Quarterly Holdings Report
for
Fidelity® GNMA Fund
April 30, 2023
MOG-NPRT3-0623
1.800337.119
U.S. Government and Government Agency Obligations - 6.0% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Treasury Obligations - 6.0% | |||
U.S. Treasury Bonds 3.625% 2/15/53 | 4,210 | 4,174 | |
U.S. Treasury Notes: | |||
3.75% 4/15/26 | 19,330 | 19,336 | |
3.875% 3/31/25 | 32,870 | 32,736 | |
3.875% 1/15/26 | 10,640 | 10,657 | |
4% 2/15/26 | 19,800 | 19,913 | |
4.625% 2/28/25 | 13,300 | 13,410 | |
4.625% 3/15/26 | 45,590 | 46,680 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $146,438) | 146,906 | ||
U.S. Government Agency - Mortgage Securities - 118.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Fannie Mae - 2.9% | |||
12 month U.S. LIBOR + 1.460% 3.849% 1/1/35 (b)(c) | 34 | 34 | |
12 month U.S. LIBOR + 1.480% 3.796% 7/1/34 (b)(c) | 9 | 9 | |
12 month U.S. LIBOR + 1.530% 3.94% 3/1/36 (b)(c) | 38 | 38 | |
12 month U.S. LIBOR + 1.620% 3.87% 5/1/35 (b)(c) | 78 | 80 | |
12 month U.S. LIBOR + 1.620% 3.945% 3/1/33 (b)(c) | 32 | 32 | |
12 month U.S. LIBOR + 1.630% 3.797% 11/1/36 (b)(c) | 43 | 43 | |
12 month U.S. LIBOR + 1.640% 3.895% 6/1/47 (b)(c) | 53 | 54 | |
12 month U.S. LIBOR + 1.710% 3.926% 8/1/35 (b)(c) | 85 | 87 | |
12 month U.S. LIBOR + 1.890% 3.584% 8/1/35 (b)(c) | 65 | 67 | |
6 month U.S. LIBOR + 1.510% 5.523% 2/1/33 (b)(c) | 8 | 8 | |
6 month U.S. LIBOR + 1.530% 3.785% 12/1/34 (b)(c) | 11 | 11 | |
6 month U.S. LIBOR + 1.530% 3.844% 3/1/35 (b)(c) | 18 | 18 | |
6 month U.S. LIBOR + 1.550% 5.748% 10/1/33 (b)(c) | 6 | 6 | |
6 month U.S. LIBOR + 1.550% 5.926% 9/1/33 (b)(c) | 140 | 143 | |
6 month U.S. LIBOR + 1.560% 5.64% 7/1/35 (b)(c) | 6 | 6 | |
U.S. TREASURY 1 YEAR INDEX + 2.180% 4.129% 7/1/36 (b)(c) | 36 | 37 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 4.407% 10/1/33 (b)(c) | 15 | 15 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 4.258% 7/1/34 (b)(c) | 152 | 156 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 4.585% 9/1/34 (b)(c) | 23 | 24 | |
1.5% 6/1/51 to 8/1/51 | 1,030 | 812 | |
2% 2/1/28 to 2/1/37 | 14,490 | 13,158 | |
2.5% 1/1/28 to 2/1/52 | 11,305 | 10,179 | |
2.5% 11/1/41 | 534 | 478 | |
3% 2/1/33 to 3/1/52 | 3,628 | 3,390 | |
3.5% 1/1/52 to 4/1/52 | 17,420 | 16,212 | |
4% 9/1/52 | 1,170 | 1,124 | |
4.5% 9/1/52 to 11/1/52 | 4,494 | 4,391 | |
5% 10/1/52 to 12/1/52 | 7,313 | 7,352 | |
5.5% 11/1/52 to 12/1/52 | 11,820 | 11,935 | |
6% 11/1/52 | 2,185 | 2,236 | |
8.5% 12/1/27 | 9 | 9 | |
TOTAL FANNIE MAE | 72,144 | ||
Freddie Mac - 4.7% | |||
12 month U.S. LIBOR + 1.860% 3.239% 4/1/36 (b)(c) | 50 | 51 | |
12 month U.S. LIBOR + 1.860% 4.11% 8/1/34 (b)(c) | 45 | 46 | |
12 month U.S. LIBOR + 1.960% 3.711% 6/1/33 (b)(c) | 160 | 163 | |
12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (b)(c) | 1 | 1 | |
6 month U.S. LIBOR + 1.880% 4.369% 10/1/36 (b)(c) | 118 | 119 | |
6 month U.S. LIBOR + 1.990% 4.001% 10/1/35 (b)(c) | 64 | 64 | |
U.S. TREASURY 1 YEAR INDEX + 2.030% 3.468% 6/1/33 (b)(c) | 95 | 96 | |
U.S. TREASURY 1 YEAR INDEX + 2.230% 4.336% 12/1/35 (b)(c) | 399 | 406 | |
U.S. TREASURY 1 YEAR INDEX + 2.260% 3.599% 6/1/33 (b)(c) | 174 | 177 | |
U.S. TREASURY 1 YEAR INDEX + 2.430% 4.39% 3/1/35 (b)(c) | 312 | 318 | |
1.5% 3/1/51 to 4/1/51 | 11,641 | 9,179 | |
2% 3/1/36 to 1/1/37 | 3,495 | 3,157 | |
2.5% 1/1/28 to 1/1/52 | 6,906 | 6,169 | |
2.5% 6/1/41 | 556 | 497 | |
2.5% 11/1/41 | 712 | 637 | |
2.5% 4/1/42 | 484 | 433 | |
3% 2/1/34 to 3/1/52 | 5,354 | 5,136 | |
3.5% 9/1/51 to 3/1/52 (d) | 15,838 | 14,797 | |
4.5% 9/1/52 (e)(f) | 45,642 | 44,594 | |
5% 10/1/52 to 12/1/52 | 20,153 | 20,100 | |
5.5% 12/1/52 to 3/1/53 | 7,372 | 7,482 | |
6.5% 1/1/53 | 584 | 604 | |
TOTAL FREDDIE MAC | 114,226 | ||
Ginnie Mae - 102.4% | |||
3% 5/15/27 to 12/20/50 | 184,817 | 171,495 | |
3.5% 9/15/26 to 5/20/50 (e)(f) | 252,187 | 241,310 | |
3.7% 10/15/42 | 4,223 | 4,069 | |
4% 5/15/44 | 872 | 848 | |
4.5% 7/15/33 to 11/20/52 | 97,665 | 97,115 | |
4.75% 7/15/40 | 351 | 355 | |
4.875% 9/15/39 to 12/15/39 | 3,207 | 3,254 | |
5.09% 4/15/36 to 11/15/36 | 2,792 | 2,835 | |
5.15% 2/15/36 to 4/15/36 | 146 | 148 | |
5.2% 7/15/36 | 49 | 50 | |
5.25% 4/15/36 to 4/15/37 | 170 | 173 | |
5.39% 5/15/36 | 45 | 47 | |
5.45% 2/15/37 | 421 | 433 | |
5.5% 7/20/24 to 2/20/42 | 3,914 | 4,065 | |
5.6% 11/15/36 | 136 | 142 | |
5.85% 1/15/37 | 54 | 56 | |
6.45% 1/15/32 to 8/15/32 | 95 | 99 | |
6.5% 9/15/23 to 1/15/39 | 2,836 | 2,995 | |
7% to 7% 5/15/23 to 9/20/34 | 6,076 | 6,355 | |
7.25% 9/15/27 | 20 | 21 | |
7.5% to 7.5% 5/15/23 to 8/20/32 | 2,035 | 2,135 | |
8% 12/15/23 to 9/15/31 | 513 | 535 | |
8.5% 9/15/30 to 2/15/31 | 105 | 113 | |
9% 9/15/23 to 5/15/30 | 2 | 2 | |
2% 9/20/50 to 4/20/51 | 399,327 | 343,446 | |
2% 5/1/53 (g) | 141,250 | 121,005 | |
2% 5/1/53 (g) | 26,500 | 22,702 | |
2% 5/1/53 (g) | 4,500 | 3,855 | |
2% 5/1/53 (g) | 4,950 | 4,241 | |
2% 6/1/53 (g) | 118,050 | 101,278 | |
2% 6/1/53 (g) | 90,450 | 77,599 | |
2% 6/1/53 (g) | 32,000 | 27,453 | |
2.25% 5/20/50 | 2,148 | 1,849 | |
2.375% 5/20/50 | 1,382 | 1,199 | |
2.5% 3/15/28 to 10/20/52 | 330,079 | 293,841 | |
2.5% 5/1/53 (g) | 88,550 | 78,368 | |
2.5% 5/1/53 (g) | 47,950 | 42,436 | |
2.5% 5/1/53 (g) | 44,650 | 39,516 | |
2.5% 6/1/53 (g) | 143,000 | 126,701 | |
2.5% 6/1/53 (g) | 111,800 | 99,058 | |
2.625% 5/20/50 | 3,796 | 3,357 | |
2.75% 5/20/50 | 1,969 | 1,756 | |
3% 5/1/53 (g) | 42,700 | 39,003 | |
3% 5/1/53 (g) | 42,600 | 38,912 | |
3% 5/1/53 (g) | 42,625 | 38,935 | |
3% 5/1/53 (g) | 72,325 | 66,064 | |
3% 5/1/53 (g) | 27,875 | 25,462 | |
3% 5/1/53 (g) | 32,575 | 29,755 | |
3% 6/1/53 (g) | 66,350 | 60,665 | |
3.25% 2/20/41 to 7/20/46 | 873 | 792 | |
3.375% 5/20/50 | 455 | 423 | |
3.5% 5/1/53 (g) | 39,200 | 36,796 | |
3.5% 5/1/53 (g) | 14,400 | 13,517 | |
3.74% 7/20/42 to 8/20/42 | 326 | 316 | |
3.75% 10/20/41 to 7/20/47 | 17,170 | 16,511 | |
4% 2/20/33 to 1/20/50 | 143,582 | 141,026 | |
4% 5/1/53 (g) | 4,450 | 4,278 | |
4% 5/1/53 (g) | 3,600 | 3,461 | |
4.25% 1/20/46 | 297 | 294 | |
5% 6/20/29 to 7/20/48 | 43,568 | 44,398 | |
5.35% 4/20/29 to 12/20/30 | 3,837 | 3,880 | |
5.75% 9/20/39 to 9/20/40 | 5,937 | 6,261 | |
6% to 6% 12/20/23 to 3/15/39 | 5,785 | 6,021 | |
7.395% 7/20/25 to 2/20/27 | 106 | 108 | |
TOTAL GINNIE MAE | 2,505,188 | ||
Uniform Mortgage Backed Securities - 8.3% | |||
1.5% 5/1/53 (g) | 375 | 296 | |
2% 5/1/53 (g) | 13,100 | 10,889 | |
2.5% 5/1/38 (g) | 3,600 | 3,344 | |
2.5% 5/1/38 (g) | 5,400 | 5,016 | |
3% 5/1/53 (g) | 14,850 | 13,345 | |
3% 5/1/53 (g) | 14,850 | 13,345 | |
4% 5/1/53 (g) | 3,350 | 3,202 | |
4% 5/1/53 (g) | 3,100 | 2,963 | |
4% 5/1/53 (g) | 16,950 | 16,203 | |
4% 5/1/53 (g) | 12,300 | 11,758 | |
5% 5/1/38 (g) | 4,300 | 4,321 | |
5% 5/1/38 (g) | 425 | 427 | |
5% 5/1/38 (g) | 10,150 | 10,199 | |
5% 5/1/38 (g) | 2,450 | 2,462 | |
5% 5/1/38 (g) | 3,700 | 3,718 | |
5% 5/1/38 (g) | 2,500 | 2,512 | |
5% 5/1/38 (g) | 3,975 | 3,994 | |
5.5% 5/1/53 (g) | 4,800 | 4,840 | |
5.5% 5/1/53 (g) | 7,000 | 7,058 | |
5.5% 5/1/53 (g) | 7,000 | 7,058 | |
5.5% 5/1/53 (g) | 8,100 | 8,167 | |
5.5% 5/1/53 (g) | 2,400 | 2,420 | |
5.5% 5/1/53 (g) | 9,600 | 9,679 | |
5.5% 5/1/53 (g) | 16,600 | 16,737 | |
5.5% 5/1/53 (g) | 11,400 | 11,494 | |
5.5% 6/1/53 (g) | 18,400 | 18,552 | |
5.5% 6/1/53 (g) | 9,800 | 9,881 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 203,880 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,967,307) | 2,895,438 | ||
Collateralized Mortgage Obligations - 11.7% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
U.S. Government Agency - 11.7% | |||
Fannie Mae: | |||
planned amortization class Series G93-32 Class PJ, 6.75% 9/25/23 | 27 | 27 | |
Series 2016-3 Class IP, 4% 2/25/46 (h) | 16,761 | 3,095 | |
Series 2016-78 Class IO, 3.5% 11/25/46 (h) | 4,218 | 677 | |
Series 2017-74 Class SH, 6.200% - 1 month U.S. LIBOR 1.1796% 10/25/47 (b)(h)(i) | 13,335 | 1,724 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 331 Class 12, 6.5% 2/25/33 (b)(h) | 95 | 16 | |
Series 339 Class 5, 5.5% 7/25/33 (h) | 119 | 19 | |
Series 343 Class 16, 5.5% 5/25/34 (h) | 113 | 18 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2220 Class PD, 8% 3/15/30 | 256 | 270 | |
Series 40 Class K, 6.5% 8/17/24 | 6 | 6 | |
sequential payer Series 2204 Class N, 7.5% 12/20/29 | 462 | 484 | |
Series 2018-4763 Class SC, 6.200% - 1 month U.S. LIBOR 1.2523% 8/15/47 (b)(h)(i) | 6,033 | 757 | |
Ginnie Mae Series 2011-93 Class SA, 6.660% - 1 month U.S. LIBOR 1.7073% 7/20/41 (b)(h)(i) | 7,096 | 988 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 1.7423% 6/16/37 (b)(h)(i) | 628 | 72 | |
Series 2008-51 Class FE, 1 month U.S. LIBOR + 0.750% 5.6977% 6/16/38 (b)(c) | 161 | 162 | |
Series 2008-57 Class AF, 1 month U.S. LIBOR + 0.580% 5.5327% 7/20/38 (b)(c) | 417 | 416 | |
Series 2010-130 Class KF, 1 month U.S. LIBOR + 0.650% 5.5977% 10/16/40 (b)(c) | 777 | 778 | |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 5.3806% 3/20/60 (b)(c)(j) | 6,745 | 6,710 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 5.1606% 7/20/60 (b)(c)(j) | 6,411 | 6,348 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 5.0014% 9/20/60 (b)(c)(j) | 7,439 | 7,369 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 5.0014% 8/20/60 (b)(c)(j) | 5,767 | 5,710 | |
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 5.0814% 12/20/60 (b)(c)(j) | 2,632 | 2,610 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 5.2014% 12/20/60 (b)(c)(j) | 2,497 | 2,482 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 5.2014% 2/20/61 (b)(c)(j) | 493 | 489 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 5.1914% 2/20/61 (b)(c)(j) | 3,028 | 3,007 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 5.2014% 4/20/61 (b)(c)(j) | 2,210 | 2,195 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 5.2014% 5/20/61 (b)(c)(j) | 3,614 | 3,594 | |
Class FC, 1 month U.S. LIBOR + 0.500% 5.2014% 5/20/61 (b)(c)(j) | 2,546 | 2,531 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 5.2314% 6/20/61 (b)(c)(j) | 3,087 | 3,070 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 5.3014% 10/20/61 (b)(c)(j) | 3,518 | 3,502 | |
Series 2012-48 Class FA, 1 month U.S. LIBOR + 0.350% 5.2977% 4/16/42 (b)(c) | 299 | 295 | |
Series 2012-76 Class GF 1 month U.S. LIBOR + 0.300% 5.2477% 6/16/42 (b)(c) | 349 | 345 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 5.4014% 11/20/61 (b)(c)(j) | 3,442 | 3,429 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 5.4014% 1/20/62 (b)(c)(j) | 1,858 | 1,852 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 5.3314% 1/20/62 (b)(c)(j) | 3,230 | 3,215 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 5.3314% 3/20/62 (b)(c)(j) | 1,557 | 1,548 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 4.872% 5/20/61 (b)(c)(j) | 22 | 22 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 4.9125% 5/20/63 (b)(c)(j) | 26 | 26 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 4.9014% 4/20/63 (b)(c)(j) | 41 | 40 | |
Series 2016-12 Class FA, 1 month U.S. LIBOR + 0.350% 5.3027% 1/20/46 (b)(c) | 783 | 765 | |
Series 2019-42 Class FK, 1 month U.S. LIBOR + 0.450% 5.4027% 4/20/49 (b)(c) | 5,566 | 5,473 | |
planned amortization class: | |||
Series 2003-74 Class PZ, 5.5% 8/20/33 | 2,665 | 2,748 | |
Series 2004-19 Class DP, 5.5% 3/20/34 | 1 | 1 | |
Series 2005-24 Class TC, 5.5% 3/20/35 | 1,851 | 1,888 | |
Series 2005-57 Class PB, 5.5% 7/20/35 | 2,703 | 2,809 | |
Series 2006-50 Class JC, 5% 6/20/36 | 508 | 506 | |
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 0.0946% 12/20/40 (b)(i) | 2,250 | 1,917 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (h) | 191 | 13 | |
Series 2015-24 Class PI, 3.5% 2/20/45 (h) | 8,709 | 1,337 | |
Series 2016-69 Class WA, 3% 2/20/46 | 1,058 | 993 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 449 | 410 | |
Series 2017-139 Class K, 3% 8/20/47 | 14,638 | 13,633 | |
Series 2017-153 Class GA, 3% 9/20/47 | 2,915 | 2,700 | |
Series 2017-182 Class KA, 3% 10/20/47 | 2,255 | 2,090 | |
Series 2018-13 Class Q, 3% 4/20/47 | 2,880 | 2,704 | |
sequential payer: | |||
Series 2003-75 Class ZA, 5.5% 9/20/33 | 814 | 843 | |
Series 2004-24 Class ZM, 5% 4/20/34 | 1,698 | 1,699 | |
Series 2004-46 Class BZ, 6% 6/20/34 | 1,020 | 1,050 | |
Series 2004-86 Class G, 6% 10/20/34 | 6,273 | 6,587 | |
Series 2005-26 Class ZA, 5.5% 1/20/35 | 7,686 | 7,973 | |
Series 2005-47 Class ZY, 6% 6/20/35 | 5,564 | 5,787 | |
Series 2005-6 Class EX, 5.5% 11/20/34 | 1,001 | 1,042 | |
Series 2005-82 Class JV, 5% 6/20/35 | 1,470 | 1,502 | |
Series 2006-2 Class Z, 5.5% 1/20/36 | 3,360 | 3,492 | |
Series 2010-160 Class DY, 4% 12/20/40 | 14,874 | 14,760 | |
Series 2010-168 Class BG, 4% 4/20/40 | 6,177 | 6,078 | |
Series 2010-170 Class B, 4% 12/20/40 | 2,350 | 2,332 | |
Series 2011-21 Class SB, 9.500% - 1 month U.S. LIBOR 0.0446% 2/16/41 (b)(i) | 5,221 | 4,642 | |
Series 2011-72 Class SE, 7.420% - 1 month U.S. LIBOR 0.4932% 5/16/41 (b)(i) | 9,771 | 8,732 | |
Series 2017-139 Class BA, 3% 9/20/47 | 4,942 | 4,563 | |
Series 2018-H12 Class HA, 3.25% 8/20/68 (j) | 12,863 | 12,444 | |
Series 2004-32: | |||
Class GS, 6.500% - 1 month U.S. LIBOR 1.5523% 5/16/34 (b)(h)(i) | 200 | 17 | |
Class SG, 6.500% - 1 month U.S. LIBOR 1.5473% 3/20/33 (b)(h)(i) | 2,493 | 158 | |
Series 2004-59 Class SC, 7.200% - 1 month U.S. LIBOR 2.2523% 8/16/34 (b)(h)(i) | 1,158 | 111 | |
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 2.2523% 8/17/34 (b)(h)(i) | 346 | 43 | |
Series 2005-13 Class SA, 6.800% - 1 month U.S. LIBOR 1.8473% 2/20/35 (b)(h)(i) | 1,959 | 166 | |
Series 2005-6 Class EY, 5.5% 11/20/33 | 1,016 | 1,039 | |
Series 2005-82 Class NS, 6.300% - 1 month U.S. LIBOR 1.3473% 7/20/34 (b)(h)(i) | 1,993 | 205 | |
Series 2006-13 Class DS, 11.100% - 1 month U.S. LIBOR 3.6709% 3/20/36 (b)(i) | 2,085 | 2,165 | |
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 10.5137% 6/16/37 (b)(i) | 460 | 552 | |
Series 2009-13 Class E, 4.5% 3/16/39 | 1,754 | 1,750 | |
Series 2009-42 Class AY, 5% 6/16/37 | 1,184 | 1,197 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 1.0023% 2/16/40 (b)(h)(i) | 1,388 | 93 | |
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 5.1606% 5/20/60 (b)(c)(j) | 4,109 | 4,073 | |
Series 2011-52 Class HI, 7% 4/16/41 (h) | 281 | 44 | |
Series 2011-54 Class SA, 6.000% - 1 month U.S. LIBOR 1.0473% 4/20/41 (b)(h)(i) | 3,325 | 362 | |
Series 2012-103 Class IL, 3% 8/20/27 (h) | 7,049 | 280 | |
Series 2012-75 Class SA, 6.050% - 1 month U.S. LIBOR 1.0973% 6/20/42 (b)(h)(i) | 6,527 | 780 | |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 1.7523% 6/16/42 (b)(h)(i) | 1,059 | 111 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 10,532 | 10,130 | |
Series 2013-182 Class IQ, 4.5% 12/16/43 (h) | 2,888 | 492 | |
Series 2013-39 Class GS, 9.500% - 1 month U.S. LIBOR 0% 3/20/41 (b)(i) | 13,096 | 11,702 | |
Series 2014-133 Class IB, 5% 9/20/44 (h) | 2,789 | 544 | |
Series 2014-146 Class EI, 5% 10/20/44 (h) | 5,325 | 1,082 | |
Series 2014-154 Class IO, 5% 10/20/44 (h) | 1,076 | 218 | |
Series 2014-158 Class ID, 5% 10/20/44 (h) | 4,664 | 965 | |
Series 2014-178 Class IO, 5% 11/20/44 (h) | 6,676 | 1,329 | |
Series 2014-2 Class BA, 3% 1/20/44 | 3,587 | 3,336 | |
Series 2014-21 Class HA, 3% 2/20/44 | 1,323 | 1,229 | |
Series 2014-25 Class HC, 3% 2/20/44 | 2,284 | 2,119 | |
Series 2014-5 Class A, 3% 1/20/44 | 1,948 | 1,812 | |
Series 2015-117 Class KI, 5% 8/20/45 (h) | 6,389 | 1,254 | |
Series 2015-14 Class IO, 5% 10/20/44 (h) | 7,222 | 1,442 | |
Series 2015-79 Class IC, 5% 5/20/45 (h) | 3,472 | 682 | |
Series 2015-H21: | |||
Class HZ, 4.2816% 6/20/63 (b)(j) | 445 | 439 | |
Class JZ, 4.1319% 6/20/65 (b)(j) | 337 | 333 | |
Series 2016-146 Class AL, 5.6931% 5/20/40 (b) | 2,194 | 2,263 | |
Series 2016-17 Class A, 3% 2/16/46 | 14,395 | 13,501 | |
Series 2016-171 Class BI, 5% 10/20/44 (h) | 6,495 | 1,296 | |
Series 2017-186 Class HK, 3% 11/16/45 | 6,742 | 6,241 | |
Series 2017-75 Class PT, 5.7367% 4/20/47 (b) | 7,916 | 8,144 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 5.41% 8/20/66 (b)(c)(j) | 8,818 | 8,775 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $312,125) | 285,885 | ||
Commercial Mortgage Securities - 0.3% | |||
Principal Amount (a) (000s) | Value ($) (000s) | ||
Freddie Mac: | |||
sequential payer: | |||
Series 2015-K049 Class A2, 3.01% 7/25/25 | 213 | 206 | |
Series 2015-K051 Class A2, 3.308% 9/25/25 | 337 | 328 | |
Series 2022-150 Class A2, 3.71% 9/25/32 | 1,800 | 1,732 | |
Series 2017-K727 Class A2, 2.946% 7/25/24 | 4,025 | 3,928 | |
Ginnie Mae guaranteed Multi-family REMIC pass-thru securities sequential payer Series 2001-58 Class X, 0.4902% 9/16/41 (b)(h) | 274 | 0 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
sequential payer Series 2002-81 Class IO, 0.9751% 9/16/42 (b)(h) | 1,382 | 24 | |
Series 2002-62 Class IO, 1.1686% 8/16/42 (b)(h) | 607 | 7 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $12,327) | 6,225 | ||
Money Market Funds - 17.5% | |||
Shares | Value ($) (000s) | ||
Fidelity Cash Central Fund 4.88% (k) (Cost $429,375) | 429,288,882 | 429,375 | |
TOTAL INVESTMENT IN SECURITIES - 153.8% (Cost $3,867,572) | 3,763,829 |
NET OTHER ASSETS (LIABILITIES) - (53.8)% | (1,316,185) |
NET ASSETS - 100.0% | 2,447,644 |
TBA Sale Commitments | ||
Principal Amount (a) (000s) | Value ($) (000s) | |
Ginnie Mae | ||
2% 5/1/53 | (90,450) | (77,486) |
2% 5/1/53 | (32,000) | (27,413) |
2% 5/1/53 | (13,100) | (11,222) |
2.5% 5/1/53 | (111,800) | (98,944) |
3% 5/1/53 | (66,350) | (60,606) |
TOTAL GINNIE MAE | (275,671) | |
Uniform Mortgage Backed Securities | ||
2% 5/1/53 | (13,100) | (10,889) |
2.5% 5/1/53 | (6,900) | (5,972) |
3% 5/1/53 | (14,850) | (13,345) |
3% 5/1/53 | (14,850) | (13,345) |
3.5% 5/1/53 | (4,875) | (4,533) |
3.5% 5/1/53 | (2,150) | (1,999) |
4.5% 5/1/53 | (4,500) | (4,397) |
5% 5/1/53 | (4,750) | (4,723) |
5.5% 5/1/53 | (2,400) | (2,420) |
5.5% 5/1/53 | (2,400) | (2,420) |
5.5% 5/1/53 | (2,400) | (2,420) |
5.5% 5/1/53 | (18,400) | (18,552) |
5.5% 5/1/53 | (11,400) | (11,494) |
5.5% 5/1/53 | (9,800) | (9,881) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (106,390) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $380,022) | (382,061) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) (000s) | Value ($) (000s) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 494 | Jun 2023 | 101,845 | 310 | 310 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 5 | Jun 2023 | 707 | 3 | 3 |
TOTAL PURCHASED | 313 | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 1,794 | Jun 2023 | 206,674 | (3,746) | (3,746) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 77 | Jun 2023 | 8,450 | (12) | (12) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 495 | Jun 2023 | 65,170 | (2,386) | (2,386) |
TOTAL SOLD | (6,144) | ||||
TOTAL FUTURES CONTRACTS | (5,831) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 4.2% | |||||
The notional amount of futures sold as a percentage of Net Assets is 11.4% |
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s)(2) | Value ($) (000s) | Upfront Premium Received/ (Paid) ($) (000s)(3) | Unrealized Appreciation/ (Depreciation) ($) (000s) | |
3.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Jun 2025 | 7,606 | 136 | 0 | 136 | |
3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Jun 2028 | 3,541 | 116 | 0 | 116 | |
3% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Jun 2033 | 1,362 | 59 | 0 | 59 | |
2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index(4) | Annual | LCH | Jun 2053 | 3,936 | 185 | 0 | 185 | |
TOTAL INTEREST RATE SWAPS | 496 | 0 | 496 |
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(4)Represents floating rate.
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(c) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(d) | Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $343,000. |
(e) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $6,810,000. |
(f) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $716,000. |
(g) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(i) | Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(j) | Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(k) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate (Amounts in thousands) | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 4.88% | 877,434 | 650,926 | 1,098,985 | 17,545 | - | - | 429,375 | 1.1% |
Fidelity Securities Lending Cash Central Fund 4.88% | - | 135,122 | 135,122 | 10 | - | - | - | 0.0% |
Total | 877,434 | 786,048 | 1,234,107 | 17,555 | - | - | 429,375 | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Government and Government Agency Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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