TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $300,510)
281,766
U.S. Government Agency - Mortgage Securities - 13.1%
Principal
Amount (a)
(000s)
Value ($)
(000s)
Fannie Mae - 4.7%
1.5% 11/1/40 to 11/1/41
3,126
2,560
2% 2/1/28 to 12/1/41
5,418
4,788
2.5% 1/1/28 to 12/1/51
4,648
4,196
3% 11/1/34 to 2/1/52 (b)(c)
1,185
1,103
3.5% 3/1/52
501
461
4% 9/1/52
242
230
5% 10/1/52 to 12/1/52
1,404
1,398
5.5% 5/1/53
516
518
TOTAL FANNIE MAE
15,254
Freddie Mac - 3.2%
1.5% 12/1/40 to 4/1/41
857
706
2% 7/1/41
1,181
1,021
2.5% 1/1/28 to 12/1/51
4,766
4,328
3% 9/1/34
375
356
3.5% 5/1/51 to 3/1/52 (b)
2,521
2,326
5% 10/1/52 to 12/1/52
1,321
1,315
5.5% 5/1/53
467
470
TOTAL FREDDIE MAC
10,522
Ginnie Mae - 2.3%
2% 2/20/51
50
42
2% 6/1/53 (d)
200
170
2% 6/1/53 (d)
3,000
2,544
2% 6/1/53 (d)
1,050
890
2% 6/1/53 (d)
900
763
2% 7/1/53 (d)
1,400
1,188
2% 7/1/53 (d)
1,800
1,528
2% 7/1/53 (d)
450
382
TOTAL GINNIE MAE
7,507
Uniform Mortgage Backed Securities - 2.9%
4% 6/1/53 (d)
1,550
1,464
4% 6/1/53 (d)
950
897
4% 6/1/53 (d)
200
189
5.5% 6/1/53 (d)
550
550
5.5% 6/1/53 (d)
1,400
1,399
5.5% 6/1/53 (d)
2,450
2,448
5.5% 6/1/53 (d)
2,450
2,448
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
9,395
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $44,033)
42,678
Collateralized Mortgage Obligations - 2.4%
Principal
Amount (a)
(000s)
Value ($)
(000s)
U.S. Government Agency - 2.4%
Fannie Mae sequential payer:
Series 2022-1 Class KA, 3% 5/25/48
193
175
Series 2022-13 Class MA, 3% 5/25/44
804
754
Series 2022-3 Class N, 2% 10/25/47
1,500
1,299
Series 2022-49 Class TE, 4.5% 12/25/48
1,460
1,425
Series 2022-65 Class GA, 5% 4/25/46
1,506
1,485
Series 2022-7 Class A, 3% 5/25/48
274
250
Freddie Mac:
sequential payer:
Series 2022-5189 Class DA, 2.5% 5/25/49
136
118
Series 2022-5190 Class BA, 2.5% 11/25/47
139
123
Series 2022-5197 Class DA, 2.5% 11/25/47
106
94
Series 2022-5198 Class BA, 2.5% 11/25/47
493
442
Series 2022-5202 Class LB, 2.5% 10/25/47
113
100
Series 2021-5083 Class VA, 1% 8/15/38
1,800
1,673
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $7,985)
7,938
Commercial Mortgage Securities - 2.4%
Principal
Amount (a)
(000s)
Value ($)
(000s)
Freddie Mac:
sequential payer:
Series 2015-K043 Class A2, 3.062% 12/25/24
1,004
973
Series 2015-K049 Class A2, 3.01% 7/25/25
28
27
Series 2015-K050 Class A2, 3.334% 8/25/25 (e)
1,148
1,115
Series 2015-K051 Class A2, 3.308% 9/25/25
45
44
Series 2016-K052 Class A2, 3.151% 11/25/25
2,995
2,897
Series 2017-K729 Class A2, 3.136% 10/25/24
700
680
Series 2022-150 Class A2, 3.71% 9/25/32
200
190
Series 2017-K727 Class A2, 2.946% 7/25/24
1,302
1,269
Freddie Mac Multi-family Structured pass-thru certificates Series K044 Class A2, 2.811% 1/25/25
739
714
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $7,940)
7,909
Foreign Government and Government Agency Obligations - 0.4%
Principal
Amount (a)
(000s)
Value ($)
(000s)
Israeli State 5.5% 4/26/24
(Cost $1,127)
1,100
1,102
Money Market Funds - 0.2%
Shares
Value ($)
(000s)
Fidelity Cash Central Fund 5.14% (f)
(Cost $701)
701,298
701
TOTAL INVESTMENT IN SECURITIES - 105.1%
(Cost $362,296)
342,094
NET OTHER ASSETS (LIABILITIES) - (5.1)%
(16,533)
NET ASSETS - 100.0%
325,561
TBA Sale Commitments
Principal
Amount (a)
(000s)
Value ($)
(000s)
Ginnie Mae
2% 6/1/53
(1,400)
(1,187)
2% 6/1/53
(1,800)
(1,526)
2% 6/1/53
(450)
(382)
TOTAL GINNIE MAE
(3,095)
Uniform Mortgage Backed Securities
3.5% 6/1/53
(700)
(642)
3.5% 6/1/53
(400)
(367)
4% 6/1/53
(1,100)
(1,039)
4% 6/1/53
(400)
(378)
4% 6/1/53
(1,200)
(1,134)
5.5% 6/1/53
(1,000)
(999)
5.5% 6/1/53
(550)
(550)
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
(5,109)
TOTAL TBA SALE COMMITMENTS
(Proceeds $(8,202))
(8,204)
Futures Contracts
Number
of contracts
Expiration
Date
Notional
Amount ($)
(000s)
Value ($)
(000s)
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
Purchased
Treasury Contracts
CBOT 10-Year U.S. Treasury Note Contracts (United States)
25
Sep 2023
2,862
3
3
CBOT 2-Year U.S. Treasury Note Contracts (United States)
101
Sep 2023
20,789
(50)
(50)
CBOT 5-Year U.S. Treasury Note Contracts (United States)
61
Sep 2023
6,654
(5)
(5)
TOTAL PURCHASED
(52)
Sold
Treasury Contracts
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)
1
Sep 2023
137
(2)
(2)
TOTAL FUTURES CONTRACTS
(54)
The notional amount of futures purchased as a percentage of Net Assets is 9.3%
The notional amount of futures sold as a percentage of Net Assets is 0.0%
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%
Annual
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
LCH
Jun 2030
27
1
0
1
(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)
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 $289,000.
(c)
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 $8,000.
(d)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(f)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate (Amounts in thousands)
Value,
beginning
of period ($)
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 5.14%
17,468
76,195
92,962
264
-
-
701
0.0%
Fidelity Securities Lending Cash Central Fund 5.14%
17,759
115,387
133,146
8
-
-
-
0.0%
Total
35,227
191,582
226,108
272
-
-
701
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 and Foreign 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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