TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $25,246,105)
25,084,184
U.S. Treasury Obligations - 75.4%
Yield (%) (h)
Principal
Amount (a)
Value ($)
US Treasury Bonds 4.625% 5/15/2044
4.56 to 4.58
3,220,000
3,279,872
US Treasury Bonds 4.625% 5/15/2054
4.02 to 4.49
640,000
665,300
US Treasury Notes 0.25% 10/31/2025
0.38
840,000
809,163
US Treasury Notes 0.25% 7/31/2025
0.27
6,029,000
5,866,264
US Treasury Notes 0.375% 12/31/2025
0.40
4,210,000
4,034,857
US Treasury Notes 0.75% 8/31/2026
0.95 to 4.64
12,364,000
11,647,274
US Treasury Notes 1.125% 8/31/2028
1.13 to 1.14
53,595,000
48,063,830
US Treasury Notes 1.25% 12/31/2026
1.26
3,278,000
3,089,003
US Treasury Notes 1.25% 9/30/2028
1.45
580,000
521,479
US Treasury Notes 1.5% 1/31/2027
1.50 to 1.57
5,049,000
4,771,699
US Treasury Notes 1.875% 2/28/2027
1.71
5,600,000
5,327,000
US Treasury Notes 2.5% 2/28/2026
2.38 to 2.67
9,441,000
9,238,166
US Treasury Notes 2.625% 7/31/2029
2.83
410,000
384,503
US Treasury Notes 2.75% 5/31/2029
2.87
2,897,000
2,736,760
US Treasury Notes 2.75% 7/31/2027
2.68 to 2.71
2,880,000
2,779,538
US Treasury Notes 2.75% 8/15/2032
2.79 to 3.99
13,693,000
12,428,537
US Treasury Notes 2.875% 11/30/2025
2.78 to 2.83
6,513,000
6,419,019
US Treasury Notes 2.875% 4/30/2029
2.97
600,000
570,328
US Treasury Notes 2.875% 5/15/2032
2.84 to 2.86
2,646,000
2,430,289
US Treasury Notes 3.125% 11/15/2028
2.69 to 3.01
8,510,000
8,206,831
US Treasury Notes 3.375% 5/15/2033
3.83
290,000
273,506
US Treasury Notes 3.5% 1/31/2028
3.83
1,920,000
1,884,675
US Treasury Notes 3.5% 2/15/2033
3.91
730,000
696,123
US Treasury Notes 3.5% 9/30/2029
3.56 to 3.58
7,540,000
7,345,020
US Treasury Notes 3.625% 3/31/2030
3.40 to 3.55
4,740,000
4,630,943
US Treasury Notes 3.625% 5/15/2026
4.05 to 4.16
2,030,000
2,012,005
US Treasury Notes 3.75% 6/30/2030
3.86
18,410,000
18,078,476
US Treasury Notes 3.875% 1/15/2026
3.92
1,680,000
1,671,994
US Treasury Notes 3.875% 12/31/2027
3.66 to 3.95
1,800,000
1,787,482
US Treasury Notes 3.875% 8/15/2034
3.71 to 3.80
4,680,000
4,560,442
US Treasury Notes 4% 1/15/2027
4.14
4,740,000
4,723,151
US Treasury Notes 4% 1/31/2031
3.89 to 3.96
700,000
695,160
US Treasury Notes 4% 10/31/2029
4.14 to 4.15
6,300,000
6,272,438
US Treasury Notes 4% 6/30/2028
3.95 to 4.04
8,620,000
8,586,665
US Treasury Notes 4% 7/31/2029
3.83
200,000
199,167
US Treasury Notes 4% 7/31/2030
4.07 to 4.18
2,560,000
2,545,000
US Treasury Notes 4.125% 10/31/2026 (i)
4.15
30,000,000
29,957,814
US Treasury Notes 4.125% 11/15/2032
3.45 to 3.52
3,130,000
3,125,598
US Treasury Notes 4.125% 11/30/2031
4.13
3,110,000
3,109,028
US Treasury Notes 4.125% 2/15/2027
4.40 to 4.49
22,940,000
22,914,910
US Treasury Notes 4.125% 3/31/2031
4.36 to 4.71
3,670,000
3,668,566
US Treasury Notes 4.125% 8/31/2030
4.19 to 4.61
3,770,000
3,769,853
US Treasury Notes 4.25% 12/31/2025
5.07
2,030,000
2,027,463
US Treasury Notes 4.25% 2/28/2031
4.25 to 4.36
4,250,000
4,277,393
US Treasury Notes 4.25% 3/15/2027
4.36 to 4.42
7,250,000
7,263,877
US Treasury Notes 4.25% 6/30/2029
4.11 to 4.12
3,960,000
3,984,658
US Treasury Notes 4.25% 6/30/2031
3.99 to 4.45
4,920,000
4,953,056
US Treasury Notes 4.375% 11/30/2028
4.11 to 4.15
6,350,000
6,410,027
US Treasury Notes 4.375% 11/30/2030
3.87 to 4.31
2,016,000
2,042,381
US Treasury Notes 4.375% 12/15/2026
4.18
760,000
762,672
US Treasury Notes 4.375% 5/15/2034
4.28
670,000
679,108
US Treasury Notes 4.375% 7/31/2026
4.10
1,000,000
1,002,109
US Treasury Notes 4.5% 11/15/2025
4.06
2,400,000
2,402,681
US Treasury Notes 4.5% 3/31/2026
5.00
3,237,000
3,245,345
US Treasury Notes 4.625% 11/15/2026
4.34 to 4.68
12,958,000
13,059,234
US Treasury Notes 4.625% 3/15/2026
4.07
620,000
622,446
US Treasury Notes 4.625% 9/30/2028
4.57 to 4.76
10,550,000
10,735,449
US Treasury Notes 4.625% 9/30/2030
4.57
11,400,000
11,693,461
US Treasury Notes 4.875% 10/31/2028
4.52 to 4.65
258,000
264,954
US Treasury Notes 4.875% 10/31/2030
4.31 to 4.92
12,410,000
12,894,766
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $362,635,155)
354,098,808
Money Market Funds - 12.3%
Yield (%)
Shares
Value ($)
Fidelity Cash Central Fund (j)
4.64
33,692,877
33,699,616
Fidelity Securities Lending Cash Central Fund (j)(k)
4.64
23,995,954
23,998,353
TOTAL MONEY MARKET FUNDS
(Cost $57,697,969)
57,697,969
TOTAL INVESTMENT IN SECURITIES - 108.8%
(Cost $519,364,557)
510,896,555
NET OTHER ASSETS (LIABILITIES) - (8.8)%
(41,246,882)
NET ASSETS - 100.0%
469,649,673
TBA Sale Commitments
Principal
Amount (a)
Value ($)
U.S. Government Agency - Mortgage Securities
Ginnie Mae II Pool 2% 12/1/2054
(400,000)
(328,875)
Ginnie Mae II Pool 2.5% 12/1/2054
(1,400,000)
(1,197,000)
Ginnie Mae II Pool 6% 12/1/2054
(1,075,000)
(1,086,254)
Uniform Mortgage Backed Securities 2% 12/1/2039
(300,000)
(268,992)
Uniform Mortgage Backed Securities 2% 12/1/2054
(2,450,000)
(1,964,211)
Uniform Mortgage Backed Securities 2.5% 12/1/2054
(6,775,000)
(5,671,945)
Uniform Mortgage Backed Securities 3% 12/1/2039
(650,000)
(611,863)
Uniform Mortgage Backed Securities 3% 12/1/2054
(3,700,000)
(3,223,914)
Uniform Mortgage Backed Securities 3.5% 12/1/2054
(2,300,000)
(2,084,195)
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(16,437,249)
TOTAL TBA SALE COMMITMENTS
(Proceeds $16,286,059)
(16,437,249)
Futures Contracts
Number
of contracts
Expiration
Date
Notional
Amount ($)
Value ($)
Unrealized
Appreciation/
(Depreciation) ($)
Purchased
Interest Rate Contracts
CBOT 10-Year U.S. Treasury Note Contracts (United States)
463
Mar 2025
51,479,813
701,065
701,065
CBOT 2-Year U.S. Treasury Note Contracts (United States)
389
Mar 2025
80,176,547
230,298
230,298
CBOT Long Term U.S. Treasury Bond Contracts (United States)
14
Mar 2025
1,673,000
44,868
44,868
TOTAL PURCHASED
976,231
Sold
Interest Rate Contracts
CBOT 5-Year U.S. Treasury Note Contracts (United States)
23
Mar 2025
2,474,836
(20,518)
(20,518)
TOTAL FUTURES CONTRACTS
955,713
The notional amount of futures purchased as a percentage of Net Assets is 28.5%
The notional amount of futures sold as a percentage of Net Assets is 0.5%
Interest Rate Swaps
Payment Received
Payment
Frequency
Payment Paid
Payment
Frequency
Clearinghouse /
Counterparty(1)
Maturity
Date
Notional
Amount(3)
Value ($)
Upfront
Premium
Received/
(Paid) ($)(2)
Unrealized
Appreciation/
(Depreciation) ($)
3.75%
Annual
UNITED STATES SOFR SECURED OVERNIGHT FINL RATE INDX(4)
Annual
LCH
Dec 2026
1,988,000
(33,455)
0
(33,455)
UNITED STATES SOFR SECURED OVERNIGHT FINL RATE INDX(4)
Annual
3.75%
Annual
LCH
Dec 2027
34,144,000
800,121
0
800,121
UNITED STATES SOFR SECURED OVERNIGHT FINL RATE INDX(4)
Annual
3.75%
Annual
LCH
Dec 2031
4,163,000
165,529
0
165,529
UNITED STATES SOFR SECURED OVERNIGHT FINL RATE INDX(4)
Annual
3.75%
Annual
LCH
Dec 2044
2,846,000
195,946
0
195,946
TOTAL INTEREST RATE SWAPS
1,128,141
0
1,128,141
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.
(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3)Notional amount is stated in U.S. Dollars unless otherwise noted.
(4)Represents floating rate.
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 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 $4,285,424 or 0.9% of net assets.
(e)
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 $1,196,525.
(f)
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 $1,693,933.
(g)
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(h)
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
(i)
Security or a portion of the security is on loan at period end.
(j)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(k)
Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate
Value,
beginning
of period ($)
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
24,364,327
43,941,909
34,606,620
411,979
-
-
33,699,616
0.1%
Fidelity Securities Lending Cash Central Fund
-
84,754,813
60,756,460
6,941
-
-
23,998,353
0.1%
Total
24,364,327
128,696,722
95,363,080
418,920
-
-
57,697,969
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. Treasury 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. Collateralized Mortgage Obligations, Commercial Mortgage Securities and U.S. Government Agency - 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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