Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30
325,000
296,106
TOTAL UTILITIES
3,044,708
TOTAL NONCONVERTIBLE BONDS
(Cost $14,951,002)
14,217,238
U.S. Government and Government Agency Obligations - 28.5%
Principal
Amount (a)
Value ($)
U.S. Government Agency Obligations - 0.4%
Tennessee Valley Authority 1.5% 9/15/31
200,000
162,535
U.S. Treasury Obligations - 28.1%
U.S. Treasury Bonds:
2% 11/15/41 (d)
1,870,000
1,267,509
2.875% 5/15/52
775,000
559,241
3% 8/15/52
235,000
174,065
3.625% 2/15/53
100,000
83,754
3.625% 5/15/53
405,000
339,251
4.125% 8/15/53
270,000
247,641
4.25% 2/15/54
550,000
515,883
4.625% 5/15/54
150,000
149,813
4.75% 11/15/53
190,000
193,563
U.S. Treasury Notes:
2.875% 5/15/32
65,000
57,977
3.5% 1/31/28
53,000
51,050
3.875% 8/15/33
450,000
428,836
4% 6/30/28
400,000
391,656
4% 7/31/30
1,520,000
1,478,432
4% 1/31/31
800,000
776,875
4% 2/15/34
170,000
163,439
4.125% 7/31/28
1,000,000
983,633
4.25% 2/28/29
905,000
894,925
4.25% 2/28/31
150,000
147,838
4.375% 11/30/30
300,000
297,715
4.5% 11/15/33
350,000
350,055
4.625% 9/30/28 (d)
190,000
190,512
TOTAL U.S. TREASURY OBLIGATIONS
9,743,663
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $10,850,387)
9,906,198
U.S. Government Agency - Mortgage Securities - 23.8%
Principal
Amount (a)
Value ($)
Fannie Mae - 9.5%
2% 8/1/35 to 8/1/51
720,988
601,791
2.5% 12/1/51 to 4/1/52
282,286
228,518
3% 1/1/52
932,036
785,566
4.5% 12/1/52
579,539
542,905
5% 5/1/53 to 1/1/54
787,994
758,382
5.5% 5/1/53 to 11/1/53
329,726
324,431
6.5% 5/1/53
65,871
67,001
TOTAL FANNIE MAE
3,308,594
Freddie Mac - 9.5%
2% 4/1/51 to 3/1/52
1,043,017
806,213
2.5% 2/1/52 to 3/1/52
1,649,490
1,334,502
3.5% 6/1/52
93,947
82,535
4% 12/1/52
392,652
356,313
5% 6/1/53
190,639
183,525
5.5% 10/1/53
194,274
191,215
6.5% 1/1/53 to 6/1/53
123,302
125,701
1.5% 12/1/31
220,516
198,372
TOTAL FREDDIE MAC
3,278,376
Ginnie Mae - 0.4%
2% 2/20/51
189,643
151,950
Uniform Mortgage Backed Securities - 4.4%
3.5% 6/1/54 (e)
200,000
175,258
3.5% 7/1/54 (e)
200,000
175,117
4% 6/1/54 (e)
100,000
90,699
4% 6/1/54 (e)
100,000
90,699
5% 6/1/54 (e)
300,000
288,609
5% 6/1/54 (e)
300,000
288,609
6.5% 6/1/54 (e)
400,000
406,578
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
1,515,569
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $8,764,382)
8,254,489
Asset-Backed Securities - 3.4%
Principal
Amount (a)
Value ($)
Goodleap Sustainable Home Solu Series 2024-1GS Class A, 6.25% 6/20/57 (b)
100,000
99,120
Goodleap Sustainable Home Solutions Series 2023-4C Class A, 6.48% 3/20/57 (b)
95,738
95,983
GoodLeap Sustainable Home Solutions Trust Series 2021-5CS Class A, 2.31% 10/20/48 (b)
301,660
235,930
Hertz Vehicle Financing III LLC Series 2023-1A Class A, 5.49% 6/25/27 (b)
100,000
99,561
Mosaic Solar Loans LLC Series 2024-1 Class A, 5.5% 9/20/49 (b)
95,027
93,159
Sunnova Helios Viii Issuer LLC Series 2022-A Class A, 2.79% 2/22/49 (b)
216,483
184,081
Sunrun Callisto Issuer, LLC Series 2021-2A Class A, 2.27% 1/30/57 (b)
174,036
141,093
Sunrun Julius Issuer 2023-2 Ll Series 2023-2A Class A1, 6.6% 1/30/59 (b)
147,816
145,582
Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/26 (b)
51,000
51,059
Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A3, 5.38% 6/20/28 (b)
38,000
37,908
TOTAL ASSET-BACKED SECURITIES
(Cost $1,314,961)
1,183,476
Commercial Mortgage Securities - 2.5%
Principal
Amount (a)
Value ($)
District of Columbia Commercial Mtg Trust 2023-District of Columbia sequential payer Series 2023-DC Class A, 6.3143% 9/12/40 (b)
100,000
102,065
Freddie Mac:
sequential payer:
Series 2020-KG03 Class A2, 1.297% 6/25/30
160,000
130,632
Series 2022-KG07 Class A2, 3.123% 8/25/32
200,000
175,901
Series 2022-KSG4 Class A2, 3.4% 8/25/32 (c)
200,000
179,238
Series 2023-KG08 Class A2, 4.134% 5/25/33
300,000
282,402
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $932,678)
870,238
Foreign Government and Government Agency Obligations - 0.7%
Principal
Amount (a)
Value ($)
German Federal Republic 0% 8/15/30 (Reg. S)
EUR
114,000
105,567
United Kingdom, Great Britain and Northern Ireland 4.25% 6/7/32
GBP
20,000
25,611
Uruguay Republic 5.75% 10/28/34
100,000
103,150
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $230,829)
234,328
Preferred Securities - 0.9%
Principal
Amount (a)
Value ($)
UTILITIES - 0.9%
Electric Utilities - 0.9%
Iberdrola International BV 3.25% (Reg. S) (c)(f)
EUR
100,000
107,532
TenneT Holding BV 4.625% (Reg. S) (c)(f)
EUR
100,000
107,556
Terna - Rete Elettrica Nazionale 2.375% (Reg. S) (c)(f)
EUR
100,000
99,825
TOTAL PREFERRED SECURITIES
(Cost $346,069)
314,913
Money Market Funds - 3.6%
Shares
Value ($)
Fidelity Cash Central Fund 5.39% (g)
(Cost $1,243,238)
1,242,989
1,243,238
TOTAL INVESTMENT IN SECURITIES - 104.4%
(Cost $38,633,546)
36,224,118
NET OTHER ASSETS (LIABILITIES) - (4.4)%
(1,536,125)
NET ASSETS - 100.0%
34,687,993
TBA Sale Commitments
Principal
Amount (a)
Value ($)
Uniform Mortgage Backed Securities
3.5% 6/1/54
(200,000)
(175,258)
5% 6/1/54
(300,000)
(288,609)
TOTAL TBA SALE COMMITMENTS
(Proceeds $467,258)
(463,867)
Futures Contracts
Number
of contracts
Expiration
Date
Notional
Amount ($)
Value ($)
Unrealized
Appreciation/
(Depreciation) ($)
Purchased
Treasury Contracts
CBOT 5-Year U.S. Treasury Note Contracts (United States)
5
Sep 2024
528,984
(1,610)
(1,610)
Sold
Bond Index Contracts
Eurex Euro-Bobl Contracts (Germany)
9
Sep 2024
1,126,835
(205)
(205)
Eurex Euro-Bund Contracts (Germany)
2
Sep 2024
282,070
(112)
(112)
Eurex Euro-Schatz Contracts (Germany)
9
Sep 2024
1,027,716
(253)
(253)
TOTAL SOLD
(570)
TOTAL FUTURES CONTRACTS
(2,180)
The notional amount of futures purchased as a percentage of Net Assets is 1.5%
The notional amount of futures sold as a percentage of Net Assets is 7.0%
Forward Foreign Currency Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation/
(Depreciation) ($)
EUR
14,000
USD
15,198
Brown Brothers Harriman & Co
6/04/24
(7)
EUR
17,000
USD
18,525
BNP Paribas S.A.
8/22/24
(11)
EUR
2,000
USD
2,165
Bank of America, N.A.
8/22/24
13
EUR
4,000
USD
4,337
Bank of America, N.A.
8/22/24
20
EUR
4,000
USD
4,364
Bank of America, N.A.
8/22/24
(8)
EUR
2,000
USD
2,180
Citibank, N. A.
8/22/24
(2)
EUR
2,000
USD
2,180
JPMorgan Chase Bank, N.A.
8/22/24
(2)
EUR
5,000
USD
5,435
JPMorgan Chase Bank, N.A.
8/22/24
10
EUR
6,000
USD
6,533
State Street Bank and Trust Co
8/22/24
1
USD
18,538
AUD
28,000
Citibank, N. A.
8/22/24
(135)
USD
9,825
EUR
9,000
Bank of America, N.A.
8/22/24
24
USD
16,342
EUR
15,000
Brown Brothers Harriman & Co
8/22/24
7
USD
2,867,700
EUR
2,652,000
Goldman Sachs Bank USA
8/22/24
(20,459)
USD
142,763
GBP
114,000
Bank of America, N.A.
8/22/24
(2,562)
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
(23,111)
Unrealized Appreciation
75
Unrealized Depreciation
(23,186)
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 $3,164,064 or 9.1% 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 $50,825.
(e)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f)
Security is perpetual in nature with no stated maturity date.
(g)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate
Value,
beginning
of period ($)
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 5.39%
847,713
9,795,884
9,400,359
31,695
-
-
1,243,238
0.0%
Total
847,713
9,795,884
9,400,359
31,695
-
-
1,243,238
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 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.
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