Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30
325,000
296,320
TOTAL UTILITIES
3,876,680
TOTAL NONCONVERTIBLE BONDS
(Cost $13,737,716)
12,501,488
U.S. Government and Government Agency Obligations - 42.8%
Principal
Amount (a)
Value ($)
U.S. Government Agency Obligations - 0.5%
Tennessee Valley Authority 1.5% 9/15/31
200,000
163,195
U.S. Treasury Obligations - 42.3%
U.S. Treasury Bonds:
1.875% 11/15/51
750,000
493,477
2% 11/15/41 (d)
2,820,000
2,072,259
2.25% 2/15/52
170,000
122,613
2.875% 5/15/52
1,030,000
852,888
3% 8/15/52
385,000
327,205
3.625% 2/15/53
100,000
96,047
3.625% 5/15/53
335,000
322,333
U.S. Treasury Notes:
0.25% 6/15/24 (d)
150,000
142,594
2.75% 8/15/32
840,000
781,102
2.875% 5/15/32
70,000
65,852
3% 7/15/25
1,375,000
1,337,295
3.25% 6/30/27
1,570,000
1,531,915
3.5% 1/31/28
48,000
47,348
3.5% 2/15/33
2,475,000
2,445,603
3.75% 4/15/26
500,000
495,625
3.875% 3/31/25
800,000
790,750
3.875% 4/30/25
1,150,000
1,137,467
4% 2/15/26
400,000
398,688
4.375% 10/31/24
375,000
372,598
TOTAL U.S. TREASURY OBLIGATIONS
13,833,659
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $15,231,731)
13,996,854
U.S. Government Agency - Mortgage Securities - 11.6%
Principal
Amount (a)
Value ($)
Fannie Mae - 4.2%
2% 6/1/36 to 11/1/41
383,342
334,417
3% 1/1/52
969,445
859,880
4.5% 12/1/52
198,379
192,228
TOTAL FANNIE MAE
1,386,525
Freddie Mac - 7.1%
2% 4/1/51 to 3/1/52
798,161
656,876
2.5% 2/1/52 to 3/1/52
1,331,301
1,137,834
3.5% 6/1/52
99,105
91,004
4% 12/1/52
198,731
187,902
1.5% 12/1/31
254,314
232,435
TOTAL FREDDIE MAC
2,306,051
Uniform Mortgage Backed Securities - 0.3%
5% 6/1/53 (e)
100,000
98,488
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $4,124,270)
3,791,064
Asset-Backed Securities - 2.2%
Principal
Amount (a)
Value ($)
GoodLeap Sustainable Home Solutions Trust Series 2021-5CS Class A, 2.31% 10/20/48 (b)
332,047
257,730
Hertz Vehicle Financing III LLC Series 2023-1A Class A, 5.49% 6/25/27 (b)
100,000
99,805
Sunnova Helios Viii Issuer LLC Series 2022-A Class A, 2.79% 2/22/49 (b)
229,263
197,823
Sunrun Callisto Issuer, LLC Series 2021-2A Class A, 2.27% 1/30/57 (b)
185,270
147,858
TOTAL ASSET-BACKED SECURITIES
(Cost $843,468)
703,216
Commercial Mortgage Securities - 1.5%
Principal
Amount (a)
Value ($)
Freddie Mac sequential payer:
Series 2020-KG03 Class A2, 1.297% 6/25/30
160,000
131,142
Series 2022-KG07 Class A2, 3.123% 8/25/32
200,000
181,144
Series 2022-KSG4 Class A2, 3.4% 8/25/32 (c)
200,000
184,992
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $542,069)
497,278
Foreign Government and Government Agency Obligations - 1.3%
Principal
Amount (a)
Value ($)
German Federal Republic 0% 8/15/31(Reg. S) (d)
EUR
341,000
305,240
Uruguay Republic 5.75% 10/28/34
100,000
109,175
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $402,140)
414,415
Preferred Securities - 0.9%
Principal
Amount (a)
Value ($)
UTILITIES - 0.9%
Electric Utilities - 0.9%
Iberdrola International BV 3.25% (Reg. S) (c)(f)
EUR
100,000
103,416
ORSTED A/S 2.25% (Reg. S) (c)(f)
EUR
100,000
101,595
Terna - Rete Elettrica Nazionale 2.375% (Reg. S) (c)(f)
EUR
100,000
90,322
TOTAL PREFERRED SECURITIES
(Cost $365,177)
295,333
Money Market Funds - 1.2%
Shares
Value ($)
Fidelity Cash Central Fund 5.14% (g)
(Cost $408,731)
408,649
408,731
TOTAL INVESTMENT IN SECURITIES - 99.8%
(Cost $35,655,302)
32,608,379
NET OTHER ASSETS (LIABILITIES) - 0.2%
60,886
NET ASSETS - 100.0%
32,669,265
Futures Contracts
Number
of contracts
Expiration
Date
Notional
Amount ($)
Value ($)
Unrealized
Appreciation/
(Depreciation) ($)
Purchased
Treasury Contracts
CBOT 5-Year U.S. Treasury Note Contracts (United States)
3
Sep 2023
327,234
(404)
(404)
Sold
Bond Index Contracts
Eurex Deutschland
13
Sep 2023
1,470,443
(187)
(187)
Eurex Euro-Bobl Contracts (Germany)
9
Jun 2023
1,136,519
(27,205)
(27,205)
Eurex Euro-Bund Contracts (Germany)
2
Sep 2023
289,287
(66)
(66)
TOTAL SOLD
(27,458)
TOTAL FUTURES CONTRACTS
(27,862)
The notional amount of futures purchased as a percentage of Net Assets is 1.0%
The notional amount of futures sold as a percentage of Net Assets is 8.9%
Forward Foreign Currency Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation/
(Depreciation) ($)
USD
12,795
EUR
12,000
BNP Paribas S.A.
6/02/23
(32)
EUR
3,000
USD
3,266
BNP Paribas S.A.
6/21/23
(55)
EUR
2,000
USD
2,160
BNP Paribas S.A.
6/21/23
(20)
EUR
2,000
USD
2,149
BNP Paribas S.A.
6/21/23
(8)
EUR
3,000
USD
3,305
Bank of America, N.A.
6/21/23
(94)
EUR
2,000
USD
2,178
Bank of America, N.A.
6/21/23
(38)
EUR
2,000
USD
2,146
Bank of America, N.A.
6/21/23
(6)
EUR
5,000
USD
5,415
Brown Brothers Harriman & Co
6/21/23
(64)
EUR
4,000
USD
4,300
Brown Brothers Harriman & Co
6/21/23
(19)
EUR
3,000
USD
3,252
Canadian Imperial Bk. of Comm.
6/21/23
(42)
EUR
10,000
USD
10,982
JPMorgan Chase Bank, N.A.
6/21/23
(281)
EUR
2,000
USD
2,159
JPMorgan Chase Bank, N.A.
6/21/23
(18)
EUR
5,000
USD
5,388
JPMorgan Chase Bank, N.A.
6/21/23
(37)
GBP
2,000
USD
2,474
BNP Paribas S.A.
6/21/23
15
USD
18,784
AUD
28,000
Brown Brothers Harriman & Co
6/21/23
558
USD
2,822,081
EUR
2,576,000
Bank of America, N.A.
6/21/23
65,459
USD
5,531
EUR
5,000
Brown Brothers Harriman & Co
6/21/23
181
USD
5,470
EUR
5,000
Brown Brothers Harriman & Co
6/21/23
119
USD
2,164
EUR
2,000
Brown Brothers Harriman & Co
6/21/23
23
USD
7,620
EUR
7,000
Citibank, N. A.
6/21/23
129
USD
6,596
EUR
6,000
JPMorgan Chase Bank, N.A.
6/21/23
176
USD
11,029
EUR
10,000
JPMorgan Chase Bank, N.A.
6/21/23
328
USD
3,319
EUR
3,000
JPMorgan Chase Bank, N.A.
6/21/23
109
USD
5,511
EUR
5,000
JPMorgan Chase Bank, N.A.
6/21/23
160
USD
7,751
EUR
7,000
Royal Bank of Canada
6/21/23
260
USD
99,017
GBP
80,000
Bank of America, N.A.
6/21/23
(541)
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
66,262
Unrealized Appreciation
67,517
Unrealized Depreciation
(1,255)
Currency Abbreviations
AUD
-
Australian dollar
EUR
-
European Monetary Unit
GBP
-
British pound sterling
USD
-
U.S. dollar
Legend
(a)
Amount is stated in United States dollars unless otherwise noted.
(b)
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 $2,371,928 or 7.3% of net assets.
(c)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d)
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $132,754.
(e)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f)
Security is perpetual in nature with no stated maturity date.
(g)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.14%
1,783,992
11,224,582
12,599,843
35,708
-
-
408,731
0.0%
Total
1,783,992
11,224,582
12,599,843
35,708
-
-
408,731
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
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.Nonconvertible Bonds, U.S. Government and Government Agency Obligations, Foreign Government and Government Agency Obligations and Preferred Securities 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, Asset-Backed Securities 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. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy.
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):
Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
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.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
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.
Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.
The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
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.
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.
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.
We use cookies on this site to provide a more responsive and personalized service. Continuing to browse, clicking I Agree, or closing this banner indicates agreement. See our Cookie Policy for more information.
