc.
Boston, MA
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Mellon Bank
Pittsburgh, PA
ARW-USAN-0308
1.848194.100
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor Income Replacement Funds -
2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036, 2038, 2040, 2042 -
Institutional Class
Semiannual Report
January 31, 2008
Each Institutional Class is a class of
Fidelity Income Replacement Funds
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Advisor Income Replacement 2016 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2018 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2020 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2022 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2024 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2026 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2028 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2030 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2032 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2034 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2036 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2038 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2040 | Investment Summary | |
Investments | ||
Financial Statements | ||
Advisor Income Replacement 2042 | Investment Summary | |
Investments | ||
Financial Statements | ||
Notes | Notes to the financial statements. | |
Board Approval of Investment Advisory Contracts and Management Fees |
Semiannual Report
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the funds nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(Photograph of Edward C. Johnson 3d.)
Dear Shareholder:
Stocks got off to a poor start in 2008, while investment-grade bonds and money markets showed positive returns, once again underscoring the importance of a diversified portfolio. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies
indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 30, 2007 to January 31, 2008) for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and for the entire period (December 31, 2007 to January 31, 2008) for Fidelity Income Replacement 2038, 2040, 2042 Funds. The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2007 to January 31, 2008).
Actual Expenses
The first line of the accompanying table for each class of each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, each Fund, as a shareholder in underlying Fidelity Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimates in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of each fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, each Fund, as a shareholder in underlying Fidelity Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Funds. These fees and expenses are not included in each Fund's annualized expense ratio used to calculate the expense estimates in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | |
Fidelity Income Replacement 2016 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 1,005.00 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 1,004.00 | $ 2.12B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 1,001.90 | $ 4.24B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2016 | |||
Actual | $ 1,000.00 | $ 1,006.20 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,006.20 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2018 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 1,001.70 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 1,000.90 | $ 2.12B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 998.70 | $ 4.23B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Beginning | Ending | Expenses Paid | |
Income Replacement 2018 | |||
Actual | $ 1,000.00 | $ 1,002.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,002.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2020 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 998.00 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 996.90 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 994.90 | $ 4.22B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2020 | |||
Actual | $ 1,000.00 | $ 999.00 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 999.00 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2022 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 996.60 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 995.50 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 993.50 | $ 4.22B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2022 | |||
Actual | $ 1,000.00 | $ 997.70 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 997.50 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2024 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 996.50 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 995.50 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 993.30 | $ 4.22B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2024 | |||
Actual | $ 1,000.00 | $ 997.70 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 997.70 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Beginning | Ending | Expenses Paid | |
Fidelity Income Replacement 2026 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 993.50 | $ 1.06B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 992.40 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 990.30 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2026 | |||
Actual | $ 1,000.00 | $ 994.40 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 994.40 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2028 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 992.90 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 991.80 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 989.80 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2028 | |||
Actual | $ 1,000.00 | $ 993.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 993.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2030 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 991.30 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 990.40 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 988.20 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2030 | |||
Actual | $ 1,000.00 | $ 992.30 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 992.30 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2032 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 990.50 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 989.60 | $ 2.11B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 987.40 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Beginning | Ending | Expenses Paid | |
Income Replacement 2032 | |||
Actual | $ 1,000.00 | $ 991.60 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 991.60 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2034 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 989.10 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 987.90 | $ 2.10B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 985.90 | $ 4.21B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2034 | |||
Actual | $ 1,000.00 | $ 990.10 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 990.10 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2036 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 988.70 | $ 1.05B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 987.90 | $ 2.10B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 985.80 | $ 4.20B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2036 | |||
Actual | $ 1,000.00 | $ 989.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 989.90 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2038 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 953.50 | $ .21B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 953.30 | $ .43B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 953.00 | $ .85B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2038 | |||
Actual | $ 1,000.00 | $ 953.80 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 953.80 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Beginning | Ending | Expenses Paid | |
Fidelity Income Replacement 2040 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 953.60 | $ .21B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 953.40 | $ .43B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 953.10 | $ .85B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2040 | |||
Actual | $ 1,000.00 | $ 953.80 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 954.00 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Fidelity Income Replacement 2042 Fund | |||
Class A | |||
Actual | $ 1,000.00 | $ 953.40 | $ .21B |
HypotheticalA | $ 1,000.00 | $ 1,023.88 | $ 1.27C |
Class T | |||
Actual | $ 1,000.00 | $ 953.10 | $ .43B |
HypotheticalA | $ 1,000.00 | $ 1,022.62 | $ 2.54C |
Class C | |||
Actual | $ 1,000.00 | $ 952.70 | $ .85B |
HypotheticalA | $ 1,000.00 | $ 1,020.11 | $ 5.08C |
Income Replacement 2042 | |||
Actual | $ 1,000.00 | $ 953.50 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
Institutional Class | |||
Actual | $ 1,000.00 | $ 953.50 | $ .00B |
HypotheticalA | $ 1,000.00 | $ 1,025.14 | $ .00C |
A 5% return per year before expenses
B Actual expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 155/366 (to reflect the period August 30, 2007 to January 31, 2008) for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and multiplied by 32/366 (to reflect the period December 31, 2007 to January 31, 2008) for Fidelity Income Replacement 2038, 2040, 2042 Funds.
C Hypothetical expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
The fees and expenses of the underlying Fidelity Funds in which the Fund invests are not included in each Class' annualized expense ratio.
Annualized | |
Fidelity Income Replacement 2016 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2016 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2018 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2018 | .00% |
Institutional Class | .00% |
Annualized | |
Fidelity Income Replacement 2020 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2020 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2022 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2022 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2024 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2024 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2026 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2026 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2028 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2028 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2030 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2030 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2032 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2032 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2034 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2034 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2036 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2036 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2038 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2038 | .00% |
Institutional Class | .00% |
Annualized | |
Fidelity Income Replacement 2040 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2040 | .00% |
Institutional Class | .00% |
Fidelity Income Replacement 2042 Fund | |
Class A | .25% |
Class T | .50% |
Class C | 1.00% |
Income Replacement 2042 | .00% |
Institutional Class | .00% |
Semiannual Report
Fidelity Income Replacement 2016 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 4.7 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3.7 |
Fidelity Broad Market Opportunities Fund | 6.2 |
Fidelity Disciplined Equity Fund | 3.9 |
Fidelity Equity Income Fund | 3.9 |
Fidelity Large Cap Core Enhanced Index Fund | 6.3 |
Fidelity Small Cap Opportunities Fund | 2.4 |
31.1 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 3.3 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 1.2 |
Fidelity Strategic Income Fund | 1.3 |
2.5 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 7.8 |
Fidelity Strategic Real Return Fund | 7.7 |
Fidelity Total Bond Fund | 23.0 |
38.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 12.2 |
Fidelity Short-Term Bond Fund | 12.4 |
24.6 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 31.1% | |
| International | 3.3% | |
| High Yield | 2.5% | |
| Investment Grade Fixed-Income Funds | 38.5% | |
| Short-Term Funds | 24.6% | |
Expected | |||
| Domestic Equity Funds | 31.1% | |
| International | 3.2% | |
| High Yield | 2.1% | |
| Investment Grade Fixed-Income Funds | 38.0% | |
| Short-Term Funds | 25.6% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2016 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 34.4% | |||
Shares | Value | ||
Domestic Equity Funds - 31.1% | |||
Fidelity 100 Index Fund | 27,287 | $ 271,506 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 13,565 | 214,604 | |
Fidelity Broad Market Opportunities Fund | 37,219 | 356,556 | |
Fidelity Disciplined Equity Fund | 8,302 | 225,648 | |
Fidelity Equity Income Fund | 4,325 | 225,959 | |
Fidelity Large Cap Core Enhanced Index Fund | 38,274 | 362,835 | |
Fidelity Small Cap Opportunities Fund | 16,366 | 139,762 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,796,870 | ||
International Equity Funds - 3.3% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 4,869 | 189,048 | |
TOTAL EQUITY FUNDS (Cost $2,179,246) | 1,985,918 | ||
Fixed-Income Funds - 41.0% | |||
High Yield Fixed-Income Funds - 2.5% | |||
Fidelity Capital & Income Fund | 8,344 | 69,843 | |
Fidelity Strategic Income Fund | 6,967 | 73,017 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 142,860 | ||
Investment Grade Fixed-Income Funds - 38.5% | |||
Fidelity Government Income Fund | 42,659 | 450,908 | |
Fidelity Strategic Real Return Fund | 43,629 | 441,524 | |
Fidelity Total Bond Fund | 127,632 | 1,329,928 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 2,222,360 | ||
TOTAL FIXED-INCOME FUNDS (Cost $2,343,255) | 2,365,220 | ||
Short-Term Funds - 24.6% | |||
Fidelity Institutional Money Market Fund Institutional Class | 706,314 | 706,314 | |
Fidelity Short-Term Bond Fund | 82,805 | 713,783 | |
TOTAL SHORT-TERM FUNDS (Cost $1,421,257) | 1,420,097 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $5,943,758) | $ 5,771,235 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2016 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $5,943,758) - See accompanying schedule | $ 5,771,235 | |
Cash | 10 | |
Receivable for investments sold | 7,137 | |
Receivable for fund shares sold | 5,000 | |
Total assets | 5,783,382 | |
Liabilities | ||
Payable for investments purchased | $ 4,222 | |
Payable for fund shares redeemed | 7,739 | |
Distribution fees payable | 1,062 | |
Total liabilities | 13,023 | |
Net Assets | $ 5,770,359 | |
Net Assets consist of: | ||
Paid in capital | $ 5,925,123 | |
Undistributed net investment income | 3,240 | |
Accumulated undistributed net | 14,519 | |
Net unrealized appreciation | (172,523) | |
Net Assets | $ 5,770,359 | |
Calculation of Maximum Offering Price Class A: | $ 49.59 | |
Maximum offering price per share (100/94.25 of $49.59) | $ 52.62 | |
Class T: | $ 49.59 | |
Maximum offering price per share (100/96.50 of $49.59) | $ 51.39 | |
Class C: | $ 49.57 | |
Income Replacement 2016: | $ 49.60 | |
Institutional Class: | $ 49.60 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 45,291 | |
Interest | 171 | |
Total income | 45,462 | |
Expenses | ||
Distribution fees | $ 2,842 | |
Independent trustees' compensation | 3 | |
Total expenses before reductions | 2,845 | |
Expense reductions | (3) | 2,842 |
Net investment income (loss) | 42,620 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (15,698) | |
Capital gain distributions from underlying funds | 43,140 | 27,442 |
Change in net unrealized appreciation (depreciation) on underlying funds | (172,523) | |
Net gain (loss) | (145,081) | |
Net increase (decrease) in net assets resulting from operations | $ (102,461) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 42,620 |
Net realized gain (loss) | 27,442 |
Change in net unrealized appreciation (depreciation) | (172,523) |
Net in net assets resulting from operations | (102,461) |
Distributions to from net investment income | (39,380) |
Distributions to from net realized gain | (12,923) |
Total distributions | (52,303) |
Share transactions - net increase (decrease) | 5,925,123 |
Total increase (decrease) in net assets | 5,770,359 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $3,240) | $ 5,770,359 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .727 |
Net realized and unrealized gain (loss) | (.462) |
Total from investment operations | .265 |
Distributions from net investment income | (.535) |
Distributions from net realized gain | (.140) |
Total distributions | (.675) |
Net asset value, end of period | $ 49.59 |
Total Return B, C, D | .50% |
Ratios to Average Net Assets F,H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.48% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 417 |
Portfolio turnover rate | 158% A |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .683 |
Net realized and unrealized gain (loss) | (.470) |
Total from investment operations | .213 |
Distributions from net investment income | (.483) |
Distributions from net realized gain | (.140) |
Total distributions | (.623) |
Net asset value, end of period | $ 49.59 |
Total Return B, C, D | .40% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 3.22% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 232 |
Portfolio turnover rate | 158% A |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .566 |
Net realized and unrealized gain (loss) | (.461) |
Total from investment operations | .105 |
Distributions from net investment income | (.395) |
Distributions from net realized gain | (.140) |
Total distributions | (.535) |
Net asset value, end of period | $ 49.57 |
Total Return B, C, D | .19% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 1,296 |
Portfolio turnover rate | 158% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2016
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .777 |
Net realized and unrealized gain (loss) | (.455) |
Total from investment operations | .322 |
Distributions from net investment income | (.582) |
Distributions from net realized gain | (.140) |
Total distributions | (.722) |
Net asset value, end of period | $ 49.60 |
Total Return B, C | .62% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,635 |
Portfolio turnover rate | 158% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .793 |
Net realized and unrealized gain (loss) | (.471) |
Total from investment operations | .322 |
Distributions from net investment income | (.582) |
Distributions from net realized gain | (.140) |
Total distributions | (.722) |
Net asset value, end of period | $ 49.60 |
Total Return B, C | .62% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 190 |
Portfolio turnover rate | 158% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2018 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 5.3 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4.3 |
Fidelity Broad Market Opportunities Fund | 7.1 |
Fidelity Disciplined Equity Fund | 4.5 |
Fidelity Equity Income Fund | 4.5 |
Fidelity Large Cap Core Enhanced Index Fund | 7.1 |
Fidelity Small Cap Opportunities Fund | 2.8 |
35.6 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 4.2 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 1.6 |
Fidelity Strategic Income Fund | 1.7 |
3.3 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 7.3 |
Fidelity Strategic Real Return Fund | 7.2 |
Fidelity Total Bond Fund | 21.5 |
36.0 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 10.4 |
Fidelity Short-Term Bond Fund | 10.5 |
20.9 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 35.6% | |
| International | 4.2% | |
| High Yield | 3.3% | |
| Investment Grade Fixed-Income Funds | 36.0% | |
| Short-Term Funds | 20.9% | |
Expected | |||
| Domestic Equity Funds | 36.1% | |
| International | 4.1% | |
| High Yield | 3.0% | |
| Investment Grade Fixed-Income Funds | 35.4% | |
| Short-Term Funds | 21.4% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2018 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 39.8% | |||
Shares | Value | ||
Domestic Equity Funds - 35.6% | |||
Fidelity 100 Index Fund | 23,668 | $ 235,493 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 11,845 | 187,389 | |
Fidelity Broad Market Opportunities Fund | 32,402 | 310,407 | |
Fidelity Disciplined Equity Fund | 7,240 | 196,780 | |
Fidelity Equity Income Fund | 3,766 | 196,760 | |
Fidelity Large Cap Core Enhanced Index Fund | 33,167 | 314,420 | |
Fidelity Small Cap Opportunities Fund | 14,381 | 122,813 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,564,062 | ||
International Equity Funds - 4.2% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 4,708 | 182,820 | |
TOTAL EQUITY FUNDS (Cost $1,904,742) | 1,746,882 | ||
Fixed-Income Funds - 39.3% | |||
High Yield Fixed-Income Funds - 3.3% | |||
Fidelity Capital & Income Fund | 8,444 | 70,677 | |
Fidelity Strategic Income Fund | 7,026 | 73,637 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 144,314 | ||
Investment Grade Fixed-Income Funds - 36.0% | |||
Fidelity Government Income Fund | 30,382 | 321,139 | |
Fidelity Strategic Real Return Fund | 31,176 | 315,505 | |
Fidelity Total Bond Fund | 90,969 | 947,898 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 1,584,542 | ||
TOTAL FIXED-INCOME FUNDS (Cost $1,712,584) | 1,728,856 | ||
Short-Term Funds - 20.9% | |||
Fidelity Institutional Money Market Fund Institutional Class | 457,834 | 457,834 | |
Fidelity Short-Term Bond Fund | 53,250 | 459,013 | |
TOTAL SHORT-TERM FUNDS (Cost $917,687) | 916,847 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $4,535,013) | $ 4,392,585 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2018 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $4,535,013) - See accompanying schedule | $ 4,392,585 | |
Cash | 7 | |
Receivable for investments sold | 10,002 | |
Total assets | 4,402,594 | |
Liabilities | ||
Payable for fund shares redeemed | $ 10,003 | |
Distribution fees payable | 232 | |
Total liabilities | 10,235 | |
Net Assets | $ 4,392,359 | |
Net Assets consist of: | ||
Paid in capital | $ 4,522,479 | |
Undistributed net investment income | 2,412 | |
Accumulated undistributed net realized gain (loss) on investments | 9,896 | |
Net unrealized appreciation | (142,428) | |
Net Assets | $ 4,392,359 | |
Calculation of Maximum Offering Price Class A: | $ 49.41 | |
Maximum offering price per share (100/94.25 of $49.41) | $ 52.42 | |
Class T: | $ 49.42 | |
Maximum offering price per share (100/96.50 of $49.42) | $ 51.21 | |
Class C: | $ 49.39 | |
Income Replacement 2018: | $ 49.42 | |
Institutional Class: | $ 49.42 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 32,223 | |
Interest | 162 | |
Total income | 32,385 | |
Expenses | ||
Distribution fees | $ 941 | |
Independent trustees' compensation | 2 | |
Total expenses before reductions | 943 | |
Expense reductions | (2) | 941 |
Net investment income (loss) | 31,444 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of | (13,657) | |
Capital gain distributions from | 31,681 | 18,024 |
Change in net unrealized appreciation (depreciation) on underlying funds | (142,428) | |
Net gain (loss) | (124,404) | |
Net increase (decrease) in net assets resulting from operations | $ (92,960) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 31,444 |
Net realized gain (loss) | 18,024 |
Change in net unrealized appreciation (depreciation) | (142,428) |
Net in net assets resulting from operations | (92,960) |
Distributions to from net investment income | (29,032) |
Distributions to from net realized gain | (8,128) |
Total distributions | (37,160) |
Share transactions - net increase (decrease) | 4,522,479 |
Total increase (decrease) in net assets | 4,392,359 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $2,412) | $ 4,392,359 |
Financial Highlights - Class A
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .696 |
Net realized and unrealized gain (loss) | (.591) |
Total from investment operations | .105 |
Distributions from net investment income | (.565) |
Distributions from net realized gain | (.130) |
Total distributions | (.695) |
Net asset value, end of period | $ 49.41 |
Total Return B, C, D | .17% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.34% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 429 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .663 |
Net realized and unrealized gain (loss) | (.603) |
Total from investment operations | .060 |
Distributions from net investment income | (.510) |
Distributions from net realized gain | (.130) |
Total distributions | (.640) |
Net asset value, end of period | $ 49.42 |
Total Return B, C, D | .09% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 3.09% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 124 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .551 |
Net realized and unrealized gain (loss) | (.601) |
Total from investment operations | (.050) |
Distributions from net investment income | (.430) |
Distributions from net realized gain | (.130) |
Total distributions | (.560) |
Net asset value, end of period | $ 49.39 |
Total Return B, C, D | (.13)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.59% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 213 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2018
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .746 |
Net realized and unrealized gain (loss) | (.583) |
Total from investment operations | .163 |
Distributions from net investment income | (.613) |
Distributions from net realized gain | (.130) |
Total distributions | (.743) |
Net asset value, end of period | $ 49.42 |
Total Return B, C | .29% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.59% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,477 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .767 |
Net realized and unrealized gain (loss) | (.604) |
Total from investment operations | .163 |
Distributions from net investment income | (.613) |
Distributions from net realized gain | (.130) |
Total distributions | (.743) |
Net asset value, end of period | $ 49.42 |
Total Return B, C | .29% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.59% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 151 |
Portfolio turnover rate | 121% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2020 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.0 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4.7 |
Fidelity Broad Market Opportunities Fund | 7.9 |
Fidelity Disciplined Equity Fund | 4.9 |
Fidelity Equity Income Fund | 4.9 |
Fidelity Large Cap Core Enhanced Index Fund | 7.9 |
Fidelity Small Cap Opportunities Fund | 3.1 |
39.4 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 5.3 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 1.9 |
Fidelity Strategic Income Fund | 2.0 |
3.9 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.7 |
Fidelity Strategic Real Return Fund | 6.7 |
Fidelity Total Bond Fund | 20.1 |
33.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 8.9 |
Fidelity Short-Term Bond Fund | 9.0 |
17.9 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 39.4% | |
| International Equity Funds | 5.3% | |
| High Yield Fixed-Income Funds | 3.9% | |
| Investment Grade Fixed-Income Funds | 33.5% | |
| Short-Term Funds | 17.9% | |
Expected | |||
| Domestic Equity Funds | 39.6% | |
| International Equity Funds | 5.0% | |
| High Yield Fixed-Income Funds | 3.7% | |
| Investment Grade Fixed-Income Funds | 33.2% | |
| Short-Term Funds | 18.5% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2020 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 44.7% | |||
Shares | Value | ||
Domestic Equity Funds - 39.4% | |||
Fidelity 100 Index Fund | 7,506 | $ 74,689 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,754 | 59,383 | |
Fidelity Broad Market Opportunities Fund | 10,328 | 98,943 | |
Fidelity Disciplined Equity Fund | 2,285 | 62,098 | |
Fidelity Equity Income Fund | 1,173 | 61,271 | |
Fidelity Large Cap Core Enhanced Index Fund | 10,494 | 99,482 | |
Fidelity Small Cap Opportunities Fund | 4,510 | 38,514 | |
TOTAL DOMESTIC EQUITY FUNDS | 494,380 | ||
International Equity Funds - 5.3% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 1,691 | 65,647 | |
TOTAL EQUITY FUNDS (Cost $585,232) | 560,027 | ||
Fixed-Income Funds - 37.4% | |||
High Yield Fixed-Income Funds - 3.9% | |||
Fidelity Capital & Income Fund | 2,865 | 23,978 | |
Fidelity Strategic Income Fund | 2,345 | 24,571 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 48,549 | ||
Investment Grade Fixed-Income Funds - 33.5% | |||
Fidelity Government Income Fund | 7,990 | 84,459 | |
Fidelity Strategic Real Return Fund | 8,321 | 84,207 | |
Fidelity Total Bond Fund | 24,199 | 252,157 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 420,823 | ||
TOTAL FIXED-INCOME FUNDS (Cost $465,693) | 469,372 | ||
Short-Term Funds - 17.9% | |||
Fidelity Institutional Money Market Fund Institutional Class | 111,174 | 111,174 | |
Fidelity Short-Term Bond Fund | 13,158 | 113,424 | |
TOTAL SHORT-TERM FUNDS (Cost $225,096) | 224,598 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,276,021) | $ 1,253,997 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2020 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,276,021) - See accompanying schedule | $ 1,253,997 | |
Cash | 72 | |
Receivable for fund shares sold | 100,000 | |
Total assets | 1,354,069 | |
Liabilities | ||
Payable for investments purchased | $ 99,982 | |
Distribution fees payable | 217 | |
Total liabilities | 100,199 | |
Net Assets | $ 1,253,870 | |
Net Assets consist of: | ||
Paid in capital | $ 1,268,952 | |
Undistributed net investment income | 496 | |
Accumulated undistributed net realized gain (loss) on investments | 6,446 | |
Net unrealized appreciation | (22,024) | |
Net Assets | $ 1,253,870 | |
Calculation of Maximum Offering Price Net Asset Value and redemption price per share ($179,973 ÷ 3,661.5 shares) | $ 49.15 | |
Maximum offering price per share (100/94.25 of $49.15) | $ 52.15 | |
Class T: | $ 49.14 | |
Maximum offering price per share (100/96.50 of $49.14) | $ 50.92 | |
Class C: | $ 49.13 | |
Income Replacement 2020: | $ 49.15 | |
Institutional Class: | $ 49.15 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 9,207 | |
Interest | 106 | |
Total income | 9,313 | |
Expenses | ||
Distribution fees | $ 917 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 918 | |
Expense reductions | (1) | 917 |
Net investment income (loss) | 8,396 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (486) | |
Capital gain distributions from underlying funds | 9,414 | 8,928 |
Change in net unrealized appreciation (depreciation) on underlying funds | (22,024) | |
Net gain (loss) | (13,096) | |
Net increase (decrease) in net assets resulting from operations | $ (4,700) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 8,396 |
Net realized gain (loss) | 8,928 |
Change in net unrealized appreciation (depreciation) | (22,024) |
Net in net assets resulting from operations | (4,700) |
Distributions to from net investment income | (7,900) |
Distributions to from net realized gain | (2,482) |
Total distributions | (10,382) |
Share transactions - net increase (decrease) | 1,268,952 |
Total increase (decrease) in net assets | 1,253,870 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $496) | $ 1,253,870 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .676 |
Net realized and unrealized gain (loss) | (.751) |
Total from investment operations | (.075) |
Distributions from net investment income | (.605) |
Distributions from net realized gain | (.170) |
Total distributions | (.775) |
Net asset value, end of period | $ 49.15 |
Total Return B, C, D | (.20)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 180 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .615 |
Net realized and unrealized gain (loss) | (.746) |
Total from investment operations | (.131) |
Distributions from net investment income | (.559) |
Distributions from net realized gain | (.170) |
Total distributions | (.729) |
Net asset value, end of period | $ 49.14 |
Total Return B, C, D | (.31)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.92% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 146 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .517 |
Net realized and unrealized gain (loss) | (.752) |
Total from investment operations | (.235) |
Distributions from net investment income | (.465) |
Distributions from net realized gain | (.170) |
Total distributions | (.635) |
Net asset value, end of period | $ 49.13 |
Total Return B, C, D | (.51)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.42% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 148 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2020
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .706 |
Net realized and unrealized gain (loss) | (.728) |
Total from investment operations | (.022) |
Distributions from net investment income | (.658) |
Distributions from net realized gain | (.170) |
Total distributions | (.828) |
Net asset value, end of period | $ 49.15 |
Total Return B, C | (.10)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.42% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 680 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .738 |
Net realized and unrealized gain (loss) | (.760) |
Total from investment operations | (.022) |
Distributions from net investment income | (.658) |
Distributions from net realized gain | (.170) |
Total distributions | (.828) |
Net asset value, end of period | $ 49.15 |
Total Return B, C | (.10)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.42% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 42% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2022 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.2 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4.9 |
Fidelity Broad Market Opportunities Fund | 8.1 |
Fidelity Disciplined Equity Fund | 5.1 |
Fidelity Equity Income Fund | 5.1 |
Fidelity Large Cap Core Enhanced Index Fund | 8.2 |
Fidelity Small Cap Opportunities Fund | 3.2 |
40.8 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 5.8 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.1 |
Fidelity Strategic Income Fund | 2.2 |
4.3 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.6 |
Fidelity Strategic Real Return Fund | 6.4 |
Fidelity Total Bond Fund | 19.5 |
32.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 8.2 |
Fidelity Short-Term Bond Fund | 8.4 |
16.6 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 40.8% | |
| International | 5.8% | |
| High Yield | 4.3% | |
| Investment Grade Fixed-Income Funds | 32.5% | |
| Short-Term Funds | 16.6% | |
Expected | |||
| Domestic Equity Funds | 41.8% | |
| International | 5.8% | |
| High Yield | 4.1% | |
| Investment Grade Fixed-Income Funds | 31.7% | |
| Short-Term Funds | 16.6% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2022 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 46.6% | |||
Shares | Value | ||
Domestic Equity Funds - 40.8% | |||
Fidelity 100 Index Fund | 22,898 | $ 227,830 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 11,403 | 180,391 | |
Fidelity Broad Market Opportunities Fund | 31,233 | 299,208 | |
Fidelity Disciplined Equity Fund | 6,973 | 189,534 | |
Fidelity Equity Income Fund | 3,624 | 189,356 | |
Fidelity Large Cap Core Enhanced Index Fund | 32,121 | 304,509 | |
Fidelity Small Cap Opportunities Fund | 13,808 | 117,918 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,508,746 | ||
International Equity Funds - 5.8% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 5,495 | 213,379 | |
TOTAL EQUITY FUNDS (Cost $1,869,637) | 1,722,125 | ||
Fixed-Income Funds - 36.8% | |||
High Yield Fixed-Income Funds - 4.3% | |||
Fidelity Capital & Income Fund | 9,343 | 78,200 | |
Fidelity Strategic Income Fund | 7,761 | 81,333 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 159,533 | ||
Investment Grade Fixed-Income Funds - 32.5% | |||
Fidelity Government Income Fund | 23,039 | 243,520 | |
Fidelity Strategic Real Return Fund | 23,575 | 238,580 | |
Fidelity Total Bond Fund | 69,003 | 719,009 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 1,201,109 | ||
TOTAL FIXED-INCOME FUNDS (Cost $1,353,031) | 1,360,642 | ||
Short-Term Funds - 16.6% | |||
Fidelity Institutional Money Market Fund Institutional Class | 303,453 | 303,453 | |
Fidelity Short-Term Bond Fund | 35,670 | 307,477 | |
TOTAL SHORT-TERM FUNDS (Cost $611,644) | 610,930 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $3,834,312) | $ 3,693,697 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2022 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $3,834,312) - See accompanying schedule | $ 3,693,697 | |
Cash | 72 | |
Receivable for fund shares sold | 39,786 | |
Total assets | 3,733,555 | |
Liabilities | ||
Payable for investments purchased | $ 36,552 | |
Distribution fees payable | 153 | |
Total liabilities | 36,705 | |
Net Assets | $ 3,696,850 | |
Net Assets consist of: | ||
Paid in capital | $ 3,817,363 | |
Undistributed net investment income | 1,240 | |
Accumulated undistributed net | 18,862 | |
Net unrealized appreciation | (140,615) | |
Net Assets | $ 3,696,850 | |
Calculation of Maximum Offering Price Net Asset Value and redemption price per share ($191,577 ÷ 3,897 shares) | $ 49.16 | |
Maximum offering price per share (100/94.25 of $49.16) | $ 52.16 | |
Class T: | $ 49.16 | |
Maximum offering price per share (100/96.50 of $49.16) | $ 50.94 | |
Class C: | $ 49.15 | |
Income Replacement 2022: | $ 49.17 | |
Institutional Class: | $ 49.16 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 27,471 | |
Interest | 108 | |
Total income | 27,579 | |
Expenses | ||
Distribution fees | $ 763 | |
Independent trustees' compensation | 2 | |
Total expenses before reductions | 765 | |
Expense reductions | (2) | 763 |
Net investment income (loss) | 26,816 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (9,177) | |
Capital gain distributions from underlying funds | 37,131 | 27,954 |
Change in net unrealized appreciation (depreciation) on underlying funds | (140,615) | |
Net gain (loss) | (112,661) | |
Net increase (decrease) in net assets resulting from operations | $ (85,845) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 26,816 |
Net realized gain (loss) | 27,954 |
Change in net unrealized appreciation (depreciation) | (140,615) |
Net in net assets resulting from operations | (85,845) |
Distributions to from net investment income | (25,576) |
Distributions to from net realized gain | (9,092) |
Total distributions | (34,668) |
Share transactions - net increase (decrease) | 3,817,363 |
Total increase (decrease) in net assets | 3,696,850 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $1,240) | $ 3,696,850 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .693 |
Net realized and unrealized gain (loss) | (.843) |
Total from investment operations | (.150) |
Distributions from net investment income | (.520) |
Distributions from net realized gain | (.170) |
Total distributions | (.690) |
Net asset value, end of period | $ 49.16 |
Total Return B, C, D | (.34)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.25% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 192 |
Portfolio turnover rate | 86% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .646 |
Net realized and unrealized gain (loss) | (.848) |
Total from investment operations | (.202) |
Distributions from net investment income | (.468) |
Distributions from net realized gain | (.170) |
Total distributions | (.638) |
Net asset value, end of period | $ 49.16 |
Total Return B, C, D | (.45)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.99% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 86%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .539 |
Net realized and unrealized gain (loss) | (.847) |
Total from investment operations | (.308) |
Distributions from net investment income | (.372) |
Distributions from net realized gain | (.170) |
Total distributions | (.542) |
Net asset value, end of period | $ 49.15 |
Total Return B, C, D | (.65)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.50% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 86%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2022
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .725 |
Net realized and unrealized gain (loss) | (.814) |
Total from investment operations | (.089) |
Distributions from net investment income | (.571) |
Distributions from net realized gain | (.170) |
Total distributions | (.741) |
Net asset value, end of period | $ 49.17 |
Total Return B, C | (.23)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.49% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,018 |
Portfolio turnover rate | 86% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .741 |
Net realized and unrealized gain (loss) | (.840) |
Total from investment operations | (.099) |
Distributions from net investment income | (.571) |
Distributions from net realized gain | (.170) |
Total distributions | (.741) |
Net asset value, end of period | $ 49.16 |
Total Return B, C | (.25)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.49% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 288 |
Portfolio turnover rate | 86% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2024 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.4 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.2 |
Fidelity Broad Market Opportunities Fund | 8.5 |
Fidelity Disciplined Equity Fund | 5.4 |
Fidelity Equity Income Fund | 5.3 |
Fidelity Large Cap Core Enhanced Index Fund | 8.5 |
Fidelity Small Cap Opportunities Fund | 3.3 |
42.6 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 6.7 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.3 |
Fidelity Strategic Income Fund | 2.4 |
4.7 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.3 |
Fidelity Strategic Real Return Fund | 6.3 |
Fidelity Total Bond Fund | 18.4 |
31.0 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 7.4 |
Fidelity Short-Term Bond Fund | 7.6 |
15.0 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 42.6% | |
| International | 6.7% | |
| High Yield | 4.7% | |
| Investment Grade Fixed-Income Funds | 31.0% | |
| Short-Term Funds | 15.0% | |
Expected | |||
| Domestic Equity Funds | 43.4% | |
| International | 6.6% | |
| High Yield | 4.5% | |
| Investment Grade Fixed-Income Funds | 30.3% | |
| Short-Term Funds | 15.2% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2024 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 49.3% | |||
Shares | Value | ||
Domestic Equity Funds - 42.6% | |||
Fidelity 100 Index Fund | 7,023 | $ 69,876 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,552 | 56,198 | |
Fidelity Broad Market Opportunities Fund | 9,668 | 92,624 | |
Fidelity Disciplined Equity Fund | 2,157 | 58,621 | |
Fidelity Equity Income Fund | 1,104 | 57,691 | |
Fidelity Large Cap Core Enhanced Index Fund | 9,839 | 93,270 | |
Fidelity Small Cap Opportunities Fund | 4,238 | 36,190 | |
TOTAL DOMESTIC EQUITY FUNDS | 464,470 | ||
International Equity Funds - 6.7% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 1,898 | 73,707 | |
TOTAL EQUITY FUNDS (Cost $571,412) | 538,177 | ||
Fixed-Income Funds - 35.7% | |||
High Yield Fixed-Income Funds - 4.7% | |||
Fidelity Capital & Income Fund | 2,990 | 25,026 | |
Fidelity Strategic Income Fund | 2,474 | 25,930 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 50,956 | ||
Investment Grade Fixed-Income Funds - 31.0% | |||
Fidelity Government Income Fund | 6,501 | 68,719 | |
Fidelity Strategic Real Return Fund | 6,743 | 68,236 | |
Fidelity Total Bond Fund | 19,297 | 201,075 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 338,030 | ||
TOTAL FIXED-INCOME FUNDS (Cost $384,994) | 388,986 | ||
Short-Term Funds - 15.0% | |||
Fidelity Institutional Money Market Fund Institutional Class | 81,099 | 81,099 | |
Fidelity Short-Term Bond Fund | 9,619 | 82,916 | |
TOTAL SHORT-TERM FUNDS (Cost $164,243) | 164,015 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,120,649) | $ 1,091,178 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2024 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,120,649) - See accompanying schedule | $ 1,091,178 | |
Cash | 72 | |
Receivable for fund shares sold | 26,000 | |
Total assets | 1,117,250 | |
Liabilities | ||
Payable for investments purchased | $ 26,001 | |
Distribution fees payable | 171 | |
Total liabilities | 26,172 | |
Net Assets | $ 1,091,078 | |
Net Assets consist of: | ||
Paid in capital | $ 1,113,191 | |
Undistributed net investment income | 435 | |
Accumulated undistributed net realized gain (loss) on investments | 6,923 | |
Net unrealized appreciation | (29,471) | |
Net Assets | $ 1,091,078 | |
Calculation of Maximum Offering Price Net Asset Value and redemption | $ 49.13 | |
Maximum offering price per share (100/94.25 of $49.13) | $ 52.13 | |
Class T: | $ 49.13 | |
Maximum offering price per share (100/96.50 of $49.13) | $ 50.91 | |
Class C: | $ 49.12 | |
Income Replacement 2024: | $ 49.14 | |
Institutional Class: | $ 49.14 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 9,058 | |
Interest | 72 | |
Total income | 9,130 | |
Expenses | ||
Distribution fees | $ 805 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 806 | |
Expense reductions | (1) | 805 |
Net investment income (loss) | 8,325 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (1,178) | |
Capital gain distributions from underlying funds | 10,997 | 9,819 |
Change in net unrealized appreciation (depreciation) on underlying funds | (29,471) | |
Net gain (loss) | (19,652) | |
Net increase (decrease) in net assets resulting from operations | $ (11,327) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 8,325 |
Net realized gain (loss) | 9,819 |
Change in net unrealized appreciation (depreciation) | (29,471) |
Net in net assets resulting from operations | (11,327) |
Distributions to from net investment income | (7,890) |
Distributions to from net realized gain | (2,896) |
Total distributions | (10,786) |
Share transactions - net increase (decrease) | 1,113,191 |
Total increase (decrease) in net assets | 1,091,078 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $435) | $ 1,091,078 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .643 |
Net realized and unrealized gain (loss) | (.790) |
Total from investment operations | (.147) |
Distributions from net investment income | (.553) |
Distributions from net realized gain | (.170) |
Total distributions | (.723) |
Net asset value, end of period | $ 49.13 |
Total Return B, C | (.35)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.03% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 221 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .600 |
Net realized and unrealized gain (loss) | (.801) |
Total from investment operations | (.201) |
Distributions from net investment income | (.499) |
Distributions from net realized gain | (.170) |
Total distributions | (.669) |
Net asset value, end of period | $ 49.13 |
Total Return B, C | (.45)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.78% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .492 |
Net realized and unrealized gain (loss) | (.806) |
Total from investment operations | (.314) |
Distributions from net investment income | (.396) |
Distributions from net realized gain | (.170) |
Total distributions | (.566) |
Net asset value, end of period | $ 49.12 |
Total Return B, C | (.67)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.28% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31,2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2024
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .682 |
Net realized and unrealized gain (loss) | (.769) |
Total from investment operations | (.087) |
Distributions from net investment income | (.603) |
Distributions from net realized gain | (.170) |
Total distributions | (.773) |
Net asset value, end of period | $ 49.14 |
Total Return B | (.23)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.28% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 571 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .708 |
Net realized and unrealized gain (loss) | (.795) |
Total from investment operations | (.087) |
Distributions from net investment income | (.603) |
Distributions from net realized gain | (.170) |
Total distributions | (.773) |
Net asset value, end of period | $ 49.14 |
Total Return B | (.23)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.28% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 100 |
Portfolio turnover rate | 74% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2026 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.6 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.2 |
Fidelity Broad Market Opportunities Fund | 8.6 |
Fidelity Disciplined Equity Fund | 5.5 |
Fidelity Equity Income Fund | 5.4 |
Fidelity Large Cap Core Enhanced Index Fund | 8.8 |
Fidelity Small Cap Opportunities Fund | 3.3 |
43.4 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 7.4 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.4 |
Fidelity Strategic Income Fund | 2.5 |
4.9 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 6.2 |
Fidelity Strategic Real Return Fund | 6.1 |
Fidelity Total Bond Fund | 18.2 |
30.5 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 6.8 |
Fidelity Short-Term Bond Fund | 7.0 |
13.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 43.4% | |
| International Equity Funds | 7.4% | |
| High Yield Fixed-Income Funds | 4.9% | |
| Investment Grade Fixed-Income Funds | 30.5% | |
| Short-Term Funds | 13.8% | |
Expected | |||
| Domestic Equity Funds | 44.5% | |
| International Equity Funds | 7.4% | |
| High Yield Fixed-Income Funds | 4.8% | |
| Investment Grade Fixed-Income Funds | 29.5% | |
| Short-Term Funds | 13.8% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2026 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 50.8% | |||
Shares | Value | ||
Domestic Equity Funds - 43.4% | |||
Fidelity 100 Index Fund | 7,522 | $ 74,844 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,767 | 59,600 | |
Fidelity Broad Market Opportunities Fund | 10,282 | 98,499 | |
Fidelity Disciplined Equity Fund | 2,307 | 62,708 | |
Fidelity Equity Income Fund | 1,178 | 61,540 | |
Fidelity Large Cap Core Enhanced Index Fund | 10,544 | 99,957 | |
Fidelity Small Cap Opportunities Fund | 4,480 | 38,263 | |
TOTAL DOMESTIC EQUITY FUNDS | 495,411 | ||
International Equity Funds - 7.4% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 2,178 | 84,560 | |
TOTAL EQUITY FUNDS (Cost $627,496) | 579,971 | ||
Fixed-Income Funds - 35.4% | |||
High Yield Fixed-Income Funds - 4.9% | |||
Fidelity Capital & Income Fund | 3,308 | 27,687 | |
Fidelity Strategic Income Fund | 2,749 | 28,805 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 56,492 | ||
Investment Grade Fixed-Income Funds - 30.5% | |||
Fidelity Government Income Fund | 6,678 | 70,585 | |
Fidelity Strategic Real Return Fund | 6,871 | 69,530 | |
Fidelity Total Bond Fund | 19,990 | 208,291 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 348,406 | ||
TOTAL FIXED-INCOME FUNDS (Cost $401,333) | 404,898 | ||
Short-Term Funds - 13.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 77,955 | 77,955 | |
Fidelity Short-Term Bond Fund | 9,192 | 79,235 | |
TOTAL SHORT-TERM FUNDS (Cost $157,453) | 157,190 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,186,282) | $ 1,142,059 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2026 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,186,282) - See accompanying schedule | $ 1,142,059 | |
Cash | 72 | |
Receivable for investments sold | 873 | |
Receivable for fund shares sold | 29,950 | |
Total assets | 1,172,954 | |
Liabilities | ||
Payable for investments purchased | $ 29,888 | |
Payable for fund shares redeemed | 936 | |
Distribution fees payable | 334 | |
Total liabilities | 31,158 | |
Net Assets | $ 1,141,796 | |
Net Assets consist of: | ||
Paid in capital | $ 1,173,941 | |
Undistributed net investment income | 431 | |
Accumulated undistributed net realized gain (loss) on investments | 11,647 | |
Net unrealized appreciation | (44,223) | |
Net Assets | $ 1,141,796 | |
Calculation of Maximum Offering Price Class A: | $ 48.95 | |
Maximum offering price per share (100/94.25 of $48.95) | $ 51.94 | |
Class T: | $ 48.95 | |
Maximum offering price per share (100/96.50 of $48.95) | $ 50.73 | |
Class C: | $ 48.92 | |
Income Replacement 2026: | $ 48.95 | |
Institutional Class: | $ 48.95 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 11,080 | |
Interest | 110 | |
Total income | 11,190 | |
Expenses | ||
Distribution fees | $ 1,224 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 1,225 | |
Expense reductions | (1) | 1,224 |
Net investment income (loss) | 9,966 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (337) | |
Capital gain distributions from underlying funds | 15,690 | 15,353 |
Change in net unrealized appreciation (depreciation) on underlying funds | (44,223) | |
Net gain (loss) | (28,870) | |
Net increase (decrease) in net assets resulting from operations | $ (18,904) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | (Unaudited) |
Operations | |
Net investment income (loss) | $ 9,966 |
Net realized gain (loss) | 15,353 |
Change in net unrealized appreciation (depreciation) | (44,223) |
Net in net assets resulting from operations | (18,904) |
Distributions to from net investment income | (9,535) |
Distributions to from net realized gain | (3,706) |
Total distributions | (13,241) |
Share transactions - net increase (decrease) | 1,173,941 |
Total increase (decrease) in net assets | 1,141,796 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $431) | $ 1,141,796 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .675 |
Net realized and unrealized gain (loss) | (.974) |
Total from investment operations | (.299) |
Distributions from net investment income | (.571) |
Distributions from net realized gain | (.180) |
Total distributions | (.751) |
Net asset value, end of period | $ 48.95 |
Total Return B, C, D | (.65)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.13% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 112 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .622 |
Net realized and unrealized gain (loss) | (.973) |
Total from investment operations | (.351) |
Distributions from net investment income | (.519) |
Distributions from net realized gain | (.180) |
Total distributions | (.699) |
Net asset value, end of period | $ 48.95 |
Total Return B, C, D | (.76)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.88% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .502 |
Net realized and unrealized gain (loss) | (.962) |
Total from investment operations | (.460) |
Distributions from net investment income | (.440) |
Distributions from net realized gain | (.180) |
Total distributions | (.620) |
Net asset value, end of period | $ 48.92 |
Total Return B, C, D | (.97)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.38% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 320 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2026
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .709 |
Net realized and unrealized gain (loss) | (.957) |
Total from investment operations | (.248) |
Distributions from net investment income | (.622) |
Distributions from net realized gain | (.180) |
Total distributions | (.802) |
Net asset value, end of period | $ 48.95 |
Total Return B, C | (.56)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.39% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 511 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .731 |
Net realized and unrealized gain (loss) | (.979) |
Total from investment operations | (.248) |
Distributions from net investment income | (.622) |
Distributions from net realized gain | (.180) |
Total distributions | (.802) |
Net asset value, end of period | $ 48.95 |
Total Return B, C | (.56)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.38% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 41% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2028 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.8 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.4 |
Fidelity Broad Market Opportunities Fund | 8.9 |
Fidelity Disciplined Equity Fund | 5.6 |
Fidelity Equity Income Fund | 5.6 |
Fidelity Large Cap Core Enhanced Index Fund | 9.0 |
Fidelity Small Cap Opportunities Fund | 3.6 |
44.9 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 8.1 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.6 |
Fidelity Strategic Income Fund | 2.6 |
5.2 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.8 |
Fidelity Strategic Real Return Fund | 5.8 |
Fidelity Total Bond Fund | 17.4 |
29.0 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 6.5 |
Fidelity Short-Term Bond Fund | 6.3 |
12.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 44.9% | |
| International Equity Funds | 8.1% | |
| High Yield Fixed-Income Funds | 5.2% | |
| Investment Grade Fixed-Income Funds | 29.0% | |
| Short-Term Funds | 12.8% | |
Expected | |||
| Domestic Equity Funds | 45.5% | |
| International Equity Funds | 8.2% | |
| High Yield Fixed-Income Funds | 5.0% | |
| Investment Grade Fixed-Income Funds | 28.3% | |
| Short-Term Funds | 13.0% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2028 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 53.0% | |||
Shares | Value | ||
Domestic Equity Funds - 44.9% | |||
Fidelity 100 Index Fund | 30,242 | $ 300,908 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 15,056 | 238,185 | |
Fidelity Broad Market Opportunities Fund | 41,152 | 394,233 | |
Fidelity Disciplined Equity Fund | 9,128 | 248,101 | |
Fidelity Equity Income Fund | 4,807 | 251,166 | |
Fidelity Large Cap Core Enhanced Index Fund | 41,940 | 397,591 | |
Fidelity Small Cap Opportunities Fund | 18,540 | 158,332 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,988,516 | ||
International Equity Funds - 8.1% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 9,242 | 358,868 | |
TOTAL EQUITY FUNDS (Cost $2,466,982) | 2,347,384 | ||
Fixed-Income Funds - 34.2% | |||
High Yield Fixed-Income Funds - 5.2% | |||
Fidelity Capital & Income Fund | 13,677 | 114,480 | |
Fidelity Strategic Income Fund | 11,202 | 117,399 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 231,879 | ||
Investment Grade Fixed-Income Funds - 29.0% | |||
Fidelity Government Income Fund | 24,471 | 258,654 | |
Fidelity Strategic Real Return Fund | 25,356 | 256,601 | |
Fidelity Total Bond Fund | 73,858 | 769,596 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 1,284,851 | ||
TOTAL FIXED-INCOME FUNDS (Cost $1,509,876) | 1,516,730 | ||
Short-Term Funds - 12.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 286,999 | 286,999 | |
Fidelity Short-Term Bond Fund | 32,735 | 282,178 | |
TOTAL SHORT-TERM FUNDS (Cost $569,627) | 569,177 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $4,546,485) | $ 4,433,291 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2028 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $4,546,485) - See accompanying schedule | $ 4,433,291 | |
Cash | 72 | |
Receivable for fund shares sold | 200,000 | |
Total assets | 4,633,363 | |
Liabilities | ||
Payable for investments purchased | $ 199,998 | |
Distribution fees payable | 171 | |
Total liabilities | 200,169 | |
Net Assets | $ 4,433,194 | |
Net Assets consist of: | ||
Paid in capital | $ 4,524,046 | |
Undistributed net investment income | 1,904 | |
Accumulated undistributed net realized gain (loss) on investments | 20,438 | |
Net unrealized appreciation | (113,194) | |
Net Assets | $ 4,433,194 | |
Calculation of Maximum Offering Price Class A: | $ 49.04 | |
Maximum offering price per share (100/94.25 of $49.04) | $ 52.03 | |
Class T: | $ 49.03 | |
Maximum offering price per share (100/96.50 of $49.03) | $ 50.81 | |
Class C: | $ 49.03 | |
Income Replacement 2028: | $ 49.04 | |
Institutional Class: | $ 49.04 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 21,890 | |
Interest | 119 | |
Total income | 22,009 | |
Expenses | ||
Distribution fees | $ 803 | |
Independent trustees' compensation | 2 | |
Total expenses before reductions | 805 | |
Expense reductions | (2) | 803 |
Net investment income (loss) | 21,206 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (4,058) | |
Capital gain distributions from underlying funds | 33,100 | 29,042 |
Change in net unrealized appreciation (depreciation) on underlying funds | (113,194) | |
Net gain (loss) | (84,152) | |
Net increase (decrease) in net assets resulting from operations | $ (62,946) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 21,206 |
Net realized gain (loss) | 29,042 |
Change in net unrealized appreciation (depreciation) | (113,194) |
Net in net assets resulting from operations | (62,946) |
Distributions to from net investment income | (19,302) |
Distributions to from net realized gain | (8,604) |
Total distributions | (27,906) |
Share transactions - net increase (decrease) | 4,524,046 |
Total increase (decrease) in net assets | 4,433,194 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $1,904) | $ 4,433,194 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .657 |
Net realized and unrealized gain (loss) | (.988) |
Total from investment operations | (.331) |
Distributions from net investment income | (.469) |
Distributions from net realized gain | (.160) |
Total distributions | (.629) |
Net asset value, end of period | $ 49.04 |
Total Return B, C, D | (.71)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 3.04% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .598 |
Net realized and unrealized gain (loss) | (.985) |
Total from investment operations | (.387) |
Distributions from net investment income | (.423) |
Distributions from net realized gain | (.160) |
Total distributions | (.583) |
Net asset value, end of period | $ 49.03 |
Total Return B, C, D | (.82)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.79% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 160 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .495 |
Net realized and unrealized gain (loss) | (.987) |
Total from investment operations | (.492) |
Distributions from net investment income | (.318) |
Distributions from net realized gain | (.160) |
Total distributions | (.478) |
Net asset value, end of period | $ 49.03 |
Total Return B, C, D | (1.02)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00%A |
Expenses net of all reductions | 1.00%A |
Net investment income (loss) | 2.29%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 53%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2028
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .670 |
Net realized and unrealized gain (loss) | (.949) |
Total from investment operations | (.279) |
Distributions from net investment income | (.521) |
Distributions from net realized gain | (.160) |
Total distributions | (.681) |
Net asset value, end of period | $ 49.04 |
Total Return B, C | (.61)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.29% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 3,975 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .712 |
Net realized and unrealized gain (loss) | (.991) |
Total from investment operations | (.279) |
Distributions from net investment income | (.521) |
Distributions from net realized gain | (.160) |
Total distributions | (.681) |
Net asset value, end of period | $ 49.04 |
Total Return B, C | (.61)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.29% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 53% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of sale of shares) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2030 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.8 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.4 |
Fidelity Broad Market Opportunities Fund | 8.9 |
Fidelity Disciplined Equity Fund | 5.7 |
Fidelity Equity Income Fund | 5.5 |
Fidelity Large Cap Core Enhanced Index Fund | 9.1 |
Fidelity Small Cap Opportunities Fund | 3.4 |
44.8 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 9.1 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.7 |
Fidelity Strategic Income Fund | 2.8 |
5.5 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.9 |
Fidelity Strategic Real Return Fund | 5.8 |
Fidelity Total Bond Fund | 17.4 |
29.1 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 5.6 |
Fidelity Short-Term Bond Fund | 5.9 |
11.5 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 44.8% | |
| International Equity Funds | 9.1% | |
| High Yield Fixed-Income Funds | 5.5% | |
| Investment Grade Fixed-Income Funds | 29.1% | |
| Short-Term Funds | 11.5% | |
Expected | |||
| Domestic Equity Funds | 46.3% | |
| International Equity Funds | 8.9% | |
| High Yield Fixed-Income Funds | 5.3% | |
| Investment Grade Fixed-Income Funds | 27.8% | |
| Short-Term Funds | 11.7% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2030 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 53.9% | |||
Shares | Value | ||
Domestic Equity Funds - 44.8% | |||
Fidelity 100 Index Fund | 4,447 | $ 44,251 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 2,249 | 35,583 | |
Fidelity Broad Market Opportunities Fund | 6,109 | 58,524 | |
Fidelity Disciplined Equity Fund | 1,379 | 37,485 | |
Fidelity Equity Income Fund | 689 | 35,985 | |
Fidelity Large Cap Core Enhanced Index Fund | 6,251 | 59,259 | |
Fidelity Small Cap Opportunities Fund | 2,623 | 22,399 | |
TOTAL DOMESTIC EQUITY FUNDS | 293,486 | ||
International Equity Funds - 9.1% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 1,536 | 59,655 | |
TOTAL EQUITY FUNDS (Cost $383,324) | 353,141 | ||
Fixed-Income Funds - 34.6% | |||
High Yield Fixed-Income Funds - 5.5% | |||
Fidelity Capital & Income Fund | 2,099 | 17,567 | |
Fidelity Strategic Income Fund | 1,757 | 18,414 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 35,981 | ||
Investment Grade Fixed-Income Funds - 29.1% | |||
Fidelity Government Income Fund | 3,680 | 38,897 | |
Fidelity Strategic Real Return Fund | 3,789 | 38,347 | |
Fidelity Total Bond Fund | 10,923 | 113,816 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 191,060 | ||
TOTAL FIXED-INCOME FUNDS (Cost $224,329) | 227,041 | ||
Short-Term Funds - 11.5% | |||
Fidelity Institutional Money Market Fund Institutional Class | 36,576 | 36,576 | |
Fidelity Short-Term Bond Fund | 4,471 | 38,537 | |
TOTAL SHORT-TERM FUNDS (Cost $75,297) | 75,113 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $682,950) | $ 655,295 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2030 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $682,950) - See accompanying schedule | $ 655,295 | |
Cash | 72 | |
Total assets | 655,367 | |
Liabilities | ||
Distribution fees payable | $ 263 | |
Total liabilities | 263 | |
Net Assets | $ 655,104 | |
Net Assets consist of: | ||
Paid in capital | $ 674,310 | |
Undistributed net investment income | 224 | |
Accumulated undistributed net realized gain (loss) on investments | 8,225 | |
Net unrealized appreciation (depreciation) on investments | (27,655) | |
Net Assets | $ 655,104 | |
Calculation of Maximum Offering Price Class A: | $ 48.83 | |
Maximum offering price per share (100/94.25 of $48.83) | $ 51.81 | |
Class T: | $ 48.83 | |
Maximum offering price per share (100/96.50 of $48.83) | $ 50.60 | |
Class C: | $ 48.81 | |
Income Replacement 2030: | $ 48.83 | |
Institutional Class: | $ 48.83 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 7,918 | |
Interest | 111 | |
Total income | 8,029 | |
Expenses | ||
Distribution fees | $ 1,068 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 1,069 | |
Expense reductions | (1) | 1,068 |
Net investment income (loss) | 6,961 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (143) | |
Capital gain distributions from underlying funds | 10,896 | 10,753 |
Change in net unrealized appreciation (depreciation) on underlying funds | (27,655) | |
Net gain (loss) | (16,902) | |
Net increase (decrease) in net assets resulting from operations | $ (9,941) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 6,961 |
Net realized gain (loss) | 10,753 |
Change in net unrealized appreciation (depreciation) | (27,655) |
Net in net assets resulting from operations | (9,941) |
Distributions to from net investment income | (6,737) |
Distributions to from net realized gain | (2,528) |
Total distributions | (9,265) |
Share transactions - net increase (decrease) | 674,310 |
Total increase (decrease) in net assets | 655,104 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $224) | $ 655,104 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .632 |
Net realized and unrealized gain (loss) | (1.033) |
Total from investment operations | (.401) |
Distributions from net investment income | (.579) |
Distributions from net realized gain | (.190) |
Total distributions | (.769) |
Net asset value, end of period | $ 48.83 |
Total Return B, C, D | (.87)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 2.93% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .578 |
Net realized and unrealized gain (loss) | (1.030) |
Total from investment operations | (.452) |
Distributions from net investment income | (.528) |
Distributions from net realized gain | (.190) |
Total distributions | (.718) |
Net asset value, end of period | $ 48.83 |
Total Return B, C, D | (.96)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.67% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .463 |
Net realized and unrealized gain (loss) | (1.024) |
Total from investment operations | (.561) |
Distributions from net investment income | (.439) |
Distributions from net realized gain | (.190) |
Total distributions | (.629) |
Net asset value, end of period | $ 48.81 |
Total Return B, C, D | (1.18)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 234 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2030
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .675 |
Net realized and unrealized gain (loss) | (1.024) |
Total from investment operations | (.349) |
Distributions from net investment income | (.631) |
Distributions from net realized gain | (.190) |
Total distributions | (.821) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.77)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 124 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .687 |
Net realized and unrealized gain (loss) | (1.036) |
Total from investment operations | (.349) |
Distributions from net investment income | (.631) |
Distributions from net realized gain | (.190) |
Total distributions | (.821) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.77)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.18% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 27% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2032 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 6.9 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.5 |
Fidelity Broad Market Opportunities Fund | 9.1 |
Fidelity Disciplined Equity Fund | 5.8 |
Fidelity Equity Income Fund | 5.7 |
Fidelity Large Cap Core Enhanced Index Fund | 9.2 |
Fidelity Small Cap Opportunities Fund | 3.5 |
45.7 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 9.7 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 2.8 |
Fidelity Strategic Income Fund | 3.0 |
5.8 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.8 |
Fidelity Strategic Real Return Fund | 5.7 |
Fidelity Total Bond Fund | 16.9 |
28.4 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 5.1 |
Fidelity Short-Term Bond Fund | 5.3 |
10.4 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 45.7% | |
| International | 9.7% | |
| High Yield Fixed-Income Funds | 5.8% | |
| Investment Grade Fixed-Income Funds | 28.4% | |
| Short-Term Funds | 10.4% | |
Expected | |||
| Domestic Equity Funds | 47.1% | |
| International | 9.8% | |
| High Yield | 5.5% | |
| Investment Grade Fixed-Income Funds | 27.2% | |
| Short-Term Funds | 10.4% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2032 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 55.4% | |||
Shares | Value | ||
Domestic Equity Funds - 45.7% | |||
Fidelity 100 Index Fund | 8,973 | $ 89,286 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 4,502 | 71,223 | |
Fidelity Broad Market Opportunities Fund | 12,275 | 117,594 | |
Fidelity Disciplined Equity Fund | 2,748 | 74,683 | |
Fidelity Equity Income Fund | 1,413 | 73,809 | |
Fidelity Large Cap Core Enhanced Index Fund | 12,577 | 119,232 | |
Fidelity Small Cap Opportunities Fund | 5,398 | 46,097 | |
TOTAL DOMESTIC EQUITY FUNDS | 591,924 | ||
International Equity Funds - 9.7% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 3,234 | 125,589 | |
TOTAL EQUITY FUNDS (Cost $786,824) | 717,513 | ||
Fixed-Income Funds - 34.2% | |||
High Yield Fixed-Income Funds - 5.8% | |||
Fidelity Capital & Income Fund | 4,371 | 36,587 | |
Fidelity Strategic Income Fund | 3,639 | 38,134 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 74,721 | ||
Investment Grade Fixed-Income Funds - 28.4% | |||
Fidelity Government Income Fund | 7,066 | 74,690 | |
Fidelity Strategic Real Return Fund | 7,294 | 73,820 | |
Fidelity Total Bond Fund | 20,996 | 218,777 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 367,287 | ||
TOTAL FIXED-INCOME FUNDS (Cost $438,710) | 442,008 | ||
Short-Term Funds - 10.4% | |||
Fidelity Institutional Money Market Fund Institutional Class | 66,609 | 66,609 | |
Fidelity Short-Term Bond Fund | 7,900 | 68,095 | |
TOTAL SHORT-TERM FUNDS (Cost $134,935) | 134,704 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,360,469) | $ 1,294,225 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2032 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,360,469) - See accompanying schedule | $ 1,294,225 | |
Cash | 72 | |
Total assets | 1,294,297 | |
Liabilities | ||
Payable for investments purchased | $ 3 | |
Distribution fees payable | 197 | |
Total liabilities | 200 | |
Net Assets | $ 1,294,097 | |
Net Assets consist of: | ||
Paid in capital | $ 1,345,710 | |
Undistributed net investment income | 508 | |
Accumulated undistributed net realized gain (loss) on investments | 14,123 | |
Net unrealized appreciation (depreciation) on investments | (66,244) | |
Net Assets | $ 1,294,097 | |
Calculation of Maximum Offering Price Class A: | $ 48.82 | |
Maximum offering price per share (100/94.25 of $48.82) | $ 51.80 | |
Class T: | $ 48.83 | |
Maximum offering price per share (100/96.50 of $48.83) | $ 50.60 | |
Class C: | $ 48.82 | |
Income Replacement 2032: | $ 48.83 | |
Institutional Class: | $ 48.83 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 11,623 | |
Interest | 112 | |
Total income | 11,735 | |
Expenses | ||
Distribution fees | $ 922 | |
Independent trustees' compensation | 1 | |
Total expenses before reductions | 923 | |
Expense reductions | (1) | 922 |
Net investment income (loss) | 10,813 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (304) | |
Capital gain distributions from underlying funds | 18,847 | 18,543 |
Change in net unrealized appreciation (depreciation) on underlying funds | (66,244) | |
Net gain (loss) | (47,701) | |
Net increase (decrease) in net assets resulting from operations | $ (36,888) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 10,813 |
Net realized gain (loss) | 18,543 |
Change in net unrealized appreciation (depreciation) | (66,244) |
Net in net assets resulting from operations | (36,888) |
Distributions to from net investment income | (10,305) |
Distributions to from net realized gain | (4,420) |
Total distributions | (14,725) |
Share transactions - net increase (decrease) | 1,345,710 |
Total increase (decrease) in net assets | 1,294,097 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $508) | $ 1,294,097 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .649 |
Net realized and unrealized gain (loss) | (1.093) |
Total from investment operations | (.444) |
Distributions from net investment income | (.546) |
Distributions from net realized gain | (.190) |
Total distributions | (.736) |
Net asset value, end of period | $ 48.82 |
Total ReturnB, C, D | (.95)% |
Ratios to Average Net AssetsF, H | |
Expenses before reductions | .25%A |
Expenses net of fee waivers, if any | .25%A |
Expenses net of all reductions | .25%A |
Net investment income (loss) | 3.08%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 349 |
Portfolio turnover rate | 25%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .606 |
Net realized and unrealized gain (loss) | (1.096) |
Total from investment operations | (.490) |
Distributions from net investment income | (.490) |
Distributions from net realized gain | (.190) |
Total distributions | (.680) |
Net asset value, end of period | $ 48.83 |
Total Return B, C, D | (1.04)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50%A |
Expenses net of all reductions | .50%A |
Net investment income (loss) | 2.83%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 25%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .499 |
Net realized and unrealized gain (loss) | (1.102) |
Total from investment operations | (.603) |
Distributions from net investment income | (.387) |
Distributions from net realized gain | (.190) |
Total distributions | (.577) |
Net asset value, end of period | $ 48.82 |
Total Return B, C, D | (1.26)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.33% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 25% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2032
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .690 |
Net realized and unrealized gain (loss) | (1.078) |
Total from investment operations | (.388) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.190) |
Total distributions | (.782) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.84)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.33% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 648 |
Portfolio turnover rate | 25% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .713 |
Net realized and unrealized gain (loss) | (1.101) |
Total from investment operations | (.388) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.190) |
Total distributions | (.782) |
Net asset value, end of period | $ 48.83 |
Total Return B, C | (.84)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00%A |
Expenses net of all reductions | .00%A |
Net investment income (loss) | 3.32%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 25%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2034 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.1 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.7 |
Fidelity Broad Market Opportunities Fund | 9.4 |
Fidelity Disciplined Equity Fund | 6.0 |
Fidelity Equity Income Fund | 5.8 |
Fidelity Large Cap Core Enhanced Index Fund | 9.5 |
Fidelity Small Cap Opportunities Fund | 3.6 |
47.1 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 10.9 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.0 |
Fidelity Strategic Income Fund | 3.1 |
6.1 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.6 |
Fidelity Strategic Real Return Fund | 5.6 |
Fidelity Total Bond Fund | 16.5 |
27.7 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 3.9 |
Fidelity Short-Term Bond Fund | 4.3 |
8.2 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 47.1% | |
| International Equity Funds | 10.9% | |
| High Yield Fixed-Income Funds | 6.1% | |
| Investment Grade Fixed-Income Funds | 27.7% | |
| Short-Term Funds | 8.2% | |
Expected | |||
| Domestic Equity Funds | 48.1% | |
| International Equity Funds | 10.7% | |
| High Yield Fixed-Income Funds | 5.8% | |
| Investment Grade Fixed-Income Funds | 26.6% | |
| Short-Term Funds | 8.8% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2034 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 58.0% | |||
Shares | Value | ||
Domestic Equity Funds - 47.1% | |||
Fidelity 100 Index Fund | 5,177 | $ 51,509 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 2,621 | 41,466 | |
Fidelity Broad Market Opportunities Fund | 7,122 | 68,228 | |
Fidelity Disciplined Equity Fund | 1,603 | 43,562 | |
Fidelity Equity Income Fund | 808 | 42,212 | |
Fidelity Large Cap Core Enhanced Index Fund | 7,278 | 68,992 | |
Fidelity Small Cap Opportunities Fund | 3,074 | 26,250 | |
TOTAL DOMESTIC EQUITY FUNDS | 342,219 | ||
International Equity Funds - 10.9% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 2,043 | 79,318 | |
TOTAL EQUITY FUNDS (Cost $453,841) | 421,537 | ||
Fixed-Income Funds - 33.8% | |||
High Yield Fixed-Income Funds - 6.1% | |||
Fidelity Capital & Income Fund | 2,579 | 21,583 | |
Fidelity Strategic Income Fund | 2,146 | 22,490 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 44,073 | ||
Investment Grade Fixed-Income Funds - 27.7% | |||
Fidelity Government Income Fund | 3,878 | 40,992 | |
Fidelity Strategic Real Return Fund | 4,012 | 40,605 | |
Fidelity Total Bond Fund | 11,539 | 120,234 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 201,831 | ||
TOTAL FIXED-INCOME FUNDS (Cost $243,595) | 245,904 | ||
Short-Term Funds - 8.2% | |||
Fidelity Institutional Money Market Fund Institutional Class | 28,633 | 28,633 | |
Fidelity Short-Term Bond Fund | 3,631 | 31,298 | |
TOTAL SHORT-TERM FUNDS (Cost $60,072) | 59,931 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $757,508) | $ 727,372 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2034 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $757,508) - See accompanying schedule | $ 727,372 | |
Cash | 72 | |
Total assets | 727,444 | |
Liabilities | ||
Payable for investments purchased | $ 67 | |
Distribution fees payable | 145 | |
Total liabilities | 212 | |
Net Assets | $ 727,232 | |
Net Assets consist of: | ||
Paid in capital | $ 747,154 | |
Undistributed net investment income | 264 | |
Accumulated undistributed net realized gain (loss) on investments | 9,950 | |
Net unrealized appreciation (depreciation) on investments | (30,136) | |
Net Assets | $ 727,232 | |
Calculation of Maximum Offering Price Class A: | $ 48.75 | |
Maximum offering price per share (100/94.25 of $48.75) | $ 51.72 | |
Class T: | $ 48.74 | |
Maximum offering price per share (100/96.50 of $48.74) | $ 50.51 | |
Class C: | $ 48.74 | |
Income Replacement 2034: | $ 48.75 | |
Institutional Class: | $ 48.75 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 8,064 | |
Interest | 113 | |
Total income | 8,177 | |
Expenses | ||
Distribution fees | 760 | |
Net investment income (loss) | 7,417 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | $ (151) | |
Capital gain distributions from underlying funds | 13,064 | 12,913 |
Change in net unrealized appreciation (depreciation) on underlying funds | (30,136) | |
Net gain (loss) | (17,223) | |
Net increase (decrease) in net assets resulting from operations | $ (9,806) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 7,417 |
Net realized gain (loss) | 12,913 |
Change in net unrealized appreciation (depreciation) | (30,136) |
Net in net assets resulting from operations | (9,806) |
Distributions to from net investment income | (7,153) |
Distributions to from net realized gain | (2,963) |
Total distributions | (10,116) |
Share transactions - net increase (decrease) | 747,154 |
Total increase (decrease) in net assets | 727,232 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $264) | $ 727,232 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .624 |
Net realized and unrealized gain (loss) | (1.135) |
Total from investment operations | (.511) |
Distributions from net investment income | (.539) |
Distributions from net realized gain | (.200) |
Total distributions | (.739) |
Net asset value, end of period | $ 48.75 |
Total Return B, C | (1.09)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 2.88% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .570 |
Net realized and unrealized gain (loss) | (1.142) |
Total from investment operations | (.572) |
Distributions from net investment income | (.488) |
Distributions from net realized gain | (.200) |
Total distributions | (.688) |
Net asset value, end of period | $ 48.74 |
Total Return B, C | (1.21)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 2.63% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .463 |
Net realized and unrealized gain (loss) | (1.138) |
Total from investment operations | (.675) |
Distributions from net investment income | (.385) |
Distributions from net realized gain | (.200) |
Total distributions | (.585) |
Net asset value, end of period | $ 48.74 |
Total Return B, C | (1.41)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | 2.14% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2034
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .662 |
Net realized and unrealized gain (loss) | (1.120) |
Total from investment operations | (.458) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.200) |
Total distributions | (.792) |
Net asset value, end of period | $ 48.75 |
Total Return B | (.99)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.14% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 332 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .679 |
Net realized and unrealized gain (loss) | (1.137) |
Total from investment operations | (.458) |
Distributions from net investment income | (.592) |
Distributions from net realized gain | (.200) |
Total distributions | (.792) |
Net asset value, end of period | $ 48.75 |
Total Return B | (.99)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 3.14% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 20% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period August 30, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2036 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.3 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 5.8 |
Fidelity Broad Market Opportunities Fund | 9.5 |
Fidelity Disciplined Equity Fund | 6.0 |
Fidelity Equity Income Fund | 6.0 |
Fidelity Large Cap Core Enhanced Index Fund | 9.6 |
Fidelity Small Cap Opportunities Fund | 3.7 |
47.9 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 11.7 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.2 |
Fidelity Strategic Income Fund | 3.3 |
6.5 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.7 |
Fidelity Strategic Real Return Fund | 5.6 |
Fidelity Total Bond Fund | 16.8 |
28.1 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 2.8 |
Fidelity Short-Term Bond Fund | 3.0 |
5.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 47.9% | |
| International | 11.7% | |
| High Yield | 6.5% | |
| Investment Grade Fixed-Income Funds | 28.1% | |
| Short-Term Funds | 5.8% | |
Expected | |||
| Domestic Equity Funds | 49.3% | |
| International | 11.7% | |
| High Yield | 6.2% | |
| Investment Grade Fixed-Income Funds | 26.3% | |
| Short-Term Funds | 6.5% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2036 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 59.6% | |||
Shares | Value | ||
Domestic Equity Funds - 47.9% | |||
Fidelity 100 Index Fund | 12,038 | $ 119,782 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6,009 | 95,064 | |
Fidelity Broad Market Opportunities Fund | 16,344 | 156,571 | |
Fidelity Disciplined Equity Fund | 3,670 | 99,750 | |
Fidelity Equity Income Fund | 1,884 | 98,461 | |
Fidelity Large Cap Core Enhanced Index Fund | 16,795 | 159,217 | |
Fidelity Small Cap Opportunities Fund | 7,199 | 61,476 | |
TOTAL DOMESTIC EQUITY FUNDS | 790,321 | ||
International Equity Funds - 11.7% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 4,965 | 192,801 | |
TOTAL EQUITY FUNDS (Cost $1,088,121) | 983,122 | ||
Fixed-Income Funds - 34.6% | |||
High Yield Fixed-Income Funds - 6.5% | |||
Fidelity Capital & Income Fund | 6,229 | 52,139 | |
Fidelity Strategic Income Fund | 5,222 | 54,732 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 106,871 | ||
Investment Grade Fixed-Income Funds - 28.1% | |||
Fidelity Government Income Fund | 8,891 | 93,976 | |
Fidelity Strategic Real Return Fund | 9,088 | 91,969 | |
Fidelity Total Bond Fund | 26,591 | 277,079 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 463,024 | ||
TOTAL FIXED-INCOME FUNDS (Cost $566,217) | 569,895 | ||
Short-Term Funds - 5.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 47,181 | 47,181 | |
Fidelity Short-Term Bond Fund | 5,719 | 49,300 | |
TOTAL SHORT-TERM FUNDS (Cost $96,649) | 96,481 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,750,987) | $ 1,649,498 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2036 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,750,987) - See accompanying schedule | $ 1,649,498 | |
Cash | 74 | |
Total assets | 1,649,572 | |
Liabilities | ||
Distribution fees payable | 232 | |
Net Assets | $ 1,649,340 | |
Net Assets consist of: | ||
Paid in capital | $ 1,733,448 | |
Undistributed net investment income | 596 | |
Accumulated undistributed net realized gain (loss) on investments | 16,785 | |
Net unrealized appreciation (depreciation) on investments | (101,489) | |
Net Assets | $ 1,649,340 | |
Calculation of Maximum Offering Price Class A: | $ 48.79 | |
Maximum offering price per share (100/94.25 of $48.79) | $ 51.77 | |
Class T: | $ 48.79 | |
Maximum offering price per share (100/96.50 of $48.79) | $ 50.56 | |
Class C: | $ 48.79 | |
Income Replacement 2036: | $ 48.80 | |
Institutional Class: | $ 48.80 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period August 30, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 13,401 | |
Interest | 75 | |
Total income | 13,476 | |
Expenses | ||
Distribution fees | $ 1,010 | |
Independent trustee's compensation | 1 | |
Total expenses before reductions | 1,011 | |
Expense reductions | (1) | 1,010 |
Net investment income (loss) | 12,466 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (522) | |
Capital gain distributions from underlying funds | 22,298 | 21,776 |
Change in net unrealized appreciation (depreciation) on underlying funds | (101,489) | |
Net gain (loss) | (79,713) | |
Net increase (decrease) in net assets resulting from operations | $ (67,247) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 12,466 |
Net realized gain (loss) | 21,776 |
Change in net unrealized appreciation (depreciation) | (101,489) |
Net in net assets resulting from operations | (67,247) |
Distributions to from net investment income | (11,870) |
Distributions to from net realized gain | (4,991) |
Total distributions | (16,861) |
Share transactions - net increase (decrease) | 1,733,448 |
Total increase (decrease) in net assets | 1,649,340 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $596) | $ 1,649,340 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .592 |
Net realized and unrealized gain (loss) | (1.125) |
Total from investment operations | (.533) |
Distributions from net investment income | (.487) |
Distributions from net realized gain | (.190) |
Total distributions | (.677) |
Net asset value, end of period | $ 48.79 |
Total Return B, C, D | (1.13)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 2.73% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 13% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) E | .525 |
Net realized and unrealized gain (loss) | (1.102) |
Total from investment operations | (.577) |
Distributions from net investment income | (.443) |
Distributions from net realized gain | (.190) |
Total distributions | (.633) |
Net asset value, end of period | $ 48.79 |
Total Return B, C, D | (1.21)% |
Ratios to Average Net Assets F, H | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50%A |
Expenses net of all reductions | .50%A |
Net investment income (loss) | 2.48%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 306 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss)E | .430 |
Net realized and unrealized gain (loss) | (1.116) |
Total from investment operations | (.686) |
Distributions from net investment income | (.334) |
Distributions from net realized gain | (.190) |
Total distributions | (.524) |
Net asset value, end of period | $ 48.79 |
Total ReturnB, C, D | (1.42)% |
Ratios to Average Net AssetsF, H | |
Expenses before reductions | 1.00%A |
Expenses net of fee waivers, if any | 1.00%A |
Expenses net of all reductions | 1.00%A |
Net investment income (loss) | 1.98%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 99 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the underlying funds.
G For the period August 30, 2007 (commencement of operations) to January 31, 2008.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2036
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss)D | .623 |
Net realized and unrealized gain (loss) | (1.094) |
Total from investment operations | (.471) |
Distributions from net investment income | (.539) |
Distributions from net realized gain | (.190) |
Total distributions | (.729) |
Net asset value, end of period | $ 48.80 |
Total ReturnB, C | (1.01)% |
Ratios to Average Net AssetsE, G | |
Expenses before reductions | .00%A |
Expenses net of fee waivers, if any | .00%A |
Expenses net of all reductions | .00%A |
Net investment income (loss) | 2.98%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 1,023 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss)D | .643 |
Net realized and unrealized gain (loss) | (1.114) |
Total from investment operations | (.471) |
Distributions from net investment income | (.539) |
Distributions from net realized gain | (.190) |
Total distributions | (.729) |
Net asset value, end of period | $ 48.80 |
Total ReturnB, C | (1.01)% |
Ratios to Average Net AssetsE, G | |
Expenses before reductions | .00%A |
Expenses net of fee waivers, if any | .00%A |
Expenses net of all reductions | .00%A |
Net investment income (loss) | 2.98%A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 123 |
Portfolio turnover rate | 13%A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period August 30, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2038 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.6 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6.0 |
Fidelity Broad Market Opportunities Fund | 10.1 |
Fidelity Disciplined Equity Fund | 6.3 |
Fidelity Equity Income Fund | 6.5 |
Fidelity Large Cap Core Enhanced Index Fund | 10.2 |
Fidelity Small Cap Opportunities Fund | 4.1 |
50.8 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 12.4 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.3 |
Fidelity Strategic Income Fund | 3.3 |
6.6 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.3 |
Fidelity Strategic Real Return Fund | 5.3 |
Fidelity Total Bond Fund | 15.7 |
26.3 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 2.0 |
Fidelity Short-Term Bond Fund | 1.9 |
3.9 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 50.8% | |
| International Equity Funds | 12.4% | |
| High Yield Fixed-Income Funds | 6.6% | |
| Investment Grade Fixed-Income Funds | 26.3% | |
| Short-Term Funds | 3.9% | |
Expected | |||
| Domestic Equity Funds | 50.6% | |
| International Equity Funds | 12.6% | |
| High Yield Fixed-Income Funds | 6.5% | |
| Investment Grade Fixed-Income Funds | 26.1% | |
| Short-Term Funds | 4.2% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2038 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 63.2% | |||
Shares | Value | ||
Domestic Equity Funds - 50.8% | |||
Fidelity 100 Index Fund | 7,927 | $ 78,876 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,938 | 62,302 | |
Fidelity Broad Market Opportunities Fund | 10,898 | 104,405 | |
Fidelity Disciplined Equity Fund | 2,393 | 65,046 | |
Fidelity Equity Income Fund | 1,275 | 66,622 | |
Fidelity Large Cap Core Enhanced Index Fund | 11,050 | 104,752 | |
Fidelity Small Cap Opportunities Fund | 4,943 | 42,211 | |
TOTAL DOMESTIC EQUITY FUNDS | 524,214 | ||
International Equity Funds - 12.4% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 3,311 | 128,557 | |
TOTAL EQUITY FUNDS (Cost $671,309) | 652,771 | ||
Fixed-Income Funds - 32.9% | |||
High Yield Fixed-Income Funds - 6.6% | |||
Fidelity Capital & Income Fund | 4,069 | 34,060 | |
Fidelity Strategic Income Fund | 3,267 | 34,236 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 68,296 | ||
Investment Grade Fixed-Income Funds - 26.3% | |||
Fidelity Government Income Fund | 5,158 | 54,516 | |
Fidelity Strategic Real Return Fund | 5,394 | 54,583 | |
Fidelity Total Bond Fund | 15,607 | 162,623 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 271,722 | ||
TOTAL FIXED-INCOME FUNDS (Cost $338,466) | 340,018 | ||
Short-Term Funds - 3.9% | |||
Fidelity Institutional Money Market Fund Institutional Class | 19,866 | 19,866 | |
Fidelity Short-Term Bond Fund | 2,300 | 19,830 | |
TOTAL SHORT-TERM FUNDS (Cost $39,714) | 39,696 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $1,049,489) | $ 1,032,485 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2038 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $1,049,489) - See accompanying schedule | $ 1,032,485 | |
Cash | 39 | |
Total assets | 1,032,524 | |
Liabilities | ||
Distribution fees payable | 143 | |
Net Assets | $ 1,032,381 | |
Net Assets consist of: | ||
Paid in capital | $ 1,049,369 | |
Undistributed net investment income | 309 | |
Accumulated undistributed net realized gain (loss) on investments | (293) | |
Net unrealized appreciation (depreciation) on investments | (17,004) | |
Net Assets | $ 1,032,381 | |
Calculation of Maximum Offering Price Class A: | $ 47.66 | |
Maximum offering price per share (100/94.25 of $47.66) | $ 50.57 | |
Class T: | $ 47.66 | |
Maximum offering price per share (100/96.50 of $47.66) | $ 49.39 | |
Class C: | $ 47.65 | |
Income Replacement 2038: | $ 47.67 | |
Institutional Class: | $ 47.67 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period December 31, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 803 | |
Interest | 39 | |
Total income | 842 | |
Expenses | ||
Distribution fees | 147 | |
Net investment income (loss) | 695 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | $ (293) | |
Change in net unrealized appreciation (depreciation) on underlying funds | (17,004) | |
Net gain (loss) | (17,297) | |
Net increase (decrease) in net assets resulting from operations | $ (16,602) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 695 |
Net realized gain (loss) | (293) |
Change in net unrealized appreciation (depreciation) | (17,004) |
Net in net assets resulting from operations | (16,602) |
Distributions to from net investment income | (386) |
Share transactions - net increase (decrease) | 1,049,369 |
Total increase (decrease) in net assets | 1,032,381 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $309) | $ 1,032,381 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .055 |
Net realized and unrealized gain (loss) | (2.381) |
Total from investment operations | (2.326) |
Distributions from net investment income | (.014) |
Net asset value, end of period | $ 47.66 |
Total Return B, C | (4.65)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 1.31% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .035 |
Net realized and unrealized gain (loss) | (2.369) |
Total from investment operations | (2.334) |
Distributions from net investment income | (.006) |
Net asset value, end of period | $ 47.66 |
Total Return B, C | (4.67)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 1.06% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .024 |
Net realized and unrealized gain (loss) | (2.374) |
Total from investment operations | (2.350) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.70)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | .56% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2038
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .057 |
Net realized and unrealized gain (loss) | (2.365) |
Total from investment operations | (2.308) |
Distributions from net investment income | (.022) |
Net asset value, end of period | $ 47.67 |
Total Return B | (4.62)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.56% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 651 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .066 |
Net realized and unrealized gain (loss) | (2.374) |
Total from investment operations | (2.308) |
Distributions from net investment income | (.022) |
Net asset value, end of period | $ 47.67 |
Total Return B | (4.62)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.56% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2040 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.7 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6.0 |
Fidelity Broad Market Opportunities Fund | 10.1 |
Fidelity Disciplined Equity Fund | 6.3 |
Fidelity Equity Income Fund | 6.5 |
Fidelity Large Cap Core Enhanced Index Fund | 10.1 |
Fidelity Small Cap Opportunities Fund | 4.0 |
50.7 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 12.3 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.5 |
Fidelity Strategic Income Fund | 3.5 |
7.0 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.5 |
Fidelity Strategic Real Return Fund | 5.4 |
Fidelity Total Bond Fund | 16.3 |
27.2 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 1.4 |
Fidelity Short-Term Bond Fund | 1.4 |
2.8 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 50.7% | |
| International Equity Funds | 12.3% | |
| High Yield Fixed-Income Funds | 7.0% | |
| Investment Grade Fixed-Income Funds | 27.2% | |
| Short-Term Funds | 2.8% | |
Expected | |||
| Domestic Equity Funds | 51.4% | |
| International Equity Funds | 12.9% | |
| High Yield Fixed-Income Funds | 6.8% | |
| Investment Grade Fixed-Income Funds | 26.0% | |
| Short-Term Funds | 2.9% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2040 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 63.0% | |||
Shares | Value | ||
Domestic Equity Funds - 50.7% | |||
Fidelity 100 Index Fund | 5,197 | $ 51,713 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 2,578 | 40,777 | |
Fidelity Broad Market Opportunities Fund | 7,094 | 67,963 | |
Fidelity Disciplined Equity Fund | 1,561 | 42,425 | |
Fidelity Equity Income Fund | 835 | 43,612 | |
Fidelity Large Cap Core Enhanced Index Fund | 7,232 | 68,558 | |
Fidelity Small Cap Opportunities Fund | 3,199 | 27,323 | |
TOTAL DOMESTIC EQUITY FUNDS | 342,371 | ||
International Equity Funds - 12.3% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 2,148 | 83,397 | |
TOTAL EQUITY FUNDS (Cost $451,692) | 425,768 | ||
Fixed-Income Funds - 34.2% | |||
High Yield Fixed-Income Funds - 7.0% | |||
Fidelity Capital & Income Fund | 2,791 | 23,362 | |
Fidelity Strategic Income Fund | 2,287 | 23,971 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 47,333 | ||
Investment Grade Fixed-Income Funds - 27.2% | |||
Fidelity Government Income Fund | 3,508 | 37,079 | |
Fidelity Strategic Real Return Fund | 3,640 | 36,832 | |
Fidelity Total Bond Fund | 10,582 | 110,269 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 184,180 | ||
TOTAL FIXED-INCOME FUNDS (Cost $230,557) | 231,513 | ||
Short-Term Funds - 2.8% | |||
Fidelity Institutional Money Market Fund Institutional Class | 9,416 | 9,416 | |
Fidelity Short-Term Bond Fund | 1,093 | 9,420 | |
TOTAL SHORT-TERM FUNDS (Cost $18,832) | 18,836 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $701,081) | $ 676,117 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2040 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $701,081) - See accompanying schedule | $ 676,117 | |
Cash | 39 | |
Receivable for investments sold | 2 | |
Receivable for fund shares sold | 1,350 | |
Total assets | 677,508 | |
Liabilities | ||
Payable for investments purchased | $ 1,352 | |
Distribution fees payable | 140 | |
Total liabilities | 1,492 | |
Net Assets | $ 676,016 | |
Net Assets consist of: | ||
Paid in capital | $ 700,850 | |
Undistributed net investment income | 210 | |
Accumulated undistributed net realized gain (loss) on investments | (80) | |
Net unrealized appreciation (depreciation) on investments | (24,964) | |
Net Assets | $ 676,016 | |
Calculation of Maximum Offering Price Class A: | $ 47.65 | |
Maximum offering price per share (100/94.25 of $47.65) | $ 50.56 | |
Class T: | $ 47.65 | |
Maximum offering price per share (100/96.50 of $47.65) | $ 49.38 | |
Class C: | $ 47.65 | |
Income Replacement 2040: | $ 47.65 | |
Institutional Class: | $ 47.66 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period December 31, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 745 | |
Interest | 39 | |
Total income | 784 | |
Expenses | ||
Distribution fees | 147 | |
Net investment income (loss) | 637 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | $ (80) | |
Change in net unrealized appreciation (depreciation) on underlying funds | (24,964) | |
Net gain (loss) | (25,044) | |
Net increase (decrease) in net assets resulting from operations | $ (24,407) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 637 |
Net realized gain (loss) | (80) |
Change in net unrealized appreciation (depreciation) | (24,964) |
Net in net assets resulting from operations | (24,407) |
Distributions to from net investment income | (427) |
Share transactions - net increase (decrease) | 700,850 |
Total increase (decrease) in net assets | 676,016 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $210) | $ 676,016 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .056 |
Net realized and unrealized gain (loss) | (2.376) |
Total from investment operations | (2.320) |
Distributions from net investment income | (.030) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.64)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 1.32% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
H Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .045 |
Net realized and unrealized gain (loss) | (2.373) |
Total from investment operations | (2.328) |
Distributions from net investment income | (.022) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.66)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 1.07% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
H Amount represents less than 1%.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .024 |
Net realized and unrealized gain (loss) | (2.368) |
Total from investment operations | (2.344) |
Distributions from net investment income | (.006) |
Net asset value, end of period | $ 47.65 |
Total Return B, C | (4.69)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | .57% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% H |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
H Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2040
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .061 |
Net realized and unrealized gain (loss) | (2.373) |
Total from investment operations | (2.312) |
Distributions from net investment income | (.038) |
Net asset value, end of period | $ 47.65 |
Total Return B | (4.62)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.57% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 294 |
Portfolio turnover rate | -% G |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
G Amount represents less than 1%.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .066 |
Net realized and unrealized gain (loss) | (2.368) |
Total from investment operations | (2.302) |
Distributions from net investment income | (.038) |
Net asset value, end of period | $ 47.66 |
Total Return B | (4.60)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.57% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | -% G |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
G Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2042 Fund
Investment Summary
Fund Holdings as of January 31, 2008 | |
% of fund's investments | |
Domestic Equity Funds | |
Fidelity 100 Index Fund | 7.8 |
Fidelity Advisor Mid Cap II Fund Institutional Class | 6.1 |
Fidelity Broad Market Opportunities Fund | 10.2 |
Fidelity Disciplined Equity Fund | 6.4 |
Fidelity Equity Income Fund | 6.6 |
Fidelity Large Cap Core Enhanced Index Fund | 10.3 |
Fidelity Small Cap Opportunities Fund | 4.2 |
51.6 | |
International Equity Funds | |
Fidelity Advisor International Discovery Fund | 12.4 |
High Yield Fixed-Income Funds | |
Fidelity Capital & Income Fund | 3.5 |
Fidelity Strategic Income Fund | 3.6 |
7.1 | |
Investment Grade Fixed-Income Funds | |
Fidelity Government Income Fund | 5.4 |
Fidelity Strategic Real Return Fund | 5.4 |
Fidelity Total Bond Fund | 16.0 |
26.8 | |
Short-Term Funds | |
Fidelity Institutional Money Market Fund Institutional Class | 1.1 |
Fidelity Short-Term Bond Fund | 1.0 |
2.1 | |
100.0 | |
Asset Allocation (% of fund's investments) | |||
Current | |||
| Domestic Equity Funds | 51.6% | |
| International | 12.4% | |
| High Yield | 7.1% | |
| Investment Grade Fixed-Income Funds | 26.8% | |
| Short-Term Funds | 2.1% | |
Expected | |||
| Domestic Equity Funds | 51.9% | |
| International | 13.0% | |
| High Yield | 6.9% | |
| Investment Grade Fixed-Income Funds | 26.0% | |
| Short-Term Funds | 2.2% | |
The fund invests according to an asset allocation strategy that becomes increasingly conservative over time. The current allocation is based on the fund's holdings as of January 31, 2008. The expected allocation represents the fund's anticipated allocation at July 31, 2008. |
Semiannual Report
Fidelity Income Replacement 2042 Fund
Investments January 31, 2008 (Unaudited)
Showing Percentage of Total Value of Investment in Securities
Equity Funds - 64.0% | |||
Shares | Value | ||
Domestic Equity Funds - 51.6% | |||
Fidelity 100 Index Fund | 7,356 | $ 73,195 | |
Fidelity Advisor Mid Cap II Fund Institutional Class | 3,630 | 57,419 | |
Fidelity Broad Market Opportunities Fund | 10,076 | 96,525 | |
Fidelity Disciplined Equity Fund | 2,206 | 59,959 | |
Fidelity Equity Income Fund | 1,189 | 62,148 | |
Fidelity Large Cap Core Enhanced Index Fund | 10,221 | 96,894 | |
Fidelity Small Cap Opportunities Fund | 4,608 | 39,349 | |
TOTAL DOMESTIC EQUITY FUNDS | 485,489 | ||
International Equity Funds - 12.4% | |||
Fidelity Advisor International Discovery Fund Institutional Class | 3,002 | 116,562 | |
TOTAL EQUITY FUNDS (Cost $637,308) | 602,051 | ||
Fixed-Income Funds - 33.9% | |||
High Yield Fixed-Income Funds - 7.1% | |||
Fidelity Capital & Income Fund | 3,978 | 33,300 | |
Fidelity Strategic Income Fund | 3,223 | 33,778 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 67,078 | ||
Investment Grade Fixed-Income Funds - 26.8% | |||
Fidelity Government Income Fund | 4,797 | 50,705 | |
Fidelity Strategic Real Return Fund | 4,988 | 50,483 | |
Fidelity Total Bond Fund | 14,488 | 150,963 | |
TOTAL INVESTMENT GRADE FIXED-INCOME FUNDS | 252,151 | ||
TOTAL FIXED-INCOME FUNDS (Cost $318,011) | 319,229 | ||
Short-Term Funds - 2.1% | |||
Fidelity Institutional Money Market Fund Institutional Class | 9,663 | 9,663 | |
Fidelity Short-Term Bond Fund | 1,119 | 9,649 | |
TOTAL SHORT-TERM FUNDS (Cost $19,309) | 19,312 | ||
TOTAL INVESTMENT IN SECURITIES - 100% (Cost $974,628) | $ 940,592 | ||
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Fidelity Income Replacement 2042 Fund
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (cost $974,628) - See accompanying schedule | $ 940,592 | |
Cash | 39 | |
Receivable for investments sold | 3 | |
Total assets | 940,634 | |
Liabilities | ||
Payable for investments purchased | $ 2 | |
Distribution fees payable | 140 | |
Total liabilities | 142 | |
Net Assets | $ 940,492 | |
Net Assets consist of: | ||
Paid in capital | $ 974,341 | |
Undistributed net investment income | 302 | |
Accumulated undistributed net realized gain (loss) on investments | (115) | |
Net unrealized appreciation (depreciation) on investments | (34,036) | |
Net Assets | $ 940,492 | |
Calculation of Maximum Offering Price Class A: | $ 47.64 | |
Maximum offering price per share (100/94.25 of $47.64) | $ 50.55 | |
Class T: | $ 47.64 | |
Maximum offering price per share (100/96.50 of $47.64) | $ 49.37 | |
Class C: | $ 47.63 | |
Income Replacement 2042: | $ 47.64 | |
Institutional Class: | $ 47.64 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
Statement of Operations
For the period December 31, 2007 | ||
Investment Income | ||
Income distributions from underlying funds | $ 1,010 | |
Interest | 39 | |
Total income | 1,049 | |
Expenses | ||
Distribution fees | 147 | |
Net investment income (loss) | 902 | |
Realized and Unrealized Gain (Loss) Realized gain (loss) on sale of underlying fund shares | (115) | |
Change in net unrealized appreciation (depreciation) on underlying funds | (34,036) | |
Net gain (loss) | (34,151) | |
Net increase (decrease) in net assets resulting from operations | $ (33,249) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
For the period | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income (loss) | $ 902 |
Net realized gain (loss) | (115) |
Change in net unrealized appreciation (depreciation) | (34,036) |
Net in net assets resulting from operations | (33,249) |
Distributions to from net investment income | (600) |
Share transactions - net increase (decrease) | 974,341 |
Total increase (decrease) in net assets | 940,492 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $302) | $ 940,492 |
Financial Highlights - Class A
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .054 |
Net realized and unrealized gain (loss) | (2.386) |
Total from investment operations | (2.332) |
Distributions from net investment income | (.028) |
Net asset value, end of period | $ 47.64 |
Total Return B, C | (4.66)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .25% A |
Expenses net of fee waivers, if any | .25% A |
Expenses net of all reductions | .25% A |
Net investment income (loss) | 1.30% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .044 |
Net realized and unrealized gain (loss) | (2.384) |
Total from investment operations | (2.340) |
Distributions from net investment income | (.020) |
Net asset value, end of period | $ 47.64 |
Total Return B, C | (4.69)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | .50% A |
Expenses net of fee waivers, if any | .50% A |
Expenses net of all reductions | .50% A |
Net investment income (loss) | 1.05% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the sales charges.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Class C
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) D | .023 |
Net realized and unrealized gain (loss) | (2.389) |
Total from investment operations | (2.366) |
Distributions from net investment income | (.004) |
Net asset value, end of period | $ 47.63 |
Total Return B, C | (4.73)% |
Ratios to Average Net Assets E, G | |
Expenses before reductions | 1.00% A |
Expenses net of fee waivers, if any | 1.00% A |
Expenses net of all reductions | 1.00% A |
Net investment income (loss) | .54% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns do not include the effect of the contingent deferred sales charge.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the underlying funds.
F For the period December 31, 2007 (commencement of operations) to January 31, 2008.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Income Replacement 2042
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .059 |
Net realized and unrealized gain (loss) | (2.383) |
Total from investment operations | (2.324) |
Distributions from net investment income | (.036) |
Net asset value, end of period | $ 47.64 |
Total Return B | (4.65)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.55% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 559 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
Financial Highlights - Institutional Class
Period ended | |
(Unaudited) | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 50.00 |
Income from Investment Operations | |
Net investment income (loss) C | .055 |
Net realized and unrealized gain (loss) | (2.379) |
Total from investment operations | (2.324) |
Distributions from net investment income | (.036) |
Net asset value, end of period | $ 47.64 |
Total Return B | (4.65)% |
Ratios to Average Net Assets D, F | |
Expenses before reductions | .00% A |
Expenses net of fee waivers, if any | .00% A |
Expenses net of all reductions | .00% A |
Net investment income (loss) | 1.55% A |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 95 |
Portfolio turnover rate | 2% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Calculated based on average shares outstanding during the period.
D Amounts do not include the activity of the underlying funds.
E For the period December 31, 2007 (commencement of operations) to January 31, 2008.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class but do not include expenses of the investment companies in which the Fund invests.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended January 31, 2008 (Unaudited)
1. Organization.
Fidelity Income Replacement 2016 Fund, Fidelity Income Replacement 2018 Fund, Fidelity Income Replacement 2020 Fund, Fidelity Income Replacement 2022 Fund, Fidelity Income Replacement 2024 Fund, Fidelity Income Replacement 2026 Fund, Fidelity Income Replacement 2028 Fund, Fidelity Income Replacement 2030 Fund, Fidelity Income Replacement 2032 Fund, Fidelity Income Replacement 2034 Fund, Fidelity Income Replacement 2036 Fund, Fidelity Income Replacement 2038 Fund, Fidelity Income Replacement 2040 Fund and Fidelity Income Replacement 2042 Fund (the Funds) are funds of Fidelity Income Fund (the trust). The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Each Fund is authorized to issue an unlimited number of shares. The Funds invest primarily in a combination of other Fidelity equity, fixed income, and short-term funds (the Underlying Funds) managed by Fidelity Management & Research Company (FMR) and its affiliates.
The Funds are designed for investors who seek to convert accumulated assets into regular payments over a defined period of time. The payment strategy for each Fund is designed to be implemented through a shareholder's voluntary participation in the Smart Payment Program. Participation in the Smart Payment Program will result in the gradual liquidation of the shareholder's entire investment in the Fund by its horizon date. Each Fund's name refers to the year of its horizon date.
Each Fund offers Class A, Class T, Class C, Income Replacement and Institutional Class shares, each of which has equal rights as to assets and voting privileges, except for matters affecting a single class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Funds:
Security Valuation. Net asset value per share is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Investments in the Underlying Funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from the Underlying Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned. Interest income includes coupon interest and amortization of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust. Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the Underlying Funds. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. Each Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements in connection with the tax positions expected to be taken in the initial filing of each Fund's federal tax return.
Dividends are declared and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Semiannual Report
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows for each Fund:
Cost for Federal Income Tax Purposes | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | |
Fidelity Income Replacement 2016 Fund | $ 5,943,761 | $ 29,751 | $ (202,277) | $ (172,526) |
Fidelity Income Replacement 2018 Fund | 4,535,026 | 24,870 | (167,311) | (142,441) |
Fidelity Income Replacement 2020 Fund | 1,276,020 | 9,493 | (31,516) | (22,023) |
Fidelity Income Replacement 2022 Fund | 3,834,313 | 15,589 | (156,205) | (140,616) |
Fidelity Income Replacement 2024 Fund | 1,120,649 | 7,203 | (36,674) | (29,471) |
Fidelity Income Replacement 2026 Fund | 1,186,282 | 6,513 | (50,736) | (44,223) |
Fidelity Income Replacement 2028 Fund | 4,546,485 | 29,713 | (142,907) | (113,194) |
Fidelity Income Replacement 2030 Fund | 682,950 | 3,628 | (31,283) | (27,655) |
Fidelity Income Replacement 2032 Fund | 1,360,469 | 5,252 | (71,496) | (66,244) |
Fidelity Income Replacement 2034 Fund | 757,508 | 3,265 | (33,401) | (30,136) |
Fidelity Income Replacement 2036 Fund | 1,750,987 | 6,961 | (108,450) | (101,489) |
Fidelity Income Replacement 2038 Fund | 1,049,489 | 8,885 | (25,889) | (17,004) |
Fidelity Income Replacement 2040 Fund | 701,081 | 3,392 | (28,356) | (24,964) |
Fidelity Income Replacement 2042 Fund | 974,627 | 2,112 | (36,147) | (34,035) |
New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Funds' financial statement disclosures.
3. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits certain Funds and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Certain Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Each applicable Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Purchase & Sales of Investments
Purchases and redemptions of the Underlying Fund shares are noted in the table below.
Purchases ($) | Redemptions ($) | |
Fidelity Income Replacement 2016 Fund | 7,976,974 | 2,017,587 |
Fidelity Income Replacement 2018 Fund | 5,640,290 | 1,091,653 |
Fidelity Income Replacement 2020 Fund | 1,401,046 | 124,540 |
Fidelity Income Replacement 2022 Fund | 4,571,275 | 727,790 |
Fidelity Income Replacement 2024 Fund | 1,339,214 | 217,465 |
Fidelity Income Replacement 2026 Fund | 1,325,310 | 138,691 |
Fidelity Income Replacement 2028 Fund | 4,941,421 | 390,877 |
Fidelity Income Replacement 2030 Fund | 750,199 | 67,107 |
Fidelity Income Replacement 2032 Fund | 1,450,060 | 89,288 |
Fidelity Income Replacement 2034 Fund | 810,451 | 52,792 |
Fidelity Income Replacement 2036 Fund | 1,810,293 | 58,784 |
Fidelity Income Replacement 2038 Fund | 1,061,532 | 11,782 |
Fidelity Income Replacement 2040 Fund | 702,345 | 1,185 |
Fidelity Income Replacement 2042 Fund | 989,917 | 15,180 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates.
Management Fee. Strategic Advisers, Inc. (Strategic Advisers), an affiliate of FMR, provides the Funds with investment management related services. The Funds do not pay any fees for these services. Under the management contract, Strategic Advisers pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, each Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Fidelity Income Replacement 2016 Fund | Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 183 | $ 104 |
Class T | .25% | .25% | 300 | 214 |
Class C | .75% | .25% | 2,359 | 2,355 |
$ 2,842 | $ 2,673 | |||
Fidelity Income Replacement 2018 Fund | ||||
Class A | 0% | .25% | $ 159 | $ 104 |
Class T | .25% | .25% | 248 | 220 |
Class C | .75% | .25% | 534 | 534 |
$ 941 | $ 858 | |||
Fidelity Income Replacement 2020 Fund | ||||
Class A | 0% | .25% | $ 119 | $ 106 |
Class T | .25% | .25% | 268 | 214 |
Class C | .75% | .25% | 530 | 530 |
$ 917 | $ 850 | |||
Fidelity Income Replacement 2022 Fund | ||||
Class A | 0% | .25% | $ 115 | $ 107 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 432 | 432 |
$ 763 | $ 755 | |||
Fidelity Income Replacement 2024 Fund | ||||
Class A | 0% | .25% | $ 155 | $ 107 |
Class T | .25% | .25% | 218 | 218 |
Class C | .75% | .25% | 432 | 432 |
$ 805 | $ 757 | |||
Fidelity Income Replacement 2026 Fund | ||||
Class A | 0% | .25% | $ 114 | $ 108 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 894 | 893 |
$ 1,224 | $ 1,217 | |||
Fidelity Income Replacement 2028 Fund | ||||
Class A | 0% | .25% | $ 108 | $ 108 |
Class T | .25% | .25% | 262 | 214 |
Class C | .75% | .25% | 433 | 433 |
$ 803 | $ 755 | |||
Fidelity Income Replacement 2030 Fund | ||||
Class A | 0% | .25% | $ 108 | $ 108 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 744 | 743 |
$ 1,068 | $ 1,067 |
Semiannual Report
4. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan - continued
Fidelity Income Replacement 2032 Fund | Distribution | Service | Paid to | Retained |
Class A | 0% | .25% | $ 273 | $ 106 |
Class T | .25% | .25% | 216 | 216 |
Class C | .75% | .25% | 433 | 433 |
$ 922 | $ 755 | |||
Fidelity Income Replacement 2034 Fund | ||||
Class A | 0% | .25% | $ 109 | $ 109 |
Class T | .25% | .25% | 218 | 218 |
Class C | .75% | .25% | 433 | 433 |
$ 760 | $ 760 | |||
Fidelity Income Replacement 2036 Fund | ||||
Class A | 0% | .25% | $ 109 | $ 109 |
Class T | .25% | .25% | 468 | 212 |
Class C | .75% | .25% | 433 | 433 |
$ 1,010 | $ 754 | |||
Fidelity Income Replacement 2038 Fund | ||||
Class A | 0% | .25% | $ 21 | $ 21 |
Class T | .25% | .25% | 42 | 42 |
Class C | .75% | .25% | 84 | 84 |
$ 147 | $ 147 | |||
Fidelity Income Replacement 2040 Fund | ||||
Class A | 0% | .25% | $ 21 | $ 21 |
Class T | .25% | .25% | 42 | 42 |
Class C | .75% | .25% | 84 | 84 |
$ 147 | $ 147 | |||
Fidelity Income Replacement 2042 Fund | ||||
Class A | 0% | .25% | $ 21 | $ 21 |
Class T | .25% | .25% | 42 | 42 |
Class C | .75% | .25% | 84 | 84 |
$ 147 | $ 147 |
Sales Load. FDC receives a front-end sales charge of up to 5.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 1% for Class C, 1.00% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Fidelity Income Replacement 2016 Fund | Retained |
Class A | $ 2,450 |
Class T | 264 |
Class C* | 177 |
$ 2,891 | |
Fidelity Income Replacement 2018 Fund | |
Class A | $ 2,516 |
Class T | 125 |
$ 2,641 | |
Fidelity Income Replacement 2020 Fund | |
Class A | $ 643 |
Class T | 237 |
$ 880 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
Fidelity Income Replacement 2022 Fund | Retained |
Class A | $ 412 |
Fidelity Income Replacement 2024 Fund | |
Class A | $ 996 |
Fidelity Income Replacement 2028 Fund | |
Class T | $ 163 |
Fidelity Income Replacement 2032 Fund | |
Class A | $ 1,114 |
* When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
5. Expense Reductions.
FMR voluntarily agreed to reimburse funds to the extent annual operating expenses exceeded 0.00% of average net assets plus distribution and service fees applicable to each class. Some expenses, for example interest expense, are excluded from this reimbursement.
The following classes of each applicable Fund were in reimbursement during the period:
Reimbursement | |
Fidelity Income Replacement 2016 Fund | |
Income Replacement 2016 | $ 3 |
Fidelity Income Replacement 2018 Fund | |
Income Replacement 2018 | 2 |
Fidelity Income Replacement 2020 Fund | |
Income Replacement 2020 | 1 |
Fidelity Income Replacement 2022 Fund | |
Income Replacement 2022 | 2 |
Fidelity Income Replacement 2024 Fund | |
Income Replacement 2024 | 1 |
Fidelity Income Replacement 2026 Fund | |
Income Replacement 2026 | 1 |
Fidelity Income Replacement 2028 Fund | |
Income Replacement 2028 | 2 |
Fidelity Income Replacement 2030 Fund | |
Income Replacement 2030 | 1 |
Fidelity Income Replacement 2032 Fund | |
Income Replacement 2032 | 1 |
Fidelity Income Replacement 2036 Fund | |
Income Replacement 2036 | 1 |
6. Other.
The Funds' organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.
Semiannual Report
6. Other - continued
The Funds do not invest in the Underlying Funds for the purpose of exercising management or control; however, investments by the Funds within their principal investment strategies may represent a significant portion of the Underlying Fund's net assets. At the end of the period, the following Funds were the owners of record of 10% or more of the total outstanding shares of the Underlying Funds.
Fund | Income Replacement 2016 Fund | Income Replacement 2028 Fund |
Fidelity Broad Market Opportunities Fund | 11% | 12% |
The Funds, in aggregate, were the owners of record of more than 20% of the total outstanding shares of the following Underlying Funds.
Fund | % of shares held |
Fidelity Broad Market Opportunities Fund | 71% |
In addition, at the end of the period, FMR or its affiliates were owners of record of more than 10% of the outstanding shares of the following funds:
Affiliated % | |
Fidelity Income Replacement 2020 Fund | 32% |
Fidelity Income Replacement 2022 Fund | 11% |
Fidelity Income Replacement 2024 Fund | 37% |
Fidelity Income Replacement 2026 Fund | 35% |
Fidelity Income Replacement 2030 Fund | 61% |
Fidelity Income Replacement 2032 Fund | 31% |
Fidelity Income Replacement 2034 Fund | 54% |
Fidelity Income Replacement 2036 Fund | 25% |
Fidelity Income Replacement 2038 Fund | 37% |
Fidelity Income Replacement 2040 Fund | 57% |
Fidelity Income Replacement 2042 Fund | 41% |
7. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Period ended | |
Fidelity Income Replacement 2016 Fund | |
From net investment income | |
Class A | $ 2,052 |
Class T | 1,490 |
Class C | 5,633 |
Income Replacement 2016 | 28,906 |
Institutional Class | 1,299 |
Total | $ 39,380 |
From net realized gain | |
Class A | $ 614 |
Class T | 512 |
Class C | 2,180 |
Income Replacement 2016 | 9,335 |
Institutional Class | 282 |
Total | $ 12,923 |
Fidelity Income Replacement 2018 Fund | |
From net investment income | |
Class A | $ 1,534 |
Class T | 1,224 |
Class C | 1,208 |
Income Replacement 2018 | 23,768 |
Institutional Class | 1,298 |
Total | $ 29,032 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Distributions to Shareholders - continued
Period ended | |
From net realized gain | |
Class A | $ 262 |
Class T | 323 |
Class C | 389 |
Income Replacement 2018 | 6,892 |
Institutional Class | 262 |
Total | $ 8,128 |
Fidelity Income Replacement 2020 Fund | |
From net investment income | |
Class A | $ 1,285 |
Class T | 1,454 |
Class C | 1,236 |
Income Replacement 2020 | 2,600 |
Institutional Class | 1,325 |
Total | $ 7,900 |
From net realized gain | |
Class A | $ 342 |
Class T | 498 |
Class C | 510 |
Income Replacement 2020 | 790 |
Institutional Class | 342 |
Total | $ 2,482 |
Fidelity Income Replacement 2022 Fund | |
From net investment income | |
Class A | $ 1,104 |
Class T | 941 |
Class C | 747 |
Income Replacement 2022 | 20,131 |
Institutional Class | 2,653 |
Total | $ 25,576 |
From net realized gain | |
Class A | $ 341 |
Class T | 341 |
Class C | 341 |
Income Replacement 2022 | 7,075 |
Institutional Class | 994 |
Total | $ 9,092 |
Fidelity Income Replacement 2024 Fund | |
From net investment income | |
Class A | $ 1,810 |
Class T | 1,004 |
Class C | 796 |
Income Replacement 2024 | 3,066 |
Institutional Class | 1,214 |
Total | $ 7,890 |
From net realized gain | |
Class A | $ 761 |
Class T | 342 |
Class C | 341 |
Income Replacement 2024 | 1,110 |
Institutional Class | 342 |
Total | $ 2,896 |
Semiannual Report
7. Distributions to Shareholders - continued
Period ended | |
Fidelity Income Replacement 2026 Fund | |
From net investment income | |
Class A | $ 1,244 |
Class T | 1,044 |
Class C | 2,264 |
Income Replacement 2026 | 3,731 |
Institutional Class | 1,252 |
Total | $ 9,535 |
From net realized gain | |
Class A | $ 407 |
Class T | 362 |
Class C | 1,176 |
Income Replacement 2026 | 1,399 |
Institutional Class | 362 |
Total | $ 3,706 |
Fidelity Income Replacement 2028 Fund | |
From net investment income | |
Class A | $ 943 |
Class T | 1,140 |
Class C | 639 |
Income Replacement 2028 | 15,532 |
Institutional Class | 1,048 |
Total | $ 19,302 |
From net realized gain | |
Class A | $ 322 |
Class T | 519 |
Class C | 321 |
Income Replacement 2028 | 7,120 |
Institutional Class | 322 |
Total | $ 8,604 |
Fidelity Income Replacement 2030 Fund | |
From net investment income | |
Class A | $ 1,165 |
Class T | 1,062 |
Class C | 1,753 |
Income Replacement 2030 | 1,486 |
Institutional Class | 1,271 |
Total | $ 6,737 |
From net realized gain | |
Class A | $ 382 |
Class T | 382 |
Class C | 905 |
Income Replacement 2030 | 477 |
Institutional Class | 382 |
Total | $ 2,528 |
Fidelity Income Replacement 2032 Fund | |
From net investment income | |
Class A | $ 3,128 |
Class T | 986 |
Class C | 778 |
Income Replacement 2032 | 4,221 |
Institutional Class | 1,192 |
Total | $ 10,305 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Distributions to Shareholders - continued
Period ended | |
From net realized gain | |
Class A | $ 1,345 |
Class T | 382 |
Class C | 381 |
Income Replacement 2032 | 1,930 |
Institutional Class | 382 |
Total | $ 4,420 |
Fidelity Income Replacement 2034 Fund | |
From net investment income | |
Class A | $ 1,085 |
Class T | 982 |
Class C | 774 |
Income Replacement 2034 | 3,120 |
Institutional Class | 1,192 |
Total | $ 7,153 |
From net realized gain | |
Class A | $ 402 |
Class T | 402 |
Class C | 401 |
Income Replacement 2034 | 1,356 |
Institutional Class | 402 |
Total | $ 2,963 |
Fidelity Income Replacement 2036 Fund | |
From net investment income | |
Class A | $ 980 |
Class T | 2,346 |
Class C | 671 |
Income Replacement 2036 | 6,521 |
Institutional Class | 1,352 |
Total | $ 11,870 |
From net realized gain | |
Class A | $ 381 |
Class T | 1,187 |
Class C | 381 |
Income Replacement 2036 | 2,566 |
Institutional Class | 476 |
Total | $ 4,991 |
Fidelity Income Replacement 2038 Fund | |
From net investment income | |
Class A | $ 28 |
Class T | 12 |
Income Replacement 2038 | 302 |
Institutional Class | 44 |
Total | $ 386 |
Fidelity Income Replacement 2040 Fund | |
From net investment income | |
Class A | $ 60 |
Class T | 44 |
Class C | 12 |
Income Replacement 2040 | 235 |
Institutional Class | 76 |
Total | $ 427 |
Semiannual Report
7. Distributions to Shareholders - continued
Period ended | |
Fidelity Income Replacement 2042 Fund | |
From net investment income | |
Class A | $ 56 |
Class T | 40 |
Class C | 8 |
Income Replacement 2042 | 424 |
Institutional Class | 72 |
Total | $ 600 |
A For the period August 30, 2007 (commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and for the period December 31, 2007
(commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2038, 2040, 2042 Funds.
8. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |
Period ended | Period ended | |
Fidelity Income Replacement 2016 Fund | ||
Class A | ||
Shares sold | 8,405 | $ 424,112 |
Reinvestment of distributions | 51 | 2,562 |
Shares redeemed | (50) | (2,507) |
Net increase (decrease) | 8,406 | $ 424,167 |
Class T | ||
Shares sold | 4,642 | $ 234,270 |
Reinvestment of distributions | 39 | 2,002 |
Shares redeemed | (6) | (300) |
Net increase (decrease) | 4,675 | $ 235,972 |
Class C | ||
Shares sold | 27,572 | $ 1,396,273 |
Reinvestment of distributions | 154 | 7,813 |
Shares redeemed | (1,571) | (78,883) |
Net increase (decrease) | 26,155 | $ 1,325,203 |
Income Replacement 2016 | ||
Shares sold | 82,539 | $ 4,212,576 |
Reinvestment of distributions | 203 | 10,378 |
Shares redeemed | (9,443) | (474,803) |
Net increase (decrease) | 73,299 | $ 3,748,151 |
Institutional Class | ||
Shares sold | 3,795 | $ 190,050 |
Reinvestment of distributions | 31 | 1,580 |
Net increase (decrease) | 3,826 | $ 191,630 |
Fidelity Income Replacement 2018 Fund | ||
Class A | ||
Shares sold | 8,680 | $ 434,028 |
Reinvestment of distributions | 30 | 1,530 |
Shares redeemed | (34) | (1,686) |
Net increase (decrease) | 8,676 | $ 433,872 |
Class T | ||
Shares sold | 2,476 | $ 123,791 |
Reinvestment of distributions | 25 | 1,287 |
Net increase (decrease) | 2,501 | $ 125,078 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Class C | ||
Shares sold | 5,260 | $ 261,710 |
Reinvestment of distributions | 31 | 1,597 |
Shares redeemed | (988) | (49,489) |
Net increase (decrease) | 4,303 | $ 213,818 |
Income Replacement 2018 | ||
Shares sold | 71,315 | $ 3,643,888 |
Reinvestment of distributions | 165 | 8,444 |
Shares redeemed | (1,127) | (56,272) |
Net increase (decrease) | 70,353 | $ 3,596,060 |
Institutional Class | ||
Shares sold | 3,025 | $ 152,091 |
Reinvestment of distributions | 31 | 1,560 |
Net increase (decrease) | 3,056 | $ 153,651 |
Fidelity Income Replacement 2020 Fund | ||
Class A | ||
Shares sold | 3,631 | $ 181,220 |
Reinvestment of distributions | 31 | 1,560 |
Net increase (decrease) | 3,662 | $ 182,780 |
Class T | ||
Shares sold | 2,937 | $ 147,611 |
Reinvestment of distributions | 38 | 1,952 |
Net increase (decrease) | 2,975 | $ 149,563 |
Class C | ||
Shares sold | 2,992 | $ 150,050 |
Reinvestment of distributions | 29 | 1,502 |
Shares redeemed | (10) | (489) |
Net increase (decrease) | 3,011 | $ 151,063 |
Income Replacement 2020 | ||
Shares sold | 13,861 | $ 685,286 |
Reinvestment of distributions | 41 | 2,115 |
Shares redeemed | (73) | (3,572) |
Net increase (decrease) | 13,829 | $ 683,829 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 33 | 1,667 |
Net increase (decrease) | 2,034 | $ 101,717 |
Fidelity Income Replacement 2022 Fund | ||
Class A | ||
Shares sold | 3,870 | $ 192,360 |
Reinvestment of distributions | 27 | 1,388 |
Net increase (decrease) | 3,897 | $ 193,748 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 25 | 1,282 |
Net increase (decrease) | 2,026 | $ 101,332 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 21 | 1,088 |
Net increase (decrease) | 2,022 | $ 101,138 |
Income Replacement 2022 | ||
Shares sold | 64,297 | $ 3,266,066 |
Reinvestment of distributions | 161 | 8,256 |
Shares redeemed | (3,075) | (154,718) |
Net increase (decrease) | 61,383 | $ 3,119,604 |
Semiannual Report
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Institutional Class | ||
Shares sold | 5,837 | $ 300,050 |
Reinvestment of distributions | 29 | 1,491 |
Net increase (decrease) | 5,866 | $ 301,541 |
Fidelity Income Replacement 2024 Fund | ||
Class A | ||
Shares sold | 4,465 | $ 227,886 |
Reinvestment of distributions | 50 | 2,570 |
Shares redeemed | (17) | (850) |
Net increase (decrease) | 4,498 | $ 229,606 |
Class T | ||
Shares sold | 2,001 | $ 99,021 |
Reinvestment of distributions | 26 | 1,345 |
Net increase (decrease) | 2,027 | $ 100,366 |
Class C | ||
Shares sold | 2,001 | $ 100,277 |
Reinvestment of distributions | 22 | 1,137 |
Net increase (decrease) | 2,023 | $ 101,414 |
Income Replacement 2024 | ||
Shares sold | 11,641 | $ 580,594 |
Reinvestment of distributions | 45 | 2,323 |
Shares redeemed | (60) | (2,945) |
Net increase (decrease) | 11,626 | $ 579,972 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,277 |
Reinvestment of distributions | 30 | 1,556 |
Net increase (decrease) | 2,031 | $ 101,833 |
Fidelity Income Replacement 2026 Fund | ||
Class A | ||
Shares sold | 2,252 | $ 112,887 |
Reinvestment of distributions | 32 | 1,651 |
Net increase (decrease) | 2,284 | $ 114,538 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,406 |
Net increase (decrease) | 2,028 | $ 101,456 |
Class C | ||
Shares sold | 6,521 | $ 330,049 |
Reinvestment of distributions | 67 | 3,440 |
Shares redeemed | (38) | (1,873) |
Net increase (decrease) | 6,550 | $ 331,616 |
Income Replacement 2026 | ||
Shares sold | 10,421 | $ 523,958 |
Reinvestment of distributions | 59 | 3,023 |
Shares redeemed | (47) | (2,314) |
Net increase (decrease) | 10,433 | $ 524,667 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 32 | 1,614 |
Net increase (decrease) | 2,033 | $ 101,664 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Fidelity Income Replacement 2028 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 25 | 1,265 |
Net increase (decrease) | 2,026 | $ 101,315 |
Class T | ||
Shares sold | 3,236 | $ 164,074 |
Reinvestment of distributions | 32 | 1,659 |
Net increase (decrease) | 3,268 | $ 165,733 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 19 | 960 |
Net increase (decrease) | 2,020 | $ 101,010 |
Income Replacement 2028 | ||
Shares sold | 82,062 | $ 4,104,415 |
Reinvestment of distributions | 159 | 8,168 |
Shares redeemed | (1,159) | (58,015) |
Net increase (decrease) | 81,062 | $ 4,054,568 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,370 |
Net increase (decrease) | 2,028 | $ 101,420 |
Fidelity Income Replacement 2030 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 30 | 1,547 |
Net increase (decrease) | 2,031 | $ 101,597 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 28 | 1,444 |
Net increase (decrease) | 2,029 | $ 101,494 |
Class C | ||
Shares sold | 4,773 | $ 241,760 |
Reinvestment of distributions | 52 | 2,658 |
Shares redeemed | (31) | (1,546) |
Net increase (decrease) | 4,794 | $ 242,872 |
Income Replacement 2030 | ||
Shares sold | 2,499 | $ 125,050 |
Reinvestment of distributions | 35 | 1,777 |
Shares redeemed | (4) | (183) |
Net increase (decrease) | 2,530 | $ 126,644 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 32 | 1,653 |
Net increase (decrease) | 2,033 | $ 101,703 |
Fidelity Income Replacement 2032 Fund | ||
Class A | ||
Shares sold | 7,063 | $ 360,632 |
Reinvestment of distributions | 87 | 4,473 |
Net increase (decrease) | 7,150 | $ 365,105 |
Semiannual Report
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,367 |
Net increase (decrease) | 2,028 | $ 101,417 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 23 | 1,159 |
Net increase (decrease) | 2,024 | $ 101,209 |
Income Replacement 2032 | ||
Shares sold | 13,242 | $ 674,788 |
Reinvestment of distributions | 70 | 3,614 |
Shares redeemed | (42) | (2,047) |
Net increase (decrease) | 13,270 | $ 676,355 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 31 | 1,574 |
Net increase (decrease) | 2,032 | $ 101,624 |
Fidelity Income Replacement 2034 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 29 | 1,487 |
Net increase (decrease) | 2,030 | $ 101,537 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 27 | 1,383 |
Net increase (decrease) | 2,028 | $ 101,433 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 23 | 1,175 |
Net increase (decrease) | 2,024 | $ 101,225 |
Income Replacement 2034 | ||
Shares sold | 6,781 | $ 340,050 |
Reinvestment of distributions | 55 | 2,824 |
Shares redeemed | (31) | (1,559) |
Net increase (decrease) | 6,805 | $ 341,315 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 31 | 1,594 |
Net increase (decrease) | 2,032 | $ 101,644 |
Fidelity Income Replacement 2036 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 26 | 1,361 |
Net increase (decrease) | 2,027 | $ 101,411 |
Class T | ||
Shares sold | 6,254 | $ 324,140 |
Reinvestment of distributions | 44 | 2,281 |
Shares redeemed | (30) | (1,508) |
Net increase (decrease) | 6,268 | $ 324,913 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 20 | 1,052 |
Net increase (decrease) | 2,021 | $ 101,102 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Income Replacement 2036 | ||
Shares sold | 20,941 | $ 1,078,372 |
Reinvestment of distributions | 101 | 5,181 |
Shares redeemed | (88) | (4,409) |
Net increase (decrease) | 20,954 | $ 1,079,144 |
Institutional Class | ||
Shares sold | 2,495 | $ 125,050 |
Reinvestment of distributions | 36 | 1,828 |
Net increase (decrease) | 2,531 | $ 126,878 |
Fidelity Income Replacement 2038 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 28 |
Net increase (decrease) | 2,002 | $ 100,078 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | - B | 12 |
Net increase (decrease) | 2,001 | $ 100,062 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Net increase (decrease) | 2,001 | $ 100,050 |
Income Replacement 2038 | ||
Shares sold | 13,706 | $ 651,601 |
Reinvestment of distributions | 1 | 44 |
Shares redeemed | (54) | (2,560) |
Net increase (decrease) | 13,653 | $ 649,085 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 44 |
Net increase (decrease) | 2,002 | $ 100,094 |
Fidelity Income Replacement 2040 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 60 |
Net increase (decrease) | 2,002 | $ 100,110 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 44 |
Net increase (decrease) | 2,002 | $ 100,094 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | - B | 12 |
Net increase (decrease) | 2,001 | $ 100,062 |
Income Replacement 2040 | ||
Shares sold | 6,198 | $ 301,400 |
Reinvestment of distributions | 2 | 76 |
Shares redeemed | (22) | (1,018) |
Net increase (decrease) | 6,178 | $ 300,458 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 2 | 76 |
Net increase (decrease) | 2,003 | $ 100,126 |
Semiannual Report
8. Share Transactions - continued
Shares | Dollars | |
Period ended | Period ended | |
Fidelity Income Replacement 2042 Fund | ||
Class A | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 56 |
Net increase (decrease) | 2,002 | $ 100,106 |
Class T | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 1 | 40 |
Net increase (decrease) | 2,002 | $ 100,090 |
Class C | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | - B | 8 |
Net increase (decrease) | 2,001 | $ 100,058 |
Income Replacement 2042 | ||
Shares sold | 11,772 | $ 575,799 |
Reinvestment of distributions | 2 | 72 |
Shares redeemed | (40) | (1,906) |
Net increase (decrease) | 11,734 | $ 573,965 |
Institutional Class | ||
Shares sold | 2,001 | $ 100,050 |
Reinvestment of distributions | 2 | 72 |
Net increase (decrease) | 2,003 | $ 100,122 |
A For the period August 30, 2007 (commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2016, 2018, 2020, 2022, 2024, 2026, 2028, 2030, 2032, 2034, 2036 Funds and for the period December 31, 2007
(commencement of operations) to January 31, 2008 for Fidelity Income Replacement 2038, 2040, 2042 Funds.
B Amount represents less than 1 share.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Income Replacement 2016 Fund, Fidelity Income Replacement 2018 Fund, Fidelity Income Replacement 2020 Fund, Fidelity Income Replacement 2022 Fund, Fidelity Income Replacement 2024 Fund, Fidelity Income Replacement 2026 Fund, Fidelity Income Replacement 2028 Fund, Fidelity Income Replacement 2030 Fund, Fidelity Income Replacement 2032 Fund, Fidelity Income Replacement 2034 Fund, and Fidelity Income Replacement 2036 Fund
On July 19, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract (the Advisory Contract) for each fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In determining whether to approve the Advisory Contract for each fund, the Board was aware that shareholders have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that shareholders, with the opportunity to review and weigh the disclosure provided by each fund in its prospectus and other public disclosures, may choose to invest in that fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, Strategic Advisers, Inc., (Strategic Advisers) and FMR, including the backgrounds of the funds' portfolio managers and the funds' investment objectives and disciplines.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of Strategic Advisers' and FMR's investment staff, their use of technology, and Strategic Advisers' and FMR's approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, distribution, and shareholder services performed by Strategic Advisers and FMR and their affiliates under each Advisory Contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for each fund. The Board also considered the nature and extent of Strategic Advisers' and FMR's supervision of third party service providers, principally custodians and subcustodians.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying an additional sales charge.
Investment Performance. Each Fidelity Income Replacement Fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contract. Once each fund has been in operation for at least one calendar year, the Board will review each fund's absolute investment performance for each class, as well as each fund's relative investment performance for each class measured against a broad-based securities market index.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided to each fund will benefit each fund's shareholders, particularly in light of the Board's view that each fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered each fund's proposed management fee and projected total operating expenses for each class in reviewing each fund's Advisory Contract. The Board noted that each fund's management fee and projected total expenses are comparable to those of similar funds that Fidelity offers to shareholders. The Board noted that the funds do not pay a management fee for investment advisory services. In its review of each fund's total expenses, the Board considered that the funds do not pay transfer agency fees. Instead, each underlying fund bears its pro rata portion of the transfer agency fee according to the percentage of each fund's assets invested in that underlying fund. The Board further noted that Strategic Advisers or FMR pays all other expenses of each fund, with limited exceptions.
Based on its review, the Board concluded that the projected total expenses for each class of each fund were fair and reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. Each of the funds is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved each fund's Advisory Contract. In connection with its future renewal of each fund's management contract, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and its shareholders.
Semiannual Report
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the approval of each fund's Advisory Contract because under these arrangements the funds would not pay any expenses.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that each fund's Advisory Contract should be approved.
Fidelity Income Replacement 2038 Fund, Fidelity Income Replacement 2040 Fund and Fidelity Income Replacement 2042 Fund
On November 15, 2007, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract (the Advisory Contract) for each fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
In determining whether to approve the Advisory Contract for each fund, the Board was aware that shareholders have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that shareholders, with the opportunity to review and weigh the disclosure provided by each fund in its prospectus and other public disclosures, may choose to invest in that fund, managed by Fidelity.
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, Strategic Advisers, Inc., (Strategic Advisers) and FMR, including the backgrounds of the funds' portfolio managers and the funds' investment objectives and disciplines.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of Strategic Advisers' and FMR's investment staff, their use of technology, and Strategic Advisers' and FMR's approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, distribution, and shareholder services performed by Strategic Advisers and FMR and their affiliates under each Advisory Contract and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for each fund. The Board also considered the nature and extent of Strategic Advisers' and FMR's supervision of third party service providers, principally custodians and subcustodians.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of a fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying an additional sales charge.
Investment Performance. Each Fidelity Income Replacement Fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contract. Once each fund has been in operation for at least one calendar year, the Board will review each fund's absolute investment performance for each class, as well as each fund's relative investment performance for each class measured against a broad-based securities market index.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided to each fund will benefit each fund's shareholders, particularly in light of the Board's view that each fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered each fund's proposed management fee and projected total operating expenses for each class in reviewing each fund's Advisory Contract. The Board noted that each fund's management fee and projected total expenses are comparable to those of similar funds that Fidelity offers to shareholders. The Board noted that the funds do not pay a management fee for investment advisory services. In its review of each fund's total expenses, the Board considered that the funds do not pay transfer agency fees. Instead, each underlying fund bears its pro rata portion of the transfer agency fee according to the percentage of each fund's assets invested in that underlying fund. The Board further noted that Strategic Advisers or FMR pays all other expenses of each fund, with limited exceptions.
Based on its review, the Board concluded that the projected total expenses for each class of each fund were fair and reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. Each of the funds is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved each fund's Advisory Contract. In connection with its future renewal of each fund's Advisory Contract, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and its shareholders.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees - continued
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the approval of each fund's Advisory Contract because under these arrangements the funds do not pay management fees and Strategic Advisers or FMR pays all other expenses of each fund, with limited exceptions.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that each fund's Advisory Contract should be approved.
Semiannual Report
Semiannual Report
Investment Adviser
Strategic Advisers, Inc.
Boston, MA
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Mellon Bank
Pittsburgh, PA
ARWI-USAN-0308
1.848186.100
(Fidelity Investment logo)(registered trademark)
Fidelity®
Ultra-Short Bond
Fund
Semiannual Report
January 31, 2008
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Stocks got off to a poor start in 2008, while investment-grade bonds and money markets showed positive returns, once again underscoring the importance of a diversified portfolio. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2007 to January 31, 2008).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 923.10 | $ 3.19 |
HypotheticalA | $ 1,000.00 | $ 1,021.82 | $ 3.35 |
Class T | |||
Actual | $ 1,000.00 | $ 923.00 | $ 3.29 |
HypotheticalA | $ 1,000.00 | $ 1,021.72 | $ 3.46 |
Ultra-Short Bond | |||
Actual | $ 1,000.00 | $ 925.10 | $ 2.18 |
HypotheticalA | $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 924.90 | $ 2.27 |
HypotheticalA | $ 1,000.00 | $ 1,022.77 | $ 2.39 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annualized | |
Class A | .66% |
Class T | .68% |
Ultra-Short Bond | .45% |
Institutional Class | .47% |
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund. |
Quality Diversification (% of fund's net assets) | |||||||
As of January 31, 2008 * | As of July 31, 2007 ** | ||||||
 | U.S. Government and | | U.S. Government and | ||||
 | AAA 27.8% | | AAA 30.3% | ||||
 | AA 13.2% | | AA 13.9% | ||||
 | A 13.1% | | A 12.2% | ||||
 | BBB 18.1% | | BBB 22.4% | ||||
 | BB and Below 0.1% | | BB and Below 0.3% | ||||
 | Not Rated 0.9% | | Not Rated 2.1% | ||||
 | Short-Term | | Short-Term | ||||
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition. The information in the above table is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund. |
Weighted Average Maturity as of January 31, 2008 | ||
6 months ago | ||
Years | 1.6 | 2.0 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of January 31, 2008 | ||
6 months ago | ||
Years | 0.5 | 0.4 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of January 31, 2008 * | As of July 31, 2007 ** | ||||||
| Corporate Bonds 11.0% | | Corporate Bonds 15.8% | ||||
| U.S. Government and U.S. Government | | U.S. Government and | ||||
| Asset-Backed | | Asset-Backed | ||||
| CMOs and Other Mortgage Related Securities 29.6% | | CMOs and Other Mortgage Related Securities 26.0% | ||||
| Other Investments 0.0% | | Other Investments 0.1% | ||||
| Short-Term | | Short-Term | ||||
* Foreign | 14.5% | ** Foreign investments | 16.0% | ||||
* Futures and | 27.0% | ** Futures and Swaps | 16.6% | ||||
A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable. |
Semiannual Report
Investments January 31, 2008 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 9.7% | ||||
Principal Amount | Value | |||
CONSUMER DISCRETIONARY - 1.4% | ||||
Auto Components - 0.7% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.4613% 3/13/09 (d) | $ 1,685,000 | $ 1,676,824 | ||
5.5413% 3/13/09 (d) | 1,800,000 | 1,788,192 | ||
3,465,016 | ||||
Media - 0.7% | ||||
Continental Cablevision, Inc. 9% 9/1/08 | 1,100,000 | 1,122,146 | ||
Viacom, Inc. 5.3406% 6/16/09 (d) | 2,000,000 | 1,984,994 | ||
3,107,140 | ||||
TOTAL CONSUMER DISCRETIONARY | 6,572,156 | |||
CONSUMER STAPLES - 0.5% | ||||
Food & Staples Retailing - 0.5% | ||||
CVS Caremark Corp. 5.4238% 6/1/10 (d) | 2,200,000 | 2,149,173 | ||
ENERGY - 1.1% | ||||
Energy Equipment & Services - 0.5% | ||||
Transocean, Inc. 5.3406% 9/5/08 (d) | 2,400,000 | 2,391,934 | ||
Oil, Gas & Consumable Fuels - 0.6% | ||||
Anadarko Petroleum Corp.: | ||||
3.25% 5/1/08 | 850,000 | 848,731 | ||
5.3906% 9/15/09 (d) | 2,045,000 | 1,998,452 | ||
2,847,183 | ||||
TOTAL ENERGY | 5,239,117 | |||
FINANCIALS - 4.8% | ||||
Capital Markets - 0.9% | ||||
Bear Stearns Companies, Inc. 4.3263% 7/19/10 (d) | 2,000,000 | 1,831,254 | ||
Lehman Brothers Holdings E-Capital Trust I 5.685% 8/19/65 (d) | 1,205,000 | 951,651 | ||
Lehman Brothers Holdings, Inc. 5.17% 5/25/10 (d) | 1,500,000 | 1,446,792 | ||
4,229,697 | ||||
Commercial Banks - 1.5% | ||||
Barclays Bank PLC 5.23% 5/25/15 (d) | 825,000 | 804,818 | ||
DBS Bank Ltd. (Singapore) 5.0975% 5/16/17 (a)(d) | 2,000,000 | 1,890,000 | ||
HBOS plc 5.14% 2/6/14 (d) | 305,000 | 299,509 | ||
HSBC Holdings PLC 4.8463% 10/6/16 (d) | 500,000 | 479,452 | ||
ING Bank NV 4.6269% 10/14/14 (d) | 440,000 | 428,710 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Manufacturers & Traders Trust Co. 3.85% 4/1/13 (a)(d) | $ 520,000 | $ 520,185 | ||
PNC Funding Corp. 3.3838% 1/31/12 (d) | 2,400,000 | 2,330,695 | ||
Sovereign Bank 4.375% 8/1/13 (b)(d) | 500,000 | 499,799 | ||
7,253,168 | ||||
Consumer Finance - 1.1% | ||||
Capital One Financial Corp. 5.4263% 9/10/09 (d) | 2,260,000 | 2,107,798 | ||
MBNA Capital I 8.278% 12/1/26 | 810,000 | 843,080 | ||
SLM Corp. 3.9444% 4/18/08 (a)(d) | 2,500,000 | 2,482,055 | ||
5,432,933 | ||||
Real Estate Investment Trusts - 0.4% | ||||
iStar Financial, Inc. 5.4963% 3/9/10 (d) | 2,000,000 | 1,780,628 | ||
Thrifts & Mortgage Finance - 0.9% | ||||
Capmark Financial Group, Inc. 5.5294% 5/10/10 (a)(d) | 2,000,000 | 1,561,240 | ||
Independence Community Bank Corp. 3.5% 6/20/13 (d) | 735,000 | 730,629 | ||
Washington Mutual, Inc. 5.17% 8/24/09 (d) | 2,250,000 | 2,070,257 | ||
4,362,126 | ||||
TOTAL FINANCIALS | 23,058,552 | |||
INFORMATION TECHNOLOGY - 0.4% | ||||
Semiconductors & Semiconductor Equipment - 0.4% | ||||
National Semiconductor Corp. 5.2406% 6/15/10 (d) | 1,710,000 | 1,661,528 | ||
TELECOMMUNICATION SERVICES - 0.7% | ||||
Diversified Telecommunication Services - 0.7% | ||||
Telecom Italia Capital SA 4.5613% 7/18/11 (d) | 2,750,000 | 2,637,696 | ||
Telefonos de Mexico SA de CV 4.5% 11/19/08 | 695,000 | 694,166 | ||
3,331,862 | ||||
UTILITIES - 0.8% | ||||
Electric Utilities - 0.2% | ||||
Commonwealth Edison Co. 3.7% 2/1/08 | 1,125,000 | 1,125,000 | ||
Gas Utilities - 0.2% | ||||
NiSource Finance Corp. 5.585% 11/23/09 (d) | 845,000 | 824,367 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
UTILITIES - continued | ||||
Multi-Utilities - 0.4% | ||||
Sempra Energy 4.75% 5/15/09 | $ 2,000,000 | $ 2,025,442 | ||
TOTAL UTILITIES | 3,974,809 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $47,967,566) | 45,987,197 | |||
Asset-Backed Securities - 28.4% | ||||
Accredited Mortgage Loan Trust: | ||||
Series 2004-2 Class A2, 3.6763% 7/25/34 (d)(g) | 223,892 | 202,734 | ||
Series 2004-4 Class A2D, 3.7263% 1/25/35 (d)(g) | 75,094 | 68,430 | ||
Series 2005-1 Class M1, 3.8463% 4/25/35 (d)(g) | 1,545,000 | 1,385,239 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE1: | ||||
Class M1, 4.0263% 11/25/33 (d)(g) | 113,099 | 98,588 | ||
Class M2, 5.0763% 11/25/33 (d)(g) | 41,062 | 37,964 | ||
Series 2003-HS1: | ||||
Class M1, 4.1263% 6/25/33 (d)(g) | 14,560 | 13,413 | ||
Class M2, 5.1263% 6/25/33 (d)(g) | 50,000 | 45,869 | ||
Series 2003-NC1 Class M1, 4.1563% 7/25/33 (d)(g) | 100,000 | 88,980 | ||
Series 2004-HE1 Class M1, 3.8763% 2/25/34 (d)(g) | 75,299 | 66,263 | ||
Series 2005-HE2 Class M3, 3.8563% 4/25/35 (d)(g) | 145,000 | 125,415 | ||
Series 2005-SD1 Class A1, 3.7763% 11/25/50 (d)(g) | 56,328 | 51,707 | ||
Series 2006-HE2: | ||||
Class A2C, 3.5363% 5/25/36 (d)(g) | 995,000 | 889,126 | ||
Class M3, 3.7163% 5/25/36 (d)(g) | 240,000 | 80,064 | ||
Class M4, 3.7763% 5/25/36 (d)(g) | 200,000 | 50,000 | ||
Class M5, 3.8163% 5/25/36 (d)(g) | 295,000 | 32,539 | ||
Advanta Business Card Master Trust: | ||||
Series 2004-C1 Class C, 4.9844% 9/20/13 (d) | 340,000 | 298,792 | ||
Series 2006-C1 Class C1, 4.4144% 10/20/14 (d) | 490,000 | 362,159 | ||
Series 2007-B1 Class B, 4.1844% 12/22/14 (d) | 1,725,000 | 1,367,580 | ||
Aesop Funding II LLC Series 2005-1A Class A2, 3.9944% 4/20/09 (a)(d) | 600,000 | 600,146 | ||
American Express Credit Account Master Trust | 310,739 | 310,319 | ||
AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10 | 2,500,000 | 2,510,158 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2003-1 Class M1, 4.7263% 2/25/33 (d)(g) | 449,680 | 411,228 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Ameriquest Mortgage Securities, Inc.: - continued | ||||
Series 2004-R11 Class M1, 4.0363% 11/25/34 (d)(g) | $ 560,000 | $ 505,764 | ||
Series 2004-R2: | ||||
Class M1, 3.8063% 4/25/34 (d)(g) | 85,000 | 79,509 | ||
Class M2, 3.8563% 4/25/34 (d)(g) | 75,000 | 70,539 | ||
Series 2004-R8 Class M9, 6.1263% 9/25/34 (d)(g) | 517,479 | 265,208 | ||
Series 2004-R9 Class M2, 4.0263% 10/25/34 (d)(g) | 720,000 | 636,018 | ||
Series 2005-R1: | ||||
Class M1, 3.8263% 3/25/35 (d)(g) | 770,000 | 695,044 | ||
Class M2, 3.8563% 3/25/35 (d)(g) | 260,000 | 231,497 | ||
Series 2005-R2 Class M1, 3.8263% 4/25/35 (d)(g) | 1,700,000 | 1,519,654 | ||
Series 2006-M3: | ||||
Class M7, 4.2263% 10/25/36 (d)(g) | 705,000 | 42,009 | ||
Class M9, 5.3763% 10/25/36 (d)(g) | 450,000 | 28,225 | ||
Amortizing Residential Collateral Trust Series 2002-BC1 Class M2, 4.4763% 1/25/32 (d)(g) | 20,448 | 4,102 | ||
ARG Funding Corp.: | ||||
Series 2005-1A Class A2, 4.0344% 4/20/09 (a)(d) | 750,000 | 749,551 | ||
Series 2005-2A Class A2, 4.0444% 5/20/09 (a)(d) | 533,333 | 533,011 | ||
Argent Securities, Inc.: | ||||
Series 2003-W3 Class M2, 6.665% 9/25/33 (d)(g) | 659,285 | 544,748 | ||
Series 2004-W5 Class M1, 3.9763% 4/25/34 (d)(g) | 1,420,000 | 1,253,600 | ||
Series 2004-W7: | ||||
Class M1, 3.9263% 5/25/34 (d)(g) | 305,000 | 265,774 | ||
Class M2, 3.9763% 5/25/34 (d)(g) | 250,000 | 221,008 | ||
Series 2006-W4: | ||||
Class A2C, 3.5363% 5/25/36 (d)(g) | 1,200,000 | 1,018,313 | ||
Class M3, 3.7163% 5/25/36 (d)(g) | 1,010,000 | 340,749 | ||
Arran Funding Ltd. Series 2005-A Class C, 4.5563% 12/15/10 (d) | 3,235,000 | 3,142,479 | ||
Asset Backed Funding Corp. Series 2006-OPT2 Class C7, 3.5263% 10/25/36 (d)(g) | 780,000 | 667,753 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE2 Class M1, 5.5863% 4/15/33 (d)(g) | 1,043,615 | 954,699 | ||
Series 2003-HE6 Class M1, 4.0263% 11/25/33 (d) (g) | 215,000 | 190,130 | ||
Series 2004-HE6 Class A2, 3.7363% 6/25/34 (d)(g) | 261,521 | 248,078 | ||
Series 2005-HE1 Class M1, 3.8763% 3/25/35 (d)(g) | 502,052 | 409,442 | ||
Series 2005-HE2: | ||||
Class M1, 3.8263% 3/25/35 (d)(g) | 1,006,478 | 885,700 | ||
Class M2, 3.8763% 3/25/35 (d)(g) | 275,000 | 248,805 | ||
Bank of America Credit Card Master Trust Series 2007-C2 Class C2, 4.5063% 9/17/12 (d) | 1,145,000 | 1,075,744 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Bank One Issuance Trust Series 2004-C1 Class C1, 4.7363% 11/15/11 (d) | $ 25,000 | $ 24,402 | ||
Bayview Financial Acquisition Trust Series 2004-C Class A1, 3.915% 5/28/44 (d)(g) | 306,389 | 288,149 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.96% 2/28/44 (d)(g) | 155,751 | 144,653 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2004-BO1: | ||||
Class M2, 4.1263% 9/25/34 (d)(g) | 390,000 | 265,969 | ||
Class M3, 4.4263% 9/25/34 (d)(g) | 265,000 | 167,262 | ||
Class M4, 4.5763% 9/25/34 (d)(g) | 225,000 | 118,031 | ||
Series 2004-HE9 Class M2, 4.5763% 11/25/34 (d) (g) | 490,000 | 389,893 | ||
Series 2005-HE2: | ||||
Class M1, 3.8763% 2/25/35 (d)(g) | 596,721 | 497,077 | ||
Class M2, 4.1263% 2/25/35 (d)(g) | 330,000 | 227,700 | ||
Capital Auto Receivables Asset Trust Series 2005-1 Class B, 4.6113% 6/15/10 (d) | 850,000 | 847,211 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2003-B6 Class B6, 4.7663% 9/15/11 (d) | 1,125,000 | 1,116,777 | ||
Series 2004-B1 Class B1, 4.6763% 11/15/11 (d) | 1,180,000 | 1,165,440 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 4.3844% 7/20/39 (a)(d) | 265,000 | 212,000 | ||
Class B, 4.6844% 7/20/39 (a)(d) | 140,000 | 105,000 | ||
Class C, 5.0344% 7/20/39 (a)(d) | 180,000 | 108,000 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1: | ||||
Class M7, 4.3263% 7/25/36 (d)(g) | 445,000 | 44,500 | ||
Class M9, 5.2763% 7/25/36 (d)(g) | 285,000 | 25,559 | ||
Series 2006-NC3 Class M10, 5.3763% 8/25/36 (a)(d)(g) | 125,000 | 16,250 | ||
Series 2007-RFC1 Class A3, 3.5163% 12/25/36 (d) (g) | 1,000,000 | 791,875 | ||
CDC Mortgage Capital Trust Series 2003-HE3 Class M1, 4.0763% 11/25/33 (d) (g) | 91,792 | 65,228 | ||
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 5.1288% 5/20/17 (a)(d) | 402,745 | 367,222 | ||
Chase Issuance Trust Series 2004-C3 Class C3, 4.7063% 6/15/12 (d) | 1,645,000 | 1,588,197 | ||
CIT Equipment Collateral Trust Series 2005-VT1: | ||||
Class C, 4.18% 11/20/12 | 167,331 | 167,292 | ||
Class D, 4.51% 11/20/12 | 209,796 | 209,626 | ||
Countrywide Home Loan Trust Series 2006-13N Class N, 7% 8/25/37 (a) (g) | 213,182 | 44,768 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2002-6 Class AV1, 3.8063% 5/25/33 (d) (g) | 19,052 | 17,903 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Countrywide Home Loans, Inc.: - continued | ||||
Series 2003-BC1 Class M2, 7.0553% 9/25/32 (d) (g) | $ 186,791 | $ 176,880 | ||
Series 2004-2 Class M1, 3.8763% 5/25/34 (d) (g) | 375,000 | 329,968 | ||
Series 2004-3: | ||||
Class 3A4, 3.6263% 8/25/34 (d) (g) | 1,273,720 | 1,167,046 | ||
Class M1, 3.8763% 6/25/34 (d) (g) | 100,000 | 88,566 | ||
Series 2004-4 Class M2, 3.9063% 6/25/34 (d) (g) | 276,165 | 230,872 | ||
Series 2005-1: | ||||
Class 1AV2, 3.5763% 7/25/35 (d) (g) | 187,009 | 174,503 | ||
Class MV1, 3.7763% 7/25/35 (d) (g) | 435,000 | 414,451 | ||
Class MV2, 3.8163% 7/25/35 (d) (g) | 525,000 | 496,943 | ||
Series 2005-AB1 Class A2, 3.5863% 8/25/35 (d) (g) | 1,017,367 | 975,559 | ||
CPS Auto Receivables Trust: | ||||
Series 2006-B Class A2, 5.71% 6/15/16 (a) | 412,489 | 412,811 | ||
Series 2006-C Class A2, 5.31% 3/15/10 (a) | 628,173 | 622,017 | ||
Discover Card Master Trust I: | ||||
Series 2003-4 Class B1, 4.5663% 5/16/11 (d) | 550,000 | 544,246 | ||
Series 2005-1 Class B, 4.3863% 9/16/10 (d) | 1,580,000 | 1,579,897 | ||
Series 2005-3 Class B, 4.4263% 5/15/11 (d) | 1,000,000 | 988,153 | ||
Series 2006-2 Class B1, 5.1475% 1/17/12 (d) | 2,000,000 | 1,949,160 | ||
DriveTime Auto Owner Trust Series 2006-B Class A2, 5.32% 3/15/10 (a) | 613,764 | 610,119 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5: | ||||
Class AB1, 5.0331% 5/28/35 (d) | 80,751 | 78,707 | ||
Class AB3, 3.677% 5/28/35 (d) | 32,052 | 30,661 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 4.8263% 8/25/34 (d) (g) | 1,500,000 | 1,226,622 | ||
Series 2006-2: | ||||
Class 2A2, 3.5463% 7/25/36 (d) (g) | 880,000 | 750,475 | ||
Class M1, 3.6863% 7/25/36 (d) (g) | 1,765,000 | 762,815 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2: | ||||
Class M3, 4.2013% 3/25/34 (d) (g) | 23,998 | 19,880 | ||
Class M4, 4.7263% 3/25/34 (d) (g) | 4,728 | 4,177 | ||
Series 2004-FF8 Class M3, 4.3263% 10/25/34 (d) (g) | 1,760,000 | 1,442,785 | ||
Series 2006-FF14 Class A5, 3.5363% 10/25/36 (d) (g) | 990,000 | 756,731 | ||
Series 2007-FF1 Class M1, 3.6063% 1/25/38 (d) (g) | 375,000 | 141,563 | ||
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (a) | 440,703 | 436,326 | ||
Ford Credit Floorplan Master Owner Trust: | ||||
Series 2005-1 Class B, 4.6763% 5/15/10 (d) | 1,110,000 | 1,110,213 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Ford Credit Floorplan Master Owner Trust: - continued | ||||
Series 2006-3: | ||||
Class A, 4.4163% 6/15/11 (d) | $ 990,000 | $ 970,132 | ||
Class B, 4.6863% 6/15/11 (d) | 1,405,000 | 1,362,995 | ||
Fosse Master Issuer PLC Series 2007-1A Class C2, 4.5013% 10/18/54 (a)(d) | 460,000 | 416,912 | ||
Franklin Auto Trust Series 2006-1 Class A2, 5.2% 10/20/09 | 52,852 | 52,913 | ||
Fremont Home Loan Trust: | ||||
Series 2003-B Class M6, 7.8763% 12/25/33 (d) (g) | 196,854 | 94,370 | ||
Series 2004-B Class M1, 3.9563% 5/25/34 (d) (g) | 205,000 | 183,045 | ||
Series 2004-C Class M1, 4.0263% 8/25/34 (d) (g) | 540,000 | 473,278 | ||
Series 2005-A: | ||||
Class M1, 3.8063% 1/25/35 (d) (g) | 225,000 | 207,374 | ||
Class M2, 3.8363% 1/25/35 (d) (g) | 325,000 | 306,220 | ||
Class M3, 3.8663% 1/25/35 (d) (g) | 175,000 | 161,855 | ||
Class M4, 4.0563% 1/25/35 (d) (g) | 125,000 | 109,833 | ||
Series 2006-A: | ||||
Class M3, 3.7563% 5/25/36 (d) (g) | 455,000 | 107,016 | ||
Class M4, 3.7763% 5/25/36 (d) (g) | 685,000 | 63,568 | ||
Class M5, 3.8763% 5/25/36 (d) (g) | 365,000 | 21,743 | ||
GCO Education Loan Funding Master Trust II | 960,000 | 970,724 | ||
GE Business Loan Trust Series 2003-1 Class A, 4.6663% 4/15/31 (a)(d) | 146,130 | 142,477 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2005-2 Class B, 4.4363% 6/15/11 (d) | 925,000 | 923,813 | ||
Series 2006-1: | ||||
Class B, 4.3463% 9/17/12 (d) | 585,000 | 568,381 | ||
Class C, 4.4763% 9/17/12 (d) | 455,000 | 436,134 | ||
GE Equipment Midticket LLC Series 2006-1 Class A2, 5.1% 5/15/09 | 376,911 | 377,624 | ||
Gracechurch Card Funding PLC: | ||||
Series 11 Class C, 4.5163% 11/15/10 (d) | 2,490,000 | 2,398,717 | ||
Series 8 Class C, 4.5663% 6/15/10 (d) | 2,650,000 | 2,604,129 | ||
Series 9: | ||||
Class B, 4.3863% 9/15/10 (d) | 485,000 | 474,999 | ||
Class C, 4.5463% 9/15/10 (d) | 1,800,000 | 1,748,304 | ||
GSAMP Trust: | ||||
Series 2002-NC1 Class A2, 4.0163% 7/25/32 (d) (g) | 2,606 | 1,924 | ||
Series 2003-FM1 Class M1, 5.1644% 3/20/33 (d) (g) | 490,778 | 434,343 | ||
Series 2004-FM1: | ||||
Class M1, 4.3513% 11/25/33 (d) (g) | 168,544 | 148,354 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
GSAMP Trust: - continued | ||||
Series 2004-FM1: | ||||
Class M2, 5.4763% 11/25/33 (d) (g) | $ 54,212 | $ 49,399 | ||
Series 2004-FM2 Class M1, 4.1263% 1/25/34 (d) (g) | 203,702 | 181,597 | ||
Series 2004-HE1: | ||||
Class M1, 3.9263% 5/25/34 (d) (g) | 289,483 | 251,574 | ||
Class M2, 4.5263% 5/25/34 (d) (g) | 140,799 | 120,895 | ||
Series 2006-HE5 Class M7, 4.2063% 8/25/36 (d) (g) | 1,495,000 | 152,128 | ||
Series 2006-NC2 Class M4, 3.7263% 6/25/36 (d) (g) | 1,541,000 | 203,874 | ||
Series 2007-HE1 Class M1, 3.6263% 3/25/47 (d) (g) | 335,000 | 141,437 | ||
Series 2007-NC1 Class M7, 4.3263% 12/25/46 (d) (g) | 3,390,000 | 253,384 | ||
GSR Mortgage Loan Trust: | ||||
Series 2005-6 Class A2, 3.5863% 6/25/35 (d) | 1,800,000 | 1,765,453 | ||
Series 2005-9 Class 2A1, 3.4963% 8/25/35 (d) | 224,000 | 223,889 | ||
Series 2005-HE2 Class M, 3.8063% 3/25/35 (d) (g) | 1,207,506 | 1,056,937 | ||
Series 2005-MTR1 Class A1, 3.5163% 10/25/35 (d) | 486,906 | 483,703 | ||
Series 2005-NC1 Class M1, 3.8263% 2/25/35 (d) (g) | 1,162,823 | 1,004,960 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 4.4563% 5/25/30 (a) (d) | 650,741 | 501,070 | ||
Series 2006-3: | ||||
Class B, 3.7763% 9/25/46 (a)(d) | 450,000 | 387,000 | ||
Class C, 3.9263% 9/25/46 (a)(d) | 1,150,000 | 920,000 | ||
Holmes Master Issuer PLC Series 2007-2A Class 1C, 4.4875% 7/15/40 (d) | 1,640,000 | 1,599,000 | ||
Home Equity Asset Trust: | ||||
Series 2002-3 Class A5, 4.2563% 2/25/33 (d) (g) | 14 | 14 | ||
Series 2003-1 Class M1, 4.8763% 6/25/33 (d) (g) | 524,845 | 481,447 | ||
Series 2003-3 Class M1, 4.6663% 8/25/33 (d) (g) | 320,568 | 293,543 | ||
Series 2003-4 Class M1, 4.5763% 10/25/33 (d) (g) | 96,601 | 75,349 | ||
Series 2003-5: | ||||
Class A2, 3.7263% 12/25/33 (d) (g) | 10,566 | 7,436 | ||
Class M1, 4.0763% 12/25/33 (d) (g) | 154,784 | 144,124 | ||
Class M2, 5.1063% 12/25/33 (d) (g) | 13,397 | 11,511 | ||
Series 2003-7: | ||||
Class A2, 3.7563% 3/25/34 (d)(g) | 2,079 | 2,080 | ||
Class M1, 4.0263% 3/25/34 (d)(g) | 795,000 | 689,964 | ||
Series 2003-8 Class M1, 4.4563% 4/25/34 (d) (g) | 192,210 | 165,598 | ||
Series 2005-1 Class M1, 3.8063% 5/25/35 (d) (g) | 1,270,000 | 1,183,012 | ||
Series 2005-2: | ||||
Class 2A2, 3.5763% 7/25/35 (d) (g) | 13,151 | 12,944 | ||
Class M1, 3.8263% 7/25/35 (d) (g) | 890,000 | 741,692 | ||
Series 2007-3 Class 2A3, 3.6163% 8/25/37 (d) (g) | 2,015,000 | 1,568,553 | ||
Household Home Equity Loan Trust Series 2004-1 Class M, 4.4788% 9/20/33 (d) (g) | 85,127 | 82,772 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 4.4188% 1/20/35 (d) (g) | $ 160,927 | $ 143,147 | ||
Class M2, 4.4488% 1/20/35 (d) (g) | 119,801 | 104,374 | ||
Series 2005-3: | ||||
Class A1, 4.2188% 1/20/35 (d) (g) | 368,443 | 337,702 | ||
Class M1, 4.3788% 1/20/35 (d) (g) | 216,353 | 192,920 | ||
Series 2006-2: | ||||
Class M1, 4.5063% 3/20/36 (d) (g) | 540,113 | 292,093 | ||
Class M2, 4.5263% 3/20/36 (d) (g) | 891,667 | 456,177 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class M1, 3.6763% 1/25/37 (d) (g) | 1,025,000 | 494,050 | ||
IXIS Real Estate Capital Trust Series 2005-HE1 Class M1, 3.8463% 6/25/35 (d) (g) | 492,536 | 430,336 | ||
Keycorp Student Loan Trust Series 1999-A Class A2, 5.53% 12/27/09 (d) | 163,207 | 163,965 | ||
Long Beach Auto Receivables Trust Series 2006-B Class A2, 5.34% 11/15/09 | 276,876 | 277,025 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-2 Class M1, 4.6063% 6/25/33 (d) (g) | 423,002 | 384,786 | ||
Series 2003-3 Class M1, 4.1263% 7/25/33 (d) (g) | 337,423 | 253,068 | ||
Series 2005-1 Class M2, 3.9063% 2/25/35 (d) (g) | 1,410,000 | 1,267,452 | ||
Series 2005-WL1 Class M2, 3.9263% 6/25/35 (d) (g) | 660,000 | 583,440 | ||
Series 2006-6 Class M4, 3.7363% 7/25/36 (d) (g) | 425,000 | 27,625 | ||
Series 2006-7 Class M10, 5.8763% 8/25/36 (d) (g) | 675,000 | 44,900 | ||
MASTR Asset Backed Securities Trust Series 2004-HE1 Class M1, 4.0263% 9/25/34 (d) (g) | 685,000 | 614,859 | ||
MBNA Credit Card Master Note Trust Series 2003-B2 Class B2, 4.6263% 10/15/10 (d) | 125,000 | 125,100 | ||
MBNA Master Credit Card Trust II Series 1998-E Class B, 5.5725% 9/15/10 (d) | 200,000 | 200,485 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M2, 4.2013% 7/25/34 (d) (g) | 3,764 | 2,237 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2004-FM1 Class M2, 4.5263% 1/25/35 (d) (g) | 51,018 | 45,111 | ||
Series 2004-HE2 Class A1B, 3.8463% 8/25/35 (d) (g) | 39,863 | 34,968 | ||
Series 2006-FM1 Class A2B, 3.4863% 4/25/37 (d) (g) | 1,055,000 | 994,502 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2002-HE3 Class M1, 5.0263% 12/27/32 (d) (g) | 94,285 | 86,725 | ||
Series 2003-NC10 Class M1, 4.3963% 10/25/33 (d) (g) | 792,708 | 704,205 | ||
Series 2003-NC8 Class M1, 4.4263% 9/25/33 (d) (g) | 119,992 | 107,573 | ||
Series 2004-HE6 Class A2, 3.7163% 8/25/34 (d) (g) | 65,756 | 59,476 | ||
Series 2004-NC2 Class M1, 3.9263% 12/25/33 (d) (g) | 347,703 | 299,220 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Morgan Stanley ABS Capital I Trust: - continued | ||||
Series 2005-1 Class M2, 3.8463% 12/25/34 (d) (g) | $ 570,000 | $ 512,787 | ||
Series 2005-HE1: | ||||
Class M1, 3.8263% 12/25/34 (d) (g) | 150,000 | 124,853 | ||
Class M2, 3.8463% 12/25/34 (d) (g) | 385,000 | 331,226 | ||
Series 2005-HE2: | ||||
Class M1, 3.7763% 1/25/35 (d) (g) | 370,000 | 309,283 | ||
Class M2, 3.8163% 1/25/35 (d) (g) | 265,000 | 231,489 | ||
Series 2005-NC1: | ||||
Class M1, 3.8163% 1/25/35 (d) (g) | 325,000 | 272,929 | ||
Class M2, 3.8463% 1/25/35 (d) (g) | 325,000 | 283,951 | ||
Class M3, 3.8863% 1/25/35 (d) (g) | 325,000 | 281,750 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC1 Class M2, 4.9813% 10/25/31 (d) (g) | 7,003 | 5,791 | ||
Series 2001-NC4 Class M1, 4.8763% 1/25/32 (d) (g) | 11,106 | 10,529 | ||
Series 2002-AM3 Class A3, 4.3563% 2/25/33 (d) (g) | 14,114 | 11,918 | ||
Series 2002-NC3 Class M1, 4.4563% 8/25/32 (d) (g) | 92,830 | 85,118 | ||
Navistar Financial Dealer Note Master Trust Series 2005-1 Class A, 3.4863% 2/25/13 (d) | 2,050,000 | 1,982,956 | ||
New Century Home Equity Loan Trust Series 2005-1: | ||||
Class M1, 3.8263% 3/25/35 (d) (g) | 595,000 | 490,059 | ||
Class M2, 3.8563% 3/25/35 (d) (g) | 595,000 | 516,429 | ||
Class M3, 3.8963% 3/25/35 (d) (g) | 290,000 | 250,945 | ||
Nomura Home Equity Loan Trust Series 2006-HE3: | ||||
Class M7, 4.1763% 7/25/36 (d) (g) | 485,000 | 42,283 | ||
Class M8, 4.3263% 7/25/36 (d) (g) | 340,000 | 22,361 | ||
Class M9, 5.2263% 7/25/36 (d) (g) | 490,000 | 29,792 | ||
NovaStar Mortgage Funding Trust: | ||||
Series 2003-3 Class A3, 3.8263% 12/25/33 (d) (g) | 41,604 | 36,986 | ||
Series 2007-1 Class A2C, 3.5563% 3/25/37 (d) (g) | 805,000 | 631,120 | ||
Ocala Funding LLC Series 2006-1A Class A, 5.3344% 3/20/11 (a) (d) | 965,000 | 778,031 | ||
Option One Mortgage Loan Trust Series 2003-6 Class M1, 4.0263% 11/25/33 (d) (g) | 960,358 | 835,031 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M1, 4.0063% 9/25/34 (d) (g) | 815,000 | 781,912 | ||
Class M2, 4.0563% 9/25/34 (d) (g) | 160,000 | 138,215 | ||
Class M3, 4.6263% 9/25/34 (d) (g) | 310,000 | 252,733 | ||
Class M4, 4.8263% 9/25/34 (d) (g) | 435,000 | 176,610 | ||
Series 2004-WWF1: | ||||
Class A5, 3.8463% 1/25/35 (d) (g) | 3 | 2 | ||
Class M4, 4.4763% 1/25/35 (d) (g) | 945,000 | 838,627 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Park Place Securities, Inc.: - continued | ||||
Series 2005-WCH1: | ||||
Class M2, 3.8963% 1/25/35 (d) (g) | $ 1,130,000 | $ 997,564 | ||
Class M3, 3.9363% 1/25/35 (d) (g) | 425,000 | 366,520 | ||
Class M5, 4.2563% 1/25/35 (d) (g) | 400,000 | 315,418 | ||
Series 2005-WHQ1 Class M7, 4.6263% 3/25/35 (d) (g) | 910,000 | 341,182 | ||
Providian Master Note Trust: | ||||
Series 2005-2 Class C2, 4.7363% 11/15/12 (a) (d) | 2,160,000 | 2,026,253 | ||
Series 2006-C1A Class C1, 5.5775% 3/16/15 (a) (d) | 2,465,000 | 2,038,536 | ||
Residential Asset Mortgage Products, Inc.: | ||||
Series 2004-RS6 Class 2M3, 4.8263% 6/25/34 (d) (g) | 77,554 | 31,797 | ||
Series 2005-SP2 Class 1A1, 3.5263% 5/25/44 (d) (g) | 22,908 | 22,530 | ||
Series 2007-RZ1 Class A2, 3.5363% 2/25/37 (d) | 1,200,000 | 1,018,452 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 4.1763% 4/25/33 (d) (g) | 1,451 | 1,308 | ||
Saxon Asset Securities Trust: | ||||
Series 2004-1 Class M1, 4.1713% 3/25/35 (d) (g) | 640,000 | 563,833 | ||
Series 2007-1 Class A2C, 3.5263% 2/25/37 (d) (g) | 1,000,000 | 836,719 | ||
Sierra Timeshare Receivables Fund LLC Series 2006-1A Class A2, 4.0844% 5/20/18 (a) (d) | 1,679,015 | 1,590,244 | ||
Sovereign Dealer Floor Plan Master LLC Series 2006-1: | ||||
Class B, 4.4163% 8/15/11 (a) (d) | 1,140,000 | 1,079,911 | ||
Class C, 4.6163% 8/15/11 (a) (d) | 520,000 | 484,879 | ||
Specialty Underwriting & Residential Finance Trust: | ||||
Series 2003-BC3 Class M1, 4.0263% 8/25/34 (d) (g) | 1,000,000 | 944,000 | ||
Series 2003-BC4 Class M1, 3.9763% 11/25/34 (d) (g) | 260,000 | 223,365 | ||
Structured Asset Corp. Trust Series 2006-BC6 Class A4, 3.5463% 1/25/37 (d) (g) | 1,215,000 | 974,278 | ||
Structured Asset Investment Loan Trust: | ||||
Series 2003-BC9 Class M1, 4.0763% 8/25/33 (d) (g) | 1,135,000 | 1,060,493 | ||
Series 2004-8 Class M5, 4.5263% 9/25/34 (d) (g) | 290,000 | 260,710 | ||
Series 2005-1 Class M4, 4.1363% 2/25/35 (a) (d) (g) | 485,000 | 363,006 | ||
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 3.7363% 2/25/34 (d) (g) | 25,222 | 20,304 | ||
Superior Wholesale Inventory Financing Trust: | ||||
Series 2004-A10: | ||||
Class A, 4.3363% 9/15/11 (d) | 2,735,000 | 2,649,665 | ||
Class B, 4.5163% 9/15/11 (d) | 1,625,000 | 1,381,250 | ||
Series 2007-AE1: | ||||
Class A, 5.1275% 1/15/12 (d) | 400,000 | 385,838 | ||
Class B, 5.3275% 1/15/12 (d) | 335,000 | 321,313 | ||
Class C, 5.6275% 1/15/12 (d) | 420,000 | 294,000 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 4.6863% 3/15/11 (a) (d) | $ 675,000 | $ 656,223 | ||
Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 5.4363% 6/15/10 (d) | 980,000 | 907,724 | ||
Swift Master Auto Receivables Trust Series 2007-1: | ||||
Class A, 5.1275% 6/15/12 (d) | 1,015,000 | 998,243 | ||
Class B, 5.2475% 6/15/12 (d) | 790,000 | 763,361 | ||
Class C, 5.5275% 6/15/12 (d) | 470,000 | 449,161 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 3.8063% 9/25/34 (d) (g) | 21,802 | 20,607 | ||
Series 2003-6HE Class A1, 3.8463% 11/25/33 (d) (g) | 17,086 | 15,735 | ||
Turquoise Card Backed Securities PLC Series 2006-1A Class C, 4.5663% 5/16/11 (a)(d) | 2,165,000 | 2,093,284 | ||
UPFC Auto Receivables Trust Series 2007-A Class A2, 5.46% 6/15/10 | 1,103,871 | 1,088,307 | ||
WaMu Master Note Trust: | ||||
Series 2006-A3A Class A3, 5.0575% 9/16/13 (a) (d) | 3,025,000 | 2,979,244 | ||
Series 2007-C1 Class C1, 5.4275% 5/15/14 (a) (d) | 1,595,000 | 1,378,989 | ||
WFS Financial Owner Trust: | ||||
Series 2004-3 Class D, 4.07% 2/17/12 | 72,027 | 71,980 | ||
Series 2004-4 Class D, 3.58% 5/17/12 | 74,195 | 73,994 | ||
Series 2005-1 Class D, 4.09% 8/15/12 | 121,816 | 122,053 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 5.9838% 10/25/44 (a)(d) | 1,095,215 | 907,495 | ||
World Omni Auto Receivables Trust Series 2007-B Class A2B, 5.3475% 2/16/10 (d) | 185,000 | 184,706 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $164,646,091) | 135,277,223 | |||
Collateralized Mortgage Obligations - 17.6% | ||||
Private Sponsor - 16.6% | ||||
American Home Mortgage Assets Trust floater Series 2006-1 Class 2A1, 3.5663% 5/25/46 (d) | 881,824 | 828,160 | ||
Arkle Master Issuer PLC floater Series 2007-1A Class 1C, 5.165% 2/17/52 (a)(c)(d) | 1,625,000 | 1,608,263 | ||
Banc of America Mortgage Securities, Inc. Series 2003-I Class 2A6, 4.1498% 10/25/33 (c)(d) | 4,245,000 | 4,227,794 | ||
Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.0785% 8/25/35 (d) | 1,312,429 | 1,286,914 | ||
Bear Stearns Alt-A Trust floater: | ||||
Series 2005-1 Class A1, 3.6563% 1/25/35 (d) | 842,473 | 819,837 | ||
Series 2005-2 Class 1A1, 3.6263% 3/25/35 (d) | 498,261 | 491,305 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A3, 4.3775% 8/25/34 (d) | $ 1,958,270 | $ 1,935,983 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-2 Class 7A3, 3.7763% 2/25/35 (d) | 201,511 | 200,692 | ||
Series 2004-4 Class 5A2, 3.7763% 3/25/35 (d) | 49,949 | 48,188 | ||
Series 2005-1 Class 5A2, 3.7063% 5/25/35 (d) | 147,304 | 137,291 | ||
Series 2005-10 Class 5A2, 3.6963% 1/25/36 (d) | 881,928 | 704,502 | ||
Series 2005-2: | ||||
Class 6A2, 3.6563% 6/25/35 (d) | 50,504 | 48,159 | ||
Class 6M2, 3.8563% 6/25/35 (d) | 1,375,000 | 1,313,672 | ||
Series 2005-3 Class 8A2, 3.6163% 7/25/35 (d) | 648,734 | 633,941 | ||
Series 2005-5 Class 6A2, 3.6063% 9/25/35 (d) | 530,823 | 491,639 | ||
Series 2005-8 Class 7A2, 3.6563% 11/25/35 (d) | 396,788 | 386,710 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR2 Class 6A1, 3.7763% 3/25/34 (d) | 5,488 | 5,439 | ||
Series 2004-AR3 Class 6A2, 3.7463% 4/25/34 (d) | 4,352 | 4,211 | ||
Series 2004-AR5 Class 11A2, 3.7463% 6/25/34 (d) | 23,582 | 23,253 | ||
Series 2004-AR6 Class 9A2, 3.7463% 10/25/34 (d) | 34,813 | 34,390 | ||
Series 2004-AR7 Class 6A2, 3.7563% 8/25/34 (d) | 66,624 | 64,042 | ||
Series 2004-AR8 Class 8A2, 3.7563% 9/25/34 (d) | 37,512 | 34,510 | ||
CWALT, Inc. floater Series 2005-56 Class 3A1, 3.6663% 11/25/35 (d) | 308,380 | 292,446 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 3.5363% 3/25/37 (d) | 1,375,000 | 1,202,923 | ||
First Franklin Mortgage Loan Trust floater Series 2006-FF13: | ||||
Class M7, 4.1263% 10/25/36 (d) (g) | 1,205,000 | 87,578 | ||
Class M8, 4.3263% 10/25/36 (d) (g) | 525,000 | 36,006 | ||
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 5.0275% 12/25/34 (d) | 60,754 | 60,269 | ||
Gracechurch Mortgage Funding PLC floater Series 1A: | ||||
Class A2B, 4.5125% 10/11/41 (a)(d) | 1,621,206 | 1,583,027 | ||
Class CB, 4.7225% 10/11/41 (a)(d) | 260,000 | 228,410 | ||
Class DB, 4.9125% 10/11/41 (a)(d) | 1,060,000 | 850,544 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-2 Class C1, 5.4488% 12/20/54 (d) | 1,610,000 | 1,440,789 | ||
Series 2005-4 Class A3, 5.0188% 12/20/54 (d) | 1,354,621 | 1,346,357 | ||
Series 2006-1A: | ||||
Class A5, 5.0188% 12/20/54 (a)(d) | 998,826 | 962,169 | ||
Class C2, 5.5488% 12/20/54 (a)(d) | 1,545,000 | 927,000 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Granite Master Issuer PLC floater: - continued | ||||
Series 2006-3 Class C2, 4.4263% 12/20/54 (d) | $ 820,000 | $ 492,000 | ||
Series 2006-4: | ||||
Class B1, 5.4288% 12/20/54 (d) | 1,250,000 | 1,093,750 | ||
Class C1, 5.0963% 12/20/54 (d) | 765,000 | 585,225 | ||
Class M1, 5.0988% 12/20/54 (d) | 330,000 | 280,500 | ||
Series 2007-1: | ||||
Class 1C1, 5.3563% 12/20/54 (d) | 555,000 | 424,076 | ||
Class 1M1, 5.036% 12/20/54 (d) | 500,000 | 428,250 | ||
Class 2B1, 6.3138% 12/20/54 (d) | 535,000 | 426,716 | ||
Class 2C1, 5.0463% 12/20/54 (d) | 295,000 | 170,687 | ||
Class 2M1, 5.0763% 12/20/54 (d) | 645,000 | 466,787 | ||
GSR Mortgage Loan Trust: | ||||
floater Series 2004-11 Class 2A1, 5.195% 12/20/34 (d) | 506,028 | 477,240 | ||
Series 2006-AR2 Class 4A1, 5.8396% 4/25/36 (d) | 2,957,473 | 2,990,806 | ||
Holmes Financing No. 10 PLC floater Series 10A: | ||||
Class 2A, 4.2875% 7/15/40 (a)(d) | 1,040,000 | 1,039,874 | ||
Class 2C, 4.6075% 7/15/40 (a)(d) | 886,364 | 877,996 | ||
Holmes Financing No. 9 PLC floater Class 2A, 4.3175% 7/15/13 (d) | 2,780,000 | 2,757,732 | ||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 3.8263% 10/25/34 (d) | 323,199 | 316,935 | ||
HSI Asset Securitization Corp. Trust floater Series 2007-OPT1 Class M1, 3.6063% 12/25/36 (d) (g) | 670,000 | 261,635 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 3.7463% 3/25/35 (d) | 256,104 | 236,026 | ||
Series 2004-6 Class 1A2, 4.1563% 10/25/34 (d) | 73,755 | 69,229 | ||
Series 2005-1: | ||||
Class M1, 3.8363% 4/25/35 (d) | 136,174 | 120,099 | ||
Class M2, 3.8763% 4/25/35 (d) | 240,812 | 208,056 | ||
Class M3, 3.9063% 4/25/35 (d) | 58,769 | 48,932 | ||
Class M4, 4.1263% 4/25/35 (d) | 35,835 | 18,097 | ||
Class M5, 4.1463% 4/25/35 (d) | 35,835 | 17,380 | ||
Class M6, 4.1963% 4/25/35 (d) | 55,902 | 25,995 | ||
Series 2005-2 Class 1A2, 3.6863% 4/25/35 (d) | 601,910 | 558,159 | ||
Series 2005-4 Class 1B1, 4.6763% 5/25/35 (d) | 238,079 | 105,648 | ||
Series 2005-7: | ||||
Class M1, 3.8563% 11/25/35 (d) | 129,150 | 101,375 | ||
Class M2, 3.8963% 11/25/35 (d) | 96,863 | 72,751 | ||
Class M3, 3.9963% 11/25/35 (d) | 484,313 | 244,578 | ||
Class M4, 4.0363% 11/25/35 (d) | 231,394 | 112,226 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
JPMorgan Mortgage Trust Series 2006-A2 Class 5A1, 3.7551% 11/25/33 (d) | $ 2,870,775 | $ 2,832,252 | ||
Kildare Securities Ltd. floater Series 2007-1 Class A2, 5.2063% 12/10/43 (a)(d) | 865,000 | 849,841 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 3.675% 9/26/45 (a)(d) | 466,314 | 464,496 | ||
Lehman XS Trust floater: | ||||
Series 2006-12N Class A1A1, 3.4563% 8/25/46 (d) | 849,356 | 843,782 | ||
Series 2006-GP1 Class A1, 3.4213% 5/25/46 (d) | 737,908 | 729,805 | ||
MASTR Adjustable Rate Mortgages Trust floater: | ||||
Series 2004-11: | ||||
Class 1A4, 3.8663% 11/25/34 (d) | 28,840 | 26,087 | ||
Class 2A1, 3.7563% 11/25/34 (d) | 27,340 | 26,078 | ||
Class 2A2, 3.8163% 11/25/34 (d) | 6,019 | 5,690 | ||
Series 2005-1 Class 1A1, 3.6463% 3/25/35 (d) | 76,028 | 75,667 | ||
MASTR Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2417% 8/25/17 (d) | 358,461 | 376,086 | ||
Merrill Lynch Mortgage Investors Trust floater: | ||||
Series 2003-A: | ||||
Class 2A1, 3.7663% 3/25/28 (d) | 69,241 | 66,922 | ||
Class 2A2, 5.8413% 3/25/28 (d) | 24,729 | 23,825 | ||
Series 2003-B Class A1, 3.7163% 4/25/28 (d) | 72,331 | 70,642 | ||
Series 2003-D Class A, 3.6863% 8/25/28 (d) | 334,331 | 329,707 | ||
Series 2003-E Class A2, 5.7613% 10/25/28 (d) | 126,434 | 120,749 | ||
Series 2003-F Class A2, 5.7713% 10/25/28 (d) | 131,316 | 128,318 | ||
Series 2004-A Class A2, 5.345% 4/25/29 (d) | 173,712 | 171,037 | ||
Series 2004-B Class A2, 5.65% 6/25/29 (d) | 147,937 | 145,201 | ||
Series 2004-C Class A2, 5.68% 7/25/29 (d) | 206,909 | 206,233 | ||
Series 2004-D Class A2, 5.455% 9/25/29 (d) | 224,825 | 209,861 | ||
Series 2004-E Class A2D, 5.645% 11/25/29 (d) | 262,337 | 261,685 | ||
Series 2004-G Class A2, 5.0275% 11/25/29 (d) | 83,205 | 77,473 | ||
Series 2005-A Class A2, 5.6813% 2/25/30 (d) | 238,439 | 234,152 | ||
Series 2005-B Class A2, 5.085% 7/25/30 (d) | 228,258 | 225,099 | ||
Series 2006-MLN1 Class M4, 3.7363% 7/25/37 (d) (g) | 1,015,000 | 107,819 | ||
MortgageIT Trust floater Series 2004-2: | ||||
Class A1, 3.7463% 12/25/34 (d) | 290,163 | 277,402 | ||
Class A2, 3.8263% 12/25/34 (d) | 391,936 | 372,408 | ||
Opteum Mortgage Acceptance Corp. floater: | ||||
Series 2005-3 Class APT, 3.6663% 7/25/35 (d) | 1,200,269 | 963,576 | ||
Series 2005-5 Class 1A1B, 3.5763% 12/25/35 (d) | 920,000 | 896,001 | ||
Option One Mortgage Loan Trust floater | 980,000 | 521,360 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Permanent Financing No. 3 PLC floater Series 2006-3 Class 3A, 5.3263% 9/10/33 (d) | $ 2,495,000 | $ 2,492,463 | ||
Permanent Financing No. 5 PLC floater Series 3 Class C, 5.9463% 6/10/42 (d) | 1,030,000 | 993,950 | ||
Permanent Financing No. 8 PLC floater: | ||||
Class 2A, 5.2163% 6/10/14 (d) | 2,945,000 | 2,943,878 | ||
Class 3C, 5.6663% 6/10/42 (d) | 910,000 | 818,818 | ||
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 4.66% 7/17/42 (d) | 2,645,000 | 2,451,688 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.8478% 10/25/35 (d) | 792,209 | 785,311 | ||
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 3.4763% 9/25/46 (d) | 1,585,193 | 1,540,114 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 142,083 | 145,932 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 42,197 | 44,104 | ||
Series 2005-AR5 Class 1A1, 4.7924% 9/19/35 (d) | 394,356 | 392,423 | ||
Residential Funding Securities Corp. floater | 64,028 | 51,242 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2003-5 Class A2, 5.72% 9/20/33 (d) | 121,046 | 121,026 | ||
Series 2004-1 Class A, 5.6825% 2/20/34 (d) | 88,563 | 87,309 | ||
Series 2004-10 Class A4, 5.7006% 11/20/34 (d) | 223,326 | 221,899 | ||
Series 2004-12 Class 1A2, 5.69% 1/20/35 (d) | 419,577 | 407,784 | ||
Series 2004-4 Class A, 5.6206% 5/20/34 (d) | 279,973 | 278,074 | ||
Series 2004-5 Class A3, 4.53% 6/20/34 (d) | 110,018 | 109,606 | ||
Series 2004-6: | ||||
Class A3A, 5.6975% 6/20/35 (d) | 109,759 | 105,045 | ||
Class A3B, 5.84% 7/20/34 (d) | 219,517 | 205,653 | ||
Series 2004-7: | ||||
Class A3A, 5.7038% 8/20/34 (d) | 146,726 | 139,133 | ||
Class A3B, 5.9288% 7/20/34 (d) | 284,904 | 263,495 | ||
Series 2004-8 Class A2, 5.755% 9/20/34 (d) | 433,893 | 430,042 | ||
Series 2005-1 Class A2, 5.6325% 2/20/35 (d) | 249,291 | 241,304 | ||
Series 2005-2 Class A2, 5.6288% 3/20/35 (d) | 394,886 | 391,004 | ||
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 4.1763% 9/25/36 (d) (g) | 330,000 | 34,650 | ||
Structured Asset Securities Corp. floater: | ||||
Series 2004-NP1 Class A, 3.7763% 9/25/33 (a) (d) | 72,424 | 70,569 | ||
Series 2005-AR1 Class B1, 5.3763% 9/25/35 (a) (d) (g) | 1,155,000 | 92,400 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Structured Asset Securities Corp. floater: - continued | ||||
Series 2007-GEL1 Class A2, 3.5663% 1/25/37 (a)(d) (g) | $ 1,000,000 | $ 775,625 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 3.5313% 9/25/36 (d) | 2,255,000 | 2,219,855 | ||
Thornburg Mortgage Securities Trust floater: | ||||
Series 2004-3 Class A, 3.7463% 9/25/34 (d) | 1,089,506 | 1,069,583 | ||
Series 2005-3 Class A4, 3.6463% 10/25/35 (d) | 1,940,396 | 1,935,810 | ||
WaMu Mortgage pass-thru certificates: | ||||
floater Series 2006-AR11 Class C1B1, 3.4563% 9/25/46 (d) | 366,253 | 363,537 | ||
sequential payer: | ||||
Series 2002-S6 Class A25, 6% 10/25/32 | 82,583 | 82,857 | ||
Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | 41,454 | 44,336 | ||
Series 2003-AR10 Class A7, 4.0558% 10/25/33 (d) | 690,000 | 678,104 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2005-AR10 Class 2A2, 4.1092% 6/25/35 (d) | 3,817,861 | 3,789,018 | ||
Series 2005-AR12 Class 2A1, 4.3226% 7/25/35 (d) | 1,204,724 | 1,200,733 | ||
TOTAL PRIVATE SPONSOR | 79,032,801 | |||
U.S. Government Agency - 1.0% | ||||
Fannie Mae: | ||||
floater Series 2002-89 Class F, 3.6763% 1/25/33 (d) | 73,346 | 73,129 | ||
planned amortization class Series 1993-207 Class G, 6.15% 4/25/23 | 157,925 | 158,307 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2001-38 Class QF, 4.3563% 8/25/31 (d) | 662,129 | 674,046 | ||
Series 2002-36 Class FT, 3.8763% 6/25/32 (d) | 101,968 | 102,106 | ||
Series 2002-60 Class FV, 4.3763% 4/25/32 (d) | 244,713 | 249,301 | ||
Series 2002-64 Class FE, 4.3394% 10/18/32 (d) | 50,594 | 50,607 | ||
Series 2002-74 Class FV, 3.8263% 11/25/32 (d) | 65,629 | 65,714 | ||
Series 2002-75 Class FA, 4.3763% 11/25/32 (d) | 501,292 | 510,094 | ||
Series 2003-11: | ||||
Class DF, 3.8263% 2/25/33 (d) | 48,166 | 48,160 | ||
Class EF, 3.8263% 2/25/33 (d) | 18,697 | 18,701 | ||
Series 2004-54 Class FE, 4.5263% 2/25/33 (d) | 508,219 | 511,713 | ||
planned amortization class Series 2002-52 Class PA, 6% 4/25/31 | 706 | 704 | ||
Freddie Mac planned amortization class Series 2162 Class PH, 6% 6/15/29 | 1,083,932 | 1,123,120 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2389 Class DA, 5.1363% 11/15/30 (c)(d) | $ 461,623 | $ 462,425 | ||
Series 2526 Class FC, 4.6363% 11/15/32 (d) | 12,183 | 12,197 | ||
Series 2551 Class FH, 4.6863% 1/15/33 (d) | 44,717 | 44,740 | ||
Series 3066 Class HF, 0% 1/15/34 (d) | 36,333 | 38,067 | ||
planned amortization class Series 2543 Class PM, 5.5% 8/15/18 | 113,463 | 113,426 | ||
Series 1803 Class A, 6% 12/15/08 | 88,386 | 88,607 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
floater Series 2001-21 Class FB, 4.4813% 1/16/27 (d) | 77,265 | 77,324 | ||
planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31 | 78,046 | 78,568 | ||
TOTAL U.S. GOVERNMENT AGENCY | 4,501,056 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $93,106,669) | 83,533,857 | |||
Commercial Mortgage Securities - 9.8% | ||||
Banc of America Large Loan, Inc. floater: | ||||
Series 2003-BBA2 Class K, 6.8363% 11/15/15 (a)(d) | 61,614 | 61,176 | ||
Series 2005-MIB1: | ||||
Class C, 4.5463% 3/15/22 (a)(d) | 200,000 | 195,058 | ||
Class D, 4.5963% 3/15/22 (a)(d) | 205,000 | 195,529 | ||
Class E, 4.6363% 3/15/22 (a)(d) | 390,000 | 367,707 | ||
Class F, 4.7063% 3/15/22 (a)(d) | 200,000 | 186,645 | ||
Class G, 4.7663% 3/15/22 (a)(d) | 130,000 | 121,068 | ||
Series 2006-BIX1: | ||||
Class E, 4.4763% 10/15/19 (a)(d) | 170,000 | 160,290 | ||
Class F, 4.5463% 10/15/19 (a)(d) | 325,000 | 307,181 | ||
Class G, 4.5663% 10/15/19 (a)(d) | 125,000 | 118,228 | ||
Class JCP, 4.7363% 10/15/19 (a)(d) | 4,700 | 4,204 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2004-1: | ||||
Class A, 3.7363% 4/25/34 (a)(d) | 214,030 | 199,048 | ||
Class B, 5.2763% 4/25/34 (a)(d) | 35,672 | 29,156 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2004-2: | ||||
Class A, 3.8063% 8/25/34 (a)(d) | $ 265,587 | $ 247,992 | ||
Class M1, 3.9563% 8/25/34 (a)(d) | 85,071 | 78,319 | ||
Series 2004-3: | ||||
Class A2, 3.7963% 1/25/35 (a)(d) | 47,222 | 43,319 | ||
Class M1, 3.8763% 1/25/35 (a)(d) | 70,834 | 64,547 | ||
Class M2, 4.3763% 1/25/35 (a)(d) | 47,222 | 41,586 | ||
Series 2005-2A: | ||||
Class A1, 3.6863% 8/25/35 (a)(d) | 681,520 | 635,387 | ||
Class M1, 3.8063% 8/25/35 (a)(d) | 123,006 | 120,008 | ||
Class M2, 3.8563% 8/25/35 (a)(d) | 206,118 | 199,935 | ||
Class M3, 3.8763% 8/25/35 (a)(d) | 113,033 | 108,123 | ||
Class M4, 3.9863% 8/25/35 (a)(d) | 103,059 | 97,487 | ||
Series 2005-3A: | ||||
Class A1, 3.6963% 11/25/35 (a)(d) | 585,741 | 564,652 | ||
Class A2, 3.7763% 11/25/35 (a)(d) | 240,572 | 219,748 | ||
Class M1, 3.8163% 11/25/35 (a)(d) | 83,677 | 80,226 | ||
Class M2, 3.8663% 11/25/35 (a)(d) | 115,056 | 110,939 | ||
Class M3, 3.8863% 11/25/35 (a)(d) | 104,597 | 99,105 | ||
Class M4, 3.9763% 11/25/35 (a)(d) | 129,002 | 118,682 | ||
Series 2005-4A: | ||||
Class A2, 3.7663% 1/25/36 (a)(d) | 854,627 | 772,771 | ||
Class B1, 4.7763% 1/25/36 (a)(d) | 77,693 | 56,304 | ||
Class M1, 3.8263% 1/25/36 (a)(d) | 310,773 | 278,726 | ||
Class M2, 3.8463% 1/25/36 (a)(d) | 77,693 | 69,062 | ||
Class M3, 3.8763% 1/25/36 (a)(d) | 155,387 | 135,479 | ||
Class M4, 3.9863% 1/25/36 (a)(d) | 77,693 | 65,299 | ||
Class M5, 4.0263% 1/25/36 (a)(d) | 77,693 | 63,502 | ||
Class M6, 4.0763% 1/25/36 (a)(d) | 77,693 | 62,021 | ||
Series 2006-2A: | ||||
Class A1, 3.6063% 7/25/36 (a)(d) | 1,434,182 | 1,407,629 | ||
Class A2, 3.6563% 7/25/36 (a)(d) | 241,716 | 232,375 | ||
Class B1, 4.2463% 7/25/36 (a)(d) | 88,629 | 62,927 | ||
Class B3, 6.0763% 7/25/36 (a)(d) | 145,030 | 98,620 | ||
Class M1, 3.6863% 7/25/36 (a)(d) | 253,802 | 241,575 | ||
Class M2, 3.7063% 7/25/36 (a)(d) | 181,287 | 171,710 | ||
Class M3, 3.7263% 7/25/36 (a)(d) | 141,001 | 132,401 | ||
Class M4, 3.7963% 7/25/36 (a)(d) | 96,686 | 90,187 | ||
Class M5, 3.8463% 7/25/36 (a)(d) | 116,829 | 106,175 | ||
Class M6, 3.9163% 7/25/36 (a)(d) | 185,316 | 162,770 | ||
Series 2006-3A: | ||||
Class B1, 4.1763% 10/25/36 (a)(d) | 135,023 | 84,832 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2006-3A: | ||||
Class B2, 4.7263% 10/25/36 (a)(d) | $ 87,111 | $ 52,661 | ||
Class B3, 5.9763% 10/25/36 (a)(d) | 156,800 | 97,756 | ||
Class M4, 3.8063% 10/25/36 (a)(d) | 135,023 | 107,955 | ||
Class M5, 3.8563% 10/25/36 (a)(d) | 169,867 | 131,912 | ||
Class M6, 3.9363% 10/25/36 (a)(d) | 335,379 | 250,957 | ||
Series 2007-1: | ||||
Class A2, 3.6463% 3/25/37 (a)(d) | 316,808 | 285,327 | ||
Class B1, 4.0463% 3/25/37 (a)(d) | 102,628 | 66,548 | ||
Class B2, 4.5263% 3/25/37 (a)(d) | 71,393 | 43,818 | ||
Class B3, 6.7263% 3/25/37 (a)(d) | 209,718 | 138,349 | ||
Class M1, 3.6463% 3/25/37 (a)(d) | 84,780 | 73,890 | ||
Class M2, 3.6663% 3/25/37 (a)(d) | 62,469 | 53,352 | ||
Class M3, 3.6963% 3/27/37 (a)(d) | 58,007 | 48,010 | ||
Class M4, 3.7463% 3/25/37 (a)(d) | 44,621 | 35,899 | ||
Class M5, 3.7963% 3/25/37 (a)(d) | 71,393 | 55,865 | ||
Class M6, 3.8763% 3/25/37 (a)(d) | 98,166 | 74,177 | ||
Series 2007-3: | ||||
Class B1, 4.3263% 7/25/37 (a)(d) | 68,409 | 49,254 | ||
Class B2, 4.9763% 7/25/37 (a)(d) | 173,302 | 168,970 | ||
Class B3, 7.3763% 7/25/37 (a)(d) | 91,212 | 59,288 | ||
Class M1, 3.6863% 7/25/37 (a)(d) | 59,288 | 58,695 | ||
Class M2, 3.7163% 7/25/37 (a)(d) | 63,848 | 63,210 | ||
Class M3, 3.7463% 7/25/37 (a)(d) | 100,333 | 99,204 | ||
Class M4, 3.8763% 7/25/37 (a)(d) | 159,621 | 157,226 | ||
Class M5, 3.9763% 7/25/37 (a)(d) | 77,530 | 75,979 | ||
Class M6, 4.1763% 7/25/37 (a)(d) | 59,288 | 58,102 | ||
Series 2007-4A: | ||||
Class A2, 3.9263% 9/25/37 (a)(d) | 649,372 | 616,513 | ||
Class B1, 5.9263% 9/25/37 (a)(d) | 83,002 | 58,530 | ||
Class B2, 6.8263% 9/25/37 (a)(d) | 302,715 | 208,543 | ||
Class M1, 4.3263% 9/25/37 (a)(d) | 73,237 | 64,838 | ||
Class M2, 4.4263% 9/25/37 (a)(d) | 73,237 | 64,335 | ||
Class M4, 4.9763% 9/25/37 (a)(d) | 200,182 | 165,088 | ||
Class M5, 5.1263% 9/25/37 (a)(d) | 200,182 | 164,682 | ||
Class M6, 5.3263% 9/25/37 (a)(d) | 200,182 | 161,647 | ||
Bear Stearns Commercial Mortgage Securities Trust floater Series 2007-BBA8: | ||||
Class D, 4.4863% 3/15/22 (a)(d) | 165,000 | 146,025 | ||
Class E, 4.5363% 3/15/22 (a)(d) | 870,000 | 767,775 | ||
Class F, 4.5863% 5/15/22 (a)(d) | 535,000 | 470,800 | ||
Class G, 4.6363% 3/15/22 (a)(d) | 135,000 | 118,463 | ||
Class H, 4.7863% 3/15/22 (a)(d) | 165,000 | 144,375 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bear Stearns Commercial Mortgage Securities Trust floater Series 2007-BBA8: - continued | ||||
Class J, 4.9363% 3/15/22 (a)(d) | $ 165,000 | $ 143,963 | ||
Class X-1M, 1.12% 3/15/22 (a)(f) | 13,815,683 | 69,078 | ||
COMM pass-thru certificates floater: | ||||
Series 2005-F10A: | ||||
Class B, 4.4663% 4/15/17 (a)(d) | 1,005,000 | 1,003,527 | ||
Class C, 4.5063% 4/15/17 (a)(d) | 425,000 | 424,015 | ||
Class D, 4.5463% 4/15/17 (a)(d) | 345,000 | 342,882 | ||
Class E, 4.6063% 4/15/17 (a)(d) | 260,000 | 258,103 | ||
Class F, 4.6463% 4/15/17 (a)(d) | 145,000 | 143,906 | ||
Class G, 4.7863% 4/15/17 (a)(d) | 145,000 | 143,397 | ||
Class H, 4.8563% 4/15/17 (a)(d) | 145,000 | 141,633 | ||
Class J, 5.0863% 4/15/17 (a)(d) | 50,000 | 47,446 | ||
Series 2005-FL11: | ||||
Class C, 4.5363% 11/15/17 (a)(d) | 542,290 | 516,524 | ||
Class D, 4.5763% 11/15/17 (a)(d) | 93,997 | 89,655 | ||
Class E, 4.6263% 11/15/17 (a)(d) | 144,611 | 138,170 | ||
Class F, 4.6863% 11/15/17 (a)(d) | 130,150 | 122,528 | ||
Class G, 4.7363% 11/15/17 (a)(d) | 206,070 | 191,098 | ||
Series 2006-CN2A Class AJFL, 4.8% 2/5/19 (d) | 1,135,000 | 1,120,803 | ||
Series 2007-FL14: | ||||
Class F, 4.7363% 6/15/22 (a)(d) | 1,297,240 | 1,247,378 | ||
Class G, 4.7863% 6/15/22 (a)(d) | 207,164 | 197,841 | ||
Class H, 4.9363% 6/15/22 (a)(d) | 207,164 | 186,496 | ||
Class MLK1, 5.0363% 6/15/22 (a)(d) | 565,000 | 560,763 | ||
Class MLK2, 5.2363% 6/15/22 (a)(d) | 315,000 | 312,662 | ||
Class MLK3, 5.4363% 6/15/22 (a)(d) | 380,000 | 377,209 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 4.5863% 4/15/22 (a)(d) | 1,775,000 | 1,686,250 | ||
Credit Suisse Mortgage Capital Certificates floater: | ||||
Series 200-TFL1 Class B, 4.3863% 2/15/22 (a)(d) | 685,000 | 654,175 | ||
Series 2007-TFL1: | ||||
Class C: | ||||
4.4063% 2/15/22 (a)(d) | 740,000 | 666,000 | ||
4.5063% 2/15/22 (a)(d) | 265,000 | 247,775 | ||
Class F, 4.5563% 2/15/22 (a)(d) | 530,000 | 455,800 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2006-1A Class AFL, 5.1975% 11/15/36 (a)(d) | 540,000 | 517,579 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
CSMC Commercial Mortgage Trust floater Series 2006-TFLA: | ||||
Class D, 4.5163% 4/15/21 (a)(d) | $ 300,000 | $ 282,552 | ||
Class E, 4.5663% 4/15/21 (a)(d) | 300,000 | 280,845 | ||
Class G, 4.6563% 4/15/21 (a)(d) | 300,000 | 277,384 | ||
Class H, 4.9663% 4/15/21 (a)(d) | 300,000 | 275,903 | ||
Class J, 5.0363% 4/15/21 (a)(d) | 200,000 | 179,665 | ||
Class K, 5.4363% 4/15/21 (a)(d) | 1,005,000 | 914,381 | ||
Greenwich Capital Commercial Funding Corp. floater Series 2006-FL4 Class B, 0% 11/5/21 (a)(d) | 670,000 | 633,309 | ||
GS Mortgage Securities Corp. II floater | ||||
Class C, 4.78% 6/6/20 (a)(d) | 145,000 | 142,227 | ||
Class D, 4.82% 6/6/20 (a)(d) | 1,400,000 | 1,343,384 | ||
Class E, 4.91% 6/6/20 (a)(d) | 800,000 | 758,511 | ||
Class F, 4.98% 6/6/20 (a)(d) | 575,000 | 535,257 | ||
JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2006-FLA2: | ||||
Class B, 4.4063% 11/15/18 (a)(d) | 351,488 | 342,867 | ||
Class C, 4.4463% 11/15/18 (a)(d) | 249,655 | 244,804 | ||
Class D, 4.4663% 11/15/18 (a)(d) | 88,693 | 85,436 | ||
Class E, 4.5163% 11/15/18 (a)(d) | 131,397 | 127,991 | ||
Class F, 4.5663% 11/15/18 (a)(d) | 197,096 | 188,822 | ||
Class G, 4.5963% 11/15/18 (a)(d) | 170,816 | 163,831 | ||
Class H, 4.7363% 11/15/18 (a)(d) | 131,397 | 122,790 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: | ||||
Series 2003-LLFA Class K1, 6.8694% 12/16/14 (a)(d) | 435,000 | 398,647 | ||
Series 2006-LLFA: | ||||
Class F, 4.5763% 9/15/21 (a)(d) | 291,191 | 254,317 | ||
Class G, 4.5963% 9/15/21 (a)(d) | 648,135 | 566,582 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2005-XLF: | ||||
Class F, 4.557% 8/15/19 (a)(d) | 163,114 | 162,929 | ||
Class G, 4.607% 8/15/19 (a)(d) | 120,000 | 119,790 | ||
Class H, 4.627% 8/15/19 (a)(d) | 100,000 | 99,783 | ||
Class J, 4.697% 8/15/19 (a)(d) | 75,000 | 74,880 | ||
Class K, 4.887% 8/15/19 (a)(d) | 420,000 | 416,594 | ||
Series 2006-XLF: | ||||
Class C, 5.437% 7/15/19 (a)(d) | 570,000 | 552,900 | ||
Class D, 4.487% 7/15/19 (a)(d) | 1,345,000 | 1,287,924 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2006-XLF: | ||||
Class F, 4.557% 7/15/19 (a)(d) | $ 535,000 | $ 510,257 | ||
Class G, 4.597% 7/15/19 (a)(d) | 385,000 | 366,453 | ||
Series 2007-XCLA Class A1, 4.437% 7/17/17 (a)(d) | 1,082,272 | 946,988 | ||
Series 2007-XLFA: | ||||
Class B, 4.367% 10/15/20 (a)(d) | 440,000 | 424,600 | ||
Class C, 4.397% 10/15/20 (a)(d) | 330,000 | 291,171 | ||
Class D, 4.427% 10/15/20 (a)(d) | 265,000 | 231,341 | ||
Class E, 4.487% 10/15/20 (a)(d) | 330,000 | 279,351 | ||
Class F, 4.537% 10/15/20 (a)(d) | 195,000 | 165,106 | ||
Class G, 4.577% 10/15/20 (a)(d) | 245,000 | 218,050 | ||
Class H, 4.667% 10/15/20 (a)(d) | 155,000 | 133,300 | ||
Class J, 4.817% 10/15/20 (a)(d) | 175,000 | 148,750 | ||
Class MHRO, 4.927% 10/15/20 (a)(d) | 474,674 | 450,940 | ||
Class MJPM, 5.237% 10/15/20 (a)(d) | 148,139 | 118,511 | ||
Class MSTR, 4.937% 10/15/20 (a)(d) | 260,000 | 243,100 | ||
Class NHRO, 5.127% 10/15/20 (a)(d) | 730,268 | 693,754 | ||
Class NSTR, 5.087% 10/15/20 (a)(d) | 240,000 | 226,800 | ||
Series 2007-XLC1: | ||||
Class C, 4.8363% 7/17/17 (a)(d) | 895,813 | 725,608 | ||
Class D, 4.9363% 7/17/17 (a)(d) | 421,559 | 333,032 | ||
Class E, 5.0363% 7/17/17 (a)(d) | 340,490 | 262,177 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 4.2538% 3/24/18 (a)(d) | 208,843 | 198,401 | ||
Wachovia Bank Commercial Mortgage Trust floater Series 2006-WL7A: | ||||
Class F, 4.5763% 8/11/18 (a)(d) | 1,235,000 | 1,120,573 | ||
Class G, 4.5963% 8/11/18 (a)(d) | 1,170,000 | 1,071,266 | ||
Class J, 4.8363% 8/11/18 (a)(d) | 260,000 | 220,760 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $50,879,329) | 46,748,978 | |||
Fixed-Income Funds - 10.7% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (e) | 583,639 | 50,870,010 | |
Cash Equivalents - 22.0% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at 3%, dated 1/31/08 due 2/1/08 (Collateralized by U.S. Government Obligations) # | $ 104,847,737 | $ 104,839,000 | |
TOTAL INVESTMENT PORTFOLIO - 98.2% (Cost $519,523,049) | 467,256,265 | ||
NET OTHER ASSETS - 1.8% | 8,382,464 | ||
NET ASSETS - 100% | $ 475,638,729 | ||
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Eurodollar Contracts | |||||
124 Eurodollar 90 Day Index Contracts | March 2008 | $ 123,099,450 | $ 517,254 | ||
101 Eurodollar 90 Day Index Contracts | June 2008 | 100,371,275 | 434,835 | ||
72 Eurodollar 90 Day Index Contracts | Sept. 2008 | 71,559,900 | 346,662 | ||
9 Eurodollar 90 Day Index Contracts | Dec. 2008 | 8,942,288 | 27,077 | ||
10 Eurodollar 90 Day Index Contracts | March 2009 | 9,931,625 | 27,585 | ||
TOTAL EURODOLLAR CONTRACTS | $ 1,353,413 | ||||
Swap Agreements | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.3% and pay to Morgan Stanley, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11, Class M9, 7.7839% 11/25/34 (g) | Dec. 2034 | $ 125,737 | $ (36,505) | ||
Receive monthly notional amount multiplied by 2.7% and pay Lehman Brothers, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2006 WMC1, Class B3, 7.5% 12/25/35 (g) | Jan. 2036 | 600,000 | (502,155) | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 (g) | March 2034 | 183,497 | (57,601) | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (g) | Feb. 2034 | 82,257 | (68,631) | ||
Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.41% 5/25/35 (g) | June 2035 | 845,000 | (421,631) | ||
Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon credit event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35 (g) | March 2035 | 191,856 | (130,940) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon credit event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Sept. 2008 | $ 1,840,000 | $ (35,560) | ||
Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon credit event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Dec. 2008 | 1,750,000 | (43,379) | ||
$ 5,618,347 | $ (1,296,402) | ||||
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $87,304,929 or 18.4% of net assets. |
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $349,859. |
(c) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $1,505,969. |
(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(e) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request. |
(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 held as of the end of the period. |
(g) Security or a portion of the security backed by subprime mortgage loans. At period end, the value of these securities, exclusive of the value of credit default swaps, amounted to $63,221,086 or 13.3% of net assets. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$104,839,000 due 2/01/08 at 3.00% | |
BNP Paribas Securities Corp. | $ 10,884,940 |
Banc of America Securities LLC | 4,353,740 |
Barclays Capital, Inc. | 46,649,745 |
Bear Stearns & Co., Inc. | 13,300,738 |
Citigroup Global Markets, Inc. | 3,109,983 |
Dresdner Kleinwort Securities LLC | 1,554,991 |
ING Financial Markets LLC | 1,970,989 |
J.P. Morgan Securities, Inc. | 9,329,949 |
Societe Generale, New York Branch | 12,439,932 |
WestLB AG | 1,243,993 |
$ 104,839,000 | |
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 Ultra-Short Central Fund | $ 3,829,570 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales Proceeds | Value, | % ownership, end of |
Fidelity Ultra-Short Central Fund | $ 255,014,810 | $ - | $ 187,671,399 | $ 50,870,010 | 0.7% |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 85.5% |
United Kingdom | 10.8% |
Cayman Islands | 1.9% |
Others (individually less than 1%) | 1.8% |
100.0% |
Income Tax Information |
At July 31, 2007, the fund had a capital loss carryforward of approximately $2,436,121 of which $1,917,431 and $518,690 will expire on July 31, 2014 and 2015, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $104,839,000) - See accompanying schedule: Unaffiliated issuers (cost $461,438,655) | $ 416,386,255 | |
Fidelity Central Funds (cost $58,084,394) | 50,870,010 | |
Total Investments (cost $519,523,049) | $ 467,256,265 | |
Cash | 4,092 | |
Receivable for investments sold | 8,703,212 | |
Receivable for swap agreements | 4,649 | |
Receivable for fund shares sold | 1,051,844 | |
Interest receivable | 1,018,853 | |
Distributions receivable from Fidelity Central Funds | 260,993 | |
Receivable for daily variation on futures contracts | 51,088 | |
Other receivables | 119 | |
Total assets | 478,351,115 | |
Liabilities | ||
Payable for fund shares redeemed | 1,122,728 | |
Distributions payable | 105,086 | |
Swap agreements, at value | 1,296,402 | |
Accrued management fee | 129,648 | |
Distribution fees payable | 1,398 | |
Other affiliated payables | 57,124 | |
Total liabilities | 2,712,386 | |
Net Assets | $ 475,638,729 | |
Net Assets consist of: | ||
Paid in capital | $ 575,731,459 | |
Undistributed net investment income | 1,137,643 | |
Accumulated undistributed net realized gain (loss) on investments | (49,020,600) | |
Net unrealized appreciation (depreciation) on investments | (52,209,773) | |
Net Assets | $ 475,638,729 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
January 31, 2008 (Unaudited) | ||
Calculation of Maximum Offering Price | $ 8.84 | |
Maximum offering price per share (100/98.50 of $8.84) | $ 8.97 | |
Class T: | $ 8.84 | |
Maximum offering price per share (100/98.50 of $8.84) | $ 8.97 | |
Ultra-Short Bond: | $ 8.84 | |
Institutional Class: | $ 8.84 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended January 31, 2008 (Unaudited) | ||
Investment Income | ||
Interest | $ 16,404,898 | |
Income from Fidelity Central Funds | 3,829,570 | |
Total income | 20,234,468 | |
Expenses | ||
Management fee | $ 1,083,158 | |
Transfer agent fees | 349,693 | |
Distribution fees | 12,487 | |
Fund wide operations fee | 118,378 | |
Independent trustees' compensation | 1,607 | |
Miscellaneous | 1,154 | |
Total expenses before reductions | 1,566,477 | |
Expense reductions | (9,319) | 1,557,158 |
Net investment income | 18,677,310 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (26,286,749) | |
Fidelity Central Funds | (14,061,655) | |
Futures contracts | (35,578) | |
Swap agreements | (5,381,220) | |
Total net realized gain (loss) | (45,765,202) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (34,310,844) | |
Futures contracts | 1,476,043 | |
Swap agreements | 1,760,249 | |
Total change in net unrealized appreciation (depreciation) | (31,074,552) | |
Net gain (loss) | (76,839,754) | |
Net increase (decrease) in net assets resulting from operations | $ (58,162,444) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Six months ended January 31, 2008 (Unaudited) | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 18,677,310 | $ 51,627,290 |
Net realized gain (loss) | (45,765,202) | (1,037,412) |
Change in net unrealized appreciation (depreciation) | (31,074,552) | (20,635,029) |
Net increase (decrease) in net assets resulting | (58,162,444) | 29,954,849 |
Distributions to shareholders from net investment income | (18,079,504) | (51,625,727) |
Share transactions - net increase (decrease) | (449,633,707) | 161,604,013 |
Redemption fees | 48,387 | 39,619 |
Total increase (decrease) in net assets | (525,827,268) | 139,972,754 |
Net Assets | ||
Beginning of period | 1,001,465,997 | 861,493,243 |
End of period (including undistributed net investment income of $1,137,643 and undistributed net investment income of $539,837, respectively) | $ 475,638,729 | $ 1,001,465,997 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended January 31, 2008 | Years ended July 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 H | |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.04 |
Income from Investment Operations | |||||
Net investment income E | .245 | .493 | .400 | .223 | .013 |
Net realized and unrealized gain (loss) | (.994) | (.198) | (.009) | (.026) | .011 |
Total from investment operations | (.749) | .295 | .391 | .197 | .024 |
Distributions from net investment income | (.232) | (.495) | (.401) | (.214) | (.014) |
Distributions from net realized gain | - | - | - | (.003) | - |
Total distributions | (.232) | (.495) | (.401) | (.217) | (.014) |
Redemption fees added to paid in capital E | .001 | - J | - J | - J | - J |
Net asset value, end of period | $ 8.84 | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 |
Total Return B, C, D | (7.69)% | 2.97% | 3.97% | 1.98% | .24% |
Ratios to Average Net Assets F, I | |||||
Expenses before reductions | .66% A | .66% | .70% | .78% | .85% A |
Expenses net of fee waivers, if any | .66% A | .66% | .70% | .70% | .70% A |
Expenses net of all reductions | .65% A | .66% | .70% | .70% | .70% A |
Net investment income | 5.19% A | 4.96% | 4.00% | 2.23% | 1.11% A |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 8,227 | $ 13,735 | $ 4,553 | $ 2,557 | $ 316 |
Portfolio turnover rate G | 7% A | 29% | 39% | 33% | 53% |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended January 31, 2008 | Years ended July 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 H | |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.04 |
Income from Investment Operations | |||||
Net investment income E | .241 | .491 | .404 | .222 | .013 |
Net realized and unrealized gain (loss) | (.991) | (.199) | (.011) | (.025) | .010 |
Total from investment operations | (.750) | .292 | .393 | .197 | .023 |
Distributions from net investment income | (.231) | (.492) | (.403) | (.214) | (.013) |
Distributions from net realized gain | - | - | - | (.003) | - |
Total distributions | (.231) | (.492) | (.403) | (.217) | (.013) |
Redemption fees added to paid in capital E | .001 | - J | - J | - J | - J |
Net asset value, end of period | $ 8.84 | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 |
Total Return B, C, D | (7.70)% | 2.95% | 4.00% | 1.98% | .23% |
Ratios to Average Net Assets F, I | |||||
Expenses before reductions | .68% A | .69% | .68% | .77% | .86% A |
Expenses net of fee waivers, if any | .68% A | .69% | .68% | .70% | .70% A |
Expenses net of all reductions | .68% A | .69% | .68% | .70% | .70% A |
Net investment income | 5.17% A | 4.93% | 4.03% | 2.23% | 1.11% A |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 3,560 | $ 4,818 | $ 4,624 | $ 4,044 | $ 356 |
Portfolio turnover rate G | 7% A | 29% | 39% | 33% | 53% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Ultra-Short Bond
Six months ended January 31, 2008 | Years ended July 31, | |||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 G | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.02 | $ 10.00 |
Income from Investment | ||||||
Net investment income D | .254 | .516 | .427 | .241 | .122 | .137 |
Net realized and unrealized gain (loss) | (.983) | (.210) | (.011) | (.026) | .029 | .052 |
Total from investment operations | (.729) | .306 | .416 | .215 | .151 | .189 |
Distributions from net investment income | (.242) | (.516) | (.426) | (.232) | (.122) | (.173) |
Distributions from net realized gain | - | - | - | (.003) | - | - |
Total distributions | (.242) | (.516) | (.426) | (.235) | (.122) | (.173) |
Redemption fees added to paid in capital D | .001 | - I | - I | - I | .001 | .004 |
Net asset value, end of period | $ 8.84 | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.02 |
Total Return B, C | (7.49)% | 3.09% | 4.23% | 2.16% | 1.52% | 1.94% |
Ratios to Average Net Assets E, H | ||||||
Expenses before reductions | .45% A | .45% | .45% | .58% | .62% | .70% A |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .53% | .55% | .55% A |
Expenses net of all reductions | .44% A | .45% | .45% | .53% | .55% | .55% A |
Net investment income | 5.40% A | 5.17% | 4.26% | 2.41% | 1.21% | 1.50% A |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 462,110 | $ 974,602 | $ 850,329 | $ 906,644 | $ 580,174 | $ 225,203 |
Portfolio turnover rate F | 7% A | 29% | 39% | 33% | 53% | 39% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period August 29, 2002 (commencement of operations) to July 31, 2003.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended January 31, 2008 | Years ended July 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 G | |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.04 |
Income from Investment | |||||
Net investment income D | .258 | .510 | .420 | .240 | .015 |
Net realized and unrealized gain (loss) | (.988) | (.206) | (.008) | (.026) | .010 |
Total from investment operations | (.730) | .304 | .412 | .214 | .025 |
Distributions from net investment income | (.241) | (.514) | (.422) | (.231) | (.015) |
Distributions from net realized gain | - | - | - | (.003) | - |
Total distributions | (.241) | (.514) | (.422) | (.234) | (.015) |
Redemption fees added to paid in capital D | .001 | - I | - I | - I | - I |
Net asset value, end of period | $ 8.84 | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 |
Total Return B, C | (7.51)% | 3.06% | 4.19% | 2.15% | .25% |
Ratios to Average Net Assets E, H | |||||
Expenses before reductions | .47% A | .48% | .49% | .58% | .67% A |
Expenses net of fee waivers, if any | .47% A | .48% | .49% | .55% | .55% A |
Expenses net of all reductions | .47% A | .48% | .49% | .55% | .55% A |
Net investment income | 5.38% A | 5.14% | 4.22% | 2.38% | 1.26% A |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 1,742 | $ 8,312 | $ 1,987 | $ 509 | $ 376 |
Portfolio turnover rate F | 7% A | 29% | 39% | 33% | 53% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended January 31, 2008 (Unaudited)
1. Organization.
Fidelity Ultra-Short Bond Fund (the Fund) is a fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The Fund offers Class A, Class T, Ultra-Short Bond and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Semiannual Report
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment |
Fidelity Ultra-Short Central Fund | Fidelity Investments Money Management, Inc. (FIMM) | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Futures Repurchase Agreements Restricted Securities Swap Agreements |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
The Central Funds may have direct or indirect exposure to structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.
A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. A significant portion of the Fund's securities, including securities backed by subprime mortgage loans, are valued at period end by a single source or dealer.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. Factors used in the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. Effective with the beginning of the Fund's fiscal year, the Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, market discount, capital loss carryforwards and losses deferred due to excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 231,387 |
Unrealized depreciation | (52,434,496) |
Net unrealized appreciation (depreciation) | $ (52,203,109) |
Cost for federal income tax purposes | $ 519,459,374 |
Short-Term Trading (Redemption) Fees. Shares held in the Fund less than 60 days are subject to a redemption fee equal to .25% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Fund and accounted for as an addition to paid in capital.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Semiannual Report
4. Operating Policies - continued
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements".
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $2,202,148 and $432,156,242, respectively.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .15% | $ 9,238 | $ 3,291 |
Class T | 0% | .15% | 3,249 | 59 |
$ 12,487 | $ 3,350 |
Sales Load. FDC receives a front-end sales charge of up to 1.50% for selling Class A and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of a contingent deferred sales charges levied on Class A and Class T redemptions. These charges depend on the holding period. The deferred sales charges range from .75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class T | $ 336 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
6. Fees and Other Transactions with Affiliates- continued
Transfer Agent Fees - continued
shareholder reports, except proxy statements. Prior to January 1, 2008, Fidelity Service Company, Inc. (FSC), also an affiliate of FMR, was the transfer agent for Ultra-Short Bond. For the period, the total transfer agent fees paid by each class to were as follows:
Amount | % of | |
Class A | $ 9,813 | .16 |
Class T | 3,904 | .18 |
Ultra-Short Bond | 333,451 | .10 |
Institutional Class | 2,525 | .12 |
$ 349,693 |
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $1,154 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $6,606. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Ultra-Short Bond | $ 2,713 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
9. Credit Risk.
The Fund invests a significant portion of its assets in structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market's perception of credit quality on securities backed by subprime mortgage loans have resulted in increased volatility of market price and periods of illiquidity that have adversely impacted the valuation of certain issuers of the Fund.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 309,995 | $ 470,241 |
Class T | 108,843 | 210,443 |
Ultra-Short Bond | 17,553,676 | 50,639,843 |
Institutional Class | 106,990 | 305,200 |
Total | $ 18,079,504 | $ 51,625,727 |
Semiannual Report
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended January 31, | Year ended | Six months ended January 31, | Year ended | |
Class A | ||||
Shares sold | 552,123 | 1,247,732 | $ 5,086,452 | $ 12,475,671 |
Reinvestment of distributions | 16,862 | 37,250 | 155,418 | 371,847 |
Shares redeemed | (1,037,296) | (340,215) | (9,473,749) | (3,395,610) |
Net increase (decrease) | (468,311) | 944,767 | $ (4,231,879) | $ 9,451,908 |
Class T | ||||
Shares sold | 297,592 | 388,444 | $ 2,772,462 | $ 3,878,571 |
Reinvestment of distributions | 10,681 | 19,812 | 98,734 | 197,787 |
Shares redeemed | (396,372) | (378,796) | (3,707,319) | (3,788,237) |
Net increase (decrease) | (88,099) | 29,460 | $ (836,123) | $ 288,121 |
Ultra-Short Bond | ||||
Shares sold | 8,949,905 | 59,380,876 | $ 83,476,865 | $ 593,653,669 |
Reinvestment of distributions | 1,751,133 | 4,599,590 | 16,209,512 | 45,902,034 |
Shares redeemed | (57,718,177) | (49,556,665) | (538,161,858) | (494,187,803) |
Net increase (decrease) | (47,017,139) | 14,423,801 | $ (438,475,481) | $ 145,367,900 |
Institutional Class | ||||
Shares sold | 49,164 | 970,636 | $ 460,296 | $ 9,707,468 |
Reinvestment of distributions | 4,734 | 8,301 | 43,742 | 82,674 |
Shares redeemed | (703,797) | (330,344) | (6,594,262) | (3,294,058) |
Net increase (decrease) | (649,899) | 648,593 | $ (6,090,224) | $ 6,496,084 |
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments
Money Management, Inc.
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
Fidelity Research & Analysis Company
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®) (automated graphic) 1-800-544-5555
(automated graphic) Automated line for quickest service
ULB-USAN-0308
1.789738.104
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor
Ultra-Short Bond
Fund - Class A and Class T
Semiannual Report
January 31, 2008
Class A and Class T
are classes of
Fidelity® Ultra-Short Bond Fund
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Stocks got off to a poor start in 2008, while investment-grade bonds and money markets showed positive returns, once again underscoring the importance of a diversified portfolio. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2007 to January 31, 2008).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 923.10 | $ 3.19 |
HypotheticalA | $ 1,000.00 | $ 1,021.82 | $ 3.35 |
Class T | |||
Actual | $ 1,000.00 | $ 923.00 | $ 3.29 |
HypotheticalA | $ 1,000.00 | $ 1,021.72 | $ 3.46 |
Ultra-Short Bond | |||
Actual | $ 1,000.00 | $ 925.10 | $ 2.18 |
HypotheticalA | $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 924.90 | $ 2.27 |
HypotheticalA | $ 1,000.00 | $ 1,022.77 | $ 2.39 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annualized | |
Class A | .66% |
Class T | .68% |
Ultra-Short Bond | .45% |
Institutional Class | .47% |
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund. |
Quality Diversification (% of fund's net assets) | |||||||
As of January 31, 2008 * | As of July 31, 2007 ** | ||||||
| U.S. Government and | | U.S. Government and | ||||
| AAA 27.8% | | AAA 30.3% | ||||
| AA 13.2% | | AA 13.9% | ||||
| A 13.1% | | A 12.2% | ||||
| BBB 18.1% | | BBB 22.4% | ||||
| BB and Below 0.1% | | BB and Below 0.3% | ||||
| Not Rated 0.9% | | Not Rated 2.1% | ||||
| Short-Term | | Short-Term | ||||
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition. The information in the above table is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund. |
Weighted Average Maturity as of January 31, 2008 | ||
6 months ago | ||
Years | 1.6 | 2.0 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of January 31, 2008 | ||
6 months ago | ||
Years | 0.5 | 0.4 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of January 31, 2008 * | As of July 31, 2007 ** | ||||||
| Corporate Bonds 11.0% | | Corporate Bonds 15.8% | ||||
| U.S. Government and U.S. Government | | U.S. Government and | ||||
| Asset-Backed | | Asset-Backed | ||||
| CMOs and Other Mortgage Related Securities 29.6% | | CMOs and Other Mortgage Related Securities 26.0% | ||||
| Other Investments 0.0% | | Other Investments 0.1% | ||||
| Short-Term | | Short-Term | ||||
* Foreign | 14.5% | ** Foreign investments | 16.0% | ||||
* Futures and | 27.0% | ** Futures and Swaps | 16.6% | ||||
A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable. |
Semiannual Report
Investments January 31, 2008 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 9.7% | ||||
Principal Amount | Value | |||
CONSUMER DISCRETIONARY - 1.4% | ||||
Auto Components - 0.7% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.4613% 3/13/09 (d) | $ 1,685,000 | $ 1,676,824 | ||
5.5413% 3/13/09 (d) | 1,800,000 | 1,788,192 | ||
3,465,016 | ||||
Media - 0.7% | ||||
Continental Cablevision, Inc. 9% 9/1/08 | 1,100,000 | 1,122,146 | ||
Viacom, Inc. 5.3406% 6/16/09 (d) | 2,000,000 | 1,984,994 | ||
3,107,140 | ||||
TOTAL CONSUMER DISCRETIONARY | 6,572,156 | |||
CONSUMER STAPLES - 0.5% | ||||
Food & Staples Retailing - 0.5% | ||||
CVS Caremark Corp. 5.4238% 6/1/10 (d) | 2,200,000 | 2,149,173 | ||
ENERGY - 1.1% | ||||
Energy Equipment & Services - 0.5% | ||||
Transocean, Inc. 5.3406% 9/5/08 (d) | 2,400,000 | 2,391,934 | ||
Oil, Gas & Consumable Fuels - 0.6% | ||||
Anadarko Petroleum Corp.: | ||||
3.25% 5/1/08 | 850,000 | 848,731 | ||
5.3906% 9/15/09 (d) | 2,045,000 | 1,998,452 | ||
2,847,183 | ||||
TOTAL ENERGY | 5,239,117 | |||
FINANCIALS - 4.8% | ||||
Capital Markets - 0.9% | ||||
Bear Stearns Companies, Inc. 4.3263% 7/19/10 (d) | 2,000,000 | 1,831,254 | ||
Lehman Brothers Holdings E-Capital Trust I 5.685% 8/19/65 (d) | 1,205,000 | 951,651 | ||
Lehman Brothers Holdings, Inc. 5.17% 5/25/10 (d) | 1,500,000 | 1,446,792 | ||
4,229,697 | ||||
Commercial Banks - 1.5% | ||||
Barclays Bank PLC 5.23% 5/25/15 (d) | 825,000 | 804,818 | ||
DBS Bank Ltd. (Singapore) 5.0975% 5/16/17 (a)(d) | 2,000,000 | 1,890,000 | ||
HBOS plc 5.14% 2/6/14 (d) | 305,000 | 299,509 | ||
HSBC Holdings PLC 4.8463% 10/6/16 (d) | 500,000 | 479,452 | ||
ING Bank NV 4.6269% 10/14/14 (d) | 440,000 | 428,710 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Manufacturers & Traders Trust Co. 3.85% 4/1/13 (a)(d) | $ 520,000 | $ 520,185 | ||
PNC Funding Corp. 3.3838% 1/31/12 (d) | 2,400,000 | 2,330,695 | ||
Sovereign Bank 4.375% 8/1/13 (b)(d) | 500,000 | 499,799 | ||
7,253,168 | ||||
Consumer Finance - 1.1% | ||||
Capital One Financial Corp. 5.4263% 9/10/09 (d) | 2,260,000 | 2,107,798 | ||
MBNA Capital I 8.278% 12/1/26 | 810,000 | 843,080 | ||
SLM Corp. 3.9444% 4/18/08 (a)(d) | 2,500,000 | 2,482,055 | ||
5,432,933 | ||||
Real Estate Investment Trusts - 0.4% | ||||
iStar Financial, Inc. 5.4963% 3/9/10 (d) | 2,000,000 | 1,780,628 | ||
Thrifts & Mortgage Finance - 0.9% | ||||
Capmark Financial Group, Inc. 5.5294% 5/10/10 (a)(d) | 2,000,000 | 1,561,240 | ||
Independence Community Bank Corp. 3.5% 6/20/13 (d) | 735,000 | 730,629 | ||
Washington Mutual, Inc. 5.17% 8/24/09 (d) | 2,250,000 | 2,070,257 | ||
4,362,126 | ||||
TOTAL FINANCIALS | 23,058,552 | |||
INFORMATION TECHNOLOGY - 0.4% | ||||
Semiconductors & Semiconductor Equipment - 0.4% | ||||
National Semiconductor Corp. 5.2406% 6/15/10 (d) | 1,710,000 | 1,661,528 | ||
TELECOMMUNICATION SERVICES - 0.7% | ||||
Diversified Telecommunication Services - 0.7% | ||||
Telecom Italia Capital SA 4.5613% 7/18/11 (d) | 2,750,000 | 2,637,696 | ||
Telefonos de Mexico SA de CV 4.5% 11/19/08 | 695,000 | 694,166 | ||
3,331,862 | ||||
UTILITIES - 0.8% | ||||
Electric Utilities - 0.2% | ||||
Commonwealth Edison Co. 3.7% 2/1/08 | 1,125,000 | 1,125,000 | ||
Gas Utilities - 0.2% | ||||
NiSource Finance Corp. 5.585% 11/23/09 (d) | 845,000 | 824,367 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
UTILITIES - continued | ||||
Multi-Utilities - 0.4% | ||||
Sempra Energy 4.75% 5/15/09 | $ 2,000,000 | $ 2,025,442 | ||
TOTAL UTILITIES | 3,974,809 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $47,967,566) | 45,987,197 | |||
Asset-Backed Securities - 28.4% | ||||
Accredited Mortgage Loan Trust: | ||||
Series 2004-2 Class A2, 3.6763% 7/25/34 (d)(g) | 223,892 | 202,734 | ||
Series 2004-4 Class A2D, 3.7263% 1/25/35 (d)(g) | 75,094 | 68,430 | ||
Series 2005-1 Class M1, 3.8463% 4/25/35 (d)(g) | 1,545,000 | 1,385,239 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE1: | ||||
Class M1, 4.0263% 11/25/33 (d)(g) | 113,099 | 98,588 | ||
Class M2, 5.0763% 11/25/33 (d)(g) | 41,062 | 37,964 | ||
Series 2003-HS1: | ||||
Class M1, 4.1263% 6/25/33 (d)(g) | 14,560 | 13,413 | ||
Class M2, 5.1263% 6/25/33 (d)(g) | 50,000 | 45,869 | ||
Series 2003-NC1 Class M1, 4.1563% 7/25/33 (d)(g) | 100,000 | 88,980 | ||
Series 2004-HE1 Class M1, 3.8763% 2/25/34 (d)(g) | 75,299 | 66,263 | ||
Series 2005-HE2 Class M3, 3.8563% 4/25/35 (d)(g) | 145,000 | 125,415 | ||
Series 2005-SD1 Class A1, 3.7763% 11/25/50 (d)(g) | 56,328 | 51,707 | ||
Series 2006-HE2: | ||||
Class A2C, 3.5363% 5/25/36 (d)(g) | 995,000 | 889,126 | ||
Class M3, 3.7163% 5/25/36 (d)(g) | 240,000 | 80,064 | ||
Class M4, 3.7763% 5/25/36 (d)(g) | 200,000 | 50,000 | ||
Class M5, 3.8163% 5/25/36 (d)(g) | 295,000 | 32,539 | ||
Advanta Business Card Master Trust: | ||||
Series 2004-C1 Class C, 4.9844% 9/20/13 (d) | 340,000 | 298,792 | ||
Series 2006-C1 Class C1, 4.4144% 10/20/14 (d) | 490,000 | 362,159 | ||
Series 2007-B1 Class B, 4.1844% 12/22/14 (d) | 1,725,000 | 1,367,580 | ||
Aesop Funding II LLC Series 2005-1A Class A2, 3.9944% 4/20/09 (a)(d) | 600,000 | 600,146 | ||
American Express Credit Account Master Trust | 310,739 | 310,319 | ||
AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10 | 2,500,000 | 2,510,158 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2003-1 Class M1, 4.7263% 2/25/33 (d)(g) | 449,680 | 411,228 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Ameriquest Mortgage Securities, Inc.: - continued | ||||
Series 2004-R11 Class M1, 4.0363% 11/25/34 (d)(g) | $ 560,000 | $ 505,764 | ||
Series 2004-R2: | ||||
Class M1, 3.8063% 4/25/34 (d)(g) | 85,000 | 79,509 | ||
Class M2, 3.8563% 4/25/34 (d)(g) | 75,000 | 70,539 | ||
Series 2004-R8 Class M9, 6.1263% 9/25/34 (d)(g) | 517,479 | 265,208 | ||
Series 2004-R9 Class M2, 4.0263% 10/25/34 (d)(g) | 720,000 | 636,018 | ||
Series 2005-R1: | ||||
Class M1, 3.8263% 3/25/35 (d)(g) | 770,000 | 695,044 | ||
Class M2, 3.8563% 3/25/35 (d)(g) | 260,000 | 231,497 | ||
Series 2005-R2 Class M1, 3.8263% 4/25/35 (d)(g) | 1,700,000 | 1,519,654 | ||
Series 2006-M3: | ||||
Class M7, 4.2263% 10/25/36 (d)(g) | 705,000 | 42,009 | ||
Class M9, 5.3763% 10/25/36 (d)(g) | 450,000 | 28,225 | ||
Amortizing Residential Collateral Trust Series 2002-BC1 Class M2, 4.4763% 1/25/32 (d)(g) | 20,448 | 4,102 | ||
ARG Funding Corp.: | ||||
Series 2005-1A Class A2, 4.0344% 4/20/09 (a)(d) | 750,000 | 749,551 | ||
Series 2005-2A Class A2, 4.0444% 5/20/09 (a)(d) | 533,333 | 533,011 | ||
Argent Securities, Inc.: | ||||
Series 2003-W3 Class M2, 6.665% 9/25/33 (d)(g) | 659,285 | 544,748 | ||
Series 2004-W5 Class M1, 3.9763% 4/25/34 (d)(g) | 1,420,000 | 1,253,600 | ||
Series 2004-W7: | ||||
Class M1, 3.9263% 5/25/34 (d)(g) | 305,000 | 265,774 | ||
Class M2, 3.9763% 5/25/34 (d)(g) | 250,000 | 221,008 | ||
Series 2006-W4: | ||||
Class A2C, 3.5363% 5/25/36 (d)(g) | 1,200,000 | 1,018,313 | ||
Class M3, 3.7163% 5/25/36 (d)(g) | 1,010,000 | 340,749 | ||
Arran Funding Ltd. Series 2005-A Class C, 4.5563% 12/15/10 (d) | 3,235,000 | 3,142,479 | ||
Asset Backed Funding Corp. Series 2006-OPT2 Class C7, 3.5263% 10/25/36 (d)(g) | 780,000 | 667,753 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE2 Class M1, 5.5863% 4/15/33 (d)(g) | 1,043,615 | 954,699 | ||
Series 2003-HE6 Class M1, 4.0263% 11/25/33 (d) (g) | 215,000 | 190,130 | ||
Series 2004-HE6 Class A2, 3.7363% 6/25/34 (d)(g) | 261,521 | 248,078 | ||
Series 2005-HE1 Class M1, 3.8763% 3/25/35 (d)(g) | 502,052 | 409,442 | ||
Series 2005-HE2: | ||||
Class M1, 3.8263% 3/25/35 (d)(g) | 1,006,478 | 885,700 | ||
Class M2, 3.8763% 3/25/35 (d)(g) | 275,000 | 248,805 | ||
Bank of America Credit Card Master Trust Series 2007-C2 Class C2, 4.5063% 9/17/12 (d) | 1,145,000 | 1,075,744 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Bank One Issuance Trust Series 2004-C1 Class C1, 4.7363% 11/15/11 (d) | $ 25,000 | $ 24,402 | ||
Bayview Financial Acquisition Trust Series 2004-C Class A1, 3.915% 5/28/44 (d)(g) | 306,389 | 288,149 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.96% 2/28/44 (d)(g) | 155,751 | 144,653 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2004-BO1: | ||||
Class M2, 4.1263% 9/25/34 (d)(g) | 390,000 | 265,969 | ||
Class M3, 4.4263% 9/25/34 (d)(g) | 265,000 | 167,262 | ||
Class M4, 4.5763% 9/25/34 (d)(g) | 225,000 | 118,031 | ||
Series 2004-HE9 Class M2, 4.5763% 11/25/34 (d) (g) | 490,000 | 389,893 | ||
Series 2005-HE2: | ||||
Class M1, 3.8763% 2/25/35 (d)(g) | 596,721 | 497,077 | ||
Class M2, 4.1263% 2/25/35 (d)(g) | 330,000 | 227,700 | ||
Capital Auto Receivables Asset Trust Series 2005-1 Class B, 4.6113% 6/15/10 (d) | 850,000 | 847,211 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2003-B6 Class B6, 4.7663% 9/15/11 (d) | 1,125,000 | 1,116,777 | ||
Series 2004-B1 Class B1, 4.6763% 11/15/11 (d) | 1,180,000 | 1,165,440 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 4.3844% 7/20/39 (a)(d) | 265,000 | 212,000 | ||
Class B, 4.6844% 7/20/39 (a)(d) | 140,000 | 105,000 | ||
Class C, 5.0344% 7/20/39 (a)(d) | 180,000 | 108,000 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1: | ||||
Class M7, 4.3263% 7/25/36 (d)(g) | 445,000 | 44,500 | ||
Class M9, 5.2763% 7/25/36 (d)(g) | 285,000 | 25,559 | ||
Series 2006-NC3 Class M10, 5.3763% 8/25/36 (a)(d)(g) | 125,000 | 16,250 | ||
Series 2007-RFC1 Class A3, 3.5163% 12/25/36 (d) (g) | 1,000,000 | 791,875 | ||
CDC Mortgage Capital Trust Series 2003-HE3 Class M1, 4.0763% 11/25/33 (d) (g) | 91,792 | 65,228 | ||
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 5.1288% 5/20/17 (a)(d) | 402,745 | 367,222 | ||
Chase Issuance Trust Series 2004-C3 Class C3, 4.7063% 6/15/12 (d) | 1,645,000 | 1,588,197 | ||
CIT Equipment Collateral Trust Series 2005-VT1: | ||||
Class C, 4.18% 11/20/12 | 167,331 | 167,292 | ||
Class D, 4.51% 11/20/12 | 209,796 | 209,626 | ||
Countrywide Home Loan Trust Series 2006-13N Class N, 7% 8/25/37 (a) (g) | 213,182 | 44,768 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2002-6 Class AV1, 3.8063% 5/25/33 (d) (g) | 19,052 | 17,903 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Countrywide Home Loans, Inc.: - continued | ||||
Series 2003-BC1 Class M2, 7.0553% 9/25/32 (d) (g) | $ 186,791 | $ 176,880 | ||
Series 2004-2 Class M1, 3.8763% 5/25/34 (d) (g) | 375,000 | 329,968 | ||
Series 2004-3: | ||||
Class 3A4, 3.6263% 8/25/34 (d) (g) | 1,273,720 | 1,167,046 | ||
Class M1, 3.8763% 6/25/34 (d) (g) | 100,000 | 88,566 | ||
Series 2004-4 Class M2, 3.9063% 6/25/34 (d) (g) | 276,165 | 230,872 | ||
Series 2005-1: | ||||
Class 1AV2, 3.5763% 7/25/35 (d) (g) | 187,009 | 174,503 | ||
Class MV1, 3.7763% 7/25/35 (d) (g) | 435,000 | 414,451 | ||
Class MV2, 3.8163% 7/25/35 (d) (g) | 525,000 | 496,943 | ||
Series 2005-AB1 Class A2, 3.5863% 8/25/35 (d) (g) | 1,017,367 | 975,559 | ||
CPS Auto Receivables Trust: | ||||
Series 2006-B Class A2, 5.71% 6/15/16 (a) | 412,489 | 412,811 | ||
Series 2006-C Class A2, 5.31% 3/15/10 (a) | 628,173 | 622,017 | ||
Discover Card Master Trust I: | ||||
Series 2003-4 Class B1, 4.5663% 5/16/11 (d) | 550,000 | 544,246 | ||
Series 2005-1 Class B, 4.3863% 9/16/10 (d) | 1,580,000 | 1,579,897 | ||
Series 2005-3 Class B, 4.4263% 5/15/11 (d) | 1,000,000 | 988,153 | ||
Series 2006-2 Class B1, 5.1475% 1/17/12 (d) | 2,000,000 | 1,949,160 | ||
DriveTime Auto Owner Trust Series 2006-B Class A2, 5.32% 3/15/10 (a) | 613,764 | 610,119 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5: | ||||
Class AB1, 5.0331% 5/28/35 (d) | 80,751 | 78,707 | ||
Class AB3, 3.677% 5/28/35 (d) | 32,052 | 30,661 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 4.8263% 8/25/34 (d) (g) | 1,500,000 | 1,226,622 | ||
Series 2006-2: | ||||
Class 2A2, 3.5463% 7/25/36 (d) (g) | 880,000 | 750,475 | ||
Class M1, 3.6863% 7/25/36 (d) (g) | 1,765,000 | 762,815 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2: | ||||
Class M3, 4.2013% 3/25/34 (d) (g) | 23,998 | 19,880 | ||
Class M4, 4.7263% 3/25/34 (d) (g) | 4,728 | 4,177 | ||
Series 2004-FF8 Class M3, 4.3263% 10/25/34 (d) (g) | 1,760,000 | 1,442,785 | ||
Series 2006-FF14 Class A5, 3.5363% 10/25/36 (d) (g) | 990,000 | 756,731 | ||
Series 2007-FF1 Class M1, 3.6063% 1/25/38 (d) (g) | 375,000 | 141,563 | ||
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (a) | 440,703 | 436,326 | ||
Ford Credit Floorplan Master Owner Trust: | ||||
Series 2005-1 Class B, 4.6763% 5/15/10 (d) | 1,110,000 | 1,110,213 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Ford Credit Floorplan Master Owner Trust: - continued | ||||
Series 2006-3: | ||||
Class A, 4.4163% 6/15/11 (d) | $ 990,000 | $ 970,132 | ||
Class B, 4.6863% 6/15/11 (d) | 1,405,000 | 1,362,995 | ||
Fosse Master Issuer PLC Series 2007-1A Class C2, 4.5013% 10/18/54 (a)(d) | 460,000 | 416,912 | ||
Franklin Auto Trust Series 2006-1 Class A2, 5.2% 10/20/09 | 52,852 | 52,913 | ||
Fremont Home Loan Trust: | ||||
Series 2003-B Class M6, 7.8763% 12/25/33 (d) (g) | 196,854 | 94,370 | ||
Series 2004-B Class M1, 3.9563% 5/25/34 (d) (g) | 205,000 | 183,045 | ||
Series 2004-C Class M1, 4.0263% 8/25/34 (d) (g) | 540,000 | 473,278 | ||
Series 2005-A: | ||||
Class M1, 3.8063% 1/25/35 (d) (g) | 225,000 | 207,374 | ||
Class M2, 3.8363% 1/25/35 (d) (g) | 325,000 | 306,220 | ||
Class M3, 3.8663% 1/25/35 (d) (g) | 175,000 | 161,855 | ||
Class M4, 4.0563% 1/25/35 (d) (g) | 125,000 | 109,833 | ||
Series 2006-A: | ||||
Class M3, 3.7563% 5/25/36 (d) (g) | 455,000 | 107,016 | ||
Class M4, 3.7763% 5/25/36 (d) (g) | 685,000 | 63,568 | ||
Class M5, 3.8763% 5/25/36 (d) (g) | 365,000 | 21,743 | ||
GCO Education Loan Funding Master Trust II | 960,000 | 970,724 | ||
GE Business Loan Trust Series 2003-1 Class A, 4.6663% 4/15/31 (a)(d) | 146,130 | 142,477 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2005-2 Class B, 4.4363% 6/15/11 (d) | 925,000 | 923,813 | ||
Series 2006-1: | ||||
Class B, 4.3463% 9/17/12 (d) | 585,000 | 568,381 | ||
Class C, 4.4763% 9/17/12 (d) | 455,000 | 436,134 | ||
GE Equipment Midticket LLC Series 2006-1 Class A2, 5.1% 5/15/09 | 376,911 | 377,624 | ||
Gracechurch Card Funding PLC: | ||||
Series 11 Class C, 4.5163% 11/15/10 (d) | 2,490,000 | 2,398,717 | ||
Series 8 Class C, 4.5663% 6/15/10 (d) | 2,650,000 | 2,604,129 | ||
Series 9: | ||||
Class B, 4.3863% 9/15/10 (d) | 485,000 | 474,999 | ||
Class C, 4.5463% 9/15/10 (d) | 1,800,000 | 1,748,304 | ||
GSAMP Trust: | ||||
Series 2002-NC1 Class A2, 4.0163% 7/25/32 (d) (g) | 2,606 | 1,924 | ||
Series 2003-FM1 Class M1, 5.1644% 3/20/33 (d) (g) | 490,778 | 434,343 | ||
Series 2004-FM1: | ||||
Class M1, 4.3513% 11/25/33 (d) (g) | 168,544 | 148,354 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
GSAMP Trust: - continued | ||||
Series 2004-FM1: | ||||
Class M2, 5.4763% 11/25/33 (d) (g) | $ 54,212 | $ 49,399 | ||
Series 2004-FM2 Class M1, 4.1263% 1/25/34 (d) (g) | 203,702 | 181,597 | ||
Series 2004-HE1: | ||||
Class M1, 3.9263% 5/25/34 (d) (g) | 289,483 | 251,574 | ||
Class M2, 4.5263% 5/25/34 (d) (g) | 140,799 | 120,895 | ||
Series 2006-HE5 Class M7, 4.2063% 8/25/36 (d) (g) | 1,495,000 | 152,128 | ||
Series 2006-NC2 Class M4, 3.7263% 6/25/36 (d) (g) | 1,541,000 | 203,874 | ||
Series 2007-HE1 Class M1, 3.6263% 3/25/47 (d) (g) | 335,000 | 141,437 | ||
Series 2007-NC1 Class M7, 4.3263% 12/25/46 (d) (g) | 3,390,000 | 253,384 | ||
GSR Mortgage Loan Trust: | ||||
Series 2005-6 Class A2, 3.5863% 6/25/35 (d) | 1,800,000 | 1,765,453 | ||
Series 2005-9 Class 2A1, 3.4963% 8/25/35 (d) | 224,000 | 223,889 | ||
Series 2005-HE2 Class M, 3.8063% 3/25/35 (d) (g) | 1,207,506 | 1,056,937 | ||
Series 2005-MTR1 Class A1, 3.5163% 10/25/35 (d) | 486,906 | 483,703 | ||
Series 2005-NC1 Class M1, 3.8263% 2/25/35 (d) (g) | 1,162,823 | 1,004,960 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 4.4563% 5/25/30 (a) (d) | 650,741 | 501,070 | ||
Series 2006-3: | ||||
Class B, 3.7763% 9/25/46 (a)(d) | 450,000 | 387,000 | ||
Class C, 3.9263% 9/25/46 (a)(d) | 1,150,000 | 920,000 | ||
Holmes Master Issuer PLC Series 2007-2A Class 1C, 4.4875% 7/15/40 (d) | 1,640,000 | 1,599,000 | ||
Home Equity Asset Trust: | ||||
Series 2002-3 Class A5, 4.2563% 2/25/33 (d) (g) | 14 | 14 | ||
Series 2003-1 Class M1, 4.8763% 6/25/33 (d) (g) | 524,845 | 481,447 | ||
Series 2003-3 Class M1, 4.6663% 8/25/33 (d) (g) | 320,568 | 293,543 | ||
Series 2003-4 Class M1, 4.5763% 10/25/33 (d) (g) | 96,601 | 75,349 | ||
Series 2003-5: | ||||
Class A2, 3.7263% 12/25/33 (d) (g) | 10,566 | 7,436 | ||
Class M1, 4.0763% 12/25/33 (d) (g) | 154,784 | 144,124 | ||
Class M2, 5.1063% 12/25/33 (d) (g) | 13,397 | 11,511 | ||
Series 2003-7: | ||||
Class A2, 3.7563% 3/25/34 (d)(g) | 2,079 | 2,080 | ||
Class M1, 4.0263% 3/25/34 (d)(g) | 795,000 | 689,964 | ||
Series 2003-8 Class M1, 4.4563% 4/25/34 (d) (g) | 192,210 | 165,598 | ||
Series 2005-1 Class M1, 3.8063% 5/25/35 (d) (g) | 1,270,000 | 1,183,012 | ||
Series 2005-2: | ||||
Class 2A2, 3.5763% 7/25/35 (d) (g) | 13,151 | 12,944 | ||
Class M1, 3.8263% 7/25/35 (d) (g) | 890,000 | 741,692 | ||
Series 2007-3 Class 2A3, 3.6163% 8/25/37 (d) (g) | 2,015,000 | 1,568,553 | ||
Household Home Equity Loan Trust Series 2004-1 Class M, 4.4788% 9/20/33 (d) (g) | 85,127 | 82,772 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 4.4188% 1/20/35 (d) (g) | $ 160,927 | $ 143,147 | ||
Class M2, 4.4488% 1/20/35 (d) (g) | 119,801 | 104,374 | ||
Series 2005-3: | ||||
Class A1, 4.2188% 1/20/35 (d) (g) | 368,443 | 337,702 | ||
Class M1, 4.3788% 1/20/35 (d) (g) | 216,353 | 192,920 | ||
Series 2006-2: | ||||
Class M1, 4.5063% 3/20/36 (d) (g) | 540,113 | 292,093 | ||
Class M2, 4.5263% 3/20/36 (d) (g) | 891,667 | 456,177 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class M1, 3.6763% 1/25/37 (d) (g) | 1,025,000 | 494,050 | ||
IXIS Real Estate Capital Trust Series 2005-HE1 Class M1, 3.8463% 6/25/35 (d) (g) | 492,536 | 430,336 | ||
Keycorp Student Loan Trust Series 1999-A Class A2, 5.53% 12/27/09 (d) | 163,207 | 163,965 | ||
Long Beach Auto Receivables Trust Series 2006-B Class A2, 5.34% 11/15/09 | 276,876 | 277,025 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-2 Class M1, 4.6063% 6/25/33 (d) (g) | 423,002 | 384,786 | ||
Series 2003-3 Class M1, 4.1263% 7/25/33 (d) (g) | 337,423 | 253,068 | ||
Series 2005-1 Class M2, 3.9063% 2/25/35 (d) (g) | 1,410,000 | 1,267,452 | ||
Series 2005-WL1 Class M2, 3.9263% 6/25/35 (d) (g) | 660,000 | 583,440 | ||
Series 2006-6 Class M4, 3.7363% 7/25/36 (d) (g) | 425,000 | 27,625 | ||
Series 2006-7 Class M10, 5.8763% 8/25/36 (d) (g) | 675,000 | 44,900 | ||
MASTR Asset Backed Securities Trust Series 2004-HE1 Class M1, 4.0263% 9/25/34 (d) (g) | 685,000 | 614,859 | ||
MBNA Credit Card Master Note Trust Series 2003-B2 Class B2, 4.6263% 10/15/10 (d) | 125,000 | 125,100 | ||
MBNA Master Credit Card Trust II Series 1998-E Class B, 5.5725% 9/15/10 (d) | 200,000 | 200,485 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M2, 4.2013% 7/25/34 (d) (g) | 3,764 | 2,237 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2004-FM1 Class M2, 4.5263% 1/25/35 (d) (g) | 51,018 | 45,111 | ||
Series 2004-HE2 Class A1B, 3.8463% 8/25/35 (d) (g) | 39,863 | 34,968 | ||
Series 2006-FM1 Class A2B, 3.4863% 4/25/37 (d) (g) | 1,055,000 | 994,502 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2002-HE3 Class M1, 5.0263% 12/27/32 (d) (g) | 94,285 | 86,725 | ||
Series 2003-NC10 Class M1, 4.3963% 10/25/33 (d) (g) | 792,708 | 704,205 | ||
Series 2003-NC8 Class M1, 4.4263% 9/25/33 (d) (g) | 119,992 | 107,573 | ||
Series 2004-HE6 Class A2, 3.7163% 8/25/34 (d) (g) | 65,756 | 59,476 | ||
Series 2004-NC2 Class M1, 3.9263% 12/25/33 (d) (g) | 347,703 | 299,220 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Morgan Stanley ABS Capital I Trust: - continued | ||||
Series 2005-1 Class M2, 3.8463% 12/25/34 (d) (g) | $ 570,000 | $ 512,787 | ||
Series 2005-HE1: | ||||
Class M1, 3.8263% 12/25/34 (d) (g) | 150,000 | 124,853 | ||
Class M2, 3.8463% 12/25/34 (d) (g) | 385,000 | 331,226 | ||
Series 2005-HE2: | ||||
Class M1, 3.7763% 1/25/35 (d) (g) | 370,000 | 309,283 | ||
Class M2, 3.8163% 1/25/35 (d) (g) | 265,000 | 231,489 | ||
Series 2005-NC1: | ||||
Class M1, 3.8163% 1/25/35 (d) (g) | 325,000 | 272,929 | ||
Class M2, 3.8463% 1/25/35 (d) (g) | 325,000 | 283,951 | ||
Class M3, 3.8863% 1/25/35 (d) (g) | 325,000 | 281,750 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC1 Class M2, 4.9813% 10/25/31 (d) (g) | 7,003 | 5,791 | ||
Series 2001-NC4 Class M1, 4.8763% 1/25/32 (d) (g) | 11,106 | 10,529 | ||
Series 2002-AM3 Class A3, 4.3563% 2/25/33 (d) (g) | 14,114 | 11,918 | ||
Series 2002-NC3 Class M1, 4.4563% 8/25/32 (d) (g) | 92,830 | 85,118 | ||
Navistar Financial Dealer Note Master Trust Series 2005-1 Class A, 3.4863% 2/25/13 (d) | 2,050,000 | 1,982,956 | ||
New Century Home Equity Loan Trust Series 2005-1: | ||||
Class M1, 3.8263% 3/25/35 (d) (g) | 595,000 | 490,059 | ||
Class M2, 3.8563% 3/25/35 (d) (g) | 595,000 | 516,429 | ||
Class M3, 3.8963% 3/25/35 (d) (g) | 290,000 | 250,945 | ||
Nomura Home Equity Loan Trust Series 2006-HE3: | ||||
Class M7, 4.1763% 7/25/36 (d) (g) | 485,000 | 42,283 | ||
Class M8, 4.3263% 7/25/36 (d) (g) | 340,000 | 22,361 | ||
Class M9, 5.2263% 7/25/36 (d) (g) | 490,000 | 29,792 | ||
NovaStar Mortgage Funding Trust: | ||||
Series 2003-3 Class A3, 3.8263% 12/25/33 (d) (g) | 41,604 | 36,986 | ||
Series 2007-1 Class A2C, 3.5563% 3/25/37 (d) (g) | 805,000 | 631,120 | ||
Ocala Funding LLC Series 2006-1A Class A, 5.3344% 3/20/11 (a) (d) | 965,000 | 778,031 | ||
Option One Mortgage Loan Trust Series 2003-6 Class M1, 4.0263% 11/25/33 (d) (g) | 960,358 | 835,031 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M1, 4.0063% 9/25/34 (d) (g) | 815,000 | 781,912 | ||
Class M2, 4.0563% 9/25/34 (d) (g) | 160,000 | 138,215 | ||
Class M3, 4.6263% 9/25/34 (d) (g) | 310,000 | 252,733 | ||
Class M4, 4.8263% 9/25/34 (d) (g) | 435,000 | 176,610 | ||
Series 2004-WWF1: | ||||
Class A5, 3.8463% 1/25/35 (d) (g) | 3 | 2 | ||
Class M4, 4.4763% 1/25/35 (d) (g) | 945,000 | 838,627 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Park Place Securities, Inc.: - continued | ||||
Series 2005-WCH1: | ||||
Class M2, 3.8963% 1/25/35 (d) (g) | $ 1,130,000 | $ 997,564 | ||
Class M3, 3.9363% 1/25/35 (d) (g) | 425,000 | 366,520 | ||
Class M5, 4.2563% 1/25/35 (d) (g) | 400,000 | 315,418 | ||
Series 2005-WHQ1 Class M7, 4.6263% 3/25/35 (d) (g) | 910,000 | 341,182 | ||
Providian Master Note Trust: | ||||
Series 2005-2 Class C2, 4.7363% 11/15/12 (a) (d) | 2,160,000 | 2,026,253 | ||
Series 2006-C1A Class C1, 5.5775% 3/16/15 (a) (d) | 2,465,000 | 2,038,536 | ||
Residential Asset Mortgage Products, Inc.: | ||||
Series 2004-RS6 Class 2M3, 4.8263% 6/25/34 (d) (g) | 77,554 | 31,797 | ||
Series 2005-SP2 Class 1A1, 3.5263% 5/25/44 (d) (g) | 22,908 | 22,530 | ||
Series 2007-RZ1 Class A2, 3.5363% 2/25/37 (d) | 1,200,000 | 1,018,452 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 4.1763% 4/25/33 (d) (g) | 1,451 | 1,308 | ||
Saxon Asset Securities Trust: | ||||
Series 2004-1 Class M1, 4.1713% 3/25/35 (d) (g) | 640,000 | 563,833 | ||
Series 2007-1 Class A2C, 3.5263% 2/25/37 (d) (g) | 1,000,000 | 836,719 | ||
Sierra Timeshare Receivables Fund LLC Series 2006-1A Class A2, 4.0844% 5/20/18 (a) (d) | 1,679,015 | 1,590,244 | ||
Sovereign Dealer Floor Plan Master LLC Series 2006-1: | ||||
Class B, 4.4163% 8/15/11 (a) (d) | 1,140,000 | 1,079,911 | ||
Class C, 4.6163% 8/15/11 (a) (d) | 520,000 | 484,879 | ||
Specialty Underwriting & Residential Finance Trust: | ||||
Series 2003-BC3 Class M1, 4.0263% 8/25/34 (d) (g) | 1,000,000 | 944,000 | ||
Series 2003-BC4 Class M1, 3.9763% 11/25/34 (d) (g) | 260,000 | 223,365 | ||
Structured Asset Corp. Trust Series 2006-BC6 Class A4, 3.5463% 1/25/37 (d) (g) | 1,215,000 | 974,278 | ||
Structured Asset Investment Loan Trust: | ||||
Series 2003-BC9 Class M1, 4.0763% 8/25/33 (d) (g) | 1,135,000 | 1,060,493 | ||
Series 2004-8 Class M5, 4.5263% 9/25/34 (d) (g) | 290,000 | 260,710 | ||
Series 2005-1 Class M4, 4.1363% 2/25/35 (a) (d) (g) | 485,000 | 363,006 | ||
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 3.7363% 2/25/34 (d) (g) | 25,222 | 20,304 | ||
Superior Wholesale Inventory Financing Trust: | ||||
Series 2004-A10: | ||||
Class A, 4.3363% 9/15/11 (d) | 2,735,000 | 2,649,665 | ||
Class B, 4.5163% 9/15/11 (d) | 1,625,000 | 1,381,250 | ||
Series 2007-AE1: | ||||
Class A, 5.1275% 1/15/12 (d) | 400,000 | 385,838 | ||
Class B, 5.3275% 1/15/12 (d) | 335,000 | 321,313 | ||
Class C, 5.6275% 1/15/12 (d) | 420,000 | 294,000 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 4.6863% 3/15/11 (a) (d) | $ 675,000 | $ 656,223 | ||
Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 5.4363% 6/15/10 (d) | 980,000 | 907,724 | ||
Swift Master Auto Receivables Trust Series 2007-1: | ||||
Class A, 5.1275% 6/15/12 (d) | 1,015,000 | 998,243 | ||
Class B, 5.2475% 6/15/12 (d) | 790,000 | 763,361 | ||
Class C, 5.5275% 6/15/12 (d) | 470,000 | 449,161 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 3.8063% 9/25/34 (d) (g) | 21,802 | 20,607 | ||
Series 2003-6HE Class A1, 3.8463% 11/25/33 (d) (g) | 17,086 | 15,735 | ||
Turquoise Card Backed Securities PLC Series 2006-1A Class C, 4.5663% 5/16/11 (a)(d) | 2,165,000 | 2,093,284 | ||
UPFC Auto Receivables Trust Series 2007-A Class A2, 5.46% 6/15/10 | 1,103,871 | 1,088,307 | ||
WaMu Master Note Trust: | ||||
Series 2006-A3A Class A3, 5.0575% 9/16/13 (a) (d) | 3,025,000 | 2,979,244 | ||
Series 2007-C1 Class C1, 5.4275% 5/15/14 (a) (d) | 1,595,000 | 1,378,989 | ||
WFS Financial Owner Trust: | ||||
Series 2004-3 Class D, 4.07% 2/17/12 | 72,027 | 71,980 | ||
Series 2004-4 Class D, 3.58% 5/17/12 | 74,195 | 73,994 | ||
Series 2005-1 Class D, 4.09% 8/15/12 | 121,816 | 122,053 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 5.9838% 10/25/44 (a)(d) | 1,095,215 | 907,495 | ||
World Omni Auto Receivables Trust Series 2007-B Class A2B, 5.3475% 2/16/10 (d) | 185,000 | 184,706 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $164,646,091) | 135,277,223 | |||
Collateralized Mortgage Obligations - 17.6% | ||||
Private Sponsor - 16.6% | ||||
American Home Mortgage Assets Trust floater Series 2006-1 Class 2A1, 3.5663% 5/25/46 (d) | 881,824 | 828,160 | ||
Arkle Master Issuer PLC floater Series 2007-1A Class 1C, 5.165% 2/17/52 (a)(c)(d) | 1,625,000 | 1,608,263 | ||
Banc of America Mortgage Securities, Inc. Series 2003-I Class 2A6, 4.1498% 10/25/33 (c)(d) | 4,245,000 | 4,227,794 | ||
Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.0785% 8/25/35 (d) | 1,312,429 | 1,286,914 | ||
Bear Stearns Alt-A Trust floater: | ||||
Series 2005-1 Class A1, 3.6563% 1/25/35 (d) | 842,473 | 819,837 | ||
Series 2005-2 Class 1A1, 3.6263% 3/25/35 (d) | 498,261 | 491,305 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A3, 4.3775% 8/25/34 (d) | $ 1,958,270 | $ 1,935,983 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-2 Class 7A3, 3.7763% 2/25/35 (d) | 201,511 | 200,692 | ||
Series 2004-4 Class 5A2, 3.7763% 3/25/35 (d) | 49,949 | 48,188 | ||
Series 2005-1 Class 5A2, 3.7063% 5/25/35 (d) | 147,304 | 137,291 | ||
Series 2005-10 Class 5A2, 3.6963% 1/25/36 (d) | 881,928 | 704,502 | ||
Series 2005-2: | ||||
Class 6A2, 3.6563% 6/25/35 (d) | 50,504 | 48,159 | ||
Class 6M2, 3.8563% 6/25/35 (d) | 1,375,000 | 1,313,672 | ||
Series 2005-3 Class 8A2, 3.6163% 7/25/35 (d) | 648,734 | 633,941 | ||
Series 2005-5 Class 6A2, 3.6063% 9/25/35 (d) | 530,823 | 491,639 | ||
Series 2005-8 Class 7A2, 3.6563% 11/25/35 (d) | 396,788 | 386,710 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR2 Class 6A1, 3.7763% 3/25/34 (d) | 5,488 | 5,439 | ||
Series 2004-AR3 Class 6A2, 3.7463% 4/25/34 (d) | 4,352 | 4,211 | ||
Series 2004-AR5 Class 11A2, 3.7463% 6/25/34 (d) | 23,582 | 23,253 | ||
Series 2004-AR6 Class 9A2, 3.7463% 10/25/34 (d) | 34,813 | 34,390 | ||
Series 2004-AR7 Class 6A2, 3.7563% 8/25/34 (d) | 66,624 | 64,042 | ||
Series 2004-AR8 Class 8A2, 3.7563% 9/25/34 (d) | 37,512 | 34,510 | ||
CWALT, Inc. floater Series 2005-56 Class 3A1, 3.6663% 11/25/35 (d) | 308,380 | 292,446 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 3.5363% 3/25/37 (d) | 1,375,000 | 1,202,923 | ||
First Franklin Mortgage Loan Trust floater Series 2006-FF13: | ||||
Class M7, 4.1263% 10/25/36 (d) (g) | 1,205,000 | 87,578 | ||
Class M8, 4.3263% 10/25/36 (d) (g) | 525,000 | 36,006 | ||
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 5.0275% 12/25/34 (d) | 60,754 | 60,269 | ||
Gracechurch Mortgage Funding PLC floater Series 1A: | ||||
Class A2B, 4.5125% 10/11/41 (a)(d) | 1,621,206 | 1,583,027 | ||
Class CB, 4.7225% 10/11/41 (a)(d) | 260,000 | 228,410 | ||
Class DB, 4.9125% 10/11/41 (a)(d) | 1,060,000 | 850,544 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-2 Class C1, 5.4488% 12/20/54 (d) | 1,610,000 | 1,440,789 | ||
Series 2005-4 Class A3, 5.0188% 12/20/54 (d) | 1,354,621 | 1,346,357 | ||
Series 2006-1A: | ||||
Class A5, 5.0188% 12/20/54 (a)(d) | 998,826 | 962,169 | ||
Class C2, 5.5488% 12/20/54 (a)(d) | 1,545,000 | 927,000 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Granite Master Issuer PLC floater: - continued | ||||
Series 2006-3 Class C2, 4.4263% 12/20/54 (d) | $ 820,000 | $ 492,000 | ||
Series 2006-4: | ||||
Class B1, 5.4288% 12/20/54 (d) | 1,250,000 | 1,093,750 | ||
Class C1, 5.0963% 12/20/54 (d) | 765,000 | 585,225 | ||
Class M1, 5.0988% 12/20/54 (d) | 330,000 | 280,500 | ||
Series 2007-1: | ||||
Class 1C1, 5.3563% 12/20/54 (d) | 555,000 | 424,076 | ||
Class 1M1, 5.036% 12/20/54 (d) | 500,000 | 428,250 | ||
Class 2B1, 6.3138% 12/20/54 (d) | 535,000 | 426,716 | ||
Class 2C1, 5.0463% 12/20/54 (d) | 295,000 | 170,687 | ||
Class 2M1, 5.0763% 12/20/54 (d) | 645,000 | 466,787 | ||
GSR Mortgage Loan Trust: | ||||
floater Series 2004-11 Class 2A1, 5.195% 12/20/34 (d) | 506,028 | 477,240 | ||
Series 2006-AR2 Class 4A1, 5.8396% 4/25/36 (d) | 2,957,473 | 2,990,806 | ||
Holmes Financing No. 10 PLC floater Series 10A: | ||||
Class 2A, 4.2875% 7/15/40 (a)(d) | 1,040,000 | 1,039,874 | ||
Class 2C, 4.6075% 7/15/40 (a)(d) | 886,364 | 877,996 | ||
Holmes Financing No. 9 PLC floater Class 2A, 4.3175% 7/15/13 (d) | 2,780,000 | 2,757,732 | ||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 3.8263% 10/25/34 (d) | 323,199 | 316,935 | ||
HSI Asset Securitization Corp. Trust floater Series 2007-OPT1 Class M1, 3.6063% 12/25/36 (d) (g) | 670,000 | 261,635 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 3.7463% 3/25/35 (d) | 256,104 | 236,026 | ||
Series 2004-6 Class 1A2, 4.1563% 10/25/34 (d) | 73,755 | 69,229 | ||
Series 2005-1: | ||||
Class M1, 3.8363% 4/25/35 (d) | 136,174 | 120,099 | ||
Class M2, 3.8763% 4/25/35 (d) | 240,812 | 208,056 | ||
Class M3, 3.9063% 4/25/35 (d) | 58,769 | 48,932 | ||
Class M4, 4.1263% 4/25/35 (d) | 35,835 | 18,097 | ||
Class M5, 4.1463% 4/25/35 (d) | 35,835 | 17,380 | ||
Class M6, 4.1963% 4/25/35 (d) | 55,902 | 25,995 | ||
Series 2005-2 Class 1A2, 3.6863% 4/25/35 (d) | 601,910 | 558,159 | ||
Series 2005-4 Class 1B1, 4.6763% 5/25/35 (d) | 238,079 | 105,648 | ||
Series 2005-7: | ||||
Class M1, 3.8563% 11/25/35 (d) | 129,150 | 101,375 | ||
Class M2, 3.8963% 11/25/35 (d) | 96,863 | 72,751 | ||
Class M3, 3.9963% 11/25/35 (d) | 484,313 | 244,578 | ||
Class M4, 4.0363% 11/25/35 (d) | 231,394 | 112,226 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
JPMorgan Mortgage Trust Series 2006-A2 Class 5A1, 3.7551% 11/25/33 (d) | $ 2,870,775 | $ 2,832,252 | ||
Kildare Securities Ltd. floater Series 2007-1 Class A2, 5.2063% 12/10/43 (a)(d) | 865,000 | 849,841 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 3.675% 9/26/45 (a)(d) | 466,314 | 464,496 | ||
Lehman XS Trust floater: | ||||
Series 2006-12N Class A1A1, 3.4563% 8/25/46 (d) | 849,356 | 843,782 | ||
Series 2006-GP1 Class A1, 3.4213% 5/25/46 (d) | 737,908 | 729,805 | ||
MASTR Adjustable Rate Mortgages Trust floater: | ||||
Series 2004-11: | ||||
Class 1A4, 3.8663% 11/25/34 (d) | 28,840 | 26,087 | ||
Class 2A1, 3.7563% 11/25/34 (d) | 27,340 | 26,078 | ||
Class 2A2, 3.8163% 11/25/34 (d) | 6,019 | 5,690 | ||
Series 2005-1 Class 1A1, 3.6463% 3/25/35 (d) | 76,028 | 75,667 | ||
MASTR Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2417% 8/25/17 (d) | 358,461 | 376,086 | ||
Merrill Lynch Mortgage Investors Trust floater: | ||||
Series 2003-A: | ||||
Class 2A1, 3.7663% 3/25/28 (d) | 69,241 | 66,922 | ||
Class 2A2, 5.8413% 3/25/28 (d) | 24,729 | 23,825 | ||
Series 2003-B Class A1, 3.7163% 4/25/28 (d) | 72,331 | 70,642 | ||
Series 2003-D Class A, 3.6863% 8/25/28 (d) | 334,331 | 329,707 | ||
Series 2003-E Class A2, 5.7613% 10/25/28 (d) | 126,434 | 120,749 | ||
Series 2003-F Class A2, 5.7713% 10/25/28 (d) | 131,316 | 128,318 | ||
Series 2004-A Class A2, 5.345% 4/25/29 (d) | 173,712 | 171,037 | ||
Series 2004-B Class A2, 5.65% 6/25/29 (d) | 147,937 | 145,201 | ||
Series 2004-C Class A2, 5.68% 7/25/29 (d) | 206,909 | 206,233 | ||
Series 2004-D Class A2, 5.455% 9/25/29 (d) | 224,825 | 209,861 | ||
Series 2004-E Class A2D, 5.645% 11/25/29 (d) | 262,337 | 261,685 | ||
Series 2004-G Class A2, 5.0275% 11/25/29 (d) | 83,205 | 77,473 | ||
Series 2005-A Class A2, 5.6813% 2/25/30 (d) | 238,439 | 234,152 | ||
Series 2005-B Class A2, 5.085% 7/25/30 (d) | 228,258 | 225,099 | ||
Series 2006-MLN1 Class M4, 3.7363% 7/25/37 (d) (g) | 1,015,000 | 107,819 | ||
MortgageIT Trust floater Series 2004-2: | ||||
Class A1, 3.7463% 12/25/34 (d) | 290,163 | 277,402 | ||
Class A2, 3.8263% 12/25/34 (d) | 391,936 | 372,408 | ||
Opteum Mortgage Acceptance Corp. floater: | ||||
Series 2005-3 Class APT, 3.6663% 7/25/35 (d) | 1,200,269 | 963,576 | ||
Series 2005-5 Class 1A1B, 3.5763% 12/25/35 (d) | 920,000 | 896,001 | ||
Option One Mortgage Loan Trust floater | 980,000 | 521,360 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Permanent Financing No. 3 PLC floater Series 2006-3 Class 3A, 5.3263% 9/10/33 (d) | $ 2,495,000 | $ 2,492,463 | ||
Permanent Financing No. 5 PLC floater Series 3 Class C, 5.9463% 6/10/42 (d) | 1,030,000 | 993,950 | ||
Permanent Financing No. 8 PLC floater: | ||||
Class 2A, 5.2163% 6/10/14 (d) | 2,945,000 | 2,943,878 | ||
Class 3C, 5.6663% 6/10/42 (d) | 910,000 | 818,818 | ||
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 4.66% 7/17/42 (d) | 2,645,000 | 2,451,688 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.8478% 10/25/35 (d) | 792,209 | 785,311 | ||
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 3.4763% 9/25/46 (d) | 1,585,193 | 1,540,114 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 142,083 | 145,932 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 42,197 | 44,104 | ||
Series 2005-AR5 Class 1A1, 4.7924% 9/19/35 (d) | 394,356 | 392,423 | ||
Residential Funding Securities Corp. floater | 64,028 | 51,242 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2003-5 Class A2, 5.72% 9/20/33 (d) | 121,046 | 121,026 | ||
Series 2004-1 Class A, 5.6825% 2/20/34 (d) | 88,563 | 87,309 | ||
Series 2004-10 Class A4, 5.7006% 11/20/34 (d) | 223,326 | 221,899 | ||
Series 2004-12 Class 1A2, 5.69% 1/20/35 (d) | 419,577 | 407,784 | ||
Series 2004-4 Class A, 5.6206% 5/20/34 (d) | 279,973 | 278,074 | ||
Series 2004-5 Class A3, 4.53% 6/20/34 (d) | 110,018 | 109,606 | ||
Series 2004-6: | ||||
Class A3A, 5.6975% 6/20/35 (d) | 109,759 | 105,045 | ||
Class A3B, 5.84% 7/20/34 (d) | 219,517 | 205,653 | ||
Series 2004-7: | ||||
Class A3A, 5.7038% 8/20/34 (d) | 146,726 | 139,133 | ||
Class A3B, 5.9288% 7/20/34 (d) | 284,904 | 263,495 | ||
Series 2004-8 Class A2, 5.755% 9/20/34 (d) | 433,893 | 430,042 | ||
Series 2005-1 Class A2, 5.6325% 2/20/35 (d) | 249,291 | 241,304 | ||
Series 2005-2 Class A2, 5.6288% 3/20/35 (d) | 394,886 | 391,004 | ||
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 4.1763% 9/25/36 (d) (g) | 330,000 | 34,650 | ||
Structured Asset Securities Corp. floater: | ||||
Series 2004-NP1 Class A, 3.7763% 9/25/33 (a) (d) | 72,424 | 70,569 | ||
Series 2005-AR1 Class B1, 5.3763% 9/25/35 (a) (d) (g) | 1,155,000 | 92,400 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Structured Asset Securities Corp. floater: - continued | ||||
Series 2007-GEL1 Class A2, 3.5663% 1/25/37 (a)(d) (g) | $ 1,000,000 | $ 775,625 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 3.5313% 9/25/36 (d) | 2,255,000 | 2,219,855 | ||
Thornburg Mortgage Securities Trust floater: | ||||
Series 2004-3 Class A, 3.7463% 9/25/34 (d) | 1,089,506 | 1,069,583 | ||
Series 2005-3 Class A4, 3.6463% 10/25/35 (d) | 1,940,396 | 1,935,810 | ||
WaMu Mortgage pass-thru certificates: | ||||
floater Series 2006-AR11 Class C1B1, 3.4563% 9/25/46 (d) | 366,253 | 363,537 | ||
sequential payer: | ||||
Series 2002-S6 Class A25, 6% 10/25/32 | 82,583 | 82,857 | ||
Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | 41,454 | 44,336 | ||
Series 2003-AR10 Class A7, 4.0558% 10/25/33 (d) | 690,000 | 678,104 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2005-AR10 Class 2A2, 4.1092% 6/25/35 (d) | 3,817,861 | 3,789,018 | ||
Series 2005-AR12 Class 2A1, 4.3226% 7/25/35 (d) | 1,204,724 | 1,200,733 | ||
TOTAL PRIVATE SPONSOR | 79,032,801 | |||
U.S. Government Agency - 1.0% | ||||
Fannie Mae: | ||||
floater Series 2002-89 Class F, 3.6763% 1/25/33 (d) | 73,346 | 73,129 | ||
planned amortization class Series 1993-207 Class G, 6.15% 4/25/23 | 157,925 | 158,307 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2001-38 Class QF, 4.3563% 8/25/31 (d) | 662,129 | 674,046 | ||
Series 2002-36 Class FT, 3.8763% 6/25/32 (d) | 101,968 | 102,106 | ||
Series 2002-60 Class FV, 4.3763% 4/25/32 (d) | 244,713 | 249,301 | ||
Series 2002-64 Class FE, 4.3394% 10/18/32 (d) | 50,594 | 50,607 | ||
Series 2002-74 Class FV, 3.8263% 11/25/32 (d) | 65,629 | 65,714 | ||
Series 2002-75 Class FA, 4.3763% 11/25/32 (d) | 501,292 | 510,094 | ||
Series 2003-11: | ||||
Class DF, 3.8263% 2/25/33 (d) | 48,166 | 48,160 | ||
Class EF, 3.8263% 2/25/33 (d) | 18,697 | 18,701 | ||
Series 2004-54 Class FE, 4.5263% 2/25/33 (d) | 508,219 | 511,713 | ||
planned amortization class Series 2002-52 Class PA, 6% 4/25/31 | 706 | 704 | ||
Freddie Mac planned amortization class Series 2162 Class PH, 6% 6/15/29 | 1,083,932 | 1,123,120 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2389 Class DA, 5.1363% 11/15/30 (c)(d) | $ 461,623 | $ 462,425 | ||
Series 2526 Class FC, 4.6363% 11/15/32 (d) | 12,183 | 12,197 | ||
Series 2551 Class FH, 4.6863% 1/15/33 (d) | 44,717 | 44,740 | ||
Series 3066 Class HF, 0% 1/15/34 (d) | 36,333 | 38,067 | ||
planned amortization class Series 2543 Class PM, 5.5% 8/15/18 | 113,463 | 113,426 | ||
Series 1803 Class A, 6% 12/15/08 | 88,386 | 88,607 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
floater Series 2001-21 Class FB, 4.4813% 1/16/27 (d) | 77,265 | 77,324 | ||
planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31 | 78,046 | 78,568 | ||
TOTAL U.S. GOVERNMENT AGENCY | 4,501,056 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $93,106,669) | 83,533,857 | |||
Commercial Mortgage Securities - 9.8% | ||||
Banc of America Large Loan, Inc. floater: | ||||
Series 2003-BBA2 Class K, 6.8363% 11/15/15 (a)(d) | 61,614 | 61,176 | ||
Series 2005-MIB1: | ||||
Class C, 4.5463% 3/15/22 (a)(d) | 200,000 | 195,058 | ||
Class D, 4.5963% 3/15/22 (a)(d) | 205,000 | 195,529 | ||
Class E, 4.6363% 3/15/22 (a)(d) | 390,000 | 367,707 | ||
Class F, 4.7063% 3/15/22 (a)(d) | 200,000 | 186,645 | ||
Class G, 4.7663% 3/15/22 (a)(d) | 130,000 | 121,068 | ||
Series 2006-BIX1: | ||||
Class E, 4.4763% 10/15/19 (a)(d) | 170,000 | 160,290 | ||
Class F, 4.5463% 10/15/19 (a)(d) | 325,000 | 307,181 | ||
Class G, 4.5663% 10/15/19 (a)(d) | 125,000 | 118,228 | ||
Class JCP, 4.7363% 10/15/19 (a)(d) | 4,700 | 4,204 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2004-1: | ||||
Class A, 3.7363% 4/25/34 (a)(d) | 214,030 | 199,048 | ||
Class B, 5.2763% 4/25/34 (a)(d) | 35,672 | 29,156 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2004-2: | ||||
Class A, 3.8063% 8/25/34 (a)(d) | $ 265,587 | $ 247,992 | ||
Class M1, 3.9563% 8/25/34 (a)(d) | 85,071 | 78,319 | ||
Series 2004-3: | ||||
Class A2, 3.7963% 1/25/35 (a)(d) | 47,222 | 43,319 | ||
Class M1, 3.8763% 1/25/35 (a)(d) | 70,834 | 64,547 | ||
Class M2, 4.3763% 1/25/35 (a)(d) | 47,222 | 41,586 | ||
Series 2005-2A: | ||||
Class A1, 3.6863% 8/25/35 (a)(d) | 681,520 | 635,387 | ||
Class M1, 3.8063% 8/25/35 (a)(d) | 123,006 | 120,008 | ||
Class M2, 3.8563% 8/25/35 (a)(d) | 206,118 | 199,935 | ||
Class M3, 3.8763% 8/25/35 (a)(d) | 113,033 | 108,123 | ||
Class M4, 3.9863% 8/25/35 (a)(d) | 103,059 | 97,487 | ||
Series 2005-3A: | ||||
Class A1, 3.6963% 11/25/35 (a)(d) | 585,741 | 564,652 | ||
Class A2, 3.7763% 11/25/35 (a)(d) | 240,572 | 219,748 | ||
Class M1, 3.8163% 11/25/35 (a)(d) | 83,677 | 80,226 | ||
Class M2, 3.8663% 11/25/35 (a)(d) | 115,056 | 110,939 | ||
Class M3, 3.8863% 11/25/35 (a)(d) | 104,597 | 99,105 | ||
Class M4, 3.9763% 11/25/35 (a)(d) | 129,002 | 118,682 | ||
Series 2005-4A: | ||||
Class A2, 3.7663% 1/25/36 (a)(d) | 854,627 | 772,771 | ||
Class B1, 4.7763% 1/25/36 (a)(d) | 77,693 | 56,304 | ||
Class M1, 3.8263% 1/25/36 (a)(d) | 310,773 | 278,726 | ||
Class M2, 3.8463% 1/25/36 (a)(d) | 77,693 | 69,062 | ||
Class M3, 3.8763% 1/25/36 (a)(d) | 155,387 | 135,479 | ||
Class M4, 3.9863% 1/25/36 (a)(d) | 77,693 | 65,299 | ||
Class M5, 4.0263% 1/25/36 (a)(d) | 77,693 | 63,502 | ||
Class M6, 4.0763% 1/25/36 (a)(d) | 77,693 | 62,021 | ||
Series 2006-2A: | ||||
Class A1, 3.6063% 7/25/36 (a)(d) | 1,434,182 | 1,407,629 | ||
Class A2, 3.6563% 7/25/36 (a)(d) | 241,716 | 232,375 | ||
Class B1, 4.2463% 7/25/36 (a)(d) | 88,629 | 62,927 | ||
Class B3, 6.0763% 7/25/36 (a)(d) | 145,030 | 98,620 | ||
Class M1, 3.6863% 7/25/36 (a)(d) | 253,802 | 241,575 | ||
Class M2, 3.7063% 7/25/36 (a)(d) | 181,287 | 171,710 | ||
Class M3, 3.7263% 7/25/36 (a)(d) | 141,001 | 132,401 | ||
Class M4, 3.7963% 7/25/36 (a)(d) | 96,686 | 90,187 | ||
Class M5, 3.8463% 7/25/36 (a)(d) | 116,829 | 106,175 | ||
Class M6, 3.9163% 7/25/36 (a)(d) | 185,316 | 162,770 | ||
Series 2006-3A: | ||||
Class B1, 4.1763% 10/25/36 (a)(d) | 135,023 | 84,832 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2006-3A: | ||||
Class B2, 4.7263% 10/25/36 (a)(d) | $ 87,111 | $ 52,661 | ||
Class B3, 5.9763% 10/25/36 (a)(d) | 156,800 | 97,756 | ||
Class M4, 3.8063% 10/25/36 (a)(d) | 135,023 | 107,955 | ||
Class M5, 3.8563% 10/25/36 (a)(d) | 169,867 | 131,912 | ||
Class M6, 3.9363% 10/25/36 (a)(d) | 335,379 | 250,957 | ||
Series 2007-1: | ||||
Class A2, 3.6463% 3/25/37 (a)(d) | 316,808 | 285,327 | ||
Class B1, 4.0463% 3/25/37 (a)(d) | 102,628 | 66,548 | ||
Class B2, 4.5263% 3/25/37 (a)(d) | 71,393 | 43,818 | ||
Class B3, 6.7263% 3/25/37 (a)(d) | 209,718 | 138,349 | ||
Class M1, 3.6463% 3/25/37 (a)(d) | 84,780 | 73,890 | ||
Class M2, 3.6663% 3/25/37 (a)(d) | 62,469 | 53,352 | ||
Class M3, 3.6963% 3/27/37 (a)(d) | 58,007 | 48,010 | ||
Class M4, 3.7463% 3/25/37 (a)(d) | 44,621 | 35,899 | ||
Class M5, 3.7963% 3/25/37 (a)(d) | 71,393 | 55,865 | ||
Class M6, 3.8763% 3/25/37 (a)(d) | 98,166 | 74,177 | ||
Series 2007-3: | ||||
Class B1, 4.3263% 7/25/37 (a)(d) | 68,409 | 49,254 | ||
Class B2, 4.9763% 7/25/37 (a)(d) | 173,302 | 168,970 | ||
Class B3, 7.3763% 7/25/37 (a)(d) | 91,212 | 59,288 | ||
Class M1, 3.6863% 7/25/37 (a)(d) | 59,288 | 58,695 | ||
Class M2, 3.7163% 7/25/37 (a)(d) | 63,848 | 63,210 | ||
Class M3, 3.7463% 7/25/37 (a)(d) | 100,333 | 99,204 | ||
Class M4, 3.8763% 7/25/37 (a)(d) | 159,621 | 157,226 | ||
Class M5, 3.9763% 7/25/37 (a)(d) | 77,530 | 75,979 | ||
Class M6, 4.1763% 7/25/37 (a)(d) | 59,288 | 58,102 | ||
Series 2007-4A: | ||||
Class A2, 3.9263% 9/25/37 (a)(d) | 649,372 | 616,513 | ||
Class B1, 5.9263% 9/25/37 (a)(d) | 83,002 | 58,530 | ||
Class B2, 6.8263% 9/25/37 (a)(d) | 302,715 | 208,543 | ||
Class M1, 4.3263% 9/25/37 (a)(d) | 73,237 | 64,838 | ||
Class M2, 4.4263% 9/25/37 (a)(d) | 73,237 | 64,335 | ||
Class M4, 4.9763% 9/25/37 (a)(d) | 200,182 | 165,088 | ||
Class M5, 5.1263% 9/25/37 (a)(d) | 200,182 | 164,682 | ||
Class M6, 5.3263% 9/25/37 (a)(d) | 200,182 | 161,647 | ||
Bear Stearns Commercial Mortgage Securities Trust floater Series 2007-BBA8: | ||||
Class D, 4.4863% 3/15/22 (a)(d) | 165,000 | 146,025 | ||
Class E, 4.5363% 3/15/22 (a)(d) | 870,000 | 767,775 | ||
Class F, 4.5863% 5/15/22 (a)(d) | 535,000 | 470,800 | ||
Class G, 4.6363% 3/15/22 (a)(d) | 135,000 | 118,463 | ||
Class H, 4.7863% 3/15/22 (a)(d) | 165,000 | 144,375 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bear Stearns Commercial Mortgage Securities Trust floater Series 2007-BBA8: - continued | ||||
Class J, 4.9363% 3/15/22 (a)(d) | $ 165,000 | $ 143,963 | ||
Class X-1M, 1.12% 3/15/22 (a)(f) | 13,815,683 | 69,078 | ||
COMM pass-thru certificates floater: | ||||
Series 2005-F10A: | ||||
Class B, 4.4663% 4/15/17 (a)(d) | 1,005,000 | 1,003,527 | ||
Class C, 4.5063% 4/15/17 (a)(d) | 425,000 | 424,015 | ||
Class D, 4.5463% 4/15/17 (a)(d) | 345,000 | 342,882 | ||
Class E, 4.6063% 4/15/17 (a)(d) | 260,000 | 258,103 | ||
Class F, 4.6463% 4/15/17 (a)(d) | 145,000 | 143,906 | ||
Class G, 4.7863% 4/15/17 (a)(d) | 145,000 | 143,397 | ||
Class H, 4.8563% 4/15/17 (a)(d) | 145,000 | 141,633 | ||
Class J, 5.0863% 4/15/17 (a)(d) | 50,000 | 47,446 | ||
Series 2005-FL11: | ||||
Class C, 4.5363% 11/15/17 (a)(d) | 542,290 | 516,524 | ||
Class D, 4.5763% 11/15/17 (a)(d) | 93,997 | 89,655 | ||
Class E, 4.6263% 11/15/17 (a)(d) | 144,611 | 138,170 | ||
Class F, 4.6863% 11/15/17 (a)(d) | 130,150 | 122,528 | ||
Class G, 4.7363% 11/15/17 (a)(d) | 206,070 | 191,098 | ||
Series 2006-CN2A Class AJFL, 4.8% 2/5/19 (d) | 1,135,000 | 1,120,803 | ||
Series 2007-FL14: | ||||
Class F, 4.7363% 6/15/22 (a)(d) | 1,297,240 | 1,247,378 | ||
Class G, 4.7863% 6/15/22 (a)(d) | 207,164 | 197,841 | ||
Class H, 4.9363% 6/15/22 (a)(d) | 207,164 | 186,496 | ||
Class MLK1, 5.0363% 6/15/22 (a)(d) | 565,000 | 560,763 | ||
Class MLK2, 5.2363% 6/15/22 (a)(d) | 315,000 | 312,662 | ||
Class MLK3, 5.4363% 6/15/22 (a)(d) | 380,000 | 377,209 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 4.5863% 4/15/22 (a)(d) | 1,775,000 | 1,686,250 | ||
Credit Suisse Mortgage Capital Certificates floater: | ||||
Series 200-TFL1 Class B, 4.3863% 2/15/22 (a)(d) | 685,000 | 654,175 | ||
Series 2007-TFL1: | ||||
Class C: | ||||
4.4063% 2/15/22 (a)(d) | 740,000 | 666,000 | ||
4.5063% 2/15/22 (a)(d) | 265,000 | 247,775 | ||
Class F, 4.5563% 2/15/22 (a)(d) | 530,000 | 455,800 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2006-1A Class AFL, 5.1975% 11/15/36 (a)(d) | 540,000 | 517,579 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
CSMC Commercial Mortgage Trust floater Series 2006-TFLA: | ||||
Class D, 4.5163% 4/15/21 (a)(d) | $ 300,000 | $ 282,552 | ||
Class E, 4.5663% 4/15/21 (a)(d) | 300,000 | 280,845 | ||
Class G, 4.6563% 4/15/21 (a)(d) | 300,000 | 277,384 | ||
Class H, 4.9663% 4/15/21 (a)(d) | 300,000 | 275,903 | ||
Class J, 5.0363% 4/15/21 (a)(d) | 200,000 | 179,665 | ||
Class K, 5.4363% 4/15/21 (a)(d) | 1,005,000 | 914,381 | ||
Greenwich Capital Commercial Funding Corp. floater Series 2006-FL4 Class B, 0% 11/5/21 (a)(d) | 670,000 | 633,309 | ||
GS Mortgage Securities Corp. II floater | ||||
Class C, 4.78% 6/6/20 (a)(d) | 145,000 | 142,227 | ||
Class D, 4.82% 6/6/20 (a)(d) | 1,400,000 | 1,343,384 | ||
Class E, 4.91% 6/6/20 (a)(d) | 800,000 | 758,511 | ||
Class F, 4.98% 6/6/20 (a)(d) | 575,000 | 535,257 | ||
JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2006-FLA2: | ||||
Class B, 4.4063% 11/15/18 (a)(d) | 351,488 | 342,867 | ||
Class C, 4.4463% 11/15/18 (a)(d) | 249,655 | 244,804 | ||
Class D, 4.4663% 11/15/18 (a)(d) | 88,693 | 85,436 | ||
Class E, 4.5163% 11/15/18 (a)(d) | 131,397 | 127,991 | ||
Class F, 4.5663% 11/15/18 (a)(d) | 197,096 | 188,822 | ||
Class G, 4.5963% 11/15/18 (a)(d) | 170,816 | 163,831 | ||
Class H, 4.7363% 11/15/18 (a)(d) | 131,397 | 122,790 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: | ||||
Series 2003-LLFA Class K1, 6.8694% 12/16/14 (a)(d) | 435,000 | 398,647 | ||
Series 2006-LLFA: | ||||
Class F, 4.5763% 9/15/21 (a)(d) | 291,191 | 254,317 | ||
Class G, 4.5963% 9/15/21 (a)(d) | 648,135 | 566,582 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2005-XLF: | ||||
Class F, 4.557% 8/15/19 (a)(d) | 163,114 | 162,929 | ||
Class G, 4.607% 8/15/19 (a)(d) | 120,000 | 119,790 | ||
Class H, 4.627% 8/15/19 (a)(d) | 100,000 | 99,783 | ||
Class J, 4.697% 8/15/19 (a)(d) | 75,000 | 74,880 | ||
Class K, 4.887% 8/15/19 (a)(d) | 420,000 | 416,594 | ||
Series 2006-XLF: | ||||
Class C, 5.437% 7/15/19 (a)(d) | 570,000 | 552,900 | ||
Class D, 4.487% 7/15/19 (a)(d) | 1,345,000 | 1,287,924 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2006-XLF: | ||||
Class F, 4.557% 7/15/19 (a)(d) | $ 535,000 | $ 510,257 | ||
Class G, 4.597% 7/15/19 (a)(d) | 385,000 | 366,453 | ||
Series 2007-XCLA Class A1, 4.437% 7/17/17 (a)(d) | 1,082,272 | 946,988 | ||
Series 2007-XLFA: | ||||
Class B, 4.367% 10/15/20 (a)(d) | 440,000 | 424,600 | ||
Class C, 4.397% 10/15/20 (a)(d) | 330,000 | 291,171 | ||
Class D, 4.427% 10/15/20 (a)(d) | 265,000 | 231,341 | ||
Class E, 4.487% 10/15/20 (a)(d) | 330,000 | 279,351 | ||
Class F, 4.537% 10/15/20 (a)(d) | 195,000 | 165,106 | ||
Class G, 4.577% 10/15/20 (a)(d) | 245,000 | 218,050 | ||
Class H, 4.667% 10/15/20 (a)(d) | 155,000 | 133,300 | ||
Class J, 4.817% 10/15/20 (a)(d) | 175,000 | 148,750 | ||
Class MHRO, 4.927% 10/15/20 (a)(d) | 474,674 | 450,940 | ||
Class MJPM, 5.237% 10/15/20 (a)(d) | 148,139 | 118,511 | ||
Class MSTR, 4.937% 10/15/20 (a)(d) | 260,000 | 243,100 | ||
Class NHRO, 5.127% 10/15/20 (a)(d) | 730,268 | 693,754 | ||
Class NSTR, 5.087% 10/15/20 (a)(d) | 240,000 | 226,800 | ||
Series 2007-XLC1: | ||||
Class C, 4.8363% 7/17/17 (a)(d) | 895,813 | 725,608 | ||
Class D, 4.9363% 7/17/17 (a)(d) | 421,559 | 333,032 | ||
Class E, 5.0363% 7/17/17 (a)(d) | 340,490 | 262,177 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 4.2538% 3/24/18 (a)(d) | 208,843 | 198,401 | ||
Wachovia Bank Commercial Mortgage Trust floater Series 2006-WL7A: | ||||
Class F, 4.5763% 8/11/18 (a)(d) | 1,235,000 | 1,120,573 | ||
Class G, 4.5963% 8/11/18 (a)(d) | 1,170,000 | 1,071,266 | ||
Class J, 4.8363% 8/11/18 (a)(d) | 260,000 | 220,760 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $50,879,329) | 46,748,978 | |||
Fixed-Income Funds - 10.7% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (e) | 583,639 | 50,870,010 | |
Cash Equivalents - 22.0% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at 3%, dated 1/31/08 due 2/1/08 (Collateralized by U.S. Government Obligations) # | $ 104,847,737 | $ 104,839,000 | |
TOTAL INVESTMENT PORTFOLIO - 98.2% (Cost $519,523,049) | 467,256,265 | ||
NET OTHER ASSETS - 1.8% | 8,382,464 | ||
NET ASSETS - 100% | $ 475,638,729 | ||
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Eurodollar Contracts | |||||
124 Eurodollar 90 Day Index Contracts | March 2008 | $ 123,099,450 | $ 517,254 | ||
101 Eurodollar 90 Day Index Contracts | June 2008 | 100,371,275 | 434,835 | ||
72 Eurodollar 90 Day Index Contracts | Sept. 2008 | 71,559,900 | 346,662 | ||
9 Eurodollar 90 Day Index Contracts | Dec. 2008 | 8,942,288 | 27,077 | ||
10 Eurodollar 90 Day Index Contracts | March 2009 | 9,931,625 | 27,585 | ||
TOTAL EURODOLLAR CONTRACTS | $ 1,353,413 | ||||
Swap Agreements | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.3% and pay to Morgan Stanley, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11, Class M9, 7.7839% 11/25/34 (g) | Dec. 2034 | $ 125,737 | $ (36,505) | ||
Receive monthly notional amount multiplied by 2.7% and pay Lehman Brothers, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2006 WMC1, Class B3, 7.5% 12/25/35 (g) | Jan. 2036 | 600,000 | (502,155) | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 (g) | March 2034 | 183,497 | (57,601) | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (g) | Feb. 2034 | 82,257 | (68,631) | ||
Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.41% 5/25/35 (g) | June 2035 | 845,000 | (421,631) | ||
Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon credit event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35 (g) | March 2035 | 191,856 | (130,940) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon credit event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Sept. 2008 | $ 1,840,000 | $ (35,560) | ||
Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon credit event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Dec. 2008 | 1,750,000 | (43,379) | ||
$ 5,618,347 | $ (1,296,402) | ||||
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $87,304,929 or 18.4% of net assets. |
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $349,859. |
(c) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $1,505,969. |
(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(e) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request. |
(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 held as of the end of the period. |
(g) Security or a portion of the security backed by subprime mortgage loans. At period end, the value of these securities, exclusive of the value of credit default swaps, amounted to $63,221,086 or 13.3% of net assets. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$104,839,000 due 2/01/08 at 3.00% | |
BNP Paribas Securities Corp. | $ 10,884,940 |
Banc of America Securities LLC | 4,353,740 |
Barclays Capital, Inc. | 46,649,745 |
Bear Stearns & Co., Inc. | 13,300,738 |
Citigroup Global Markets, Inc. | 3,109,983 |
Dresdner Kleinwort Securities LLC | 1,554,991 |
ING Financial Markets LLC | 1,970,989 |
J.P. Morgan Securities, Inc. | 9,329,949 |
Societe Generale, New York Branch | 12,439,932 |
WestLB AG | 1,243,993 |
$ 104,839,000 | |
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 Ultra-Short Central Fund | $ 3,829,570 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales Proceeds | Value, | % ownership, end of |
Fidelity Ultra-Short Central Fund | $ 255,014,810 | $ - | $ 187,671,399 | $ 50,870,010 | 0.7% |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 85.5% |
United Kingdom | 10.8% |
Cayman Islands | 1.9% |
Others (individually less than 1%) | 1.8% |
100.0% |
Income Tax Information |
At July 31, 2007, the fund had a capital loss carryforward of approximately $2,436,121 of which $1,917,431 and $518,690 will expire on July 31, 2014 and 2015, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $104,839,000) - See accompanying schedule: Unaffiliated issuers (cost $461,438,655) | $ 416,386,255 | |
Fidelity Central Funds (cost $58,084,394) | 50,870,010 | |
Total Investments (cost $519,523,049) | $ 467,256,265 | |
Cash | 4,092 | |
Receivable for investments sold | 8,703,212 | |
Receivable for swap agreements | 4,649 | |
Receivable for fund shares sold | 1,051,844 | |
Interest receivable | 1,018,853 | |
Distributions receivable from Fidelity Central Funds | 260,993 | |
Receivable for daily variation on futures contracts | 51,088 | |
Other receivables | 119 | |
Total assets | 478,351,115 | |
Liabilities | ||
Payable for fund shares redeemed | 1,122,728 | |
Distributions payable | 105,086 | |
Swap agreements, at value | 1,296,402 | |
Accrued management fee | 129,648 | |
Distribution fees payable | 1,398 | |
Other affiliated payables | 57,124 | |
Total liabilities | 2,712,386 | |
Net Assets | $ 475,638,729 | |
Net Assets consist of: | ||
Paid in capital | $ 575,731,459 | |
Undistributed net investment income | 1,137,643 | |
Accumulated undistributed net realized gain (loss) on investments | (49,020,600) | |
Net unrealized appreciation (depreciation) on investments | (52,209,773) | |
Net Assets | $ 475,638,729 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
January 31, 2008 (Unaudited) | ||
Calculation of Maximum Offering Price | $ 8.84 | |
Maximum offering price per share (100/98.50 of $8.84) | $ 8.97 | |
Class T: | $ 8.84 | |
Maximum offering price per share (100/98.50 of $8.84) | $ 8.97 | |
Ultra-Short Bond: | $ 8.84 | |
Institutional Class: | $ 8.84 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended January 31, 2008 (Unaudited) | ||
Investment Income | ||
Interest | $ 16,404,898 | |
Income from Fidelity Central Funds | 3,829,570 | |
Total income | 20,234,468 | |
Expenses | ||
Management fee | $ 1,083,158 | |
Transfer agent fees | 349,693 | |
Distribution fees | 12,487 | |
Fund wide operations fee | 118,378 | |
Independent trustees' compensation | 1,607 | |
Miscellaneous | 1,154 | |
Total expenses before reductions | 1,566,477 | |
Expense reductions | (9,319) | 1,557,158 |
Net investment income | 18,677,310 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (26,286,749) | |
Fidelity Central Funds | (14,061,655) | |
Futures contracts | (35,578) | |
Swap agreements | (5,381,220) | |
Total net realized gain (loss) | (45,765,202) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (34,310,844) | |
Futures contracts | 1,476,043 | |
Swap agreements | 1,760,249 | |
Total change in net unrealized appreciation (depreciation) | (31,074,552) | |
Net gain (loss) | (76,839,754) | |
Net increase (decrease) in net assets resulting from operations | $ (58,162,444) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Six months ended January 31, 2008 (Unaudited) | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 18,677,310 | $ 51,627,290 |
Net realized gain (loss) | (45,765,202) | (1,037,412) |
Change in net unrealized appreciation (depreciation) | (31,074,552) | (20,635,029) |
Net increase (decrease) in net assets resulting | (58,162,444) | 29,954,849 |
Distributions to shareholders from net investment income | (18,079,504) | (51,625,727) |
Share transactions - net increase (decrease) | (449,633,707) | 161,604,013 |
Redemption fees | 48,387 | 39,619 |
Total increase (decrease) in net assets | (525,827,268) | 139,972,754 |
Net Assets | ||
Beginning of period | 1,001,465,997 | 861,493,243 |
End of period (including undistributed net investment income of $1,137,643 and undistributed net investment income of $539,837, respectively) | $ 475,638,729 | $ 1,001,465,997 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended January 31, 2008 | Years ended July 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 H | |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.04 |
Income from Investment Operations | |||||
Net investment income E | .245 | .493 | .400 | .223 | .013 |
Net realized and unrealized gain (loss) | (.994) | (.198) | (.009) | (.026) | .011 |
Total from investment operations | (.749) | .295 | .391 | .197 | .024 |
Distributions from net investment income | (.232) | (.495) | (.401) | (.214) | (.014) |
Distributions from net realized gain | - | - | - | (.003) | - |
Total distributions | (.232) | (.495) | (.401) | (.217) | (.014) |
Redemption fees added to paid in capital E | .001 | - J | - J | - J | - J |
Net asset value, end of period | $ 8.84 | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 |
Total Return B, C, D | (7.69)% | 2.97% | 3.97% | 1.98% | .24% |
Ratios to Average Net Assets F, I | |||||
Expenses before reductions | .66% A | .66% | .70% | .78% | .85% A |
Expenses net of fee waivers, if any | .66% A | .66% | .70% | .70% | .70% A |
Expenses net of all reductions | .65% A | .66% | .70% | .70% | .70% A |
Net investment income | 5.19% A | 4.96% | 4.00% | 2.23% | 1.11% A |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 8,227 | $ 13,735 | $ 4,553 | $ 2,557 | $ 316 |
Portfolio turnover rate G | 7% A | 29% | 39% | 33% | 53% |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended January 31, 2008 | Years ended July 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 H | |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.04 |
Income from Investment Operations | |||||
Net investment income E | .241 | .491 | .404 | .222 | .013 |
Net realized and unrealized gain (loss) | (.991) | (.199) | (.011) | (.025) | .010 |
Total from investment operations | (.750) | .292 | .393 | .197 | .023 |
Distributions from net investment income | (.231) | (.492) | (.403) | (.214) | (.013) |
Distributions from net realized gain | - | - | - | (.003) | - |
Total distributions | (.231) | (.492) | (.403) | (.217) | (.013) |
Redemption fees added to paid in capital E | .001 | - J | - J | - J | - J |
Net asset value, end of period | $ 8.84 | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 |
Total Return B, C, D | (7.70)% | 2.95% | 4.00% | 1.98% | .23% |
Ratios to Average Net Assets F, I | |||||
Expenses before reductions | .68% A | .69% | .68% | .77% | .86% A |
Expenses net of fee waivers, if any | .68% A | .69% | .68% | .70% | .70% A |
Expenses net of all reductions | .68% A | .69% | .68% | .70% | .70% A |
Net investment income | 5.17% A | 4.93% | 4.03% | 2.23% | 1.11% A |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 3,560 | $ 4,818 | $ 4,624 | $ 4,044 | $ 356 |
Portfolio turnover rate G | 7% A | 29% | 39% | 33% | 53% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Ultra-Short Bond
Six months ended January 31, 2008 | Years ended July 31, | |||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 G | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.02 | $ 10.00 |
Income from Investment | ||||||
Net investment income D | .254 | .516 | .427 | .241 | .122 | .137 |
Net realized and unrealized gain (loss) | (.983) | (.210) | (.011) | (.026) | .029 | .052 |
Total from investment operations | (.729) | .306 | .416 | .215 | .151 | .189 |
Distributions from net investment income | (.242) | (.516) | (.426) | (.232) | (.122) | (.173) |
Distributions from net realized gain | - | - | - | (.003) | - | - |
Total distributions | (.242) | (.516) | (.426) | (.235) | (.122) | (.173) |
Redemption fees added to paid in capital D | .001 | - I | - I | - I | .001 | .004 |
Net asset value, end of period | $ 8.84 | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.02 |
Total Return B, C | (7.49)% | 3.09% | 4.23% | 2.16% | 1.52% | 1.94% |
Ratios to Average Net Assets E, H | ||||||
Expenses before reductions | .45% A | .45% | .45% | .58% | .62% | .70% A |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .53% | .55% | .55% A |
Expenses net of all reductions | .44% A | .45% | .45% | .53% | .55% | .55% A |
Net investment income | 5.40% A | 5.17% | 4.26% | 2.41% | 1.21% | 1.50% A |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 462,110 | $ 974,602 | $ 850,329 | $ 906,644 | $ 580,174 | $ 225,203 |
Portfolio turnover rate F | 7% A | 29% | 39% | 33% | 53% | 39% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period August 29, 2002 (commencement of operations) to July 31, 2003.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended January 31, 2008 | Years ended July 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 G | |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.04 |
Income from Investment | |||||
Net investment income D | .258 | .510 | .420 | .240 | .015 |
Net realized and unrealized gain (loss) | (.988) | (.206) | (.008) | (.026) | .010 |
Total from investment operations | (.730) | .304 | .412 | .214 | .025 |
Distributions from net investment income | (.241) | (.514) | (.422) | (.231) | (.015) |
Distributions from net realized gain | - | - | - | (.003) | - |
Total distributions | (.241) | (.514) | (.422) | (.234) | (.015) |
Redemption fees added to paid in capital D | .001 | - I | - I | - I | - I |
Net asset value, end of period | $ 8.84 | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 |
Total Return B, C | (7.51)% | 3.06% | 4.19% | 2.15% | .25% |
Ratios to Average Net Assets E, H | |||||
Expenses before reductions | .47% A | .48% | .49% | .58% | .67% A |
Expenses net of fee waivers, if any | .47% A | .48% | .49% | .55% | .55% A |
Expenses net of all reductions | .47% A | .48% | .49% | .55% | .55% A |
Net investment income | 5.38% A | 5.14% | 4.22% | 2.38% | 1.26% A |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 1,742 | $ 8,312 | $ 1,987 | $ 509 | $ 376 |
Portfolio turnover rate F | 7% A | 29% | 39% | 33% | 53% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended January 31, 2008 (Unaudited)
1. Organization.
Fidelity Ultra-Short Bond Fund (the Fund) is a fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The Fund offers Class A, Class T, Ultra-Short Bond and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Semiannual Report
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment |
Fidelity Ultra-Short Central Fund | Fidelity Investments Money Management, Inc. (FIMM) | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Futures Repurchase Agreements Restricted Securities Swap Agreements |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
The Central Funds may have direct or indirect exposure to structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.
A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. A significant portion of the Fund's securities, including securities backed by subprime mortgage loans, are valued at period end by a single source or dealer.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. Factors used in the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. Effective with the beginning of the Fund's fiscal year, the Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, market discount, capital loss carryforwards and losses deferred due to excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 231,387 |
Unrealized depreciation | (52,434,496) |
Net unrealized appreciation (depreciation) | $ (52,203,109) |
Cost for federal income tax purposes | $ 519,459,374 |
Short-Term Trading (Redemption) Fees. Shares held in the Fund less than 60 days are subject to a redemption fee equal to .25% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Fund and accounted for as an addition to paid in capital.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Semiannual Report
4. Operating Policies - continued
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements".
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $2,202,148 and $432,156,242, respectively.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .15% | $ 9,238 | $ 3,291 |
Class T | 0% | .15% | 3,249 | 59 |
$ 12,487 | $ 3,350 |
Sales Load. FDC receives a front-end sales charge of up to 1.50% for selling Class A and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of a contingent deferred sales charges levied on Class A and Class T redemptions. These charges depend on the holding period. The deferred sales charges range from .75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class T | $ 336 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
6. Fees and Other Transactions with Affiliates- continued
Transfer Agent Fees - continued
shareholder reports, except proxy statements. Prior to January 1, 2008, Fidelity Service Company, Inc. (FSC), also an affiliate of FMR, was the transfer agent for Ultra-Short Bond. For the period, the total transfer agent fees paid by each class to were as follows:
Amount | % of | |
Class A | $ 9,813 | .16 |
Class T | 3,904 | .18 |
Ultra-Short Bond | 333,451 | .10 |
Institutional Class | 2,525 | .12 |
$ 349,693 |
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $1,154 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $6,606. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Ultra-Short Bond | $ 2,713 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
9. Credit Risk.
The Fund invests a significant portion of its assets in structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market's perception of credit quality on securities backed by subprime mortgage loans have resulted in increased volatility of market price and periods of illiquidity that have adversely impacted the valuation of certain issuers of the Fund.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 309,995 | $ 470,241 |
Class T | 108,843 | 210,443 |
Ultra-Short Bond | 17,553,676 | 50,639,843 |
Institutional Class | 106,990 | 305,200 |
Total | $ 18,079,504 | $ 51,625,727 |
Semiannual Report
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended January 31, | Year ended | Six months ended January 31, | Year ended | |
Class A | ||||
Shares sold | 552,123 | 1,247,732 | $ 5,086,452 | $ 12,475,671 |
Reinvestment of distributions | 16,862 | 37,250 | 155,418 | 371,847 |
Shares redeemed | (1,037,296) | (340,215) | (9,473,749) | (3,395,610) |
Net increase (decrease) | (468,311) | 944,767 | $ (4,231,879) | $ 9,451,908 |
Class T | ||||
Shares sold | 297,592 | 388,444 | $ 2,772,462 | $ 3,878,571 |
Reinvestment of distributions | 10,681 | 19,812 | 98,734 | 197,787 |
Shares redeemed | (396,372) | (378,796) | (3,707,319) | (3,788,237) |
Net increase (decrease) | (88,099) | 29,460 | $ (836,123) | $ 288,121 |
Ultra-Short Bond | ||||
Shares sold | 8,949,905 | 59,380,876 | $ 83,476,865 | $ 593,653,669 |
Reinvestment of distributions | 1,751,133 | 4,599,590 | 16,209,512 | 45,902,034 |
Shares redeemed | (57,718,177) | (49,556,665) | (538,161,858) | (494,187,803) |
Net increase (decrease) | (47,017,139) | 14,423,801 | $ (438,475,481) | $ 145,367,900 |
Institutional Class | ||||
Shares sold | 49,164 | 970,636 | $ 460,296 | $ 9,707,468 |
Reinvestment of distributions | 4,734 | 8,301 | 43,742 | 82,674 |
Shares redeemed | (703,797) | (330,344) | (6,594,262) | (3,294,058) |
Net increase (decrease) | (649,899) | 648,593 | $ (6,090,224) | $ 6,496,084 |
Semiannual Report
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Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments
Money Management, Inc.
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
Fidelity Research & Analysis Company
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
AUSB-USAN-0308
1.804590.104
(Fidelity Investment logo)(registered trademark)
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor
Ultra-Short Bond
Fund - Institutional Class
Semiannual Report
January 31, 2008
Institutional Class
is a class of
Fidelity® Ultra-Short Bond Fund
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com or http://www.advisor.fidelity.com, as applicable.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Stocks got off to a poor start in 2008, while investment-grade bonds and money markets showed positive returns, once again underscoring the importance of a diversified portfolio. Financial markets are always unpredictable, but there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2007 to January 31, 2008).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 923.10 | $ 3.19 |
HypotheticalA | $ 1,000.00 | $ 1,021.82 | $ 3.35 |
Class T | |||
Actual | $ 1,000.00 | $ 923.00 | $ 3.29 |
HypotheticalA | $ 1,000.00 | $ 1,021.72 | $ 3.46 |
Ultra-Short Bond | |||
Actual | $ 1,000.00 | $ 925.10 | $ 2.18 |
HypotheticalA | $ 1,000.00 | $ 1,022.87 | $ 2.29 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 924.90 | $ 2.27 |
HypotheticalA | $ 1,000.00 | $ 1,022.77 | $ 2.39 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annualized | |
Class A | .66% |
Class T | .68% |
Ultra-Short Bond | .45% |
Institutional Class | .47% |
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund. |
Quality Diversification (% of fund's net assets) | |||||||
As of January 31, 2008 * | As of July 31, 2007 ** | ||||||
| U.S. Government and | | U.S. Government and | ||||
| AAA 27.8% | | AAA 30.3% | ||||
| AA 13.2% | | AA 13.9% | ||||
| A 13.1% | | A 12.2% | ||||
| BBB 18.1% | | BBB 22.4% | ||||
| BB and Below 0.1% | | BB and Below 0.3% | ||||
| Not Rated 0.9% | | Not Rated 2.1% | ||||
| Short-Term | | Short-Term | ||||
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition. The information in the above table is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund. |
Weighted Average Maturity as of January 31, 2008 | ||
6 months ago | ||
Years | 1.6 | 2.0 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of January 31, 2008 | ||
6 months ago | ||
Years | 0.5 | 0.4 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of January 31, 2008 * | As of July 31, 2007 ** | ||||||
| Corporate Bonds 11.0% | | Corporate Bonds 15.8% | ||||
| U.S. Government and U.S. Government | | U.S. Government and | ||||
| Asset-Backed | | Asset-Backed | ||||
| CMOs and Other Mortgage Related Securities 29.6% | | CMOs and Other Mortgage Related Securities 26.0% | ||||
| Other Investments 0.0% | | Other Investments 0.1% | ||||
| Short-Term | | Short-Term | ||||
* Foreign | 14.5% | ** Foreign investments | 16.0% | ||||
* Futures and | 27.0% | ** Futures and Swaps | 16.6% | ||||
A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable. |
Semiannual Report
Investments January 31, 2008 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 9.7% | ||||
Principal Amount | Value | |||
CONSUMER DISCRETIONARY - 1.4% | ||||
Auto Components - 0.7% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.4613% 3/13/09 (d) | $ 1,685,000 | $ 1,676,824 | ||
5.5413% 3/13/09 (d) | 1,800,000 | 1,788,192 | ||
3,465,016 | ||||
Media - 0.7% | ||||
Continental Cablevision, Inc. 9% 9/1/08 | 1,100,000 | 1,122,146 | ||
Viacom, Inc. 5.3406% 6/16/09 (d) | 2,000,000 | 1,984,994 | ||
3,107,140 | ||||
TOTAL CONSUMER DISCRETIONARY | 6,572,156 | |||
CONSUMER STAPLES - 0.5% | ||||
Food & Staples Retailing - 0.5% | ||||
CVS Caremark Corp. 5.4238% 6/1/10 (d) | 2,200,000 | 2,149,173 | ||
ENERGY - 1.1% | ||||
Energy Equipment & Services - 0.5% | ||||
Transocean, Inc. 5.3406% 9/5/08 (d) | 2,400,000 | 2,391,934 | ||
Oil, Gas & Consumable Fuels - 0.6% | ||||
Anadarko Petroleum Corp.: | ||||
3.25% 5/1/08 | 850,000 | 848,731 | ||
5.3906% 9/15/09 (d) | 2,045,000 | 1,998,452 | ||
2,847,183 | ||||
TOTAL ENERGY | 5,239,117 | |||
FINANCIALS - 4.8% | ||||
Capital Markets - 0.9% | ||||
Bear Stearns Companies, Inc. 4.3263% 7/19/10 (d) | 2,000,000 | 1,831,254 | ||
Lehman Brothers Holdings E-Capital Trust I 5.685% 8/19/65 (d) | 1,205,000 | 951,651 | ||
Lehman Brothers Holdings, Inc. 5.17% 5/25/10 (d) | 1,500,000 | 1,446,792 | ||
4,229,697 | ||||
Commercial Banks - 1.5% | ||||
Barclays Bank PLC 5.23% 5/25/15 (d) | 825,000 | 804,818 | ||
DBS Bank Ltd. (Singapore) 5.0975% 5/16/17 (a)(d) | 2,000,000 | 1,890,000 | ||
HBOS plc 5.14% 2/6/14 (d) | 305,000 | 299,509 | ||
HSBC Holdings PLC 4.8463% 10/6/16 (d) | 500,000 | 479,452 | ||
ING Bank NV 4.6269% 10/14/14 (d) | 440,000 | 428,710 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Manufacturers & Traders Trust Co. 3.85% 4/1/13 (a)(d) | $ 520,000 | $ 520,185 | ||
PNC Funding Corp. 3.3838% 1/31/12 (d) | 2,400,000 | 2,330,695 | ||
Sovereign Bank 4.375% 8/1/13 (b)(d) | 500,000 | 499,799 | ||
7,253,168 | ||||
Consumer Finance - 1.1% | ||||
Capital One Financial Corp. 5.4263% 9/10/09 (d) | 2,260,000 | 2,107,798 | ||
MBNA Capital I 8.278% 12/1/26 | 810,000 | 843,080 | ||
SLM Corp. 3.9444% 4/18/08 (a)(d) | 2,500,000 | 2,482,055 | ||
5,432,933 | ||||
Real Estate Investment Trusts - 0.4% | ||||
iStar Financial, Inc. 5.4963% 3/9/10 (d) | 2,000,000 | 1,780,628 | ||
Thrifts & Mortgage Finance - 0.9% | ||||
Capmark Financial Group, Inc. 5.5294% 5/10/10 (a)(d) | 2,000,000 | 1,561,240 | ||
Independence Community Bank Corp. 3.5% 6/20/13 (d) | 735,000 | 730,629 | ||
Washington Mutual, Inc. 5.17% 8/24/09 (d) | 2,250,000 | 2,070,257 | ||
4,362,126 | ||||
TOTAL FINANCIALS | 23,058,552 | |||
INFORMATION TECHNOLOGY - 0.4% | ||||
Semiconductors & Semiconductor Equipment - 0.4% | ||||
National Semiconductor Corp. 5.2406% 6/15/10 (d) | 1,710,000 | 1,661,528 | ||
TELECOMMUNICATION SERVICES - 0.7% | ||||
Diversified Telecommunication Services - 0.7% | ||||
Telecom Italia Capital SA 4.5613% 7/18/11 (d) | 2,750,000 | 2,637,696 | ||
Telefonos de Mexico SA de CV 4.5% 11/19/08 | 695,000 | 694,166 | ||
3,331,862 | ||||
UTILITIES - 0.8% | ||||
Electric Utilities - 0.2% | ||||
Commonwealth Edison Co. 3.7% 2/1/08 | 1,125,000 | 1,125,000 | ||
Gas Utilities - 0.2% | ||||
NiSource Finance Corp. 5.585% 11/23/09 (d) | 845,000 | 824,367 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
UTILITIES - continued | ||||
Multi-Utilities - 0.4% | ||||
Sempra Energy 4.75% 5/15/09 | $ 2,000,000 | $ 2,025,442 | ||
TOTAL UTILITIES | 3,974,809 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $47,967,566) | 45,987,197 | |||
Asset-Backed Securities - 28.4% | ||||
Accredited Mortgage Loan Trust: | ||||
Series 2004-2 Class A2, 3.6763% 7/25/34 (d)(g) | 223,892 | 202,734 | ||
Series 2004-4 Class A2D, 3.7263% 1/25/35 (d)(g) | 75,094 | 68,430 | ||
Series 2005-1 Class M1, 3.8463% 4/25/35 (d)(g) | 1,545,000 | 1,385,239 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE1: | ||||
Class M1, 4.0263% 11/25/33 (d)(g) | 113,099 | 98,588 | ||
Class M2, 5.0763% 11/25/33 (d)(g) | 41,062 | 37,964 | ||
Series 2003-HS1: | ||||
Class M1, 4.1263% 6/25/33 (d)(g) | 14,560 | 13,413 | ||
Class M2, 5.1263% 6/25/33 (d)(g) | 50,000 | 45,869 | ||
Series 2003-NC1 Class M1, 4.1563% 7/25/33 (d)(g) | 100,000 | 88,980 | ||
Series 2004-HE1 Class M1, 3.8763% 2/25/34 (d)(g) | 75,299 | 66,263 | ||
Series 2005-HE2 Class M3, 3.8563% 4/25/35 (d)(g) | 145,000 | 125,415 | ||
Series 2005-SD1 Class A1, 3.7763% 11/25/50 (d)(g) | 56,328 | 51,707 | ||
Series 2006-HE2: | ||||
Class A2C, 3.5363% 5/25/36 (d)(g) | 995,000 | 889,126 | ||
Class M3, 3.7163% 5/25/36 (d)(g) | 240,000 | 80,064 | ||
Class M4, 3.7763% 5/25/36 (d)(g) | 200,000 | 50,000 | ||
Class M5, 3.8163% 5/25/36 (d)(g) | 295,000 | 32,539 | ||
Advanta Business Card Master Trust: | ||||
Series 2004-C1 Class C, 4.9844% 9/20/13 (d) | 340,000 | 298,792 | ||
Series 2006-C1 Class C1, 4.4144% 10/20/14 (d) | 490,000 | 362,159 | ||
Series 2007-B1 Class B, 4.1844% 12/22/14 (d) | 1,725,000 | 1,367,580 | ||
Aesop Funding II LLC Series 2005-1A Class A2, 3.9944% 4/20/09 (a)(d) | 600,000 | 600,146 | ||
American Express Credit Account Master Trust | 310,739 | 310,319 | ||
AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10 | 2,500,000 | 2,510,158 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2003-1 Class M1, 4.7263% 2/25/33 (d)(g) | 449,680 | 411,228 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Ameriquest Mortgage Securities, Inc.: - continued | ||||
Series 2004-R11 Class M1, 4.0363% 11/25/34 (d)(g) | $ 560,000 | $ 505,764 | ||
Series 2004-R2: | ||||
Class M1, 3.8063% 4/25/34 (d)(g) | 85,000 | 79,509 | ||
Class M2, 3.8563% 4/25/34 (d)(g) | 75,000 | 70,539 | ||
Series 2004-R8 Class M9, 6.1263% 9/25/34 (d)(g) | 517,479 | 265,208 | ||
Series 2004-R9 Class M2, 4.0263% 10/25/34 (d)(g) | 720,000 | 636,018 | ||
Series 2005-R1: | ||||
Class M1, 3.8263% 3/25/35 (d)(g) | 770,000 | 695,044 | ||
Class M2, 3.8563% 3/25/35 (d)(g) | 260,000 | 231,497 | ||
Series 2005-R2 Class M1, 3.8263% 4/25/35 (d)(g) | 1,700,000 | 1,519,654 | ||
Series 2006-M3: | ||||
Class M7, 4.2263% 10/25/36 (d)(g) | 705,000 | 42,009 | ||
Class M9, 5.3763% 10/25/36 (d)(g) | 450,000 | 28,225 | ||
Amortizing Residential Collateral Trust Series 2002-BC1 Class M2, 4.4763% 1/25/32 (d)(g) | 20,448 | 4,102 | ||
ARG Funding Corp.: | ||||
Series 2005-1A Class A2, 4.0344% 4/20/09 (a)(d) | 750,000 | 749,551 | ||
Series 2005-2A Class A2, 4.0444% 5/20/09 (a)(d) | 533,333 | 533,011 | ||
Argent Securities, Inc.: | ||||
Series 2003-W3 Class M2, 6.665% 9/25/33 (d)(g) | 659,285 | 544,748 | ||
Series 2004-W5 Class M1, 3.9763% 4/25/34 (d)(g) | 1,420,000 | 1,253,600 | ||
Series 2004-W7: | ||||
Class M1, 3.9263% 5/25/34 (d)(g) | 305,000 | 265,774 | ||
Class M2, 3.9763% 5/25/34 (d)(g) | 250,000 | 221,008 | ||
Series 2006-W4: | ||||
Class A2C, 3.5363% 5/25/36 (d)(g) | 1,200,000 | 1,018,313 | ||
Class M3, 3.7163% 5/25/36 (d)(g) | 1,010,000 | 340,749 | ||
Arran Funding Ltd. Series 2005-A Class C, 4.5563% 12/15/10 (d) | 3,235,000 | 3,142,479 | ||
Asset Backed Funding Corp. Series 2006-OPT2 Class C7, 3.5263% 10/25/36 (d)(g) | 780,000 | 667,753 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE2 Class M1, 5.5863% 4/15/33 (d)(g) | 1,043,615 | 954,699 | ||
Series 2003-HE6 Class M1, 4.0263% 11/25/33 (d) (g) | 215,000 | 190,130 | ||
Series 2004-HE6 Class A2, 3.7363% 6/25/34 (d)(g) | 261,521 | 248,078 | ||
Series 2005-HE1 Class M1, 3.8763% 3/25/35 (d)(g) | 502,052 | 409,442 | ||
Series 2005-HE2: | ||||
Class M1, 3.8263% 3/25/35 (d)(g) | 1,006,478 | 885,700 | ||
Class M2, 3.8763% 3/25/35 (d)(g) | 275,000 | 248,805 | ||
Bank of America Credit Card Master Trust Series 2007-C2 Class C2, 4.5063% 9/17/12 (d) | 1,145,000 | 1,075,744 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Bank One Issuance Trust Series 2004-C1 Class C1, 4.7363% 11/15/11 (d) | $ 25,000 | $ 24,402 | ||
Bayview Financial Acquisition Trust Series 2004-C Class A1, 3.915% 5/28/44 (d)(g) | 306,389 | 288,149 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.96% 2/28/44 (d)(g) | 155,751 | 144,653 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2004-BO1: | ||||
Class M2, 4.1263% 9/25/34 (d)(g) | 390,000 | 265,969 | ||
Class M3, 4.4263% 9/25/34 (d)(g) | 265,000 | 167,262 | ||
Class M4, 4.5763% 9/25/34 (d)(g) | 225,000 | 118,031 | ||
Series 2004-HE9 Class M2, 4.5763% 11/25/34 (d) (g) | 490,000 | 389,893 | ||
Series 2005-HE2: | ||||
Class M1, 3.8763% 2/25/35 (d)(g) | 596,721 | 497,077 | ||
Class M2, 4.1263% 2/25/35 (d)(g) | 330,000 | 227,700 | ||
Capital Auto Receivables Asset Trust Series 2005-1 Class B, 4.6113% 6/15/10 (d) | 850,000 | 847,211 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2003-B6 Class B6, 4.7663% 9/15/11 (d) | 1,125,000 | 1,116,777 | ||
Series 2004-B1 Class B1, 4.6763% 11/15/11 (d) | 1,180,000 | 1,165,440 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 4.3844% 7/20/39 (a)(d) | 265,000 | 212,000 | ||
Class B, 4.6844% 7/20/39 (a)(d) | 140,000 | 105,000 | ||
Class C, 5.0344% 7/20/39 (a)(d) | 180,000 | 108,000 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1: | ||||
Class M7, 4.3263% 7/25/36 (d)(g) | 445,000 | 44,500 | ||
Class M9, 5.2763% 7/25/36 (d)(g) | 285,000 | 25,559 | ||
Series 2006-NC3 Class M10, 5.3763% 8/25/36 (a)(d)(g) | 125,000 | 16,250 | ||
Series 2007-RFC1 Class A3, 3.5163% 12/25/36 (d) (g) | 1,000,000 | 791,875 | ||
CDC Mortgage Capital Trust Series 2003-HE3 Class M1, 4.0763% 11/25/33 (d) (g) | 91,792 | 65,228 | ||
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 5.1288% 5/20/17 (a)(d) | 402,745 | 367,222 | ||
Chase Issuance Trust Series 2004-C3 Class C3, 4.7063% 6/15/12 (d) | 1,645,000 | 1,588,197 | ||
CIT Equipment Collateral Trust Series 2005-VT1: | ||||
Class C, 4.18% 11/20/12 | 167,331 | 167,292 | ||
Class D, 4.51% 11/20/12 | 209,796 | 209,626 | ||
Countrywide Home Loan Trust Series 2006-13N Class N, 7% 8/25/37 (a) (g) | 213,182 | 44,768 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2002-6 Class AV1, 3.8063% 5/25/33 (d) (g) | 19,052 | 17,903 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Countrywide Home Loans, Inc.: - continued | ||||
Series 2003-BC1 Class M2, 7.0553% 9/25/32 (d) (g) | $ 186,791 | $ 176,880 | ||
Series 2004-2 Class M1, 3.8763% 5/25/34 (d) (g) | 375,000 | 329,968 | ||
Series 2004-3: | ||||
Class 3A4, 3.6263% 8/25/34 (d) (g) | 1,273,720 | 1,167,046 | ||
Class M1, 3.8763% 6/25/34 (d) (g) | 100,000 | 88,566 | ||
Series 2004-4 Class M2, 3.9063% 6/25/34 (d) (g) | 276,165 | 230,872 | ||
Series 2005-1: | ||||
Class 1AV2, 3.5763% 7/25/35 (d) (g) | 187,009 | 174,503 | ||
Class MV1, 3.7763% 7/25/35 (d) (g) | 435,000 | 414,451 | ||
Class MV2, 3.8163% 7/25/35 (d) (g) | 525,000 | 496,943 | ||
Series 2005-AB1 Class A2, 3.5863% 8/25/35 (d) (g) | 1,017,367 | 975,559 | ||
CPS Auto Receivables Trust: | ||||
Series 2006-B Class A2, 5.71% 6/15/16 (a) | 412,489 | 412,811 | ||
Series 2006-C Class A2, 5.31% 3/15/10 (a) | 628,173 | 622,017 | ||
Discover Card Master Trust I: | ||||
Series 2003-4 Class B1, 4.5663% 5/16/11 (d) | 550,000 | 544,246 | ||
Series 2005-1 Class B, 4.3863% 9/16/10 (d) | 1,580,000 | 1,579,897 | ||
Series 2005-3 Class B, 4.4263% 5/15/11 (d) | 1,000,000 | 988,153 | ||
Series 2006-2 Class B1, 5.1475% 1/17/12 (d) | 2,000,000 | 1,949,160 | ||
DriveTime Auto Owner Trust Series 2006-B Class A2, 5.32% 3/15/10 (a) | 613,764 | 610,119 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5: | ||||
Class AB1, 5.0331% 5/28/35 (d) | 80,751 | 78,707 | ||
Class AB3, 3.677% 5/28/35 (d) | 32,052 | 30,661 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 4.8263% 8/25/34 (d) (g) | 1,500,000 | 1,226,622 | ||
Series 2006-2: | ||||
Class 2A2, 3.5463% 7/25/36 (d) (g) | 880,000 | 750,475 | ||
Class M1, 3.6863% 7/25/36 (d) (g) | 1,765,000 | 762,815 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2: | ||||
Class M3, 4.2013% 3/25/34 (d) (g) | 23,998 | 19,880 | ||
Class M4, 4.7263% 3/25/34 (d) (g) | 4,728 | 4,177 | ||
Series 2004-FF8 Class M3, 4.3263% 10/25/34 (d) (g) | 1,760,000 | 1,442,785 | ||
Series 2006-FF14 Class A5, 3.5363% 10/25/36 (d) (g) | 990,000 | 756,731 | ||
Series 2007-FF1 Class M1, 3.6063% 1/25/38 (d) (g) | 375,000 | 141,563 | ||
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (a) | 440,703 | 436,326 | ||
Ford Credit Floorplan Master Owner Trust: | ||||
Series 2005-1 Class B, 4.6763% 5/15/10 (d) | 1,110,000 | 1,110,213 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Ford Credit Floorplan Master Owner Trust: - continued | ||||
Series 2006-3: | ||||
Class A, 4.4163% 6/15/11 (d) | $ 990,000 | $ 970,132 | ||
Class B, 4.6863% 6/15/11 (d) | 1,405,000 | 1,362,995 | ||
Fosse Master Issuer PLC Series 2007-1A Class C2, 4.5013% 10/18/54 (a)(d) | 460,000 | 416,912 | ||
Franklin Auto Trust Series 2006-1 Class A2, 5.2% 10/20/09 | 52,852 | 52,913 | ||
Fremont Home Loan Trust: | ||||
Series 2003-B Class M6, 7.8763% 12/25/33 (d) (g) | 196,854 | 94,370 | ||
Series 2004-B Class M1, 3.9563% 5/25/34 (d) (g) | 205,000 | 183,045 | ||
Series 2004-C Class M1, 4.0263% 8/25/34 (d) (g) | 540,000 | 473,278 | ||
Series 2005-A: | ||||
Class M1, 3.8063% 1/25/35 (d) (g) | 225,000 | 207,374 | ||
Class M2, 3.8363% 1/25/35 (d) (g) | 325,000 | 306,220 | ||
Class M3, 3.8663% 1/25/35 (d) (g) | 175,000 | 161,855 | ||
Class M4, 4.0563% 1/25/35 (d) (g) | 125,000 | 109,833 | ||
Series 2006-A: | ||||
Class M3, 3.7563% 5/25/36 (d) (g) | 455,000 | 107,016 | ||
Class M4, 3.7763% 5/25/36 (d) (g) | 685,000 | 63,568 | ||
Class M5, 3.8763% 5/25/36 (d) (g) | 365,000 | 21,743 | ||
GCO Education Loan Funding Master Trust II | 960,000 | 970,724 | ||
GE Business Loan Trust Series 2003-1 Class A, 4.6663% 4/15/31 (a)(d) | 146,130 | 142,477 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2005-2 Class B, 4.4363% 6/15/11 (d) | 925,000 | 923,813 | ||
Series 2006-1: | ||||
Class B, 4.3463% 9/17/12 (d) | 585,000 | 568,381 | ||
Class C, 4.4763% 9/17/12 (d) | 455,000 | 436,134 | ||
GE Equipment Midticket LLC Series 2006-1 Class A2, 5.1% 5/15/09 | 376,911 | 377,624 | ||
Gracechurch Card Funding PLC: | ||||
Series 11 Class C, 4.5163% 11/15/10 (d) | 2,490,000 | 2,398,717 | ||
Series 8 Class C, 4.5663% 6/15/10 (d) | 2,650,000 | 2,604,129 | ||
Series 9: | ||||
Class B, 4.3863% 9/15/10 (d) | 485,000 | 474,999 | ||
Class C, 4.5463% 9/15/10 (d) | 1,800,000 | 1,748,304 | ||
GSAMP Trust: | ||||
Series 2002-NC1 Class A2, 4.0163% 7/25/32 (d) (g) | 2,606 | 1,924 | ||
Series 2003-FM1 Class M1, 5.1644% 3/20/33 (d) (g) | 490,778 | 434,343 | ||
Series 2004-FM1: | ||||
Class M1, 4.3513% 11/25/33 (d) (g) | 168,544 | 148,354 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
GSAMP Trust: - continued | ||||
Series 2004-FM1: | ||||
Class M2, 5.4763% 11/25/33 (d) (g) | $ 54,212 | $ 49,399 | ||
Series 2004-FM2 Class M1, 4.1263% 1/25/34 (d) (g) | 203,702 | 181,597 | ||
Series 2004-HE1: | ||||
Class M1, 3.9263% 5/25/34 (d) (g) | 289,483 | 251,574 | ||
Class M2, 4.5263% 5/25/34 (d) (g) | 140,799 | 120,895 | ||
Series 2006-HE5 Class M7, 4.2063% 8/25/36 (d) (g) | 1,495,000 | 152,128 | ||
Series 2006-NC2 Class M4, 3.7263% 6/25/36 (d) (g) | 1,541,000 | 203,874 | ||
Series 2007-HE1 Class M1, 3.6263% 3/25/47 (d) (g) | 335,000 | 141,437 | ||
Series 2007-NC1 Class M7, 4.3263% 12/25/46 (d) (g) | 3,390,000 | 253,384 | ||
GSR Mortgage Loan Trust: | ||||
Series 2005-6 Class A2, 3.5863% 6/25/35 (d) | 1,800,000 | 1,765,453 | ||
Series 2005-9 Class 2A1, 3.4963% 8/25/35 (d) | 224,000 | 223,889 | ||
Series 2005-HE2 Class M, 3.8063% 3/25/35 (d) (g) | 1,207,506 | 1,056,937 | ||
Series 2005-MTR1 Class A1, 3.5163% 10/25/35 (d) | 486,906 | 483,703 | ||
Series 2005-NC1 Class M1, 3.8263% 2/25/35 (d) (g) | 1,162,823 | 1,004,960 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 4.4563% 5/25/30 (a) (d) | 650,741 | 501,070 | ||
Series 2006-3: | ||||
Class B, 3.7763% 9/25/46 (a)(d) | 450,000 | 387,000 | ||
Class C, 3.9263% 9/25/46 (a)(d) | 1,150,000 | 920,000 | ||
Holmes Master Issuer PLC Series 2007-2A Class 1C, 4.4875% 7/15/40 (d) | 1,640,000 | 1,599,000 | ||
Home Equity Asset Trust: | ||||
Series 2002-3 Class A5, 4.2563% 2/25/33 (d) (g) | 14 | 14 | ||
Series 2003-1 Class M1, 4.8763% 6/25/33 (d) (g) | 524,845 | 481,447 | ||
Series 2003-3 Class M1, 4.6663% 8/25/33 (d) (g) | 320,568 | 293,543 | ||
Series 2003-4 Class M1, 4.5763% 10/25/33 (d) (g) | 96,601 | 75,349 | ||
Series 2003-5: | ||||
Class A2, 3.7263% 12/25/33 (d) (g) | 10,566 | 7,436 | ||
Class M1, 4.0763% 12/25/33 (d) (g) | 154,784 | 144,124 | ||
Class M2, 5.1063% 12/25/33 (d) (g) | 13,397 | 11,511 | ||
Series 2003-7: | ||||
Class A2, 3.7563% 3/25/34 (d)(g) | 2,079 | 2,080 | ||
Class M1, 4.0263% 3/25/34 (d)(g) | 795,000 | 689,964 | ||
Series 2003-8 Class M1, 4.4563% 4/25/34 (d) (g) | 192,210 | 165,598 | ||
Series 2005-1 Class M1, 3.8063% 5/25/35 (d) (g) | 1,270,000 | 1,183,012 | ||
Series 2005-2: | ||||
Class 2A2, 3.5763% 7/25/35 (d) (g) | 13,151 | 12,944 | ||
Class M1, 3.8263% 7/25/35 (d) (g) | 890,000 | 741,692 | ||
Series 2007-3 Class 2A3, 3.6163% 8/25/37 (d) (g) | 2,015,000 | 1,568,553 | ||
Household Home Equity Loan Trust Series 2004-1 Class M, 4.4788% 9/20/33 (d) (g) | 85,127 | 82,772 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 4.4188% 1/20/35 (d) (g) | $ 160,927 | $ 143,147 | ||
Class M2, 4.4488% 1/20/35 (d) (g) | 119,801 | 104,374 | ||
Series 2005-3: | ||||
Class A1, 4.2188% 1/20/35 (d) (g) | 368,443 | 337,702 | ||
Class M1, 4.3788% 1/20/35 (d) (g) | 216,353 | 192,920 | ||
Series 2006-2: | ||||
Class M1, 4.5063% 3/20/36 (d) (g) | 540,113 | 292,093 | ||
Class M2, 4.5263% 3/20/36 (d) (g) | 891,667 | 456,177 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class M1, 3.6763% 1/25/37 (d) (g) | 1,025,000 | 494,050 | ||
IXIS Real Estate Capital Trust Series 2005-HE1 Class M1, 3.8463% 6/25/35 (d) (g) | 492,536 | 430,336 | ||
Keycorp Student Loan Trust Series 1999-A Class A2, 5.53% 12/27/09 (d) | 163,207 | 163,965 | ||
Long Beach Auto Receivables Trust Series 2006-B Class A2, 5.34% 11/15/09 | 276,876 | 277,025 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-2 Class M1, 4.6063% 6/25/33 (d) (g) | 423,002 | 384,786 | ||
Series 2003-3 Class M1, 4.1263% 7/25/33 (d) (g) | 337,423 | 253,068 | ||
Series 2005-1 Class M2, 3.9063% 2/25/35 (d) (g) | 1,410,000 | 1,267,452 | ||
Series 2005-WL1 Class M2, 3.9263% 6/25/35 (d) (g) | 660,000 | 583,440 | ||
Series 2006-6 Class M4, 3.7363% 7/25/36 (d) (g) | 425,000 | 27,625 | ||
Series 2006-7 Class M10, 5.8763% 8/25/36 (d) (g) | 675,000 | 44,900 | ||
MASTR Asset Backed Securities Trust Series 2004-HE1 Class M1, 4.0263% 9/25/34 (d) (g) | 685,000 | 614,859 | ||
MBNA Credit Card Master Note Trust Series 2003-B2 Class B2, 4.6263% 10/15/10 (d) | 125,000 | 125,100 | ||
MBNA Master Credit Card Trust II Series 1998-E Class B, 5.5725% 9/15/10 (d) | 200,000 | 200,485 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M2, 4.2013% 7/25/34 (d) (g) | 3,764 | 2,237 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2004-FM1 Class M2, 4.5263% 1/25/35 (d) (g) | 51,018 | 45,111 | ||
Series 2004-HE2 Class A1B, 3.8463% 8/25/35 (d) (g) | 39,863 | 34,968 | ||
Series 2006-FM1 Class A2B, 3.4863% 4/25/37 (d) (g) | 1,055,000 | 994,502 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2002-HE3 Class M1, 5.0263% 12/27/32 (d) (g) | 94,285 | 86,725 | ||
Series 2003-NC10 Class M1, 4.3963% 10/25/33 (d) (g) | 792,708 | 704,205 | ||
Series 2003-NC8 Class M1, 4.4263% 9/25/33 (d) (g) | 119,992 | 107,573 | ||
Series 2004-HE6 Class A2, 3.7163% 8/25/34 (d) (g) | 65,756 | 59,476 | ||
Series 2004-NC2 Class M1, 3.9263% 12/25/33 (d) (g) | 347,703 | 299,220 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Morgan Stanley ABS Capital I Trust: - continued | ||||
Series 2005-1 Class M2, 3.8463% 12/25/34 (d) (g) | $ 570,000 | $ 512,787 | ||
Series 2005-HE1: | ||||
Class M1, 3.8263% 12/25/34 (d) (g) | 150,000 | 124,853 | ||
Class M2, 3.8463% 12/25/34 (d) (g) | 385,000 | 331,226 | ||
Series 2005-HE2: | ||||
Class M1, 3.7763% 1/25/35 (d) (g) | 370,000 | 309,283 | ||
Class M2, 3.8163% 1/25/35 (d) (g) | 265,000 | 231,489 | ||
Series 2005-NC1: | ||||
Class M1, 3.8163% 1/25/35 (d) (g) | 325,000 | 272,929 | ||
Class M2, 3.8463% 1/25/35 (d) (g) | 325,000 | 283,951 | ||
Class M3, 3.8863% 1/25/35 (d) (g) | 325,000 | 281,750 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC1 Class M2, 4.9813% 10/25/31 (d) (g) | 7,003 | 5,791 | ||
Series 2001-NC4 Class M1, 4.8763% 1/25/32 (d) (g) | 11,106 | 10,529 | ||
Series 2002-AM3 Class A3, 4.3563% 2/25/33 (d) (g) | 14,114 | 11,918 | ||
Series 2002-NC3 Class M1, 4.4563% 8/25/32 (d) (g) | 92,830 | 85,118 | ||
Navistar Financial Dealer Note Master Trust Series 2005-1 Class A, 3.4863% 2/25/13 (d) | 2,050,000 | 1,982,956 | ||
New Century Home Equity Loan Trust Series 2005-1: | ||||
Class M1, 3.8263% 3/25/35 (d) (g) | 595,000 | 490,059 | ||
Class M2, 3.8563% 3/25/35 (d) (g) | 595,000 | 516,429 | ||
Class M3, 3.8963% 3/25/35 (d) (g) | 290,000 | 250,945 | ||
Nomura Home Equity Loan Trust Series 2006-HE3: | ||||
Class M7, 4.1763% 7/25/36 (d) (g) | 485,000 | 42,283 | ||
Class M8, 4.3263% 7/25/36 (d) (g) | 340,000 | 22,361 | ||
Class M9, 5.2263% 7/25/36 (d) (g) | 490,000 | 29,792 | ||
NovaStar Mortgage Funding Trust: | ||||
Series 2003-3 Class A3, 3.8263% 12/25/33 (d) (g) | 41,604 | 36,986 | ||
Series 2007-1 Class A2C, 3.5563% 3/25/37 (d) (g) | 805,000 | 631,120 | ||
Ocala Funding LLC Series 2006-1A Class A, 5.3344% 3/20/11 (a) (d) | 965,000 | 778,031 | ||
Option One Mortgage Loan Trust Series 2003-6 Class M1, 4.0263% 11/25/33 (d) (g) | 960,358 | 835,031 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M1, 4.0063% 9/25/34 (d) (g) | 815,000 | 781,912 | ||
Class M2, 4.0563% 9/25/34 (d) (g) | 160,000 | 138,215 | ||
Class M3, 4.6263% 9/25/34 (d) (g) | 310,000 | 252,733 | ||
Class M4, 4.8263% 9/25/34 (d) (g) | 435,000 | 176,610 | ||
Series 2004-WWF1: | ||||
Class A5, 3.8463% 1/25/35 (d) (g) | 3 | 2 | ||
Class M4, 4.4763% 1/25/35 (d) (g) | 945,000 | 838,627 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Park Place Securities, Inc.: - continued | ||||
Series 2005-WCH1: | ||||
Class M2, 3.8963% 1/25/35 (d) (g) | $ 1,130,000 | $ 997,564 | ||
Class M3, 3.9363% 1/25/35 (d) (g) | 425,000 | 366,520 | ||
Class M5, 4.2563% 1/25/35 (d) (g) | 400,000 | 315,418 | ||
Series 2005-WHQ1 Class M7, 4.6263% 3/25/35 (d) (g) | 910,000 | 341,182 | ||
Providian Master Note Trust: | ||||
Series 2005-2 Class C2, 4.7363% 11/15/12 (a) (d) | 2,160,000 | 2,026,253 | ||
Series 2006-C1A Class C1, 5.5775% 3/16/15 (a) (d) | 2,465,000 | 2,038,536 | ||
Residential Asset Mortgage Products, Inc.: | ||||
Series 2004-RS6 Class 2M3, 4.8263% 6/25/34 (d) (g) | 77,554 | 31,797 | ||
Series 2005-SP2 Class 1A1, 3.5263% 5/25/44 (d) (g) | 22,908 | 22,530 | ||
Series 2007-RZ1 Class A2, 3.5363% 2/25/37 (d) | 1,200,000 | 1,018,452 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 4.1763% 4/25/33 (d) (g) | 1,451 | 1,308 | ||
Saxon Asset Securities Trust: | ||||
Series 2004-1 Class M1, 4.1713% 3/25/35 (d) (g) | 640,000 | 563,833 | ||
Series 2007-1 Class A2C, 3.5263% 2/25/37 (d) (g) | 1,000,000 | 836,719 | ||
Sierra Timeshare Receivables Fund LLC Series 2006-1A Class A2, 4.0844% 5/20/18 (a) (d) | 1,679,015 | 1,590,244 | ||
Sovereign Dealer Floor Plan Master LLC Series 2006-1: | ||||
Class B, 4.4163% 8/15/11 (a) (d) | 1,140,000 | 1,079,911 | ||
Class C, 4.6163% 8/15/11 (a) (d) | 520,000 | 484,879 | ||
Specialty Underwriting & Residential Finance Trust: | ||||
Series 2003-BC3 Class M1, 4.0263% 8/25/34 (d) (g) | 1,000,000 | 944,000 | ||
Series 2003-BC4 Class M1, 3.9763% 11/25/34 (d) (g) | 260,000 | 223,365 | ||
Structured Asset Corp. Trust Series 2006-BC6 Class A4, 3.5463% 1/25/37 (d) (g) | 1,215,000 | 974,278 | ||
Structured Asset Investment Loan Trust: | ||||
Series 2003-BC9 Class M1, 4.0763% 8/25/33 (d) (g) | 1,135,000 | 1,060,493 | ||
Series 2004-8 Class M5, 4.5263% 9/25/34 (d) (g) | 290,000 | 260,710 | ||
Series 2005-1 Class M4, 4.1363% 2/25/35 (a) (d) (g) | 485,000 | 363,006 | ||
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 3.7363% 2/25/34 (d) (g) | 25,222 | 20,304 | ||
Superior Wholesale Inventory Financing Trust: | ||||
Series 2004-A10: | ||||
Class A, 4.3363% 9/15/11 (d) | 2,735,000 | 2,649,665 | ||
Class B, 4.5163% 9/15/11 (d) | 1,625,000 | 1,381,250 | ||
Series 2007-AE1: | ||||
Class A, 5.1275% 1/15/12 (d) | 400,000 | 385,838 | ||
Class B, 5.3275% 1/15/12 (d) | 335,000 | 321,313 | ||
Class C, 5.6275% 1/15/12 (d) | 420,000 | 294,000 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 4.6863% 3/15/11 (a) (d) | $ 675,000 | $ 656,223 | ||
Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 5.4363% 6/15/10 (d) | 980,000 | 907,724 | ||
Swift Master Auto Receivables Trust Series 2007-1: | ||||
Class A, 5.1275% 6/15/12 (d) | 1,015,000 | 998,243 | ||
Class B, 5.2475% 6/15/12 (d) | 790,000 | 763,361 | ||
Class C, 5.5275% 6/15/12 (d) | 470,000 | 449,161 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 3.8063% 9/25/34 (d) (g) | 21,802 | 20,607 | ||
Series 2003-6HE Class A1, 3.8463% 11/25/33 (d) (g) | 17,086 | 15,735 | ||
Turquoise Card Backed Securities PLC Series 2006-1A Class C, 4.5663% 5/16/11 (a)(d) | 2,165,000 | 2,093,284 | ||
UPFC Auto Receivables Trust Series 2007-A Class A2, 5.46% 6/15/10 | 1,103,871 | 1,088,307 | ||
WaMu Master Note Trust: | ||||
Series 2006-A3A Class A3, 5.0575% 9/16/13 (a) (d) | 3,025,000 | 2,979,244 | ||
Series 2007-C1 Class C1, 5.4275% 5/15/14 (a) (d) | 1,595,000 | 1,378,989 | ||
WFS Financial Owner Trust: | ||||
Series 2004-3 Class D, 4.07% 2/17/12 | 72,027 | 71,980 | ||
Series 2004-4 Class D, 3.58% 5/17/12 | 74,195 | 73,994 | ||
Series 2005-1 Class D, 4.09% 8/15/12 | 121,816 | 122,053 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 5.9838% 10/25/44 (a)(d) | 1,095,215 | 907,495 | ||
World Omni Auto Receivables Trust Series 2007-B Class A2B, 5.3475% 2/16/10 (d) | 185,000 | 184,706 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $164,646,091) | 135,277,223 | |||
Collateralized Mortgage Obligations - 17.6% | ||||
Private Sponsor - 16.6% | ||||
American Home Mortgage Assets Trust floater Series 2006-1 Class 2A1, 3.5663% 5/25/46 (d) | 881,824 | 828,160 | ||
Arkle Master Issuer PLC floater Series 2007-1A Class 1C, 5.165% 2/17/52 (a)(c)(d) | 1,625,000 | 1,608,263 | ||
Banc of America Mortgage Securities, Inc. Series 2003-I Class 2A6, 4.1498% 10/25/33 (c)(d) | 4,245,000 | 4,227,794 | ||
Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.0785% 8/25/35 (d) | 1,312,429 | 1,286,914 | ||
Bear Stearns Alt-A Trust floater: | ||||
Series 2005-1 Class A1, 3.6563% 1/25/35 (d) | 842,473 | 819,837 | ||
Series 2005-2 Class 1A1, 3.6263% 3/25/35 (d) | 498,261 | 491,305 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A3, 4.3775% 8/25/34 (d) | $ 1,958,270 | $ 1,935,983 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-2 Class 7A3, 3.7763% 2/25/35 (d) | 201,511 | 200,692 | ||
Series 2004-4 Class 5A2, 3.7763% 3/25/35 (d) | 49,949 | 48,188 | ||
Series 2005-1 Class 5A2, 3.7063% 5/25/35 (d) | 147,304 | 137,291 | ||
Series 2005-10 Class 5A2, 3.6963% 1/25/36 (d) | 881,928 | 704,502 | ||
Series 2005-2: | ||||
Class 6A2, 3.6563% 6/25/35 (d) | 50,504 | 48,159 | ||
Class 6M2, 3.8563% 6/25/35 (d) | 1,375,000 | 1,313,672 | ||
Series 2005-3 Class 8A2, 3.6163% 7/25/35 (d) | 648,734 | 633,941 | ||
Series 2005-5 Class 6A2, 3.6063% 9/25/35 (d) | 530,823 | 491,639 | ||
Series 2005-8 Class 7A2, 3.6563% 11/25/35 (d) | 396,788 | 386,710 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR2 Class 6A1, 3.7763% 3/25/34 (d) | 5,488 | 5,439 | ||
Series 2004-AR3 Class 6A2, 3.7463% 4/25/34 (d) | 4,352 | 4,211 | ||
Series 2004-AR5 Class 11A2, 3.7463% 6/25/34 (d) | 23,582 | 23,253 | ||
Series 2004-AR6 Class 9A2, 3.7463% 10/25/34 (d) | 34,813 | 34,390 | ||
Series 2004-AR7 Class 6A2, 3.7563% 8/25/34 (d) | 66,624 | 64,042 | ||
Series 2004-AR8 Class 8A2, 3.7563% 9/25/34 (d) | 37,512 | 34,510 | ||
CWALT, Inc. floater Series 2005-56 Class 3A1, 3.6663% 11/25/35 (d) | 308,380 | 292,446 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 3.5363% 3/25/37 (d) | 1,375,000 | 1,202,923 | ||
First Franklin Mortgage Loan Trust floater Series 2006-FF13: | ||||
Class M7, 4.1263% 10/25/36 (d) (g) | 1,205,000 | 87,578 | ||
Class M8, 4.3263% 10/25/36 (d) (g) | 525,000 | 36,006 | ||
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 5.0275% 12/25/34 (d) | 60,754 | 60,269 | ||
Gracechurch Mortgage Funding PLC floater Series 1A: | ||||
Class A2B, 4.5125% 10/11/41 (a)(d) | 1,621,206 | 1,583,027 | ||
Class CB, 4.7225% 10/11/41 (a)(d) | 260,000 | 228,410 | ||
Class DB, 4.9125% 10/11/41 (a)(d) | 1,060,000 | 850,544 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-2 Class C1, 5.4488% 12/20/54 (d) | 1,610,000 | 1,440,789 | ||
Series 2005-4 Class A3, 5.0188% 12/20/54 (d) | 1,354,621 | 1,346,357 | ||
Series 2006-1A: | ||||
Class A5, 5.0188% 12/20/54 (a)(d) | 998,826 | 962,169 | ||
Class C2, 5.5488% 12/20/54 (a)(d) | 1,545,000 | 927,000 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Granite Master Issuer PLC floater: - continued | ||||
Series 2006-3 Class C2, 4.4263% 12/20/54 (d) | $ 820,000 | $ 492,000 | ||
Series 2006-4: | ||||
Class B1, 5.4288% 12/20/54 (d) | 1,250,000 | 1,093,750 | ||
Class C1, 5.0963% 12/20/54 (d) | 765,000 | 585,225 | ||
Class M1, 5.0988% 12/20/54 (d) | 330,000 | 280,500 | ||
Series 2007-1: | ||||
Class 1C1, 5.3563% 12/20/54 (d) | 555,000 | 424,076 | ||
Class 1M1, 5.036% 12/20/54 (d) | 500,000 | 428,250 | ||
Class 2B1, 6.3138% 12/20/54 (d) | 535,000 | 426,716 | ||
Class 2C1, 5.0463% 12/20/54 (d) | 295,000 | 170,687 | ||
Class 2M1, 5.0763% 12/20/54 (d) | 645,000 | 466,787 | ||
GSR Mortgage Loan Trust: | ||||
floater Series 2004-11 Class 2A1, 5.195% 12/20/34 (d) | 506,028 | 477,240 | ||
Series 2006-AR2 Class 4A1, 5.8396% 4/25/36 (d) | 2,957,473 | 2,990,806 | ||
Holmes Financing No. 10 PLC floater Series 10A: | ||||
Class 2A, 4.2875% 7/15/40 (a)(d) | 1,040,000 | 1,039,874 | ||
Class 2C, 4.6075% 7/15/40 (a)(d) | 886,364 | 877,996 | ||
Holmes Financing No. 9 PLC floater Class 2A, 4.3175% 7/15/13 (d) | 2,780,000 | 2,757,732 | ||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 3.8263% 10/25/34 (d) | 323,199 | 316,935 | ||
HSI Asset Securitization Corp. Trust floater Series 2007-OPT1 Class M1, 3.6063% 12/25/36 (d) (g) | 670,000 | 261,635 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 3.7463% 3/25/35 (d) | 256,104 | 236,026 | ||
Series 2004-6 Class 1A2, 4.1563% 10/25/34 (d) | 73,755 | 69,229 | ||
Series 2005-1: | ||||
Class M1, 3.8363% 4/25/35 (d) | 136,174 | 120,099 | ||
Class M2, 3.8763% 4/25/35 (d) | 240,812 | 208,056 | ||
Class M3, 3.9063% 4/25/35 (d) | 58,769 | 48,932 | ||
Class M4, 4.1263% 4/25/35 (d) | 35,835 | 18,097 | ||
Class M5, 4.1463% 4/25/35 (d) | 35,835 | 17,380 | ||
Class M6, 4.1963% 4/25/35 (d) | 55,902 | 25,995 | ||
Series 2005-2 Class 1A2, 3.6863% 4/25/35 (d) | 601,910 | 558,159 | ||
Series 2005-4 Class 1B1, 4.6763% 5/25/35 (d) | 238,079 | 105,648 | ||
Series 2005-7: | ||||
Class M1, 3.8563% 11/25/35 (d) | 129,150 | 101,375 | ||
Class M2, 3.8963% 11/25/35 (d) | 96,863 | 72,751 | ||
Class M3, 3.9963% 11/25/35 (d) | 484,313 | 244,578 | ||
Class M4, 4.0363% 11/25/35 (d) | 231,394 | 112,226 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
JPMorgan Mortgage Trust Series 2006-A2 Class 5A1, 3.7551% 11/25/33 (d) | $ 2,870,775 | $ 2,832,252 | ||
Kildare Securities Ltd. floater Series 2007-1 Class A2, 5.2063% 12/10/43 (a)(d) | 865,000 | 849,841 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 3.675% 9/26/45 (a)(d) | 466,314 | 464,496 | ||
Lehman XS Trust floater: | ||||
Series 2006-12N Class A1A1, 3.4563% 8/25/46 (d) | 849,356 | 843,782 | ||
Series 2006-GP1 Class A1, 3.4213% 5/25/46 (d) | 737,908 | 729,805 | ||
MASTR Adjustable Rate Mortgages Trust floater: | ||||
Series 2004-11: | ||||
Class 1A4, 3.8663% 11/25/34 (d) | 28,840 | 26,087 | ||
Class 2A1, 3.7563% 11/25/34 (d) | 27,340 | 26,078 | ||
Class 2A2, 3.8163% 11/25/34 (d) | 6,019 | 5,690 | ||
Series 2005-1 Class 1A1, 3.6463% 3/25/35 (d) | 76,028 | 75,667 | ||
MASTR Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2417% 8/25/17 (d) | 358,461 | 376,086 | ||
Merrill Lynch Mortgage Investors Trust floater: | ||||
Series 2003-A: | ||||
Class 2A1, 3.7663% 3/25/28 (d) | 69,241 | 66,922 | ||
Class 2A2, 5.8413% 3/25/28 (d) | 24,729 | 23,825 | ||
Series 2003-B Class A1, 3.7163% 4/25/28 (d) | 72,331 | 70,642 | ||
Series 2003-D Class A, 3.6863% 8/25/28 (d) | 334,331 | 329,707 | ||
Series 2003-E Class A2, 5.7613% 10/25/28 (d) | 126,434 | 120,749 | ||
Series 2003-F Class A2, 5.7713% 10/25/28 (d) | 131,316 | 128,318 | ||
Series 2004-A Class A2, 5.345% 4/25/29 (d) | 173,712 | 171,037 | ||
Series 2004-B Class A2, 5.65% 6/25/29 (d) | 147,937 | 145,201 | ||
Series 2004-C Class A2, 5.68% 7/25/29 (d) | 206,909 | 206,233 | ||
Series 2004-D Class A2, 5.455% 9/25/29 (d) | 224,825 | 209,861 | ||
Series 2004-E Class A2D, 5.645% 11/25/29 (d) | 262,337 | 261,685 | ||
Series 2004-G Class A2, 5.0275% 11/25/29 (d) | 83,205 | 77,473 | ||
Series 2005-A Class A2, 5.6813% 2/25/30 (d) | 238,439 | 234,152 | ||
Series 2005-B Class A2, 5.085% 7/25/30 (d) | 228,258 | 225,099 | ||
Series 2006-MLN1 Class M4, 3.7363% 7/25/37 (d) (g) | 1,015,000 | 107,819 | ||
MortgageIT Trust floater Series 2004-2: | ||||
Class A1, 3.7463% 12/25/34 (d) | 290,163 | 277,402 | ||
Class A2, 3.8263% 12/25/34 (d) | 391,936 | 372,408 | ||
Opteum Mortgage Acceptance Corp. floater: | ||||
Series 2005-3 Class APT, 3.6663% 7/25/35 (d) | 1,200,269 | 963,576 | ||
Series 2005-5 Class 1A1B, 3.5763% 12/25/35 (d) | 920,000 | 896,001 | ||
Option One Mortgage Loan Trust floater | 980,000 | 521,360 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Permanent Financing No. 3 PLC floater Series 2006-3 Class 3A, 5.3263% 9/10/33 (d) | $ 2,495,000 | $ 2,492,463 | ||
Permanent Financing No. 5 PLC floater Series 3 Class C, 5.9463% 6/10/42 (d) | 1,030,000 | 993,950 | ||
Permanent Financing No. 8 PLC floater: | ||||
Class 2A, 5.2163% 6/10/14 (d) | 2,945,000 | 2,943,878 | ||
Class 3C, 5.6663% 6/10/42 (d) | 910,000 | 818,818 | ||
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 4.66% 7/17/42 (d) | 2,645,000 | 2,451,688 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.8478% 10/25/35 (d) | 792,209 | 785,311 | ||
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 3.4763% 9/25/46 (d) | 1,585,193 | 1,540,114 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 142,083 | 145,932 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 42,197 | 44,104 | ||
Series 2005-AR5 Class 1A1, 4.7924% 9/19/35 (d) | 394,356 | 392,423 | ||
Residential Funding Securities Corp. floater | 64,028 | 51,242 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2003-5 Class A2, 5.72% 9/20/33 (d) | 121,046 | 121,026 | ||
Series 2004-1 Class A, 5.6825% 2/20/34 (d) | 88,563 | 87,309 | ||
Series 2004-10 Class A4, 5.7006% 11/20/34 (d) | 223,326 | 221,899 | ||
Series 2004-12 Class 1A2, 5.69% 1/20/35 (d) | 419,577 | 407,784 | ||
Series 2004-4 Class A, 5.6206% 5/20/34 (d) | 279,973 | 278,074 | ||
Series 2004-5 Class A3, 4.53% 6/20/34 (d) | 110,018 | 109,606 | ||
Series 2004-6: | ||||
Class A3A, 5.6975% 6/20/35 (d) | 109,759 | 105,045 | ||
Class A3B, 5.84% 7/20/34 (d) | 219,517 | 205,653 | ||
Series 2004-7: | ||||
Class A3A, 5.7038% 8/20/34 (d) | 146,726 | 139,133 | ||
Class A3B, 5.9288% 7/20/34 (d) | 284,904 | 263,495 | ||
Series 2004-8 Class A2, 5.755% 9/20/34 (d) | 433,893 | 430,042 | ||
Series 2005-1 Class A2, 5.6325% 2/20/35 (d) | 249,291 | 241,304 | ||
Series 2005-2 Class A2, 5.6288% 3/20/35 (d) | 394,886 | 391,004 | ||
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 4.1763% 9/25/36 (d) (g) | 330,000 | 34,650 | ||
Structured Asset Securities Corp. floater: | ||||
Series 2004-NP1 Class A, 3.7763% 9/25/33 (a) (d) | 72,424 | 70,569 | ||
Series 2005-AR1 Class B1, 5.3763% 9/25/35 (a) (d) (g) | 1,155,000 | 92,400 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Structured Asset Securities Corp. floater: - continued | ||||
Series 2007-GEL1 Class A2, 3.5663% 1/25/37 (a)(d) (g) | $ 1,000,000 | $ 775,625 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 3.5313% 9/25/36 (d) | 2,255,000 | 2,219,855 | ||
Thornburg Mortgage Securities Trust floater: | ||||
Series 2004-3 Class A, 3.7463% 9/25/34 (d) | 1,089,506 | 1,069,583 | ||
Series 2005-3 Class A4, 3.6463% 10/25/35 (d) | 1,940,396 | 1,935,810 | ||
WaMu Mortgage pass-thru certificates: | ||||
floater Series 2006-AR11 Class C1B1, 3.4563% 9/25/46 (d) | 366,253 | 363,537 | ||
sequential payer: | ||||
Series 2002-S6 Class A25, 6% 10/25/32 | 82,583 | 82,857 | ||
Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | 41,454 | 44,336 | ||
Series 2003-AR10 Class A7, 4.0558% 10/25/33 (d) | 690,000 | 678,104 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2005-AR10 Class 2A2, 4.1092% 6/25/35 (d) | 3,817,861 | 3,789,018 | ||
Series 2005-AR12 Class 2A1, 4.3226% 7/25/35 (d) | 1,204,724 | 1,200,733 | ||
TOTAL PRIVATE SPONSOR | 79,032,801 | |||
U.S. Government Agency - 1.0% | ||||
Fannie Mae: | ||||
floater Series 2002-89 Class F, 3.6763% 1/25/33 (d) | 73,346 | 73,129 | ||
planned amortization class Series 1993-207 Class G, 6.15% 4/25/23 | 157,925 | 158,307 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2001-38 Class QF, 4.3563% 8/25/31 (d) | 662,129 | 674,046 | ||
Series 2002-36 Class FT, 3.8763% 6/25/32 (d) | 101,968 | 102,106 | ||
Series 2002-60 Class FV, 4.3763% 4/25/32 (d) | 244,713 | 249,301 | ||
Series 2002-64 Class FE, 4.3394% 10/18/32 (d) | 50,594 | 50,607 | ||
Series 2002-74 Class FV, 3.8263% 11/25/32 (d) | 65,629 | 65,714 | ||
Series 2002-75 Class FA, 4.3763% 11/25/32 (d) | 501,292 | 510,094 | ||
Series 2003-11: | ||||
Class DF, 3.8263% 2/25/33 (d) | 48,166 | 48,160 | ||
Class EF, 3.8263% 2/25/33 (d) | 18,697 | 18,701 | ||
Series 2004-54 Class FE, 4.5263% 2/25/33 (d) | 508,219 | 511,713 | ||
planned amortization class Series 2002-52 Class PA, 6% 4/25/31 | 706 | 704 | ||
Freddie Mac planned amortization class Series 2162 Class PH, 6% 6/15/29 | 1,083,932 | 1,123,120 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2389 Class DA, 5.1363% 11/15/30 (c)(d) | $ 461,623 | $ 462,425 | ||
Series 2526 Class FC, 4.6363% 11/15/32 (d) | 12,183 | 12,197 | ||
Series 2551 Class FH, 4.6863% 1/15/33 (d) | 44,717 | 44,740 | ||
Series 3066 Class HF, 0% 1/15/34 (d) | 36,333 | 38,067 | ||
planned amortization class Series 2543 Class PM, 5.5% 8/15/18 | 113,463 | 113,426 | ||
Series 1803 Class A, 6% 12/15/08 | 88,386 | 88,607 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
floater Series 2001-21 Class FB, 4.4813% 1/16/27 (d) | 77,265 | 77,324 | ||
planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31 | 78,046 | 78,568 | ||
TOTAL U.S. GOVERNMENT AGENCY | 4,501,056 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $93,106,669) | 83,533,857 | |||
Commercial Mortgage Securities - 9.8% | ||||
Banc of America Large Loan, Inc. floater: | ||||
Series 2003-BBA2 Class K, 6.8363% 11/15/15 (a)(d) | 61,614 | 61,176 | ||
Series 2005-MIB1: | ||||
Class C, 4.5463% 3/15/22 (a)(d) | 200,000 | 195,058 | ||
Class D, 4.5963% 3/15/22 (a)(d) | 205,000 | 195,529 | ||
Class E, 4.6363% 3/15/22 (a)(d) | 390,000 | 367,707 | ||
Class F, 4.7063% 3/15/22 (a)(d) | 200,000 | 186,645 | ||
Class G, 4.7663% 3/15/22 (a)(d) | 130,000 | 121,068 | ||
Series 2006-BIX1: | ||||
Class E, 4.4763% 10/15/19 (a)(d) | 170,000 | 160,290 | ||
Class F, 4.5463% 10/15/19 (a)(d) | 325,000 | 307,181 | ||
Class G, 4.5663% 10/15/19 (a)(d) | 125,000 | 118,228 | ||
Class JCP, 4.7363% 10/15/19 (a)(d) | 4,700 | 4,204 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2004-1: | ||||
Class A, 3.7363% 4/25/34 (a)(d) | 214,030 | 199,048 | ||
Class B, 5.2763% 4/25/34 (a)(d) | 35,672 | 29,156 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2004-2: | ||||
Class A, 3.8063% 8/25/34 (a)(d) | $ 265,587 | $ 247,992 | ||
Class M1, 3.9563% 8/25/34 (a)(d) | 85,071 | 78,319 | ||
Series 2004-3: | ||||
Class A2, 3.7963% 1/25/35 (a)(d) | 47,222 | 43,319 | ||
Class M1, 3.8763% 1/25/35 (a)(d) | 70,834 | 64,547 | ||
Class M2, 4.3763% 1/25/35 (a)(d) | 47,222 | 41,586 | ||
Series 2005-2A: | ||||
Class A1, 3.6863% 8/25/35 (a)(d) | 681,520 | 635,387 | ||
Class M1, 3.8063% 8/25/35 (a)(d) | 123,006 | 120,008 | ||
Class M2, 3.8563% 8/25/35 (a)(d) | 206,118 | 199,935 | ||
Class M3, 3.8763% 8/25/35 (a)(d) | 113,033 | 108,123 | ||
Class M4, 3.9863% 8/25/35 (a)(d) | 103,059 | 97,487 | ||
Series 2005-3A: | ||||
Class A1, 3.6963% 11/25/35 (a)(d) | 585,741 | 564,652 | ||
Class A2, 3.7763% 11/25/35 (a)(d) | 240,572 | 219,748 | ||
Class M1, 3.8163% 11/25/35 (a)(d) | 83,677 | 80,226 | ||
Class M2, 3.8663% 11/25/35 (a)(d) | 115,056 | 110,939 | ||
Class M3, 3.8863% 11/25/35 (a)(d) | 104,597 | 99,105 | ||
Class M4, 3.9763% 11/25/35 (a)(d) | 129,002 | 118,682 | ||
Series 2005-4A: | ||||
Class A2, 3.7663% 1/25/36 (a)(d) | 854,627 | 772,771 | ||
Class B1, 4.7763% 1/25/36 (a)(d) | 77,693 | 56,304 | ||
Class M1, 3.8263% 1/25/36 (a)(d) | 310,773 | 278,726 | ||
Class M2, 3.8463% 1/25/36 (a)(d) | 77,693 | 69,062 | ||
Class M3, 3.8763% 1/25/36 (a)(d) | 155,387 | 135,479 | ||
Class M4, 3.9863% 1/25/36 (a)(d) | 77,693 | 65,299 | ||
Class M5, 4.0263% 1/25/36 (a)(d) | 77,693 | 63,502 | ||
Class M6, 4.0763% 1/25/36 (a)(d) | 77,693 | 62,021 | ||
Series 2006-2A: | ||||
Class A1, 3.6063% 7/25/36 (a)(d) | 1,434,182 | 1,407,629 | ||
Class A2, 3.6563% 7/25/36 (a)(d) | 241,716 | 232,375 | ||
Class B1, 4.2463% 7/25/36 (a)(d) | 88,629 | 62,927 | ||
Class B3, 6.0763% 7/25/36 (a)(d) | 145,030 | 98,620 | ||
Class M1, 3.6863% 7/25/36 (a)(d) | 253,802 | 241,575 | ||
Class M2, 3.7063% 7/25/36 (a)(d) | 181,287 | 171,710 | ||
Class M3, 3.7263% 7/25/36 (a)(d) | 141,001 | 132,401 | ||
Class M4, 3.7963% 7/25/36 (a)(d) | 96,686 | 90,187 | ||
Class M5, 3.8463% 7/25/36 (a)(d) | 116,829 | 106,175 | ||
Class M6, 3.9163% 7/25/36 (a)(d) | 185,316 | 162,770 | ||
Series 2006-3A: | ||||
Class B1, 4.1763% 10/25/36 (a)(d) | 135,023 | 84,832 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2006-3A: | ||||
Class B2, 4.7263% 10/25/36 (a)(d) | $ 87,111 | $ 52,661 | ||
Class B3, 5.9763% 10/25/36 (a)(d) | 156,800 | 97,756 | ||
Class M4, 3.8063% 10/25/36 (a)(d) | 135,023 | 107,955 | ||
Class M5, 3.8563% 10/25/36 (a)(d) | 169,867 | 131,912 | ||
Class M6, 3.9363% 10/25/36 (a)(d) | 335,379 | 250,957 | ||
Series 2007-1: | ||||
Class A2, 3.6463% 3/25/37 (a)(d) | 316,808 | 285,327 | ||
Class B1, 4.0463% 3/25/37 (a)(d) | 102,628 | 66,548 | ||
Class B2, 4.5263% 3/25/37 (a)(d) | 71,393 | 43,818 | ||
Class B3, 6.7263% 3/25/37 (a)(d) | 209,718 | 138,349 | ||
Class M1, 3.6463% 3/25/37 (a)(d) | 84,780 | 73,890 | ||
Class M2, 3.6663% 3/25/37 (a)(d) | 62,469 | 53,352 | ||
Class M3, 3.6963% 3/27/37 (a)(d) | 58,007 | 48,010 | ||
Class M4, 3.7463% 3/25/37 (a)(d) | 44,621 | 35,899 | ||
Class M5, 3.7963% 3/25/37 (a)(d) | 71,393 | 55,865 | ||
Class M6, 3.8763% 3/25/37 (a)(d) | 98,166 | 74,177 | ||
Series 2007-3: | ||||
Class B1, 4.3263% 7/25/37 (a)(d) | 68,409 | 49,254 | ||
Class B2, 4.9763% 7/25/37 (a)(d) | 173,302 | 168,970 | ||
Class B3, 7.3763% 7/25/37 (a)(d) | 91,212 | 59,288 | ||
Class M1, 3.6863% 7/25/37 (a)(d) | 59,288 | 58,695 | ||
Class M2, 3.7163% 7/25/37 (a)(d) | 63,848 | 63,210 | ||
Class M3, 3.7463% 7/25/37 (a)(d) | 100,333 | 99,204 | ||
Class M4, 3.8763% 7/25/37 (a)(d) | 159,621 | 157,226 | ||
Class M5, 3.9763% 7/25/37 (a)(d) | 77,530 | 75,979 | ||
Class M6, 4.1763% 7/25/37 (a)(d) | 59,288 | 58,102 | ||
Series 2007-4A: | ||||
Class A2, 3.9263% 9/25/37 (a)(d) | 649,372 | 616,513 | ||
Class B1, 5.9263% 9/25/37 (a)(d) | 83,002 | 58,530 | ||
Class B2, 6.8263% 9/25/37 (a)(d) | 302,715 | 208,543 | ||
Class M1, 4.3263% 9/25/37 (a)(d) | 73,237 | 64,838 | ||
Class M2, 4.4263% 9/25/37 (a)(d) | 73,237 | 64,335 | ||
Class M4, 4.9763% 9/25/37 (a)(d) | 200,182 | 165,088 | ||
Class M5, 5.1263% 9/25/37 (a)(d) | 200,182 | 164,682 | ||
Class M6, 5.3263% 9/25/37 (a)(d) | 200,182 | 161,647 | ||
Bear Stearns Commercial Mortgage Securities Trust floater Series 2007-BBA8: | ||||
Class D, 4.4863% 3/15/22 (a)(d) | 165,000 | 146,025 | ||
Class E, 4.5363% 3/15/22 (a)(d) | 870,000 | 767,775 | ||
Class F, 4.5863% 5/15/22 (a)(d) | 535,000 | 470,800 | ||
Class G, 4.6363% 3/15/22 (a)(d) | 135,000 | 118,463 | ||
Class H, 4.7863% 3/15/22 (a)(d) | 165,000 | 144,375 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bear Stearns Commercial Mortgage Securities Trust floater Series 2007-BBA8: - continued | ||||
Class J, 4.9363% 3/15/22 (a)(d) | $ 165,000 | $ 143,963 | ||
Class X-1M, 1.12% 3/15/22 (a)(f) | 13,815,683 | 69,078 | ||
COMM pass-thru certificates floater: | ||||
Series 2005-F10A: | ||||
Class B, 4.4663% 4/15/17 (a)(d) | 1,005,000 | 1,003,527 | ||
Class C, 4.5063% 4/15/17 (a)(d) | 425,000 | 424,015 | ||
Class D, 4.5463% 4/15/17 (a)(d) | 345,000 | 342,882 | ||
Class E, 4.6063% 4/15/17 (a)(d) | 260,000 | 258,103 | ||
Class F, 4.6463% 4/15/17 (a)(d) | 145,000 | 143,906 | ||
Class G, 4.7863% 4/15/17 (a)(d) | 145,000 | 143,397 | ||
Class H, 4.8563% 4/15/17 (a)(d) | 145,000 | 141,633 | ||
Class J, 5.0863% 4/15/17 (a)(d) | 50,000 | 47,446 | ||
Series 2005-FL11: | ||||
Class C, 4.5363% 11/15/17 (a)(d) | 542,290 | 516,524 | ||
Class D, 4.5763% 11/15/17 (a)(d) | 93,997 | 89,655 | ||
Class E, 4.6263% 11/15/17 (a)(d) | 144,611 | 138,170 | ||
Class F, 4.6863% 11/15/17 (a)(d) | 130,150 | 122,528 | ||
Class G, 4.7363% 11/15/17 (a)(d) | 206,070 | 191,098 | ||
Series 2006-CN2A Class AJFL, 4.8% 2/5/19 (d) | 1,135,000 | 1,120,803 | ||
Series 2007-FL14: | ||||
Class F, 4.7363% 6/15/22 (a)(d) | 1,297,240 | 1,247,378 | ||
Class G, 4.7863% 6/15/22 (a)(d) | 207,164 | 197,841 | ||
Class H, 4.9363% 6/15/22 (a)(d) | 207,164 | 186,496 | ||
Class MLK1, 5.0363% 6/15/22 (a)(d) | 565,000 | 560,763 | ||
Class MLK2, 5.2363% 6/15/22 (a)(d) | 315,000 | 312,662 | ||
Class MLK3, 5.4363% 6/15/22 (a)(d) | 380,000 | 377,209 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 4.5863% 4/15/22 (a)(d) | 1,775,000 | 1,686,250 | ||
Credit Suisse Mortgage Capital Certificates floater: | ||||
Series 200-TFL1 Class B, 4.3863% 2/15/22 (a)(d) | 685,000 | 654,175 | ||
Series 2007-TFL1: | ||||
Class C: | ||||
4.4063% 2/15/22 (a)(d) | 740,000 | 666,000 | ||
4.5063% 2/15/22 (a)(d) | 265,000 | 247,775 | ||
Class F, 4.5563% 2/15/22 (a)(d) | 530,000 | 455,800 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2006-1A Class AFL, 5.1975% 11/15/36 (a)(d) | 540,000 | 517,579 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
CSMC Commercial Mortgage Trust floater Series 2006-TFLA: | ||||
Class D, 4.5163% 4/15/21 (a)(d) | $ 300,000 | $ 282,552 | ||
Class E, 4.5663% 4/15/21 (a)(d) | 300,000 | 280,845 | ||
Class G, 4.6563% 4/15/21 (a)(d) | 300,000 | 277,384 | ||
Class H, 4.9663% 4/15/21 (a)(d) | 300,000 | 275,903 | ||
Class J, 5.0363% 4/15/21 (a)(d) | 200,000 | 179,665 | ||
Class K, 5.4363% 4/15/21 (a)(d) | 1,005,000 | 914,381 | ||
Greenwich Capital Commercial Funding Corp. floater Series 2006-FL4 Class B, 0% 11/5/21 (a)(d) | 670,000 | 633,309 | ||
GS Mortgage Securities Corp. II floater | ||||
Class C, 4.78% 6/6/20 (a)(d) | 145,000 | 142,227 | ||
Class D, 4.82% 6/6/20 (a)(d) | 1,400,000 | 1,343,384 | ||
Class E, 4.91% 6/6/20 (a)(d) | 800,000 | 758,511 | ||
Class F, 4.98% 6/6/20 (a)(d) | 575,000 | 535,257 | ||
JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2006-FLA2: | ||||
Class B, 4.4063% 11/15/18 (a)(d) | 351,488 | 342,867 | ||
Class C, 4.4463% 11/15/18 (a)(d) | 249,655 | 244,804 | ||
Class D, 4.4663% 11/15/18 (a)(d) | 88,693 | 85,436 | ||
Class E, 4.5163% 11/15/18 (a)(d) | 131,397 | 127,991 | ||
Class F, 4.5663% 11/15/18 (a)(d) | 197,096 | 188,822 | ||
Class G, 4.5963% 11/15/18 (a)(d) | 170,816 | 163,831 | ||
Class H, 4.7363% 11/15/18 (a)(d) | 131,397 | 122,790 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: | ||||
Series 2003-LLFA Class K1, 6.8694% 12/16/14 (a)(d) | 435,000 | 398,647 | ||
Series 2006-LLFA: | ||||
Class F, 4.5763% 9/15/21 (a)(d) | 291,191 | 254,317 | ||
Class G, 4.5963% 9/15/21 (a)(d) | 648,135 | 566,582 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2005-XLF: | ||||
Class F, 4.557% 8/15/19 (a)(d) | 163,114 | 162,929 | ||
Class G, 4.607% 8/15/19 (a)(d) | 120,000 | 119,790 | ||
Class H, 4.627% 8/15/19 (a)(d) | 100,000 | 99,783 | ||
Class J, 4.697% 8/15/19 (a)(d) | 75,000 | 74,880 | ||
Class K, 4.887% 8/15/19 (a)(d) | 420,000 | 416,594 | ||
Series 2006-XLF: | ||||
Class C, 5.437% 7/15/19 (a)(d) | 570,000 | 552,900 | ||
Class D, 4.487% 7/15/19 (a)(d) | 1,345,000 | 1,287,924 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2006-XLF: | ||||
Class F, 4.557% 7/15/19 (a)(d) | $ 535,000 | $ 510,257 | ||
Class G, 4.597% 7/15/19 (a)(d) | 385,000 | 366,453 | ||
Series 2007-XCLA Class A1, 4.437% 7/17/17 (a)(d) | 1,082,272 | 946,988 | ||
Series 2007-XLFA: | ||||
Class B, 4.367% 10/15/20 (a)(d) | 440,000 | 424,600 | ||
Class C, 4.397% 10/15/20 (a)(d) | 330,000 | 291,171 | ||
Class D, 4.427% 10/15/20 (a)(d) | 265,000 | 231,341 | ||
Class E, 4.487% 10/15/20 (a)(d) | 330,000 | 279,351 | ||
Class F, 4.537% 10/15/20 (a)(d) | 195,000 | 165,106 | ||
Class G, 4.577% 10/15/20 (a)(d) | 245,000 | 218,050 | ||
Class H, 4.667% 10/15/20 (a)(d) | 155,000 | 133,300 | ||
Class J, 4.817% 10/15/20 (a)(d) | 175,000 | 148,750 | ||
Class MHRO, 4.927% 10/15/20 (a)(d) | 474,674 | 450,940 | ||
Class MJPM, 5.237% 10/15/20 (a)(d) | 148,139 | 118,511 | ||
Class MSTR, 4.937% 10/15/20 (a)(d) | 260,000 | 243,100 | ||
Class NHRO, 5.127% 10/15/20 (a)(d) | 730,268 | 693,754 | ||
Class NSTR, 5.087% 10/15/20 (a)(d) | 240,000 | 226,800 | ||
Series 2007-XLC1: | ||||
Class C, 4.8363% 7/17/17 (a)(d) | 895,813 | 725,608 | ||
Class D, 4.9363% 7/17/17 (a)(d) | 421,559 | 333,032 | ||
Class E, 5.0363% 7/17/17 (a)(d) | 340,490 | 262,177 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 4.2538% 3/24/18 (a)(d) | 208,843 | 198,401 | ||
Wachovia Bank Commercial Mortgage Trust floater Series 2006-WL7A: | ||||
Class F, 4.5763% 8/11/18 (a)(d) | 1,235,000 | 1,120,573 | ||
Class G, 4.5963% 8/11/18 (a)(d) | 1,170,000 | 1,071,266 | ||
Class J, 4.8363% 8/11/18 (a)(d) | 260,000 | 220,760 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $50,879,329) | 46,748,978 | |||
Fixed-Income Funds - 10.7% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (e) | 583,639 | 50,870,010 | |
Cash Equivalents - 22.0% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at 3%, dated 1/31/08 due 2/1/08 (Collateralized by U.S. Government Obligations) # | $ 104,847,737 | $ 104,839,000 | |
TOTAL INVESTMENT PORTFOLIO - 98.2% (Cost $519,523,049) | 467,256,265 | ||
NET OTHER ASSETS - 1.8% | 8,382,464 | ||
NET ASSETS - 100% | $ 475,638,729 | ||
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Eurodollar Contracts | |||||
124 Eurodollar 90 Day Index Contracts | March 2008 | $ 123,099,450 | $ 517,254 | ||
101 Eurodollar 90 Day Index Contracts | June 2008 | 100,371,275 | 434,835 | ||
72 Eurodollar 90 Day Index Contracts | Sept. 2008 | 71,559,900 | 346,662 | ||
9 Eurodollar 90 Day Index Contracts | Dec. 2008 | 8,942,288 | 27,077 | ||
10 Eurodollar 90 Day Index Contracts | March 2009 | 9,931,625 | 27,585 | ||
TOTAL EURODOLLAR CONTRACTS | $ 1,353,413 | ||||
Swap Agreements | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.3% and pay to Morgan Stanley, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11, Class M9, 7.7839% 11/25/34 (g) | Dec. 2034 | $ 125,737 | $ (36,505) | ||
Receive monthly notional amount multiplied by 2.7% and pay Lehman Brothers, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2006 WMC1, Class B3, 7.5% 12/25/35 (g) | Jan. 2036 | 600,000 | (502,155) | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 (g) | March 2034 | 183,497 | (57,601) | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (g) | Feb. 2034 | 82,257 | (68,631) | ||
Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.41% 5/25/35 (g) | June 2035 | 845,000 | (421,631) | ||
Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon credit event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35 (g) | March 2035 | 191,856 | (130,940) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon credit event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Sept. 2008 | $ 1,840,000 | $ (35,560) | ||
Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon credit event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Dec. 2008 | 1,750,000 | (43,379) | ||
$ 5,618,347 | $ (1,296,402) | ||||
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $87,304,929 or 18.4% of net assets. |
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $349,859. |
(c) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $1,505,969. |
(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(e) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request. |
(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 held as of the end of the period. |
(g) Security or a portion of the security backed by subprime mortgage loans. At period end, the value of these securities, exclusive of the value of credit default swaps, amounted to $63,221,086 or 13.3% of net assets. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$104,839,000 due 2/01/08 at 3.00% | |
BNP Paribas Securities Corp. | $ 10,884,940 |
Banc of America Securities LLC | 4,353,740 |
Barclays Capital, Inc. | 46,649,745 |
Bear Stearns & Co., Inc. | 13,300,738 |
Citigroup Global Markets, Inc. | 3,109,983 |
Dresdner Kleinwort Securities LLC | 1,554,991 |
ING Financial Markets LLC | 1,970,989 |
J.P. Morgan Securities, Inc. | 9,329,949 |
Societe Generale, New York Branch | 12,439,932 |
WestLB AG | 1,243,993 |
$ 104,839,000 | |
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 Ultra-Short Central Fund | $ 3,829,570 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales Proceeds | Value, | % ownership, end of |
Fidelity Ultra-Short Central Fund | $ 255,014,810 | $ - | $ 187,671,399 | $ 50,870,010 | 0.7% |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 85.5% |
United Kingdom | 10.8% |
Cayman Islands | 1.9% |
Others (individually less than 1%) | 1.8% |
100.0% |
Income Tax Information |
At July 31, 2007, the fund had a capital loss carryforward of approximately $2,436,121 of which $1,917,431 and $518,690 will expire on July 31, 2014 and 2015, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
January 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $104,839,000) - See accompanying schedule: Unaffiliated issuers (cost $461,438,655) | $ 416,386,255 | |
Fidelity Central Funds (cost $58,084,394) | 50,870,010 | |
Total Investments (cost $519,523,049) | $ 467,256,265 | |
Cash | 4,092 | |
Receivable for investments sold | 8,703,212 | |
Receivable for swap agreements | 4,649 | |
Receivable for fund shares sold | 1,051,844 | |
Interest receivable | 1,018,853 | |
Distributions receivable from Fidelity Central Funds | 260,993 | |
Receivable for daily variation on futures contracts | 51,088 | |
Other receivables | 119 | |
Total assets | 478,351,115 | |
Liabilities | ||
Payable for fund shares redeemed | 1,122,728 | |
Distributions payable | 105,086 | |
Swap agreements, at value | 1,296,402 | |
Accrued management fee | 129,648 | |
Distribution fees payable | 1,398 | |
Other affiliated payables | 57,124 | |
Total liabilities | 2,712,386 | |
Net Assets | $ 475,638,729 | |
Net Assets consist of: | ||
Paid in capital | $ 575,731,459 | |
Undistributed net investment income | 1,137,643 | |
Accumulated undistributed net realized gain (loss) on investments | (49,020,600) | |
Net unrealized appreciation (depreciation) on investments | (52,209,773) | |
Net Assets | $ 475,638,729 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
January 31, 2008 (Unaudited) | ||
Calculation of Maximum Offering Price | $ 8.84 | |
Maximum offering price per share (100/98.50 of $8.84) | $ 8.97 | |
Class T: | $ 8.84 | |
Maximum offering price per share (100/98.50 of $8.84) | $ 8.97 | |
Ultra-Short Bond: | $ 8.84 | |
Institutional Class: | $ 8.84 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended January 31, 2008 (Unaudited) | ||
Investment Income | ||
Interest | $ 16,404,898 | |
Income from Fidelity Central Funds | 3,829,570 | |
Total income | 20,234,468 | |
Expenses | ||
Management fee | $ 1,083,158 | |
Transfer agent fees | 349,693 | |
Distribution fees | 12,487 | |
Fund wide operations fee | 118,378 | |
Independent trustees' compensation | 1,607 | |
Miscellaneous | 1,154 | |
Total expenses before reductions | 1,566,477 | |
Expense reductions | (9,319) | 1,557,158 |
Net investment income | 18,677,310 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (26,286,749) | |
Fidelity Central Funds | (14,061,655) | |
Futures contracts | (35,578) | |
Swap agreements | (5,381,220) | |
Total net realized gain (loss) | (45,765,202) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (34,310,844) | |
Futures contracts | 1,476,043 | |
Swap agreements | 1,760,249 | |
Total change in net unrealized appreciation (depreciation) | (31,074,552) | |
Net gain (loss) | (76,839,754) | |
Net increase (decrease) in net assets resulting from operations | $ (58,162,444) | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Six months ended January 31, 2008 (Unaudited) | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 18,677,310 | $ 51,627,290 |
Net realized gain (loss) | (45,765,202) | (1,037,412) |
Change in net unrealized appreciation (depreciation) | (31,074,552) | (20,635,029) |
Net increase (decrease) in net assets resulting | (58,162,444) | 29,954,849 |
Distributions to shareholders from net investment income | (18,079,504) | (51,625,727) |
Share transactions - net increase (decrease) | (449,633,707) | 161,604,013 |
Redemption fees | 48,387 | 39,619 |
Total increase (decrease) in net assets | (525,827,268) | 139,972,754 |
Net Assets | ||
Beginning of period | 1,001,465,997 | 861,493,243 |
End of period (including undistributed net investment income of $1,137,643 and undistributed net investment income of $539,837, respectively) | $ 475,638,729 | $ 1,001,465,997 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended January 31, 2008 | Years ended July 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 H | |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.04 |
Income from Investment Operations | |||||
Net investment income E | .245 | .493 | .400 | .223 | .013 |
Net realized and unrealized gain (loss) | (.994) | (.198) | (.009) | (.026) | .011 |
Total from investment operations | (.749) | .295 | .391 | .197 | .024 |
Distributions from net investment income | (.232) | (.495) | (.401) | (.214) | (.014) |
Distributions from net realized gain | - | - | - | (.003) | - |
Total distributions | (.232) | (.495) | (.401) | (.217) | (.014) |
Redemption fees added to paid in capital E | .001 | - J | - J | - J | - J |
Net asset value, end of period | $ 8.84 | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 |
Total Return B, C, D | (7.69)% | 2.97% | 3.97% | 1.98% | .24% |
Ratios to Average Net Assets F, I | |||||
Expenses before reductions | .66% A | .66% | .70% | .78% | .85% A |
Expenses net of fee waivers, if any | .66% A | .66% | .70% | .70% | .70% A |
Expenses net of all reductions | .65% A | .66% | .70% | .70% | .70% A |
Net investment income | 5.19% A | 4.96% | 4.00% | 2.23% | 1.11% A |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 8,227 | $ 13,735 | $ 4,553 | $ 2,557 | $ 316 |
Portfolio turnover rate G | 7% A | 29% | 39% | 33% | 53% |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended January 31, 2008 | Years ended July 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 H | |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.04 |
Income from Investment Operations | |||||
Net investment income E | .241 | .491 | .404 | .222 | .013 |
Net realized and unrealized gain (loss) | (.991) | (.199) | (.011) | (.025) | .010 |
Total from investment operations | (.750) | .292 | .393 | .197 | .023 |
Distributions from net investment income | (.231) | (.492) | (.403) | (.214) | (.013) |
Distributions from net realized gain | - | - | - | (.003) | - |
Total distributions | (.231) | (.492) | (.403) | (.217) | (.013) |
Redemption fees added to paid in capital E | .001 | - J | - J | - J | - J |
Net asset value, end of period | $ 8.84 | $ 9.82 | $ 10.02 | $ 10.03 | $ 10.05 |
Total Return B, C, D | (7.70)% | 2.95% | 4.00% | 1.98% | .23% |
Ratios to Average Net Assets F, I | |||||
Expenses before reductions | .68% A | .69% | .68% | .77% | .86% A |
Expenses net of fee waivers, if any | .68% A | .69% | .68% | .70% | .70% A |
Expenses net of all reductions | .68% A | .69% | .68% | .70% | .70% A |
Net investment income | 5.17% A | 4.93% | 4.03% | 2.23% | 1.11% A |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 3,560 | $ 4,818 | $ 4,624 | $ 4,044 | $ 356 |
Portfolio turnover rate G | 7% A | 29% | 39% | 33% | 53% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Ultra-Short Bond
Six months ended January 31, 2008 | Years ended July 31, | |||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 G | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.02 | $ 10.00 |
Income from Investment | ||||||
Net investment income D | .254 | .516 | .427 | .241 | .122 | .137 |
Net realized and unrealized gain (loss) | (.983) | (.210) | (.011) | (.026) | .029 | .052 |
Total from investment operations | (.729) | .306 | .416 | .215 | .151 | .189 |
Distributions from net investment income | (.242) | (.516) | (.426) | (.232) | (.122) | (.173) |
Distributions from net realized gain | - | - | - | (.003) | - | - |
Total distributions | (.242) | (.516) | (.426) | (.235) | (.122) | (.173) |
Redemption fees added to paid in capital D | .001 | - I | - I | - I | .001 | .004 |
Net asset value, end of period | $ 8.84 | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.02 |
Total Return B, C | (7.49)% | 3.09% | 4.23% | 2.16% | 1.52% | 1.94% |
Ratios to Average Net Assets E, H | ||||||
Expenses before reductions | .45% A | .45% | .45% | .58% | .62% | .70% A |
Expenses net of fee waivers, if any | .45% A | .45% | .45% | .53% | .55% | .55% A |
Expenses net of all reductions | .44% A | .45% | .45% | .53% | .55% | .55% A |
Net investment income | 5.40% A | 5.17% | 4.26% | 2.41% | 1.21% | 1.50% A |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 462,110 | $ 974,602 | $ 850,329 | $ 906,644 | $ 580,174 | $ 225,203 |
Portfolio turnover rate F | 7% A | 29% | 39% | 33% | 53% | 39% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period August 29, 2002 (commencement of operations) to July 31, 2003.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended January 31, 2008 | Years ended July 31, | ||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 G | |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 | $ 10.04 |
Income from Investment | |||||
Net investment income D | .258 | .510 | .420 | .240 | .015 |
Net realized and unrealized gain (loss) | (.988) | (.206) | (.008) | (.026) | .010 |
Total from investment operations | (.730) | .304 | .412 | .214 | .025 |
Distributions from net investment income | (.241) | (.514) | (.422) | (.231) | (.015) |
Distributions from net realized gain | - | - | - | (.003) | - |
Total distributions | (.241) | (.514) | (.422) | (.234) | (.015) |
Redemption fees added to paid in capital D | .001 | - I | - I | - I | - I |
Net asset value, end of period | $ 8.84 | $ 9.81 | $ 10.02 | $ 10.03 | $ 10.05 |
Total Return B, C | (7.51)% | 3.06% | 4.19% | 2.15% | .25% |
Ratios to Average Net Assets E, H | |||||
Expenses before reductions | .47% A | .48% | .49% | .58% | .67% A |
Expenses net of fee waivers, if any | .47% A | .48% | .49% | .55% | .55% A |
Expenses net of all reductions | .47% A | .48% | .49% | .55% | .55% A |
Net investment income | 5.38% A | 5.14% | 4.22% | 2.38% | 1.26% A |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 1,742 | $ 8,312 | $ 1,987 | $ 509 | $ 376 |
Portfolio turnover rate F | 7% A | 29% | 39% | 33% | 53% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended January 31, 2008 (Unaudited)
1. Organization.
Fidelity Ultra-Short Bond Fund (the Fund) is a fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The Fund offers Class A, Class T, Ultra-Short Bond and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Semiannual Report
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment |
Fidelity Ultra-Short Central Fund | Fidelity Investments Money Management, Inc. (FIMM) | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Futures Repurchase Agreements Restricted Securities Swap Agreements |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
The Central Funds may have direct or indirect exposure to structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates.
A holdings listing for the Fund, which presents direct holdings as well as the pro rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. A significant portion of the Fund's securities, including securities backed by subprime mortgage loans, are valued at period end by a single source or dealer.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. Factors used in the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. Effective with the beginning of the Fund's fiscal year, the Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, market discount, capital loss carryforwards and losses deferred due to excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 231,387 |
Unrealized depreciation | (52,434,496) |
Net unrealized appreciation (depreciation) | $ (52,203,109) |
Cost for federal income tax purposes | $ 519,459,374 |
Short-Term Trading (Redemption) Fees. Shares held in the Fund less than 60 days are subject to a redemption fee equal to .25% of the proceeds of the redeemed shares. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Fund and accounted for as an addition to paid in capital.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
New Accounting Pronouncement. In September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Semiannual Report
4. Operating Policies - continued
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements".
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $2,202,148 and $432,156,242, respectively.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .15% | $ 9,238 | $ 3,291 |
Class T | 0% | .15% | 3,249 | 59 |
$ 12,487 | $ 3,350 |
Sales Load. FDC receives a front-end sales charge of up to 1.50% for selling Class A and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of a contingent deferred sales charges levied on Class A and Class T redemptions. These charges depend on the holding period. The deferred sales charges range from .75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class T | $ 336 |
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
6. Fees and Other Transactions with Affiliates- continued
Transfer Agent Fees - continued
shareholder reports, except proxy statements. Prior to January 1, 2008, Fidelity Service Company, Inc. (FSC), also an affiliate of FMR, was the transfer agent for Ultra-Short Bond. For the period, the total transfer agent fees paid by each class to were as follows:
Amount | % of | |
Class A | $ 9,813 | .16 |
Class T | 3,904 | .18 |
Ultra-Short Bond | 333,451 | .10 |
Institutional Class | 2,525 | .12 |
$ 349,693 |
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $1,154 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $6,606. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | |
Ultra-Short Bond | $ 2,713 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
9. Credit Risk.
The Fund invests a significant portion of its assets in structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market's perception of credit quality on securities backed by subprime mortgage loans have resulted in increased volatility of market price and periods of illiquidity that have adversely impacted the valuation of certain issuers of the Fund.
10. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 309,995 | $ 470,241 |
Class T | 108,843 | 210,443 |
Ultra-Short Bond | 17,553,676 | 50,639,843 |
Institutional Class | 106,990 | 305,200 |
Total | $ 18,079,504 | $ 51,625,727 |
Semiannual Report
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended January 31, | Year ended | Six months ended January 31, | Year ended | |
Class A | ||||
Shares sold | 552,123 | 1,247,732 | $ 5,086,452 | $ 12,475,671 |
Reinvestment of distributions | 16,862 | 37,250 | 155,418 | 371,847 |
Shares redeemed | (1,037,296) | (340,215) | (9,473,749) | (3,395,610) |
Net increase (decrease) | (468,311) | 944,767 | $ (4,231,879) | $ 9,451,908 |
Class T | ||||
Shares sold | 297,592 | 388,444 | $ 2,772,462 | $ 3,878,571 |
Reinvestment of distributions | 10,681 | 19,812 | 98,734 | 197,787 |
Shares redeemed | (396,372) | (378,796) | (3,707,319) | (3,788,237) |
Net increase (decrease) | (88,099) | 29,460 | $ (836,123) | $ 288,121 |
Ultra-Short Bond | ||||
Shares sold | 8,949,905 | 59,380,876 | $ 83,476,865 | $ 593,653,669 |
Reinvestment of distributions | 1,751,133 | 4,599,590 | 16,209,512 | 45,902,034 |
Shares redeemed | (57,718,177) | (49,556,665) | (538,161,858) | (494,187,803) |
Net increase (decrease) | (47,017,139) | 14,423,801 | $ (438,475,481) | $ 145,367,900 |
Institutional Class | ||||
Shares sold | 49,164 | 970,636 | $ 460,296 | $ 9,707,468 |
Reinvestment of distributions | 4,734 | 8,301 | 43,742 | 82,674 |
Shares redeemed | (703,797) | (330,344) | (6,594,262) | (3,294,058) |
Net increase (decrease) | (649,899) | 648,593 | $ (6,090,224) | $ 6,496,084 |
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments
Money Management, Inc.
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
Fidelity Research & Analysis Company
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
AUSBI-USAN-0308
1.804596.104
(Fidelity Investment logo)(registered trademark)
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. Schedule of Investments
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 Income Fund'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 Income Fund'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 second fiscal quarter of 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. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
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 Income Fund
By: | /s/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | April 2, 2008 |
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/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | April 2, 2008 |
By: | /s/Joseph B. Hollis |
Joseph B. Hollis | |
Chief Financial Officer | |
Date: | April 2, 2008 |