TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $356,108)
338,137
U.S. Government Agency - Mortgage Securities - 17.2%
Principal
Amount (a)
(000s)
Value ($)
(000s)
Fannie Mae - 4.9%
1.5% 11/1/40 to 11/1/41
3,009
2,384
2% 2/1/28 to 12/1/41
6,657
5,673
2.5% 1/1/28 to 12/1/51
4,462
3,937
3% 2/1/31 to 2/1/52 (c)(d)
3,581
3,243
3.5% 3/1/52
479
422
4.5% 9/1/42
972
930
5% 10/1/52 to 12/1/52 (c)(d)
1,353
1,316
5.5% 6/1/53
114
114
6% 6/1/53 (c)(d)
682
692
6.5% 8/1/53
1,879
1,912
TOTAL FANNIE MAE
20,623
Freddie Mac - 3.6%
1.5% 12/1/40 to 4/1/41
824
657
2% 5/1/36 to 7/1/41
2,396
2,037
2.5% 1/1/28 to 2/1/42
6,558
5,761
3% 12/1/30 to 9/1/34
393
367
3.5% 1/1/34 to 3/1/52 (c)(d)
2,686
2,394
4.5% 10/1/42 to 12/1/42
867
829
5% 10/1/52 to 12/1/52
1,272
1,236
5.5% 9/1/52 to 5/1/53
1,431
1,422
6.5% 10/1/53
747
768
TOTAL FREDDIE MAC
15,471
Ginnie Mae - 5.7%
2% 12/1/53 (e)
850
686
2% 12/1/53 (e)
1,250
1,009
2% 12/1/53 (e)
500
404
2% 12/1/53 (e)
450
363
2% 12/1/53 (e)
350
283
2% 12/1/53 (e)
3,000
2,423
2% 12/1/53 (e)
500
404
2% 12/1/53 (e)
100
81
2% 1/1/54 (e)
750
607
2% 1/1/54 (e)
650
526
2% 1/1/54 (e)
1,300
1,051
2% 1/1/54 (e)
950
768
2% 1/1/54 (e)
350
283
5.5% 12/1/53 (e)
500
497
5.5% 12/1/53 (e)
100
99
5.5% 12/1/53 (e)
100
99
5.5% 12/1/53 (e)
350
348
5.5% 1/1/54 (e)
350
348
6.5% 12/1/53 (e)
1,600
1,627
6.5% 12/1/53 (e)
1,600
1,627
6.5% 12/1/53 (e)
2,250
2,288
6.5% 12/1/53 (e)
650
661
6.5% 12/1/53 (e)
3,900
3,966
6.5% 1/1/54 (e)
3,900
3,963
TOTAL GINNIE MAE
24,411
Uniform Mortgage Backed Securities - 3.0%
3% 12/1/53 (e)
300
253
3% 12/1/53 (e)
250
211
3% 12/1/53 (e)
800
675
3% 12/1/53 (e)
625
528
3% 12/1/53 (e)
650
549
3% 12/1/53 (e)
75
63
3% 12/1/53 (e)
75
63
3% 12/1/53 (e)
25
21
3% 12/1/53 (e)
625
528
3% 12/1/53 (e)
25
21
3% 12/1/53 (e)
150
127
3% 12/1/53 (e)
500
422
5.5% 12/1/53 (e)
375
370
5.5% 12/1/53 (e)
500
493
5.5% 12/1/53 (e)
1,375
1,356
5.5% 12/1/53 (e)
650
641
5.5% 12/1/53 (e)
500
493
6.5% 12/1/53 (e)
50
51
6.5% 12/1/53 (e)
3,800
3,862
6.5% 12/1/53 (e)
2,100
2,134
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
12,861
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $74,527)
73,366
Collateralized Mortgage Obligations - 4.2%
Principal
Amount (a)
(000s)
Value ($)
(000s)
U.S. Government Agency - 4.2%
Fannie Mae:
planned amortization class Series 2021-65 Class MA, 2% 8/25/51
836
687
sequential payer:
Series 2020-101 Class BA, 1.5% 9/25/45
278
232
Series 2020-49 Class JA, 2% 8/25/44
98
86
Series 2020-67 Class KZ, 3.25% 9/25/40
443
401
Series 2020-75 Class HA, 1.5% 12/25/44
1,390
1,158
Series 2021-68 Class A, 2% 7/25/49
198
152
Series 2021-85 Class L, 2.5% 8/25/48
108
92
Series 2021-96 Class HA, 2.5% 2/25/50
175
147
Series 2022-1 Class KA, 3% 5/25/48
181
160
Series 2022-13 Class MA, 3% 5/25/44
747
690
Series 2022-3:
Class G, 2% 11/25/47
1,980
1,688
Class N, 2% 10/25/47
1,426
1,188
Series 2022-4 Class B, 2.5% 5/25/49
129
110
Series 2022-49 Class TE, 4.5% 12/25/48
1,375
1,313
Series 2022-5 Class 0, 2.5% 6/25/48
199
171
Series 2022-65 Class GA, 5% 4/25/46
1,426
1,368
Series 2022-7 Class A, 3% 5/25/48
258
229
Series 2020-45 Class JL, 3% 7/25/40
32
29
Series 2021-59 Class H, 2% 6/25/48
112
88
Series 2021-66:
Class DA, 2% 1/25/48
120
96
Class DM, 2% 1/25/48
128
102
Freddie Mac:
planned amortization class:
Series 2021-5122 Class TE, 1.5% 6/25/51
541
430
Series 2022-5213 Class JM, 3.5% 9/25/51
880
819
Series 2022-5214 Class CG, 3.5% 4/25/52
304
278
Series 2022-5220 Class PK, 3.5% 1/25/51
393
361
Series 2022-5224 Class DQ, 3.75% 8/25/44
499
468
sequential payer:
Series 2020-5018:
Class LC, 3% 10/25/40
217
192
Class LT, 3.25% 10/25/40
460
415
Class LY, 3% 10/25/40
164
146
Series 2021-5175 Class CB, 2.5% 4/25/50
625
526
Series 2021-5180 Class KA, 2.5% 10/25/47
127
111
Series 2022-5189 Class DA, 2.5% 5/25/49
130
111
Series 2022-5190 Class BA, 2.5% 11/25/47
133
114
Series 2022-5191 Class CA, 2.5% 4/25/50
150
126
Series 2022-5197 Class DA, 2.5% 11/25/47
101
87
Series 2022-5198 Class BA, 2.5% 11/25/47
460
400
Series 2022-5200 Class LA, 3% 10/25/48
296
264
Series 2022-5202 Class LB, 2.5% 10/25/47
108
93
Series 2020-5041 Class LB, 3% 11/25/40
369
327
Series 2021-5083 Class VA, 1% 8/15/38
1,514
1,400
Series 2021-5176 Class AG, 2% 1/25/47
472
393
Series 2021-5182 Class A, 2.5% 10/25/48
823
699
Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series 2021-5159 Class GC, 2% 11/25/47
102
86
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $18,156)
18,033
Commercial Mortgage Securities - 5.3%
Principal
Amount (a)
(000s)
Value ($)
(000s)
Fannie Mae Series 2022-66, Class KA, 5% 10/25/52
392
385
Freddie Mac:
sequential payer:
Series 2015-K043 Class A2, 3.062% 12/25/24
991
967
Series 2015-K049 Class A2, 3.01% 7/25/25
28
27
Series 2015-K050 Class A2, 3.334% 8/25/25 (f)
1,148
1,113
Series 2015-KPLB Class A, 2.77% 5/25/25
500
482
Series 2016-K052 Class A2, 3.151% 11/25/25
2,995
2,888
Series 2016-K055 Class A2, 2.673% 3/25/26
400
380
Series 2017-K729 Class A2, 3.136% 10/25/24
700
686
Series 2018-K733 Class A2, 3.75% 8/25/25
1,988
1,938
Series 2019-K092 Class A2, 3.298% 4/25/29
600
556
Series 2021-K746 Class A2, 2.031% 9/25/28
900
791
Series 2022-150 Class A2, 3.71% 9/25/32
200
182
Series 2022-K747 Class A2, 2.05% 11/25/28
500
439
Series 2022-K750 Class A2, 3% 9/25/29
1,573
1,429
Series 2023-158 Class A2, 4.05% 7/25/33
160
149
Series 2023-160 Class A1, 4.68% 10/25/32
500
488
Series K058 Class A2, 2.653% 8/25/26
1,400
1,318
Series K065 Class A2, 3.243% 4/25/27
400
380
Series K073 Class A2, 3.35% 1/25/28
300
283
Series 2017-K068 Class A2, 3.244% 8/25/27
1,000
945
Series 2017-K727 Class A2, 2.946% 7/25/24
1,102
1,084
Series 2022 K748 Class A2, 2.26% 1/25/29
500
441
Series K048 Class A2, 3.284% 6/25/25 (f)
1,490
1,447
Series K053 Class A2, 2.995% 12/25/25
1,200
1,152
Series K063 Class A2, 3.43% 1/25/27
500
479
Series K086 Class A2, 3.859% 11/25/28
324
310
Series K090 Class A2, 3.422% 2/25/29
500
467
Series K734 Class A2, 3.208% 2/25/26
900
867
Freddie Mac Multi-family Structured pass-thru certificates Series K044 Class A2, 2.811% 1/25/25
731
710
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $22,872)
22,783
Foreign Government and Government Agency Obligations - 0.3%
Principal
Amount (a)
(000s)
Value ($)
(000s)
Israeli State 5.5% 4/26/24
(Cost $1,112)
1,100
1,100
Money Market Funds - 4.1%
Shares
Value ($)
(000s)
Fidelity Cash Central Fund 5.40% (g)
15,860,921
15,864
Fidelity Securities Lending Cash Central Fund 5.39% (g)(h)
1,485,231
1,485
TOTAL MONEY MARKET FUNDS
(Cost $17,349)
17,349
TOTAL INVESTMENT IN SECURITIES - 110.2%
(Cost $490,124)
470,768
NET OTHER ASSETS (LIABILITIES) - (10.2)%
(43,474)
NET ASSETS - 100.0%
427,294
TBA Sale Commitments
Principal
Amount (a)
(000s)
Value ($)
(000s)
Ginnie Mae
2% 12/1/53
(750)
(606)
2% 12/1/53
(1,700)
(1,373)
2% 12/1/53
(650)
(525)
2% 12/1/53
(1,300)
(1,050)
2% 12/1/53
(950)
(767)
2% 12/1/53
(350)
(283)
5.5% 12/1/53
(350)
(348)
5.5% 12/1/53
(700)
(695)
5.5% 1/1/54
(350)
(348)
6.5% 12/1/53
(800)
(814)
6.5% 12/1/53
(6,150)
(6,254)
6.5% 12/1/53
(3,050)
(3,102)
6.5% 1/1/54
(3,900)
(3,963)
TOTAL GINNIE MAE
(20,128)
Uniform Mortgage Backed Securities
3% 12/1/53
(2,800)
(2,364)
3% 12/1/53
(150)
(127)
3% 12/1/53
(625)
(528)
3% 12/1/53
(25)
(21)
3% 12/1/53
(500)
(422)
3.5% 12/1/53
(350)
(307)
5.5% 12/1/53
(600)
(592)
5.5% 12/1/53
(1,500)
(1,479)
5.5% 12/1/53
(600)
(592)
5.5% 12/1/53
(200)
(197)
5.5% 12/1/53
(500)
(493)
6.5% 12/1/53
(50)
(51)
6.5% 12/1/53
(3,500)
(3,557)
6.5% 12/1/53
(1,300)
(1,321)
6.5% 12/1/53
(1,100)
(1,118)
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
(13,169)
TOTAL TBA SALE COMMITMENTS
(Proceeds $33,131)
(33,297)
Futures Contracts
Number
of contracts
Expiration
Date
Notional
Amount ($)
(000s)
Value ($)
(000s)
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
Purchased
Treasury Contracts
CBOT 10-Year U.S. Treasury Note Contracts (United States)
123
Mar 2024
13,505
45
45
CBOT 2-Year U.S. Treasury Note Contracts (United States)
478
Mar 2024
97,732
290
290
CBOT 5-Year U.S. Treasury Note Contracts (United States)
54
Mar 2024
5,770
27
27
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)
5
Mar 2024
615
7
7
TOTAL PURCHASED
369
Sold
Treasury Contracts
CBOT Long Term U.S. Treasury Bond Contracts (United States)
69
Mar 2024
8,034
(40)
(40)
TOTAL FUTURES CONTRACTS
329
The notional amount of futures purchased as a percentage of Net Assets is 27.6%
The notional amount of futures sold as a percentage of Net Assets is 1.9%
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)
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
4.25%
Annual
LCH
Dec 2025
18,180
(106)
0
(106)
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
4%
Annual
LCH
Dec 2026
28,280
(275)
0
(275)
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
3.75%
Annual
LCH
Dec 2028
1,580
(21)
0
(21)
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
3.5%
Annual
LCH
Dec 2030
5,043
(75)
0
(75)
U.S. Secured Overnight Fin. Rate (SOFR) Index(4)
Annual
3.5%
Annual
LCH
Dec 2043
570
(26)
0
(26)
TOTAL INTEREST RATE SWAPS
(503)
0
(503)
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)Any premiums for centrally cleared 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 is on loan at period end.
(c)
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 $756,000.
(d)
Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $1,418,000.
(e)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(g)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(h)
Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate (Amounts in thousands)
Value,
beginning
of period ($)
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 5.40%
27,215
56,672
68,023
298
-
-
15,864
0.0%
Fidelity Securities Lending Cash Central Fund 5.39%
-
20,401
18,916
1
-
-
1,485
0.0%
Total
27,215
77,073
86,939
299
-
-
17,349
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 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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