UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04707
Fidelity Advisor Series II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | August 31 |
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Date of reporting period: | August 31, 2020 |
Item 1.
Reports to Stockholders
Fidelity Advisor® Limited Term Bond Fund
August 31, 2020
Includes Fidelity and Fidelity Advisor share classes
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
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| Account Type | Website | Phone Number |
| Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
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Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
| For the periods ended August 31, 2020 | Past 1 year | Past 5 years | Past 10 years |
| Class A (incl. 2.75% sales charge) | 1.69% | 2.15% | 2.24% |
| Class M (incl. 2.75% sales charge) | 1.60% | 2.14% | 2.24% |
| Class C (incl. contingent deferred sales charge) | 2.66% | 1.93% | 1.74% |
| Fidelity® Limited Term Bond Fund | 4.87% | 3.03% | 2.82% |
| Class I | 4.82% | 2.98% | 2.79% |
| Class Z | 4.97% | 3.03% | 2.81% |
Prior to October 30, 2013, the fund was named Fidelity Advisor® Intermediate Bond Fund, and the fund operated under certain different investment policies and compared its performance to a different index. The fund's historical performance may not represent its current investment policies.
Class C shares' contingent deferred sales charges included in the past one year, past five years and past ten years total return figures are 1%, 0% and 0%, respectively.
The initial offering of Class Z shares took place on October 2, 2018. Returns prior to October 2, 2018, are those of Class I.
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Limited Term Bond Fund - Class A on August 31, 2010, and the current 2.75% sales charge was paid.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. 1-5 Year Government/Credit Bond Index performed over the same period.
See previous page for additional information regarding the performance of Class A.
| Period Ending Values | ||
| $12,482 | Fidelity Advisor® Limited Term Bond Fund - Class A | |
| $12,349 | Bloomberg Barclays U.S. 1-5 Year Government/Credit Bond Index | |
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds rose strongly for the 12 months ending August 31, 2020, led by corporate bonds early and late in the period, and by U.S. Treasuries in March, as investors sought safer havens amid the market shock of the coronavirus pandemic. The Bloomberg Barclays U.S. Aggregate Bond Index gained 6.47% for the year. Corporate bonds advanced through January 2020, as spreads remained narrow and market yields held roughly steady. Yields then plunged in February and spreads widened due to robust investor demand for relatively safer assets – especially U.S. Treasury bonds – as the outbreak and spread of the coronavirus threatened global economic growth and corporate earnings, leading to pockets of market illiquidity in March. Aggressive intervention by the U.S. Federal Reserve boosted liquidity and led to a broad rally for fixed-income assets from April through July. Yields then rose and spreads widened in August, amid strong issuance of new corporate bonds. Within the Bloomberg Barclays index, corporate bonds gained 7.50% for the period, topping the 6.98% advance of U.S. Treasuries. Conversely, agency mortgage-backed securities (+4.54%) lagged the broader market, as did other securitized sectors. Outside the index, U.S. corporate high-yield bonds gained 3.62%, while Treasury Inflation-Protected Securities (TIPS) rose 8.99%.Comments from Co-Portfolio Manager Rob Galusza: For the fiscal year ending August 31, 2020, the fund's share classes (excluding sales charges, if applicable) posted returns of roughly 4% to 5%, net of fees, compared with the 5.03% gain of the Fidelity Limited Term Composite Index℠. Sector allocations aided the fund’s relative result, including our decision to overweight corporate bonds, underweight U.S. Treasury securities and hold a non-index stake in Treasury futures. Among corporates, overweighting the bonds of energy firms and consumer cyclical companies while underweighting bonds in many other industrial segments helped on a relative basis, as did picks among the bonds of energy firms and financial institutions. The decision to not own the bonds of foreign-government entities contributed versus the index as well. Lastly, non-index stakes in commercial mortgage-backed securities, mortgage-backed securities, and asset-backed securities made a relative contribution. Conversely, a small stake in firms tied to aviation, which faced pressure as flight volumes ebbed due to the spread of COVID-19, stood out to the downside. In addition, our positioning along the yield curve held back the fund’s relative return.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Note to Shareholders: On October 1, 2020, Julian Potenza assumed co-management responsibilities for the fund, succeeding David Prothro.Investment Summary (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Quality Diversification (% of fund's net assets)
| As of August 31, 2020 | ||
| U.S. Government and U.S. Government Agency Obligations | 14.9% | |
| AAA | 14.0% | |
| AA | 4.9% | |
| A | 22.2% | |
| BBB | 32.2% | |
| BB and Below | 4.9% | |
| Not Rated | 1.0% | |
| Short-Term Investments and Net Other Assets | 5.9% | |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Securities rated BB or below were rated investment grade at the time of acquisition.
Asset Allocation (% of fund's net assets)
| As of August 31, 2020* | ||
| Corporate Bonds | 61.0% | |
| U.S. Government and U.S. Government Agency Obligations | 14.9% | |
| Asset-Backed Securities | 6.4% | |
| CMOs and Other Mortgage Related Securities | 9.3% | |
| Municipal Bonds | 0.4% | |
| Other Investments | 2.1% | |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.9% | |
* Foreign investments - 13.7%
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable.
Schedule of Investments August 31, 2020
Showing Percentage of Net Assets
| Nonconvertible Bonds - 60.6% | |||
| Principal Amount | Value | ||
| COMMUNICATION SERVICES - 2.0% | |||
| Diversified Telecommunication Services - 0.5% | |||
| AT&T, Inc. 1.65% 2/1/28 | $7,588,000 | $7,690,495 | |
| Verizon Communications, Inc.: | |||
| 2.946% 3/15/22 | 3,961,000 | 4,116,492 | |
| 3% 3/22/27 | 626,000 | 698,819 | |
| 5.15% 9/15/23 | 5,498,000 | 6,246,022 | |
| 18,751,828 | |||
| Media - 1.1% | |||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.464% 7/23/22 | 16,000,000 | 17,049,441 | |
| Comcast Corp.: | |||
| 3.7% 4/15/24 | 4,500,000 | 4,996,298 | |
| 3.95% 10/15/25 | 2,610,000 | 3,008,930 | |
| Discovery Communications LLC: | |||
| 2.95% 3/20/23 | 7,000,000 | 7,403,294 | |
| 3.625% 5/15/30 | 1,664,000 | 1,841,363 | |
| Time Warner Cable, Inc. 4.125% 2/15/21 | 6,164,000 | 6,207,996 | |
| 40,507,322 | |||
| Wireless Telecommunication Services - 0.4% | |||
| Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.9064% 3/22/22 (a)(b) | 7,115,000 | 7,162,293 | |
| T-Mobile U.S.A., Inc. 3.5% 4/15/25 (c) | 6,000,000 | 6,628,800 | |
| 13,791,093 | |||
| TOTAL COMMUNICATION SERVICES | 73,050,243 | ||
| CONSUMER DISCRETIONARY - 3.1% | |||
| Automobiles - 1.9% | |||
| American Honda Finance Corp. 2.65% 2/12/21 | 5,000,000 | 5,051,413 | |
| BMW U.S. Capital LLC: | |||
| 2.7% 4/6/22 (c) | 5,799,000 | 5,988,804 | |
| 3.45% 4/12/23 (c) | 7,000,000 | 7,478,291 | |
| Daimler Finance North America LLC: | |||
| 2.3% 2/12/21 (c) | 5,500,000 | 5,540,502 | |
| 2.85% 1/6/22 (c) | 3,175,000 | 3,263,913 | |
| General Motors Financial Co., Inc.: | |||
| 1.7% 8/18/23 | 10,000,000 | 10,059,237 | |
| 3.25% 1/5/23 | 5,000,000 | 5,188,550 | |
| 3.55% 4/9/21 | 3,143,000 | 3,196,011 | |
| 4.15% 6/19/23 | 5,231,000 | 5,580,066 | |
| 4.2% 3/1/21 | 3,000,000 | 3,040,503 | |
| 5.2% 3/20/23 | 2,909,000 | 3,173,097 | |
| Volkswagen Group of America Finance LLC: | |||
| 2.5% 9/24/21 (c) | 5,970,000 | 6,091,365 | |
| 4% 11/12/21 (c) | 7,000,000 | 7,282,373 | |
| 70,934,125 | |||
| Diversified Consumer Services - 0.1% | |||
| Ingersoll-Rand Global Holding Co. Ltd. 2.9% 2/21/21 | 4,228,000 | 4,280,619 | |
| Hotels, Restaurants & Leisure - 0.2% | |||
| McDonald's Corp.: | |||
| 2.625% 1/15/22 | 3,229,000 | 3,331,916 | |
| 3.3% 7/1/25 | 1,040,000 | 1,162,492 | |
| Starbucks Corp.: | |||
| 1.3% 5/7/22 | 1,421,000 | 1,443,320 | |
| 3.8% 8/15/25 | 2,340,000 | 2,663,355 | |
| 8,601,083 | |||
| Household Durables - 0.3% | |||
| D.R. Horton, Inc. 2.55% 12/1/20 | 3,743,000 | 3,762,589 | |
| Lennar Corp. 2.95% 11/29/20 | 5,800,000 | 5,800,000 | |
| 9,562,589 | |||
| Internet & Direct Marketing Retail - 0.1% | |||
| Amazon.com, Inc. 0.8% 6/3/25 | 3,438,000 | 3,483,336 | |
| Leisure Products - 0.1% | |||
| Hasbro, Inc. 2.6% 11/19/22 | 2,334,000 | 2,410,492 | |
| Multiline Retail - 0.2% | |||
| Dollar Tree, Inc. 4% 5/15/25 | 6,000,000 | 6,800,311 | |
| Target Corp. 2.25% 4/15/25 | 784,000 | 840,327 | |
| 7,640,638 | |||
| Specialty Retail - 0.2% | |||
| AutoZone, Inc.: | |||
| 3.125% 7/15/23 | 3,247,000 | 3,468,558 | |
| 3.625% 4/15/25 | 545,000 | 611,200 | |
| TJX Companies, Inc. 3.5% 4/15/25 | 1,742,000 | 1,944,252 | |
| 6,024,010 | |||
| Textiles, Apparel & Luxury Goods - 0.0% | |||
| NIKE, Inc. 2.4% 3/27/25 | 333,000 | 358,725 | |
| TOTAL CONSUMER DISCRETIONARY | 113,295,617 | ||
| CONSUMER STAPLES - 4.1% | |||
| Beverages - 1.0% | |||
| Anheuser-Busch InBev Worldwide, Inc. 4.15% 1/23/25 | 4,276,000 | 4,864,996 | |
| Constellation Brands, Inc. 3 month U.S. LIBOR + 0.700% 0.9801% 11/15/21 (a)(b) | 5,630,000 | 5,630,325 | |
| Molson Coors Beverage Co.: | |||
| 3% 7/15/26 | 10,575,000 | 11,298,482 | |
| 3.5% 5/1/22 | 4,098,000 | 4,284,082 | |
| PepsiCo, Inc. 2.25% 3/19/25 | 4,048,000 | 4,347,048 | |
| The Coca-Cola Co. 2.95% 3/25/25 | 3,333,000 | 3,686,998 | |
| 34,111,931 | |||
| Food & Staples Retailing - 0.2% | |||
| Costco Wholesale Corp. 1.375% 6/20/27 | 2,448,000 | 2,499,245 | |
| Kroger Co. 3.3% 1/15/21 | 5,000,000 | 5,042,613 | |
| 7,541,858 | |||
| Food Products - 0.5% | |||
| Conagra Brands, Inc. 3.8% 10/22/21 | 6,050,000 | 6,275,856 | |
| Mondelez International, Inc.: | |||
| 0.625% 7/1/22 | 10,000,000 | 10,045,565 | |
| 2.125% 4/13/23 | 2,817,000 | 2,928,926 | |
| 19,250,347 | |||
| Tobacco - 2.4% | |||
| Altria Group, Inc.: | |||
| 2.35% 5/6/25 | 1,003,000 | 1,066,838 | |
| 2.85% 8/9/22 | 5,000,000 | 5,219,320 | |
| 3.49% 2/14/22 | 1,879,000 | 1,959,975 | |
| 3.8% 2/14/24 | 2,268,000 | 2,487,270 | |
| BAT Capital Corp.: | |||
| 2.764% 8/15/22 | 10,000,000 | 10,399,400 | |
| 3.222% 8/15/24 | 7,000,000 | 7,548,973 | |
| BAT International Finance PLC: | |||
| 3.5% 6/15/22 (c) | 8,000,000 | 8,403,085 | |
| 3.95% 6/15/25 (c) | 5,000,000 | 5,593,857 | |
| Imperial Tobacco Finance PLC: | |||
| 3.125% 7/26/24 (c) | 8,250,000 | 8,714,192 | |
| 4.25% 7/21/25 (c) | 13,000,000 | 14,453,277 | |
| Philip Morris International, Inc.: | |||
| 1.125% 5/1/23 | 4,000,000 | 4,071,822 | |
| 1.5% 5/1/25 | 3,501,000 | 3,622,045 | |
| 1.875% 2/25/21 | 6,954,000 | 7,001,654 | |
| 2.625% 2/18/22 | 1,793,000 | 1,847,552 | |
| 2.875% 5/1/24 | 4,910,000 | 5,297,213 | |
| Reynolds American, Inc. 4% 6/12/22 | 1,077,000 | 1,141,189 | |
| 88,827,662 | |||
| TOTAL CONSUMER STAPLES | 149,731,798 | ||
| ENERGY - 5.4% | |||
| Oil, Gas & Consumable Fuels - 5.4% | |||
| Canadian Natural Resources Ltd.: | |||
| 2.05% 7/15/25 | 3,668,000 | 3,758,781 | |
| 3.45% 11/15/21 | 7,927,000 | 8,127,038 | |
| Cenovus Energy, Inc.: | |||
| 3% 8/15/22 | 9,205,000 | 9,353,588 | |
| 3.8% 9/15/23 | 2,000,000 | 1,992,434 | |
| Chevron Corp. 1.554% 5/11/25 | 7,110,000 | 7,396,889 | |
| Chevron U.S.A., Inc. 0.426% 8/11/23 | 3,944,000 | 3,954,619 | |
| Encana Corp. 3.9% 11/15/21 | 4,500,000 | 4,552,786 | |
| Energy Transfer Partners LP: | |||
| 2.9% 5/15/25 | 7,150,000 | 7,346,423 | |
| 3.6% 2/1/23 | 2,824,000 | 2,933,607 | |
| 4.2% 9/15/23 | 1,441,000 | 1,528,423 | |
| 4.5% 4/15/24 | 570,000 | 613,352 | |
| Enterprise Products Operating LP: | |||
| 2.8% 2/15/21 | 2,038,000 | 2,060,496 | |
| 2.85% 4/15/21 | 1,590,000 | 1,610,508 | |
| Equinor ASA: | |||
| 1.75% 1/22/26 | 1,120,000 | 1,173,191 | |
| 2.875% 4/6/25 | 7,000,000 | 7,675,248 | |
| Kinder Morgan Energy Partners LP 3.5% 9/1/23 | 5,738,000 | 6,157,745 | |
| Marathon Oil Corp. 2.8% 11/1/22 | 7,000,000 | 7,151,188 | |
| Marathon Petroleum Corp. 4.5% 5/1/23 | 5,640,000 | 6,138,350 | |
| MPLX LP: | |||
| 3 month U.S. LIBOR + 1.100% 1.4129% 9/9/22 (a)(b) | 1,082,000 | 1,082,097 | |
| 1.75% 3/1/26 | 15,044,000 | 15,039,440 | |
| 3.375% 3/15/23 | 6,618,000 | 6,981,135 | |
| 4.5% 7/15/23 | 856,000 | 926,749 | |
| Newfield Exploration Co. 5.625% 7/1/24 | 1,967,000 | 1,999,505 | |
| Occidental Petroleum Corp.: | |||
| 2.7% 8/15/22 | 624,000 | 613,501 | |
| 2.9% 8/15/24 | 2,061,000 | 1,896,120 | |
| 3.125% 2/15/22 | 1,336,000 | 1,315,960 | |
| 3.2% 8/15/26 | 277,000 | 242,885 | |
| Petrobras Global Finance BV 5.299% 1/27/25 | 7,000,000 | 7,636,563 | |
| Petroleos Mexicanos 6.49% 1/23/27 (c) | 6,035,000 | 5,945,079 | |
| Phillips 66 Co.: | |||
| 3.7% 4/6/23 | 4,430,000 | 4,768,445 | |
| 3.85% 4/9/25 | 7,000,000 | 7,825,952 | |
| Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 4,768,000 | 4,901,037 | |
| Schlumberger Investment SA 3.3% 9/14/21 (c) | 5,000,000 | 5,097,815 | |
| Shell International Finance BV: | |||
| 2.375% 4/6/25 | 2,991,000 | 3,212,799 | |
| 3.5% 11/13/23 | 1,470,000 | 1,606,360 | |
| Suncor Energy, Inc. 3.6% 12/1/24 | 7,800,000 | 8,598,023 | |
| TransCanada PipeLines Ltd. 2.5% 8/1/22 | 5,142,000 | 5,329,150 | |
| Valero Energy Corp.: | |||
| 2.7% 4/15/23 | 805,000 | 841,460 | |
| 2.85% 4/15/25 | 463,000 | 495,159 | |
| Western Gas Partners LP: | |||
| 3 month U.S. LIBOR + 0.850% 2.1163% 1/13/23 (a)(b) | 2,040,000 | 1,938,115 | |
| 4.1% 2/1/25 | 3,287,000 | 3,279,177 | |
| 5.375% 6/1/21 | 10,371,000 | 10,474,710 | |
| Williams Partners LP 3.6% 3/15/22 | 12,000,000 | 12,461,710 | |
| 198,033,612 | |||
| FINANCIALS - 30.6% | |||
| Banks - 16.2% | |||
| ABN AMRO Bank NV: | |||
| 3 month U.S. LIBOR + 0.570% 0.821% 8/27/21 (a)(b)(c) | 5,000,000 | 5,021,200 | |
| 3.4% 8/27/21 (c) | 5,000,000 | 5,139,010 | |
| Bank of America Corp.: | |||
| 3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (a)(b) | 11,000,000 | 11,461,794 | |
| 1.319% 6/19/26 (a) | 16,000,000 | 16,202,009 | |
| 2.328% 10/1/21 (a) | 3,000,000 | 3,004,690 | |
| 3.004% 12/20/23 (a) | 6,462,000 | 6,810,204 | |
| 3.124% 1/20/23 (a) | 10,000,000 | 10,351,943 | |
| 4.2% 8/26/24 | 15,750,000 | 17,650,568 | |
| Barclays Bank PLC: | |||
| 1.7% 5/12/22 | 1,358,000 | 1,382,994 | |
| 2.65% 1/11/21 | 5,500,000 | 5,535,583 | |
| Barclays PLC: | |||
| 2.852% 5/7/26 (a) | 18,848,000 | 19,901,480 | |
| 3.2% 8/10/21 | 5,045,000 | 5,163,658 | |
| 3.25% 1/12/21 | 2,046,000 | 2,066,133 | |
| 3.932% 5/7/25 (a) | 4,000,000 | 4,347,164 | |
| BNP Paribas SA: | |||
| 2.219% 6/9/26 (a)(c) | 8,627,000 | 8,996,302 | |
| 3.5% 3/1/23 (c) | 17,000,000 | 18,102,567 | |
| BPCE SA: | |||
| 2.75% 12/2/21 | 2,000,000 | 2,058,843 | |
| 4% 9/12/23 (c) | 5,000,000 | 5,460,500 | |
| Canadian Imperial Bank of Commerce 0.95% 6/23/23 | 10,000,000 | 10,121,012 | |
| Capital One Bank NA: | |||
| 2.014% 1/27/23 (a) | 4,662,000 | 4,750,130 | |
| 2.28% 1/28/26 (a) | 7,000,000 | 7,275,856 | |
| Capital One NA 2.15% 9/6/22 | 1,762,000 | 1,816,168 | |
| CIT Group, Inc.: | |||
| 3.929% 6/19/24 (a) | 815,000 | 841,325 | |
| 4.75% 2/16/24 | 5,000,000 | 5,262,500 | |
| Citigroup, Inc.: | |||
| 2.312% 11/4/22 (a) | 5,000,000 | 5,100,731 | |
| 2.35% 8/2/21 | 10,000,000 | 10,182,135 | |
| 2.7% 10/27/22 | 5,000,000 | 5,230,124 | |
| 2.75% 4/25/22 | 4,010,000 | 4,154,586 | |
| 3.106% 4/8/26 (a) | 10,000,000 | 10,849,536 | |
| 4.4% 6/10/25 | 3,018,000 | 3,439,262 | |
| Citizens Financial Group, Inc. 2.375% 7/28/21 | 417,000 | 423,583 | |
| Credit Suisse Group Funding Guernsey Ltd. 3.45% 4/16/21 | 6,000,000 | 6,113,555 | |
| Danske Bank A/S 3.875% 9/12/23 (c) | 6,000,000 | 6,476,152 | |
| First Horizon National Corp. 3.5% 12/15/20 | 3,000,000 | 3,016,724 | |
| HSBC Holdings PLC: | |||
| 1.645% 4/18/26 (a) | 6,567,000 | 6,618,726 | |
| 2.95% 5/25/21 | 626,000 | 637,969 | |
| 3.262% 3/13/23 (a) | 3,374,000 | 3,508,794 | |
| 3.803% 3/11/25 (a) | 5,000,000 | 5,419,135 | |
| 3.95% 5/18/24 (a) | 3,000,000 | 3,241,246 | |
| Huntington Bancshares, Inc.: | |||
| 2.3% 1/14/22 | 5,000,000 | 5,125,274 | |
| 2.625% 8/6/24 | 4,610,000 | 4,935,033 | |
| 3.15% 3/14/21 | 3,000,000 | 3,038,502 | |
| 7% 12/15/20 | 180,000 | 183,310 | |
| ING Groep NV 3.15% 3/29/22 | 5,250,000 | 5,461,201 | |
| Intesa Sanpaolo SpA 3.375% 1/12/23 (c) | 5,775,000 | 6,004,704 | |
| JPMorgan Chase & Co.: | |||
| 1.514% 6/1/24 (a) | 5,770,000 | 5,900,664 | |
| 2.083% 4/22/26 (a) | 25,219,000 | 26,463,861 | |
| 2.956% 5/13/31 (a) | 12,053,000 | 12,940,056 | |
| 3.207% 4/1/23 (a) | 8,000,000 | 8,343,079 | |
| 3.514% 6/18/22 (a) | 8,000,000 | 8,198,635 | |
| 3.559% 4/23/24 (a) | 10,000,000 | 10,754,966 | |
| Lloyds Banking Group PLC: | |||
| 1.326% 6/15/23 (a) | 1,698,000 | 1,714,283 | |
| 2.438% 2/5/26 (a) | 2,636,000 | 2,771,076 | |
| 2.907% 11/7/23 (a) | 10,197,000 | 10,659,557 | |
| Mitsubishi UFJ Financial Group, Inc.: | |||
| 1.412% 7/17/25 | 8,000,000 | 8,139,354 | |
| 2.19% 9/13/21 | 2,760,000 | 2,811,220 | |
| 2.193% 2/25/25 | 7,200,000 | 7,572,700 | |
| 2.623% 7/18/22 | 5,000,000 | 5,201,025 | |
| 2.95% 3/1/21 | 1,336,000 | 1,353,615 | |
| 2.998% 2/22/22 | 2,619,000 | 2,717,402 | |
| 3.218% 3/7/22 | 5,000,000 | 5,208,069 | |
| Mizuho Financial Group, Inc.: | |||
| 2.273% 9/13/21 | 3,000,000 | 3,055,257 | |
| 2.632% 4/12/21 (c) | 5,180,000 | 5,253,037 | |
| 2.953% 2/28/22 | 10,000,000 | 10,363,602 | |
| National Bank of Canada 0.9% 8/15/23 (a) | 10,100,000 | 10,159,870 | |
| Regions Financial Corp.: | |||
| 2.25% 5/18/25 | 3,135,000 | 3,328,331 | |
| 2.75% 8/14/22 | 5,022,000 | 5,229,687 | |
| 3.8% 8/14/23 | 1,805,000 | 1,968,463 | |
| Royal Bank of Canada 1.15% 6/10/25 | 15,000,000 | 15,269,654 | |
| Royal Bank of Scotland Group PLC: | |||
| 2.359% 5/22/24 (a) | 4,223,000 | 4,371,956 | |
| 3.875% 9/12/23 | 12,600,000 | 13,672,152 | |
| 4.519% 6/25/24 (a) | 10,962,000 | 11,955,604 | |
| Santander Holdings U.S.A., Inc.: | |||
| 3.4% 1/18/23 | 5,500,000 | 5,770,303 | |
| 3.45% 6/2/25 | 5,700,000 | 6,142,294 | |
| 4.45% 12/3/21 | 4,500,000 | 4,687,350 | |
| Sumitomo Mitsui Financial Group, Inc. 2.934% 3/9/21 | 2,449,000 | 2,482,436 | |
| SVB Financial Group 3.125% 6/5/30 | 3,077,000 | 3,417,706 | |
| Svenska Handelsbanken AB 0.625% 6/30/23 (c) | 7,000,000 | 7,024,234 | |
| Synchrony Bank 3% 6/15/22 | 2,328,000 | 2,406,109 | |
| Synovus Bank 2.289% 2/10/23 (a) | 1,640,000 | 1,666,038 | |
| Synovus Financial Corp. 3.125% 11/1/22 | 7,118,000 | 7,340,438 | |
| The Toronto-Dominion Bank 0.75% 6/12/23 | 10,000,000 | 10,101,127 | |
| Wells Fargo & Co.: | |||
| 1.654% 6/2/24 (a) | 5,500,000 | 5,622,951 | |
| 2.164% 2/11/26 (a) | 10,000,000 | 10,429,620 | |
| 2.188% 4/30/26 (a) | 5,000,000 | 5,224,797 | |
| 2.406% 10/30/25 (a) | 14,000,000 | 14,748,925 | |
| 3.75% 1/24/24 | 5,000,000 | 5,462,476 | |
| 4.3% 7/22/27 | 7,000,000 | 8,047,396 | |
| Westpac Banking Corp.: | |||
| 2.8% 1/11/22 | 5,000,000 | 5,173,078 | |
| 4.11% 7/24/34 (a) | 1,710,000 | 1,930,239 | |
| Zions Bancorp NA 3.35% 3/4/22 | 1,971,000 | 2,034,247 | |
| 592,972,854 | |||
| Capital Markets - 5.7% | |||
| Credit Suisse AG: | |||
| U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.450% 0.5355% 2/4/22 (a)(b) | 7,000,000 | 7,012,093 | |
| 1% 5/5/23 | 5,000,000 | 5,073,934 | |
| 2.1% 11/12/21 | 4,059,000 | 4,145,578 | |
| Credit Suisse Group AG: | |||
| 2.593% 9/11/25 (a)(c) | 4,805,000 | 5,029,832 | |
| 3.574% 1/9/23 (c) | 15,000,000 | 15,574,503 | |
| Deutsche Bank AG New York Branch: | |||
| 3.15% 1/22/21 | 10,179,000 | 10,261,145 | |
| 3.3% 11/16/22 | 7,000,000 | 7,238,166 | |
| E*TRADE Financial Corp. 2.95% 8/24/22 | 10,000,000 | 10,446,270 | |
| Goldman Sachs Group, Inc.: | |||
| 2.876% 10/31/22 (a) | 12,097,000 | 12,412,535 | |
| 2.905% 7/24/23 (a) | 22,500,000 | 23,444,546 | |
| 3% 4/26/22 | 8,000,000 | 8,130,834 | |
| 3.2% 2/23/23 | 12,500,000 | 13,302,274 | |
| 3.272% 9/29/25 (a) | 5,000,000 | 5,446,179 | |
| Intercontinental Exchange, Inc. 0.7% 6/15/23 | 6,859,000 | 6,902,139 | |
| Moody's Corp.: | |||
| 2.625% 1/15/23 | 5,950,000 | 6,238,580 | |
| 2.75% 12/15/21 | 1,683,000 | 1,732,027 | |
| 4.875% 2/15/24 | 4,000,000 | 4,530,993 | |
| Morgan Stanley: | |||
| U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.700% 0.7889% 1/20/23 (a)(b) | 5,000,000 | 5,009,665 | |
| 2.188% 4/28/26 (a) | 5,000,000 | 5,259,741 | |
| 2.5% 4/21/21 | 6,200,000 | 6,287,215 | |
| 2.625% 11/17/21 | 5,350,000 | 5,494,193 | |
| 2.72% 7/22/25 (a) | 3,953,000 | 4,228,343 | |
| 3.737% 4/24/24 (a) | 12,000,000 | 12,965,497 | |
| 4.875% 11/1/22 | 7,000,000 | 7,623,689 | |
| State Street Corp. 2.901% 3/30/26 (a)(c) | 305,000 | 333,740 | |
| UBS AG London Branch 1.75% 4/21/22 (c) | 5,000,000 | 5,101,895 | |
| UBS Group AG 1.008% 7/30/24 (a)(c) | 7,594,000 | 7,635,616 | |
| 206,861,222 | |||
| Consumer Finance - 3.4% | |||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
| 3.3% 1/23/23 | 7,000,000 | 6,987,532 | |
| 3.5% 5/26/22 | 915,000 | 919,984 | |
| 4.125% 7/3/23 | 1,826,000 | 1,854,042 | |
| 4.45% 12/16/21 | 1,327,000 | 1,352,542 | |
| 4.875% 1/16/24 | 1,481,000 | 1,526,777 | |
| Ally Financial, Inc.: | |||
| 3.05% 6/5/23 | 8,326,000 | 8,640,155 | |
| 4.25% 4/15/21 | 2,920,000 | 2,969,570 | |
| 5.125% 9/30/24 | 5,010,000 | 5,606,498 | |
| Aviation Capital Group LLC: | |||
| 3 month U.S. LIBOR + 0.670% 0.9383% 7/30/21 (a)(b)(c) | 4,379,000 | 4,239,161 | |
| 3 month U.S. LIBOR + 0.950% 1.3% 6/1/21 (a)(b)(c) | 4,740,000 | 4,617,992 | |
| Capital One Financial Corp.: | |||
| 3.2% 1/30/23 | 10,000,000 | 10,571,113 | |
| 3.9% 1/29/24 | 3,000,000 | 3,279,841 | |
| Discover Financial Services 5.2% 4/27/22 | 3,239,000 | 3,459,559 | |
| Ford Motor Credit Co. LLC: | |||
| 2.343% 11/2/20 | 5,500,000 | 5,479,375 | |
| 3.087% 1/9/23 | 10,000,000 | 9,939,000 | |
| 3.336% 3/18/21 | 4,500,000 | 4,511,250 | |
| 3.339% 3/28/22 | 2,246,000 | 2,248,358 | |
| 4.14% 2/15/23 | 5,000,000 | 5,098,500 | |
| GE Capital International Funding Co. 2.342% 11/15/20 | 15,830,000 | 15,893,795 | |
| John Deere Capital Corp.: | |||
| 0.7% 7/5/23 | 2,935,000 | 2,963,416 | |
| 2.6% 3/7/24 | 1,555,000 | 1,666,686 | |
| Synchrony Financial: | |||
| 2.85% 7/25/22 | 703,000 | 723,768 | |
| 4.25% 8/15/24 | 2,551,000 | 2,738,909 | |
| 4.375% 3/19/24 | 4,922,000 | 5,311,312 | |
| Toyota Motor Credit Corp.: | |||
| 0.5% 8/14/23 | 4,167,000 | 4,172,328 | |
| 2.6% 1/11/22 | 5,500,000 | 5,670,469 | |
| 122,441,932 | |||
| Diversified Financial Services - 0.5% | |||
| AIG Global Funding: | |||
| 0.8% 7/7/23 (c) | 2,197,000 | 2,213,622 | |
| 2.3% 7/1/22 (c) | 1,900,000 | 1,958,410 | |
| 3.35% 6/25/21 (c) | 5,000,000 | 5,125,433 | |
| BP Capital Markets America, Inc. 2.937% 4/6/23 | 1,665,000 | 1,766,706 | |
| Brixmor Operating Partnership LP 3.875% 8/15/22 | 6,534,000 | 6,786,345 | |
| Equitable Holdings, Inc. 3.9% 4/20/23 | 467,000 | 503,169 | |
| 18,353,685 | |||
| Insurance - 4.8% | |||
| American International Group, Inc.: | |||
| 2.5% 6/30/25 | 5,000,000 | 5,346,558 | |
| 3.3% 3/1/21 | 5,725,000 | 5,794,763 | |
| 4.2% 4/1/28 | 4,000,000 | 4,666,060 | |
| 4.875% 6/1/22 | 5,484,000 | 5,899,827 | |
| Aon Corp. 2.2% 11/15/22 | 1,504,000 | 1,558,258 | |
| Aon PLC 2.8% 3/15/21 | 7,000,000 | 7,082,050 | |
| Equitable Financial Life Global Funding 1.4% 8/27/27 (c) | 15,000,000 | 15,020,430 | |
| Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (c) | 3,381,000 | 3,378,538 | |
| Guardian Life Global Funding: | |||
| 1.1% 6/23/25 (c) | 7,850,000 | 7,949,951 | |
| 1.4% 7/6/27 (c) | 8,010,000 | 8,071,678 | |
| Liberty Mutual Group, Inc. 5% 6/1/21 (c) | 16,714,000 | 17,260,263 | |
| Marsh & McLennan Companies, Inc.: | |||
| 2.75% 1/30/22 | 4,993,000 | 5,150,353 | |
| 3.3% 3/14/23 | 1,731,000 | 1,840,714 | |
| 3.875% 3/15/24 | 6,123,000 | 6,782,769 | |
| MassMutual Global Funding II: | |||
| 0.85% 6/9/23 (c) | 10,000,000 | 10,118,253 | |
| 2.5% 4/13/22 (c) | 5,440,000 | 5,637,572 | |
| Metropolitan Life Global Funding I: | |||
| 0.9% 6/8/23 (c) | 4,581,000 | 4,637,542 | |
| 1.95% 1/13/23 (c) | 5,000,000 | 5,176,050 | |
| 2.65% 4/8/22 (c) | 5,000,000 | 5,184,867 | |
| Metropolitan Tower Global Funding 0.55% 7/13/22 (c) | 10,000,000 | 10,012,254 | |
| New York Life Global Funding 1.1% 5/5/23 (c) | 2,841,000 | 2,895,316 | |
| Pacific Life Global Funding II 1.2% 6/24/25 (c) | 4,494,000 | 4,563,898 | |
| Pricoa Global Funding I: | |||
| 2.4% 9/23/24 (c) | 6,476,000 | 6,921,502 | |
| 2.45% 9/21/22 (c) | 4,109,000 | 4,284,486 | |
| Protective Life Global Funding 2.615% 8/22/22 (c) | 10,240,000 | 10,664,550 | |
| Prudential Financial, Inc. 3.5% 5/15/24 | 2,550,000 | 2,834,371 | |
| Willis Group North America, Inc. 4.5% 9/15/28 | 5,000,000 | 5,955,077 | |
| 174,687,950 | |||
| TOTAL FINANCIALS | 1,115,317,643 | ||
| HEALTH CARE - 4.2% | |||
| Biotechnology - 0.4% | |||
| AbbVie, Inc.: | |||
| 2.3% 11/21/22 (c) | 6,780,000 | 7,045,622 | |
| 3.45% 3/15/22 (c) | 5,000,000 | 5,196,504 | |
| Amgen, Inc. 2.65% 5/11/22 | 1,600,000 | 1,660,015 | |
| Upjohn, Inc.: | |||
| 1.125% 6/22/22 (c) | 1,494,000 | 1,507,435 | |
| 1.65% 6/22/25 (c) | 480,000 | 493,015 | |
| 15,902,591 | |||
| Health Care Equipment & Supplies - 0.7% | |||
| Alcon Finance Corp. 2.75% 9/23/26 (c) | 4,038,000 | 4,388,096 | |
| Becton, Dickinson & Co.: | |||
| 3 month U.S. LIBOR + 0.870% 1.181% 12/29/20 (a)(b) | 4,856,000 | 4,857,988 | |
| 2.894% 6/6/22 | 3,544,000 | 3,679,217 | |
| Boston Scientific Corp.: | |||
| 1.9% 6/1/25 | 5,000,000 | 5,241,705 | |
| 3.45% 3/1/24 | 1,869,000 | 2,031,526 | |
| Zimmer Biomet Holdings, Inc. 3 month U.S. LIBOR + 0.750% 1.0663% 3/19/21 (a)(b) | 3,916,000 | 3,916,986 | |
| 24,115,518 | |||
| Health Care Providers & Services - 1.1% | |||
| Anthem, Inc. 2.95% 12/1/22 | 3,723,000 | 3,917,118 | |
| Centene Corp. 4.75% 1/15/25 | 2,090,000 | 2,149,732 | |
| Cigna Corp.: | |||
| 3.4% 9/17/21 | 6,363,000 | 6,561,670 | |
| 3.75% 7/15/23 | 4,703,000 | 5,119,564 | |
| CVS Health Corp.: | |||
| 3.35% 3/9/21 | 6,325,000 | 6,424,372 | |
| 3.7% 3/9/23 | 7,132,000 | 7,676,985 | |
| Express Scripts Holding Co. 2.6% 11/30/20 | 1,233,000 | 1,239,839 | |
| Humana, Inc. 2.5% 12/15/20 | 3,630,000 | 3,651,034 | |
| UnitedHealth Group, Inc.: | |||
| 1.25% 1/15/26 | 597,000 | 612,376 | |
| 3.35% 7/15/22 | 3,000,000 | 3,167,430 | |
| 40,520,120 | |||
| Life Sciences Tools & Services - 0.3% | |||
| Thermo Fisher Scientific, Inc.: | |||
| 2.95% 9/19/26 | 6,566,000 | 7,342,243 | |
| 3% 4/15/23 | 5,000,000 | 5,309,000 | |
| 12,651,243 | |||
| Pharmaceuticals - 1.7% | |||
| Bayer U.S. Finance II LLC: | |||
| 3.375% 7/15/24 (c) | 5,000,000 | 5,427,776 | |
| 3.5% 6/25/21 (c) | 7,000,000 | 7,152,266 | |
| 4.25% 12/15/25 (c) | 10,500,000 | 12,050,765 | |
| Bristol-Myers Squibb Co.: | |||
| 2.6% 5/16/22 | 4,893,000 | 5,085,890 | |
| 2.9% 7/26/24 | 6,000,000 | 6,537,699 | |
| 3.2% 6/15/26 | 5,000,000 | 5,684,739 | |
| Elanco Animal Health, Inc.: | |||
| 4.912% 8/27/21 (a) | 3,082,000 | 3,155,198 | |
| 5.272% 8/28/23 (a) | 552,000 | 611,732 | |
| Mylan NV: | |||
| 3.125% 1/15/23 (c) | 5,791,000 | 6,113,151 | |
| 3.15% 6/15/21 | 2,306,000 | 2,348,873 | |
| Shire Acquisitions Investments Ireland DAC 2.4% 9/23/21 | 1,892,000 | 1,930,042 | |
| Zoetis, Inc. 3.45% 11/13/20 | 4,625,000 | 4,640,985 | |
| 60,739,116 | |||
| TOTAL HEALTH CARE | 153,928,588 | ||
| INDUSTRIALS - 3.1% | |||
| Aerospace & Defense - 0.3% | |||
| BAE Systems Holdings, Inc. 2.85% 12/15/20 (c) | 5,615,000 | 5,641,938 | |
| The Boeing Co. 4.875% 5/1/25 | 3,000,000 | 3,263,347 | |
| 8,905,285 | |||
| Airlines - 0.4% | |||
| American Airlines 2019-1 Class B Pass Through Trust equipment trust certificate 3.85% 8/15/29 | 5,251,384 | 3,389,469 | |
| Delta Air Lines, Inc.: | |||
| 2.9% 10/28/24 | 5,500,000 | 5,050,375 | |
| 3.4% 4/19/21 | 3,790,000 | 3,798,825 | |
| United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 4,104,000 | 2,872,800 | |
| 15,111,469 | |||
| Building Products - 0.1% | |||
| Carrier Global Corp. 2.242% 2/15/25 (c) | 3,940,000 | 4,127,470 | |
| Industrial Conglomerates - 0.6% | |||
| General Electric Co. 3.45% 5/1/27 | 679,000 | 720,876 | |
| Honeywell International, Inc. 0.483% 8/19/22 | 8,856,000 | 8,875,936 | |
| Roper Technologies, Inc.: | |||
| 1% 9/15/25 (d) | 995,000 | 1,001,331 | |
| 2.8% 12/15/21 | 3,883,000 | 3,990,725 | |
| 3% 12/15/20 | 5,100,000 | 5,127,141 | |
| 3.65% 9/15/23 | 3,078,000 | 3,351,468 | |
| 23,067,477 | |||
| Machinery - 0.8% | |||
| Caterpillar Financial Services Corp.: | |||
| 3 month U.S. LIBOR + 0.220% 0.4965% 1/6/22 (a)(b) | 4,075,000 | 4,081,118 | |
| 0.95% 5/13/22 | 6,000,000 | 6,062,645 | |
| Deere & Co. 2.75% 4/15/25 | 423,000 | 462,863 | |
| Fortive Corp. 2.35% 6/15/21 | 1,547,000 | 1,567,501 | |
| Otis Worldwide Corp.: | |||
| 3 month U.S. LIBOR + 0.450% 0.7538% 4/5/23 (a)(b)(c) | 4,000,000 | 3,997,420 | |
| 2.056% 4/5/25 (c) | 7,000,000 | 7,380,576 | |
| Westinghouse Air Brake Co. 4.4% 3/15/24 | 5,900,000 | 6,410,818 | |
| 29,962,941 | |||
| Road & Rail - 0.2% | |||
| Avolon Holdings Funding Ltd.: | |||
| 2.875% 2/15/25 (c) | 7,180,000 | 6,380,301 | |
| 3.625% 5/1/22 (c) | 719,000 | 695,881 | |
| 3.95% 7/1/24 (c) | 955,000 | 882,250 | |
| 7,958,432 | |||
| Trading Companies & Distributors - 0.7% | |||
| Air Lease Corp.: | |||
| 2.5% 3/1/21 | 3,120,000 | 3,137,668 | |
| 2.625% 7/1/22 | 5,000,000 | 5,034,183 | |
| 3.375% 6/1/21 | 8,097,000 | 8,196,891 | |
| 3.75% 2/1/22 | 1,228,000 | 1,254,680 | |
| 4.25% 2/1/24 | 2,597,000 | 2,710,025 | |
| International Lease Finance Corp. 5.875% 8/15/22 | 4,375,000 | 4,739,569 | |
| 25,073,016 | |||
| TOTAL INDUSTRIALS | 114,206,090 | ||
| INFORMATION TECHNOLOGY - 2.5% | |||
| Electronic Equipment & Components - 0.7% | |||
| Amphenol Corp. 3.2% 4/1/24 | 896,000 | 968,279 | |
| Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
| 4.42% 6/15/21 (c) | 6,608,000 | 6,779,086 | |
| 5.45% 6/15/23 (c) | 17,591,000 | 19,426,182 | |
| 27,173,547 | |||
| IT Services - 0.6% | |||
| IBM Corp. 2.85% 5/13/22 | 7,000,000 | 7,299,167 | |
| PayPal Holdings, Inc.: | |||
| 1.35% 6/1/23 | 2,668,000 | 2,729,961 | |
| 1.65% 6/1/25 | 2,097,000 | 2,176,921 | |
| The Western Union Co.: | |||
| 2.85% 1/10/25 | 1,242,000 | 1,311,840 | |
| 4.25% 6/9/23 | 5,000,000 | 5,412,989 | |
| Visa, Inc. 1.9% 4/15/27 | 1,132,000 | 1,201,220 | |
| 20,132,098 | |||
| Semiconductors & Semiconductor Equipment - 0.3% | |||
| Micron Technology, Inc.: | |||
| 2.497% 4/24/23 | 3,383,000 | 3,532,622 | |
| 4.185% 2/15/27 | 6,000,000 | 6,873,096 | |
| 10,405,718 | |||
| Software - 0.3% | |||
| Microsoft Corp. 2.4% 8/8/26 | 10,000,000 | 10,926,588 | |
| Technology Hardware, Storage & Peripherals - 0.6% | |||
| Apple, Inc.: | |||
| 1.125% 5/11/25 | 5,500,000 | 5,641,791 | |
| 2.45% 8/4/26 | 15,000,000 | 16,404,743 | |
| 22,046,534 | |||
| TOTAL INFORMATION TECHNOLOGY | 90,684,485 | ||
| MATERIALS - 0.3% | |||
| Chemicals - 0.3% | |||
| Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 3.3% 5/1/23 (c) | 3,089,000 | 3,277,597 | |
| The Mosaic Co. 3.25% 11/15/22 | 7,000,000 | 7,305,834 | |
| 10,583,431 | |||
| REAL ESTATE - 1.7% | |||
| Equity Real Estate Investment Trusts (REITs) - 1.5% | |||
| American Tower Corp. 1.3% 9/15/25 | 2,406,000 | 2,446,018 | |
| Boston Properties, Inc. 3.2% 1/15/25 | 3,000,000 | 3,260,584 | |
| Crown Castle International Corp. 1.35% 7/15/25 | 566,000 | 575,140 | |
| ERP Operating LP 3.375% 6/1/25 | 3,000,000 | 3,331,731 | |
| Federal Realty Investment Trust 2.55% 1/15/21 | 5,000,000 | 5,020,940 | |
| Healthcare Trust of America Holdings LP 3.5% 8/1/26 | 621,000 | 683,252 | |
| Kimco Realty Corp. 3.3% 2/1/25 | 5,500,000 | 5,900,824 | |
| Omega Healthcare Investors, Inc. 4.375% 8/1/23 | 5,877,000 | 6,323,890 | |
| Retail Properties America, Inc. 4% 3/15/25 | 2,514,000 | 2,506,150 | |
| Simon Property Group LP: | |||
| 2.35% 1/30/22 | 1,046,000 | 1,066,840 | |
| 2.75% 6/1/23 | 4,610,000 | 4,821,076 | |
| SITE Centers Corp. 4.25% 2/1/26 | 1,865,000 | 1,940,069 | |
| Ventas Realty LP: | |||
| 2.65% 1/15/25 | 3,710,000 | 3,871,880 | |
| 3% 1/15/30 | 4,013,000 | 4,051,503 | |
| 3.125% 6/15/23 | 591,000 | 615,539 | |
| 3.5% 4/15/24 | 2,140,000 | 2,287,265 | |
| Welltower, Inc.: | |||
| 3.625% 3/15/24 | 4,035,000 | 4,362,409 | |
| 3.95% 9/1/23 | 1,993,000 | 2,156,098 | |
| 55,221,208 | |||
| Real Estate Management & Development - 0.2% | |||
| Brandywine Operating Partnership LP: | |||
| 3.95% 2/15/23 | 3,334,000 | 3,455,088 | |
| 4.1% 10/1/24 | 372,000 | 391,967 | |
| Digital Realty Trust LP 2.75% 2/1/23 | 2,037,000 | 2,134,375 | |
| Mack-Cali Realty LP 4.5% 4/18/22 | 185,000 | 177,579 | |
| 6,159,009 | |||
| TOTAL REAL ESTATE | 61,380,217 | ||
| UTILITIES - 3.6% | |||
| Electric Utilities - 2.1% | |||
| American Electric Power Co., Inc. 2.15% 11/13/20 | 3,500,000 | 3,512,724 | |
| Cleco Corporate Holdings LLC 3.743% 5/1/26 | 2,893,000 | 3,086,838 | |
| Duke Energy Corp. 1.8% 9/1/21 | 1,354,000 | 1,372,297 | |
| Edison International 2.95% 3/15/23 | 730,000 | 751,535 | |
| Eversource Energy: | |||
| 2.5% 3/15/21 | 4,386,000 | 4,429,301 | |
| 2.75% 3/15/22 | 3,489,000 | 3,607,324 | |
| Exelon Corp. 3.497% 6/1/22 (a) | 10,287,000 | 10,771,035 | |
| FirstEnergy Corp.: | |||
| 1.6% 1/15/26 | 606,000 | 600,389 | |
| 2.05% 3/1/25 | 3,271,000 | 3,337,519 | |
| 4.25% 3/15/23 | 600,000 | 636,390 | |
| Florida Power & Light Co.: | |||
| 3 month U.S. LIBOR + 0.380% 0.6406% 7/28/23 (a)(b) | 7,557,000 | 7,564,261 | |
| 2.85% 4/1/25 | 1,508,000 | 1,658,224 | |
| IPALCO Enterprises, Inc. 3.7% 9/1/24 | 1,115,000 | 1,206,340 | |
| ITC Holdings Corp. 2.7% 11/15/22 | 3,503,000 | 3,658,021 | |
| NextEra Energy Capital Holdings, Inc. 2.75% 5/1/25 | 12,257,000 | 13,329,582 | |
| Southern Co. 2.35% 7/1/21 | 5,250,000 | 5,326,317 | |
| Virginia Electric & Power Co. 2.75% 3/15/23 | 10,000,000 | 10,514,250 | |
| Xcel Energy, Inc. 2.4% 3/15/21 | 1,050,000 | 1,059,502 | |
| 76,421,849 | |||
| Gas Utilities - 0.0% | |||
| Dominion Gas Holdings LLC 2.5% 11/15/24 | 1,156,000 | 1,237,007 | |
| Independent Power and Renewable Electricity Producers - 0.1% | |||
| Emera U.S. Finance LP 2.7% 6/15/21 | 548,000 | 556,656 | |
| The AES Corp. 3.3% 7/15/25 (c) | 4,133,000 | 4,435,722 | |
| 4,992,378 | |||
| Multi-Utilities - 1.4% | |||
| Berkshire Hathaway Energy Co.: | |||
| 2.375% 1/15/21 | 5,420,000 | 5,460,483 | |
| 2.8% 1/15/23 | 5,944,000 | 6,269,560 | |
| CenterPoint Energy, Inc. 2.5% 9/1/22 | 1,229,000 | 1,272,966 | |
| Dominion Energy, Inc.: | |||
| 2% 8/15/21 | 1,458,000 | 1,477,670 | |
| 2.715% 8/15/21 | 3,913,000 | 3,993,686 | |
| 3.071% 8/15/24 (a) | 5,000,000 | 5,425,251 | |
| DTE Energy Co. 2.25% 11/1/22 | 5,500,000 | 5,695,089 | |
| NiSource, Inc.: | |||
| 0.95% 8/15/25 | 2,873,000 | 2,880,197 | |
| 2.95% 9/1/29 | 3,000,000 | 3,288,122 | |
| Public Service Enterprise Group, Inc.: | |||
| 2% 11/15/21 | 1,782,000 | 1,811,741 | |
| 2.65% 11/15/22 | 3,830,000 | 4,003,788 | |
| Sempra Energy: | |||
| 2.85% 11/15/20 | 1,392,000 | 1,395,856 | |
| 2.9% 2/1/23 | 1,017,000 | 1,069,154 | |
| WEC Energy Group, Inc.: | |||
| 3 month U.S. LIBOR + 2.110% 2.3926% 5/15/67 (a)(b) | 454,000 | 374,986 | |
| 3.375% 6/15/21 | 5,540,000 | 5,674,529 | |
| 50,093,078 | |||
| TOTAL UTILITIES | 132,744,312 | ||
| TOTAL NONCONVERTIBLE BONDS | |||
| (Cost $2,144,210,641) | 2,212,956,036 | ||
| U.S. Government and Government Agency Obligations - 11.7% | |||
| U.S. Government Agency Obligations - 0.4% | |||
| Freddie Mac 0.25% 8/24/23 | 14,087,000 | 14,084,279 | |
| U.S. Treasury Obligations - 11.3% | |||
| U.S. Treasury Notes: | |||
| 0.375% 4/30/25 | $90,855,000 | $91,355,412 | |
| 0.5% 8/31/27 | 154,712,000 | 154,784,505 | |
| 0.625% 8/15/30 (e) | 15,312,000 | 15,185,198 | |
| 1.5% 1/31/27 | 13,045,000 | 13,922,990 | |
| 1.625% 9/30/26 | 27,581,000 | 29,608,634 | |
| 2.625% 2/15/29 (f) | 24,000,000 | 27,983,437 | |
| 2.75% 6/30/25 | 34,406,000 | 38,507,840 | |
| 2.875% 11/30/25 | 38,171,000 | 43,274,880 | |
| TOTAL U.S. TREASURY OBLIGATIONS | 414,622,896 | ||
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
| (Cost $414,774,734) | 428,707,175 | ||
| U.S. Government Agency - Mortgage Securities - 1.6% | |||
| Fannie Mae - 1.1% | |||
| 3% 12/1/31 to 3/1/50 | 22,052,760 | 23,519,620 | |
| 3.5% 9/1/29 to 10/1/29 | 1,101,300 | 1,202,395 | |
| 4.5% to 4.5% 3/1/35 to 9/1/49 | 12,226,147 | 13,451,809 | |
| 6.5% 7/1/32 to 8/1/36 | 191,092 | 222,192 | |
| 7% 8/1/28 to 6/1/33 | 147,947 | 173,874 | |
| 7.5% to 7.5% 6/1/26 to 2/1/28 | 37,555 | 42,525 | |
| 8.5% 9/1/25 | 1,478 | 1,632 | |
| TOTAL FANNIE MAE | 38,614,047 | ||
| Freddie Mac - 0.5% | |||
| 2% 1/1/32 | 18,436,853 | 19,265,985 | |
| 8.5% 12/1/26 to 8/1/27 | 14,850 | 16,720 | |
| TOTAL FREDDIE MAC | 19,282,705 | ||
| Ginnie Mae - 0.0% | |||
| 7% to 7% 7/15/28 to 11/15/28 | 26,917 | 30,470 | |
| 7.5% 2/15/28 to 10/15/28 | 2,517 | 2,884 | |
| 8% 6/15/24 | 20 | 22 | |
| 8.5% 10/15/21 | 2,681 | 2,714 | |
| TOTAL GINNIE MAE | 36,090 | ||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
| (Cost $57,199,023) | 57,932,842 | ||
| Asset-Backed Securities - 6.4% | |||
| AASET Trust Series 2019-2 Class A, 3.376% 10/16/39 (c) | $2,814,181 | $2,543,447 | |
| Ally Master Owner Trust: | |||
| Series 2018-1 Class A1, 2.7% 1/17/23 | 5,500,000 | 5,552,818 | |
| Series 2018-2 Class A, 3.29% 5/15/23 | 6,070,000 | 6,199,027 | |
| American Credit Acceptance Receivables Trust Series 2019-3 Class A, 2.44% 12/12/22 (c) | 817,334 | 819,611 | |
| AmeriCredit Automobile Receivables Trust Series 2019-3 Class A2A, 2.17% 1/18/23 | 2,579,742 | 2,600,004 | |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/40 (c) | 1,343,451 | 1,201,846 | |
| Bank of The West Auto Trust Series 2018-1 Class A3, 3.43% 12/15/22 (c) | 1,525,325 | 1,545,034 | |
| Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1 month U.S. LIBOR + 1.120% 1.3001% 2/25/35 (a)(b) | 177,956 | 174,335 | |
| Canadian Pacer Auto Receivables Trust Series 2019-1A Class A2, 2.78% 3/21/22 (c) | 1,496,798 | 1,503,680 | |
| Capital One Multi-Asset Execution Trust Series 2019-A1 Class A1, 2.84% 12/15/24 | 6,392,000 | 6,627,701 | |
| CarMax Auto Owner Trust Series 2019-1 Class A3, 3.05% 3/15/24 | 3,892,000 | 4,003,356 | |
| Chesapeake Funding II LLC: | |||
| Series 2017-2A Class A1, 1.99% 5/15/29 (c) | 578,722 | 580,708 | |
| Series 2018-1A Class A1, 3.04% 4/15/30 (c) | 2,115,009 | 2,150,288 | |
| Series 2018-3A Class A1, 3.39% 1/15/31 (c) | 3,314,165 | 3,424,192 | |
| Series 2019-1A Class A1, 2.94% 4/15/31 (c) | 3,373,796 | 3,449,934 | |
| Series 2020-1A Class A1, 0.87% 8/16/32 (c) | 5,246,000 | 5,260,552 | |
| Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (c) | 1,079,086 | 1,080,789 | |
| Consumer Loan Underlying Bond (CLUB) Credit Trust Series 2020-P1 Class A, 2.26% 3/15/28 (c) | 4,787,975 | 4,808,860 | |
| Consumer Loan Underlying Bond Credit Trust: | |||
| Series 2018-P2 Class A, 3.47% 10/15/25 (c) | 465,528 | 466,730 | |
| Series 2018-P3 Class A, 3.82% 1/15/26 (c) | 1,418,310 | 1,429,088 | |
| Series 2019-HP1 Class A, 2.59% 12/15/26 (c) | 4,873,164 | 4,915,009 | |
| Series 2019-P1 Class A, 2.94% 7/15/26 (c) | 784,716 | 789,675 | |
| Series 2019-P2 Class A, 2.47% 10/15/26 (c) | 3,010,998 | 3,025,053 | |
| Dell Equipment Finance Trust: | |||
| Series 2018-1 Class A3, 3.18% 6/22/23 (c) | 816,943 | 822,082 | |
| Series 2018-2 Class A3, 3.37% 10/22/23 (c) | 1,853,573 | 1,873,376 | |
| Series 2019-2: | |||
| Class A2, 1.95% 12/22/21 (c) | 4,885,759 | 4,916,632 | |
| Class A3, 1.91% 10/22/24 (c) | 2,190,000 | 2,220,127 | |
| DLL Securitization Trust: | |||
| Series 2018-ST2 Class A3, 3.46% 1/20/22 (c) | 1,934,845 | 1,958,616 | |
| Series 2019-MT3: | |||
| Class A2, 2.13% 1/20/22 (c) | 4,599,027 | 4,626,412 | |
| Class A3, 2.08% 2/21/23 (c) | 2,099,000 | 2,139,760 | |
| DT Auto Owner Trust Series 2019-4A Class A, 2.17% 5/15/23 (c) | 3,096,893 | 3,118,915 | |
| Enterprise Fleet Financing LLC: | |||
| Series 2019-1 Class A2, 2.98% 10/20/24 (c) | 2,277,395 | 2,320,117 | |
| Series 2020-1 Class A2, 1.78% 12/22/25 (c) | 7,000,000 | 7,111,698 | |
| Ford Credit Auto Lease Trust Series 2020-A Class A3, 1.85% 3/15/23 | 6,991,000 | 7,097,147 | |
| Ford Credit Auto Owner Trust: | |||
| Series 2016-1 Class A, 2.31% 8/15/27 (c) | 9,128,000 | 9,197,384 | |
| Series 2019-1 Class A, 3.52% 7/15/30 (c) | 4,783,000 | 5,244,473 | |
| Ford Credit Floorplan Master Owner Trust Series 2017-2 Class A1, 2.16% 9/15/22 | 5,521,000 | 5,523,887 | |
| Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (c) | 1,254,134 | 1,160,389 | |
| HPEFS Equipment Trust: | |||
| Series 2020-1A Class A2, 1.73% 2/20/30 (c) | 5,362,000 | 5,406,648 | |
| Series 2020-2A Class A2, 0.65% 7/22/30 (c) | 7,820,000 | 7,824,705 | |
| Hyundai Auto Lease Securitization Trust Series 2020-A Class A3, 1.95% 7/17/23 (c) | 3,523,000 | 3,595,854 | |
| Hyundai Auto Receivables Trust Series 2019-B Class A3, 1.94% 2/15/24 | 3,964,000 | 4,055,147 | |
| Kubota Credit Owner Trust Series 2018-1A Class A3, 3.1% 8/15/22 (c) | 3,548,784 | 3,603,430 | |
| Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(c) | 2,311,000 | 2,341,626 | |
| Marlette Funding Trust: | |||
| Series 2019-4A Class A, 2.39% 12/17/29 (c) | 1,030,103 | 1,038,434 | |
| Series 2020-1A Class A, 2.24% 3/15/30 (c) | 707,727 | 713,148 | |
| Mercedes-Benz Auto Lease Trust Series 2019-B Class A3, 2% 10/17/22 | 3,073,000 | 3,116,440 | |
| Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (c) | 1,087,840 | 1,162,512 | |
| MMAF Equipment Finance LLC Series 2019-B Class A3, 2.01% 12/12/24 (c) | 4,116,000 | 4,248,229 | |
| New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 0.6851% 9/25/35 (a)(b) | 32,169 | 32,028 | |
| Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 1.4201% 1/25/36 (a)(b) | 119,892 | 119,547 | |
| Prosper Marketplace Issuance Trust Series 2019-4A Class A, 2.48% 2/17/26 (c) | 414,261 | 415,980 | |
| Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (c) | 3,130,456 | 3,180,973 | |
| Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (c) | 2,561,666 | 2,279,032 | |
| SBA Tower Trust: | |||
| Series 2019, 2.836% 1/15/50 (c) | 2,797,000 | 2,922,862 | |
| 1.884% 7/15/50 (c) | 1,204,000 | 1,224,236 | |
| 3.168% 4/9/47 (c) | 7,000,000 | 7,088,320 | |
| SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (c) | 2,760,466 | 2,791,611 | |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0351% 9/25/34 (a)(b) | 2,132 | 1,964 | |
| Tesla Series 2020-A: | |||
| Class A2, 0.55% 5/22/23 (c) | 3,154,000 | 3,158,068 | |
| Class A3, 0.68% 12/20/23 (c) | 3,588,000 | 3,588,838 | |
| Tesla Auto Lease Trust Series 2019-A Class A2, 2.13% 4/20/22 (c) | 6,124,353 | 6,195,466 | |
| Towd Point Mortgage Trust Series 2018-3 Class A1, 3.75% 5/25/58 (c) | 2,111,271 | 2,270,390 | |
| Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (c) | 3,961,000 | 4,088,125 | |
| Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 0.8638% 4/6/42 (a)(b)(c) | 304,000 | 199,120 | |
| Upgrade Receivables Trust Series 2019-2A Class A, 2.77% 10/15/25 (c) | 873,232 | 875,926 | |
| Verizon Owner Trust: | |||
| Series 2017-3A Class A1A, 2.06% 4/20/22 (c) | 878,638 | 880,689 | |
| Series 2020-A Class A1A, 1.85% 7/22/24 | 6,472,000 | 6,648,238 | |
| Volvo Financial Equipment LLC: | |||
| Series 2019-1A Class A3, 3% 3/15/23 (c) | 2,587,000 | 2,647,859 | |
| Series 2019-2A Class A3, 2.04% 11/15/23 (c) | 3,127,000 | 3,197,184 | |
| Wheels SPV LLC Series 2018-1A Class A2, 3.06% 4/20/27 (c) | 1,058,475 | 1,065,051 | |
| World Omni Auto Receivables Trust: | |||
| Series 2020-A Class A2A, 1.02% 6/15/23 | 5,000,000 | 5,022,308 | |
| Series 2020-C Class A2, 0.35% 12/15/23 | 11,990,000 | 11,990,100 | |
| World Omni Automobile Lease Securitization Trust Series 2019-A Class A3, 2.94% 5/16/22 | 2,614,000 | 2,662,164 | |
| TOTAL ASSET-BACKED SECURITIES | |||
| (Cost $232,419,951) | 235,135,004 | ||
| Collateralized Mortgage Obligations - 3.0% | |||
| Private Sponsor - 1.4% | |||
| CSAIL Commercial Mortgage Trust Series 2015-C2 Class ASB, 3.2241% 6/15/57 | 1,205,441 | 1,258,311 | |
| Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.7% 8/25/60 (a)(b)(c) | 1,289,058 | 1,286,956 | |
| Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 0.695% 10/15/54 (a)(b)(c) | 1,336,798 | 1,337,425 | |
| Lanark Master Issuer PLC: | |||
| floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 1.128% 12/22/69 (a)(b)(c) | 1,185,100 | 1,188,059 | |
| Series 2019-2A Class 1A, 2.71% 12/22/69 (c) | 5,532,000 | 5,608,648 | |
| Mortgage Repurchase Agreement Financing Trust: | |||
| floater Series 2020-3 Class A1, 1 month U.S. LIBOR + 1.250% 1.4054% 1/23/23 (a)(b)(c) | 1,563,000 | 1,562,475 | |
| Series 2020-4 Class A1, 1 month U.S. LIBOR + 1.350% 1.5258% 4/23/23 (a)(b)(c) | 7,422,000 | 7,422,341 | |
| Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/25/29 (c) | 978,557 | 976,838 | |
| New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (c) | 2,777,346 | 2,877,578 | |
| Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (c) | 9,359,000 | 9,362,164 | |
| Permanent Master Issuer PLC floater: | |||
| Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 0.655% 7/15/58 (a)(b)(c) | 2,793,000 | 2,792,733 | |
| Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 0.825% 7/15/58 (a)(b)(c) | 1,138,000 | 1,137,016 | |
| Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (c) | 913,263 | 927,629 | |
| RMF Buyout Issuance Trust sequential payer Series 2020-2 Class A, 1.7063% 6/25/30 (c) | 9,017,553 | 9,025,506 | |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.3048% 7/20/34 (a)(b) | 1,007 | 958 | |
| Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.8414% 1/21/70 (a)(b)(c) | 4,431,600 | 4,431,841 | |
| TOTAL PRIVATE SPONSOR | 51,196,478 | ||
| U.S. Government Agency - 1.6% | |||
| Fannie Mae: | |||
| planned amortization class: | |||
| Series 2015-28 Class P, 2.5% 5/25/45 | 3,169,309 | 3,330,327 | |
| Series 2019-33 Class N, 3% 3/25/48 | 14,115,021 | 14,811,115 | |
| Series 2015-28 Class JE, 3% 5/25/45 | 2,243,862 | 2,391,519 | |
| Series 2018-3 Class LP, 3% 2/25/47 | 11,733,487 | 12,432,197 | |
| Series 2019-59 Class AB, 2.5% 10/25/39 | 4,705,087 | 4,892,758 | |
| Freddie Mac: | |||
| planned amortization class Series 2019-4903 Class DA, 3% 10/25/48 | 5,370,421 | 5,754,779 | |
| sequential payer Series 4873 Class CA, 4% 7/15/47 | 6,684,602 | 7,131,826 | |
| Series 3949 Class MK, 4.5% 10/15/34 | 88,849 | 97,991 | |
| Series 4472 Class WL, 3% 5/15/45 | 1,014,693 | 1,083,698 | |
| Freddie Mac Seasoned Credit Risk Transfer Trust sequential payer Series 2019-2 Class MA, 3.5% 8/25/58 | 5,011,713 | 5,419,789 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates Series 2015-H17 Class HA, 2.5% 5/20/65 (g) | 273,933 | 274,337 | |
| TOTAL U.S. GOVERNMENT AGENCY | 57,620,336 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
| (Cost $106,416,557) | 108,816,814 | ||
| Commercial Mortgage Securities - 7.9% | |||
| BAMLL Commercial Mortgage Securities Trust sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (c) | 1,767,000 | 1,722,664 | |
| Benchmark Mortgage Trust: | |||
| sequential payer Series 2018-B2 Class A2, 3.6623% 2/15/51 | 5,621,000 | 5,873,596 | |
| Series 2019-B14 Class XA, 0.915% 12/15/62 (a)(h) | 24,866,414 | 1,307,837 | |
| Series 2020-B17 Class XA, 1.5421% 3/15/53 (a)(h) | 49,517,307 | 4,791,349 | |
| BX Commercial Mortgage Trust floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9619% 12/15/36 (a)(b)(c) | 3,054,205 | 3,043,705 | |
| BX Trust floater, sequential payer: | |||
| Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1619% 4/15/34 (a)(b)(c) | 614,000 | 589,416 | |
| Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.0819% 10/15/36 (a)(b)(c) | 6,310,932 | 6,303,366 | |
| CF Hippolyta Issuer LLC sequential payer Series 2020-1 Class A1, 1.69% 7/15/60 (c) | 7,365,000 | 7,473,137 | |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, 1 month U.S. LIBOR + 0.950% 1.1119% 11/15/36 (a)(b)(c) | 1,313,000 | 1,299,849 | |
| CGDBB Commercial Mortgage Trust floater Series 2017-BIOC Class A, 1 month U.S. LIBOR + 0.790% 0.9519% 7/15/32 (a)(b)(c) | 4,733,068 | 4,721,221 | |
| CGMS Commercial Mortgage Trust Series 2017-MDRA Class A, 3.656% 7/10/30 (c) | 10,000,000 | 10,125,454 | |
| CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.2819% 6/15/34 (a)(b)(c) | 4,641,969 | 4,419,187 | |
| Citigroup Commercial Mortgage Trust: | |||
| sequential payer: | |||
| Series 2012-GC8: | |||
| Class A/S, 3.683% 9/10/45 (c) | 6,670,000 | 6,904,304 | |
| Class A4, 3.024% 9/10/45 | 2,262,275 | 2,314,614 | |
| Series 2014-GC21 Class AAB, 3.477% 5/10/47 | 1,315,639 | 1,374,351 | |
| Series 2016-GC36 Class AAB, 3.368% 2/10/49 | 2,530,000 | 2,687,311 | |
| Series 2017-P7 Class A2, 3.212% 4/14/50 | 2,399,000 | 2,453,853 | |
| COMM Mortgage Trust: | |||
| sequential payer: | |||
| Series 2012-CR3 Class A3, 2.822% 10/15/45 | 1,281,023 | 1,306,897 | |
| Series 2012-LC4 Class A4, 3.288% 12/10/44 | 5,523,304 | 5,643,775 | |
| Series 2013-CR7: | |||
| Class A4, 3.213% 3/10/46 | 2,666,224 | 2,784,611 | |
| Class AM, 3.314% 3/10/46 (c) | 1,343,000 | 1,405,750 | |
| Series 2015-CR22 Class ASB, 3.144% 3/10/48 | 1,848,068 | 1,931,060 | |
| Series 2015-CR23 Class ASB, 3.257% 5/10/48 | 1,484,438 | 1,556,720 | |
| Series 2013-LC6 Class ASB, 2.478% 1/10/46 | 2,828,840 | 2,875,694 | |
| Series 2015-CR22 Class A2, 2.856% 3/10/48 | 272,772 | 272,672 | |
| Credit Suisse Mortgage Trust: | |||
| floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.1419% 5/15/36 (a)(b)(c) | 5,000,000 | 5,009,186 | |
| sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (c) | 1,023,000 | 1,054,105 | |
| Series 2018-SITE Class A, 4.284% 4/15/36 (c) | 1,635,000 | 1,603,612 | |
| CSAIL Commercial Mortgage Trust sequential payer: | |||
| Series 19-C15 Class A2, 3.4505% 3/15/52 | 3,304,000 | 3,514,973 | |
| Series 2015-C3 Class A4, 3.7182% 8/15/48 | 3,143,000 | 3,471,976 | |
| GS Mortgage Securities Trust: | |||
| sequential payer: | |||
| Series 2012-GC6: | |||
| Class A/S, 4.948% 1/10/45 (c) | 8,649,312 | 8,970,090 | |
| Class A3, 3.482% 1/10/45 | 2,955,837 | 3,021,576 | |
| Series 2012-GCJ7: | |||
| Class A/S, 4.085% 5/10/45 | 4,142,000 | 4,283,908 | |
| Class A4, 3.377% 5/10/45 | 1,936,889 | 1,964,880 | |
| Series 2012-GCJ9 Class A3, 2.773% 11/10/45 | 4,664,080 | 4,775,293 | |
| Series 2013-GC10 Class A5, 2.943% 2/10/46 | 5,531,000 | 5,731,501 | |
| Series 2014-GC18 Class AAB, 3.648% 1/10/47 | 484,100 | 502,846 | |
| Series 2014-GC20 Class AAB, 3.655% 4/10/47 | 628,006 | 655,679 | |
| Series 2014-GC26 Class AAB, 3.365% 11/10/47 | 2,860,070 | 2,998,723 | |
| Series 2015-GC28 Class AAB, 3.206% 2/10/48 | 1,963,451 | 2,054,147 | |
| Series 2015-GC30 Class A4, 3.382% 5/10/50 | 3,541,000 | 3,868,442 | |
| Series 2011-GC5 Class A/S, 5.209% 8/10/44 (c) | 6,799,000 | 6,959,046 | |
| Series 2012-GCJ9 Class A/S, 3.124% 11/10/45 | 4,022,000 | 4,139,446 | |
| Series 2013-GC13 Class A/S, 4.2198% 7/10/46 (a)(c) | 9,739,000 | 10,412,317 | |
| Series 2013-GC16 Class A/S, 4.649% 11/10/46 | 1,900,000 | 2,068,842 | |
| Series 2015-GC32 Class A2, 3.062% 7/10/48 | 253,926 | 255,355 | |
| JP Morgan Chase Commercial Mortgage Securities Trust Series 2015-JP1 Class A2, 3.1438% 1/15/49 | 1,674,965 | 1,682,081 | |
| JPMBB Commercial Mortgage Securities sequential payer Series 2014-C25 Class ASB, 3.4074% 11/15/47 | 1,543,010 | 1,617,341 | |
| JPMBB Commercial Mortgage Securities Trust: | |||
| sequential payer: | |||
| Series 2013-C17 Class ASB, 3.705% 1/15/47 | 617,715 | 645,923 | |
| Series 2014-C22 Class A4, 3.8012% 9/15/47 | 4,450,000 | 4,868,272 | |
| Series 2013-C17 Class A/S, 4.4584% 1/15/47 | 6,642,000 | 7,196,130 | |
| JPMCC Commercial Mortgage Securities Trust sequential payer Series 2016-JP4 Class A2, 2.9838% 12/15/49 | 2,031,900 | 2,068,439 | |
| JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
| Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 2,097,000 | 2,172,534 | |
| Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (c) | 5,520,000 | 5,636,260 | |
| JPMorgan Chase Commercial Mortgage Securities Trust: | |||
| floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.1619% 9/15/29 (a)(b)(c) | 2,478,000 | 2,416,782 | |
| sequential payer: | |||
| Series 2012-C8 Class A3, 2.8291% 10/15/45 | 2,440,750 | 2,514,076 | |
| Series 2014-C20 Class A3A1, 3.4718% 7/15/47 | 2,128,685 | 2,153,518 | |
| Series 2013-C10 Class A5, 3.1425% 12/15/47 | 4,758,068 | 4,975,046 | |
| Series 2013-C13 Class A4, 3.9936% 1/15/46 (a) | 3,198,140 | 3,430,332 | |
| Series 2013-C16 Class A/S, 4.5169% 12/15/46 | 8,570,171 | 9,290,509 | |
| Series 2018-WPT Class AFX, 4.2475% 7/5/33 (c) | 2,708,000 | 2,860,659 | |
| Merit floater Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.305% 8/15/37 (a)(b)(c) | 911,000 | 911,570 | |
| Morgan Stanley BAML Trust: | |||
| sequential payer: | |||
| Series 2012-C6 Class A4, 2.858% 11/15/45 | 4,062,777 | 4,172,496 | |
| Series 2013-C11 Class A4, 4.2977% 8/15/46 (a) | 1,443,000 | 1,548,997 | |
| Series 2016-C28 Class A3, 3.272% 1/15/49 | 1,933,343 | 2,054,128 | |
| Series 2014-C17 Class ASB, 3.477% 8/15/47 | 2,986,455 | 3,129,000 | |
| Series 2015-C22 Class ASB, 3.04% 4/15/48 | 1,099,889 | 1,146,537 | |
| Morgan Stanley Capital I Trust: | |||
| sequential payer: | |||
| Series 2011-C1 Class A4, 5.033% 9/15/47 (a)(c) | 1,286,922 | 1,292,588 | |
| Series 2019-MEAD Class A, 3.17% 11/10/36 (c) | 3,837,000 | 3,864,986 | |
| Series 2011-C3 Class AJ, 5.4192% 7/15/49 (a)(c) | 2,820,000 | 2,897,272 | |
| UBS-Barclays Commercial Mortgage Trust: | |||
| floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9583% 4/10/46 (a)(b)(c) | 3,595,359 | 3,581,653 | |
| sequential payer Series 2012-C2 Class A4, 3.525% 5/10/63 | 2,703,000 | 2,792,829 | |
| Series 2012-C2 Class ASEC, 4.179% 5/10/63 (c) | 2,974,216 | 3,103,129 | |
| Series 2012-C3 Class A/S, 3.814% 8/10/49 (c) | 3,319,000 | 3,455,848 | |
| Wells Fargo Commercial Mortgage Trust sequential payer: | |||
| Series 2012-LC5 Class A3, 2.918% 10/15/45 | 4,105,866 | 4,245,880 | |
| Series 2015-C27 Class ASB, 3.278% 2/15/48 | 2,779,645 | 2,914,266 | |
| Series 2017-RC1 Class ASB, 3.453% 1/15/60 | 3,858,000 | 4,173,400 | |
| Wells Fargo Commercial Mtg Trust 2016-C sequential payer Series 2016-C37 Class A1, 3.103% 12/15/49 | 2,128,000 | 2,159,311 | |
| WF-RBS Commercial Mortgage Trust: | |||
| sequential payer: | |||
| Series 2012-C9 Class A3, 2.87% 11/15/45 | 3,094,759 | 3,170,673 | |
| Series 2013-C11 Class A5, 3.071% 3/15/45 | 5,941,000 | 6,164,848 | |
| Series 2013-C12 Class ASB, 2.838% 3/15/48 | 253,451 | 258,780 | |
| Series 2013-C14 Class A5, 3.337% 6/15/46 | 7,196,000 | 7,586,441 | |
| Series 2013-C16 Class ASB, 3.963% 9/15/46 | 703,721 | 735,350 | |
| Series 2014-C22 Class ASB, 3.464% 9/15/57 | 4,506,290 | 4,717,657 | |
| Series 2013-C11 Class ASB, 2.63% 3/15/45 | 655,355 | 667,024 | |
| Series 2013-C12 Class A4, 3.198% 3/15/48 | 1,464,000 | 1,533,759 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
| (Cost $286,631,969) | 288,304,660 | ||
| Municipal Securities - 0.4% | |||
| California Gen. Oblig. Series 2019, 2.4% 10/1/25 | 4,420,000 | 4,801,667 | |
| Illinois Gen. Oblig. Series 2003, 4.95% 6/1/23 | 1,875,545 | 1,915,157 | |
| New York City Transitional Fin. Auth. Rev. Series 2017 E, 2.85% 2/1/24 | 1,320,000 | 1,423,528 | |
| New York Urban Dev. Corp. Rev. Series 2017 D, 2.7% 3/15/23 | 6,100,000 | 6,420,372 | |
| TOTAL MUNICIPAL SECURITIES | |||
| (Cost $13,781,660) | 14,560,724 | ||
| Foreign Government and Government Agency Obligations - 0.1% | |||
| United Mexican States 3.25% 4/16/30 (Cost $3,507,220) | $3,525,000 | $3,644,850 | |
| Bank Notes - 2.0% | |||
| BBVA U.S.A.: | |||
| 2.875% 6/29/22 | $8,287,000 | $8,525,681 | |
| 3.5% 6/11/21 | 3,000,000 | 3,061,296 | |
| CIT Bank NA 2.969% 9/27/25 (a) | 6,655,000 | 6,555,175 | |
| Citibank NA: | |||
| 2.844% 5/20/22 (a) | 5,000,000 | 5,087,408 | |
| 3.65% 1/23/24 | 5,000,000 | 5,498,898 | |
| Discover Bank: | |||
| 3.2% 8/9/21 | 2,000,000 | 2,047,110 | |
| 3.35% 2/6/23 | 7,557,000 | 8,012,496 | |
| Fifth Third Bank, Cincinnati 2.875% 10/1/21 | 2,000,000 | 2,048,468 | |
| First Republic Bank 1.912% 2/12/24 (a) | 2,692,000 | 2,771,276 | |
| KeyBank NA 3.3% 2/1/22 | 1,378,000 | 1,434,930 | |
| RBS Citizens NA: | |||
| 2.25% 4/28/25 | 4,046,000 | 4,316,674 | |
| 2.65% 5/26/22 | 3,000,000 | 3,102,732 | |
| Truist Bank: | |||
| 1.5% 3/10/25 | 7,000,000 | 7,253,899 | |
| 2.8% 5/17/22 | 5,000,000 | 5,201,682 | |
| 3.502% 8/2/22 (a) | 3,790,000 | 3,896,645 | |
| Wells Fargo Bank NA 2.897% 5/27/22 (a) | 5,000,000 | 5,090,854 | |
| TOTAL BANK NOTES | |||
| (Cost $71,638,526) | 73,905,224 | ||
| Shares | Value | ||
| Fixed-Income Funds - 0.5% | |||
| Fidelity Specialized High Income Central Fund (i) | |||
| (Cost $15,405,526) | 168,997 | 16,901,423 | |
| Money Market Funds - 6.7% | |||
| Fidelity Cash Central Fund 0.12% (j) | 235,101,214 | 235,148,235 | |
| Fidelity Securities Lending Cash Central Fund 0.11% (j)(k) | 8,798,006 | 8,798,886 | |
| TOTAL MONEY MARKET FUNDS | |||
| (Cost $243,947,121) | 243,947,121 | ||
| TOTAL INVESTMENT IN SECURITIES - 100.9% | |||
| (Cost $3,589,932,928) | 3,684,811,873 | ||
| NET OTHER ASSETS (LIABILITIES) - (0.9)% | (32,129,899) | ||
| NET ASSETS - 100% | $3,652,681,974 |
| Futures Contracts | |||||
| Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
| Purchased | |||||
| Treasury Contracts | |||||
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 55 | Dec. 2020 | $12,151,992 | $2,041 | $2,041 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 989 | Dec. 2020 | 124,644,906 | 44,376 | 44,376 |
| TOTAL FUTURES CONTRACTS | $46,417 |
The notional amount of futures purchased as a percentage of Net Assets is 3.7%
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) 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 $769,648,624 or 21.1% of net assets.
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(e) Security or a portion of the security is on loan at period end.
(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 $701,997.
(g) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(i) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-PORT and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(k) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $600,129 |
| Fidelity Securities Lending Cash Central Fund | 2,292 |
| Fidelity Specialized High Income Central Fund | 854,487 |
| Total | $1,456,908 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable. Amount 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.
The value, beginning of period, for the Fidelity Cash Central Fund was $45,365,826. Net realized gain (loss) and change in net unrealized appreciation (depreciation) was $6,019 and $0, respectively. Purchases and sales of the Fidelity Cash Central Fund were $1,642,235,879 and $1,452,459,489, respectively, during the period.
Fiscal year to date information regarding the Fund’s investments in non-Money Market Central Funds, including the ownership percentage, is presented below.
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
| Fidelity Specialized High Income Central Fund | $20,623,877 | $16,119,020 | $21,136,346 | $(413,320) | $1,708,192 | $16,901,423 | 3.2% |
| Total | $20,623,877 | $16,119,020 | $21,136,346 | $(413,320) | $1,708,192 | $16,901,423 |
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: | ||||
| Description | Total | Level 1 | Level 2 | Level 3 |
| Investments in Securities: | ||||
| Corporate Bonds | $2,212,956,036 | $-- | $2,212,956,036 | $-- |
| U.S. Government and Government Agency Obligations | 428,707,175 | -- | 428,707,175 | -- |
| U.S. Government Agency - Mortgage Securities | 57,932,842 | -- | 57,932,842 | -- |
| Asset-Backed Securities | 235,135,004 | -- | 235,135,004 | -- |
| Collateralized Mortgage Obligations | 108,816,814 | -- | 108,816,814 | -- |
| Commercial Mortgage Securities | 288,304,660 | -- | 288,304,660 | -- |
| Municipal Securities | 14,560,724 | -- | 14,560,724 | -- |
| Foreign Government and Government Agency Obligations | 3,644,850 | -- | 3,644,850 | -- |
| Bank Notes | 73,905,224 | -- | 73,905,224 | -- |
| Fixed-Income Funds | 16,901,423 | 16,901,423 | -- | -- |
| Money Market Funds | 243,947,121 | 243,947,121 | -- | -- |
| Total Investments in Securities: | $3,684,811,873 | $260,848,544 | $3,423,963,329 | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $46,417 | $46,417 | $-- | $-- |
| Total Assets | $46,417 | $46,417 | $-- | $-- |
| Total Derivative Instruments: | $46,417 | $46,417 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
| Primary Risk Exposure / Derivative Type | Value | |
| Asset | Liability | |
| Interest Rate Risk | ||
| Futures Contracts(a) | $46,417 | $0 |
| Total Interest Rate Risk | 46,417 | 0 |
| Total Value of Derivatives | $46,417 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
Other Information
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
| United States of America | 86.3% |
| United Kingdom | 4.5% |
| Canada | 2.7% |
| Japan | 1.4% |
| France | 1.0% |
| Others (Individually Less Than 1%) | 4.1% |
| 100.0% |
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| August 31, 2020 | ||
| Assets | ||
| Investment in securities, at value (including securities loaned of $8,642,529) — See accompanying schedule: Unaffiliated issuers (cost $3,330,580,281) | $3,423,963,329 | |
| Fidelity Central Funds (cost $259,352,647) | 260,848,544 | |
| Total Investment in Securities (cost $3,589,932,928) | $3,684,811,873 | |
| Cash | 39,259 | |
| Receivable for investments sold | 2,063,847 | |
| Receivable for fund shares sold | 24,526,460 | |
| Interest receivable | 17,797,437 | |
| Distributions receivable from Fidelity Central Funds | 24,298 | |
| Receivable for daily variation margin on futures contracts | 38,633 | |
| Receivable from investment adviser for expense reductions | 6,001 | |
| Total assets | 3,729,307,808 | |
| Liabilities | ||
| Payable for investments purchased | ||
| Regular delivery | $5,007,499 | |
| Delayed delivery | 993,687 | |
| Payable for fund shares redeemed | 59,755,308 | |
| Distributions payable | 547,160 | |
| Accrued management fee | 889,317 | |
| Distribution and service plan fees payable | 153,122 | |
| Other affiliated payables | 480,841 | |
| Other payables and accrued expenses | 14 | |
| Collateral on securities loaned | 8,798,886 | |
| Total liabilities | 76,625,834 | |
| Net Assets | $3,652,681,974 | |
| Net Assets consist of: | ||
| Paid in capital | $3,542,154,017 | |
| Total accumulated earnings (loss) | 110,527,957 | |
| Net Assets | $3,652,681,974 | |
| Net Asset Value and Maximum Offering Price | ||
| Class A: | ||
| Net Asset Value and redemption price per share ($368,674,983 ÷ 30,809,782 shares)(a) | $11.97 | |
| Maximum offering price per share (100/97.25 of $11.97) | $12.31 | |
| Class M: | ||
| Net Asset Value and redemption price per share ($167,201,081 ÷ 13,964,746 shares)(a) | $11.97 | |
| Maximum offering price per share (100/97.25 of $11.97) | $12.31 | |
| Class C: | ||
| Net Asset Value and offering price per share ($54,337,242 ÷ 4,551,285 shares)(a) | $11.94 | |
| Fidelity Limited Term Bond Fund: | ||
| Net Asset Value, offering price and redemption price per share ($2,078,737,293 ÷ 173,279,147 shares) | $12.00 | |
| Class I: | ||
| Net Asset Value, offering price and redemption price per share ($765,759,624 ÷ 63,819,013 shares) | $12.00 | |
| Class Z: | ||
| Net Asset Value, offering price and redemption price per share ($217,971,751 ÷ 18,169,902 shares) | $12.00 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Year ended August 31, 2020 | ||
| Investment Income | ||
| Interest | $77,546,116 | |
| Income from Fidelity Central Funds (including $2,292 from security lending) | 1,192,295 | |
| Total income | 78,738,411 | |
| Expenses | ||
| Management fee | $8,811,637 | |
| Transfer agent fees | 3,438,340 | |
| Distribution and service plan fees | 1,644,615 | |
| Fund wide operations fee | 1,414,093 | |
| Independent trustees' fees and expenses | 9,238 | |
| Commitment fees | 6,761 | |
| Total expenses before reductions | 15,324,684 | |
| Expense reductions | (49,264) | |
| Total expenses after reductions | 15,275,420 | |
| Net investment income (loss) | 63,462,991 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 17,489,284 | |
| Fidelity Central Funds | (407,301) | |
| Futures contracts | 6,172,865 | |
| Capital gain distributions from Fidelity Central Funds | 264,613 | |
| Total net realized gain (loss) | 23,519,461 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 45,510,183 | |
| Fidelity Central Funds | 1,708,193 | |
| Futures contracts | (145,241) | |
| Total change in net unrealized appreciation (depreciation) | 47,073,135 | |
| Net gain (loss) | 70,592,596 | |
| Net increase (decrease) in net assets resulting from operations | $134,055,587 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Year ended August 31, 2020 | Year ended August 31, 2019 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $63,462,991 | $58,751,961 |
| Net realized gain (loss) | 23,519,461 | (527,988) |
| Change in net unrealized appreciation (depreciation) | 47,073,135 | 85,505,698 |
| Net increase (decrease) in net assets resulting from operations | 134,055,587 | 143,729,671 |
| Distributions to shareholders | (62,533,473) | (57,943,883) |
| Share transactions - net increase (decrease) | 936,534,313 | 234,957,881 |
| Total increase (decrease) in net assets | 1,008,056,427 | 320,743,669 |
| Net Assets | ||
| Beginning of period | 2,644,625,547 | 2,323,881,878 |
| End of period | $3,652,681,974 | $2,644,625,547 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Advisor Limited Term Bond Fund Class A
| Years ended August 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $11.67 | $11.28 | $11.54 | $11.56 | $11.42 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .227 | .252 | .206 | .165 | .179 |
| Net realized and unrealized gain (loss) | .299 | .386 | (.264) | (.030) | .132 |
| Total from investment operations | .526 | .638 | (.058) | .135 | .311 |
| Distributions from net investment income | (.226) | (.248) | (.202) | (.155) | (.171) |
| Total distributions | (.226) | (.248) | (.202) | (.155) | (.171) |
| Net asset value, end of period | $11.97 | $11.67 | $11.28 | $11.54 | $11.56 |
| Total ReturnB,C | 4.56% | 5.73% | (.50)% | 1.18% | 2.75% |
| Ratios to Average Net AssetsD,E | |||||
| Expenses before reductions | .75% | .75% | .76% | .76% | .76% |
| Expenses net of fee waivers, if any | .75% | .75% | .76% | .76% | .76% |
| Expenses net of all reductions | .75% | .75% | .76% | .76% | .76% |
| Net investment income (loss) | 1.94% | 2.21% | 1.81% | 1.43% | 1.56% |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $368,675 | $277,002 | $247,562 | $289,758 | $362,481 |
| Portfolio turnover rateF | 54% | 29% | 37% | 39% | 50% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Limited Term Bond Fund Class M
| Years ended August 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $11.68 | $11.28 | $11.54 | $11.57 | $11.42 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .227 | .251 | .205 | .164 | .178 |
| Net realized and unrealized gain (loss) | .288 | .396 | (.264) | (.040) | .142 |
| Total from investment operations | .515 | .647 | (.059) | .124 | .320 |
| Distributions from net investment income | (.225) | (.247) | (.201) | (.154) | (.170) |
| Total distributions | (.225) | (.247) | (.201) | (.154) | (.170) |
| Net asset value, end of period | $11.97 | $11.68 | $11.28 | $11.54 | $11.57 |
| Total ReturnB,C | 4.47% | 5.81% | (.51)% | 1.09% | 2.83% |
| Ratios to Average Net AssetsD,E | |||||
| Expenses before reductions | .76% | .76% | .76% | .76% | .76% |
| Expenses net of fee waivers, if any | .76% | .76% | .76% | .76% | .76% |
| Expenses net of all reductions | .76% | .76% | .76% | .76% | .76% |
| Net investment income (loss) | 1.93% | 2.21% | 1.80% | 1.42% | 1.56% |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $167,201 | $167,670 | $158,027 | $174,571 | $191,505 |
| Portfolio turnover rateF | 54% | 29% | 37% | 39% | 50% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Limited Term Bond Fund Class C
| Years ended August 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $11.65 | $11.25 | $11.51 | $11.54 | $11.39 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .134 | .162 | .117 | .075 | .090 |
| Net realized and unrealized gain (loss) | .289 | .396 | (.264) | (.039) | .142 |
| Total from investment operations | .423 | .558 | (.147) | .036 | .232 |
| Distributions from net investment income | (.133) | (.158) | (.113) | (.066) | (.082) |
| Total distributions | (.133) | (.158) | (.113) | (.066) | (.082) |
| Net asset value, end of period | $11.94 | $11.65 | $11.25 | $11.51 | $11.54 |
| Total ReturnB,C | 3.66% | 5.01% | (1.28)% | .32% | 2.05% |
| Ratios to Average Net AssetsD,E | |||||
| Expenses before reductions | 1.54% | 1.54% | 1.53% | 1.53% | 1.53% |
| Expenses net of fee waivers, if any | 1.54% | 1.54% | 1.53% | 1.53% | 1.53% |
| Expenses net of all reductions | 1.54% | 1.54% | 1.53% | 1.53% | 1.53% |
| Net investment income (loss) | 1.15% | 1.42% | 1.03% | .66% | .79% |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $54,337 | $47,710 | $63,105 | $79,249 | $97,987 |
| Portfolio turnover rateF | 54% | 29% | 37% | 39% | 50% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the contingent deferred sales charge.
D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Limited Term Bond Fund
| Years ended August 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $11.70 | $11.31 | $11.56 | $11.59 | $11.45 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .263 | .287 | .241 | .200 | .214 |
| Net realized and unrealized gain (loss) | .299 | .386 | (.254) | (.039) | .133 |
| Total from investment operations | .562 | .673 | (.013) | .161 | .347 |
| Distributions from net investment income | (.262) | (.283) | (.237) | (.191) | (.207) |
| Total distributions | (.262) | (.283) | (.237) | (.191) | (.207) |
| Net asset value, end of period | $12.00 | $11.70 | $11.31 | $11.56 | $11.59 |
| Total ReturnB,C | 4.87% | 6.04% | (.10)% | 1.40% | 3.06% |
| Ratios to Average Net AssetsD,E | |||||
| Expenses before reductions | .45% | .45% | .45% | .45% | .45% |
| Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% |
| Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% |
| Net investment income (loss) | 2.24% | 2.52% | 2.11% | 1.74% | 1.87% |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $2,078,737 | $1,563,504 | $1,333,186 | $1,643,205 | $1,315,947 |
| Portfolio turnover rateF | 54% | 29% | 37% | 39% | 50% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Limited Term Bond Fund Class I
| Years ended August 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $11.70 | $11.31 | $11.57 | $11.60 | $11.45 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .257 | .282 | .236 | .194 | .209 |
| Net realized and unrealized gain (loss) | .299 | .386 | (.264) | (.039) | .142 |
| Total from investment operations | .556 | .668 | (.028) | .155 | .351 |
| Distributions from net investment income | (.256) | (.278) | (.232) | (.185) | (.201) |
| Total distributions | (.256) | (.278) | (.232) | (.185) | (.201) |
| Net asset value, end of period | $12.00 | $11.70 | $11.31 | $11.57 | $11.60 |
| Total ReturnB | 4.82% | 5.99% | (.24)% | 1.36% | 3.10% |
| Ratios to Average Net AssetsC,D | |||||
| Expenses before reductions | .50% | .50% | .50% | .50% | .50% |
| Expenses net of fee waivers, if any | .50% | .50% | .50% | .50% | .50% |
| Expenses net of all reductions | .50% | .50% | .50% | .50% | .50% |
| Net investment income (loss) | 2.20% | 2.47% | 2.07% | 1.69% | 1.82% |
| Supplemental Data | |||||
| Net assets, end of period (000 omitted) | $765,760 | $524,068 | $522,002 | $605,310 | $537,585 |
| Portfolio turnover rateE | 54% | 29% | 37% | 39% | 50% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
D Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Limited Term Bond Fund Class Z
| Years ended August 31, | 2020 | 2019 A |
| Selected Per–Share Data | ||
| Net asset value, beginning of period | $11.70 | $11.28 |
| Income from Investment Operations | ||
| Net investment income (loss)B | .273 | .273 |
| Net realized and unrealized gain (loss) | .299 | .415 |
| Total from investment operations | .572 | .688 |
| Distributions from net investment income | (.272) | (.268) |
| Total distributions | (.272) | (.268) |
| Net asset value, end of period | $12.00 | $11.70 |
| Total ReturnC,D | 4.97% | 6.18% |
| Ratios to Average Net AssetsE,F | ||
| Expenses before reductions | .40% | .40%G |
| Expenses net of fee waivers, if any | .36% | .36%G |
| Expenses net of all reductions | .36% | .36%G |
| Net investment income (loss) | 2.33% | 2.62%G |
| Supplemental Data | ||
| Net assets, end of period (000 omitted) | $217,972 | $64,672 |
| Portfolio turnover rateH | 54% | 29% |
A For the period October 2, 2018 (commencement of sale of shares) to August 31, 2019.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended August 31, 2020
1. Organization.
Fidelity Advisor Limited Term Bond Fund (the Fund) is a fund of Fidelity Advisor Series II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Fidelity Limited Term Bond Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of ten years from the initial date of purchase, with certain exceptions.
Effective January 1, 2020:
Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".
Broker-dealer Fidelity Distributors Corporation merged with and into Fidelity Investments Institutional Services Company, Inc. ("FIISC"). FIISC was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Distributors Company LLC".
Fidelity Investments Institutional Operations Company, Inc. converted from a Massachusetts corporation to a Massachusetts LLC, and changed its name to "Fidelity Investments Institutional Operations Company LLC".
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
| Fidelity Specialized High Income Central Fund | FMR | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors 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 vendors. Debt securities 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 open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of August 31, 2020 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from Underlying Funds, futures contracts, market discount, capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $105,214,047 |
| Gross unrealized depreciation | (8,528,491) |
| Net unrealized appreciation (depreciation) | $96,685,556 |
| Tax Cost | $3,588,126,317 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $7,191,912 |
| Undistributed long-term capital gain | $6,650,489 |
| Net unrealized appreciation (depreciation) on securities and other investments | $96,685,556 |
The tax character of distributions paid was as follows:
| August 31, 2020 | August 31, 2019 | |
| Ordinary Income | $62,533,473 | $ 57,943,883 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures 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 and 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:
| 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. Counterparty credit risk related to exchange-traded futures contracts be mitigated by the protection provided by the exchange on which they trade.
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 and amounts recognized in the Statement of Assets and Liabilities. 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 fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity Advisor Limited Term Bond Fund | 1,380,743,894 | 897,228,147 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .30% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
| Class A | -% | .25% | $746,620 | $98,150 |
| Class M | -% | .25% | 409,622 | 6,737 |
| Class C | .75% | .25% | 488,373 | 57,940 |
| $1,644,615 | $162,827 |
Sales Load. FDC may receive a front-end sales charge of up to 2.75% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% or .50% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained by FDC | |
| Class A | $35,956 |
| Class M | 4,129 |
| Class C(a) | 5,146 |
| $45,231 |
(a) When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Fidelity Limited Term Bond Fund and Class Z. FIIOC receives an asset-based fee of Fidelity Limited Term Bond Fund's and Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of Class-Level Average Net Assets | |
| Class A | $451,091 | .15 |
| Class M | 257,341 | .16 |
| Class C | 94,541 | .19 |
| Fidelity Limited Term Bond Fund | 1,712,300 | .10 |
| Class I | 869,599 | .15 |
| Class Z | 53,468 | .05 |
| $3,438,340 |
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% of the Fund's average net assets less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annual rate of .05% of average net assets.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Commitment fees on the Statement of Operations, and are as follows:
| Amount | |
| Fidelity Advisor Limited Term Bond Fund | $6,761 |
During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the Fund. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of daily lending revenue, for its services as lending agent. The Fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Total fees paid by the Fund to NFS, as lending agent, amounted to $278. Security lending income 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. Net income from the Fidelity Securities Lending Cash Central Fund during the period is presented in the Statement of Operations as a component of income from Fidelity Central Funds. During the period, there were no securities loaned to NFS.
9. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2021. Some expenses, for example the compensation of the independent Trustees and certain other expenses such as interest expense, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
| Expense Limitations | Reimbursement | |
| Class Z | .36% | $41,947 |
In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $7,230. During the period, transfer agent credits reduced each class' expenses as noted in the table below.
| Expense reduction | |
| Class A | $87 |
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Year ended August 31, 2020 | Year ended August 31, 2019(a) | |
| Distributions to shareholders | ||
| Class A | $5,708,175 | $5,493,290 |
| Class M | 3,152,438 | 3,417,505 |
| Class C | 550,948 | 779,480 |
| Fidelity Limited Term Bond Fund | 37,913,350 | 35,472,440 |
| Class I | 12,835,161 | 12,078,852 |
| Class Z | 2,373,401 | 702,316 |
| Total | $62,533,473 | $57,943,883 |
(a) Distributions for Class Z are for the period October 2, 2018 (commencement of sale of shares) to August 31, 2019.
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
| Shares | Shares | Dollars | Dollars | |
| Year ended August 31, 2020 | Year ended August 31, 2019(a) | Year ended August 31, 2020 | Year ended August 31, 2019(a) | |
| Class A | ||||
| Shares sold | 19,599,733 | 11,552,219 | $230,687,651 | $131,626,867 |
| Reinvestment of distributions | 465,597 | 461,264 | 5,461,523 | 5,262,323 |
| Shares redeemed | (12,987,043) | (10,234,910) | (151,961,883) | (116,325,689) |
| Net increase (decrease) | 7,078,287 | 1,778,573 | $84,187,291 | $20,563,501 |
| Class M | ||||
| Shares sold | 6,002,331 | 4,603,849 | $70,312,183 | $52,510,642 |
| Reinvestment of distributions | 249,251 | 275,609 | 2,923,428 | 3,145,065 |
| Shares redeemed | (6,643,207) | (4,527,943) | (77,556,834) | (51,444,440) |
| Net increase (decrease) | (391,625) | 351,515 | $(4,321,223) | $4,211,267 |
| Class C | ||||
| Shares sold | 2,052,618 | 1,725,826 | $24,019,949 | $19,548,701 |
| Reinvestment of distributions | 44,690 | 64,979 | 522,357 | 738,206 |
| Shares redeemed | (1,642,821) | (3,302,559) | (19,134,786) | (37,528,421) |
| Net increase (decrease) | 454,487 | (1,511,754) | $5,407,520 | $(17,241,514) |
| Fidelity Limited Term Bond Fund | ||||
| Shares sold | 102,833,997 | 57,322,900 | $1,213,710,119 | $653,150,832 |
| Reinvestment of distributions | 2,845,325 | 2,729,640 | 33,464,037 | 31,220,482 |
| Shares redeemed | (66,010,570) | (44,361,231) | (771,304,361) | (505,249,691) |
| Net increase (decrease) | 39,668,752 | 15,691,309 | $475,869,795 | $179,121,623 |
| Class I | ||||
| Shares sold | 37,639,524 | 19,780,026 | $443,512,546 | $225,899,082 |
| Reinvestment of distributions | 980,937 | 902,980 | 11,539,991 | 10,326,420 |
| Shares redeemed | (19,577,061) | (22,069,110) | (228,487,907) | (251,108,750) |
| Net increase (decrease) | 19,043,400 | (1,386,104) | $226,564,630 | $(14,883,248) |
| Class Z | ||||
| Shares sold | 15,149,089 | 6,563,652 | $178,044,512 | $75,033,825 |
| Reinvestment of distributions | 136,719 | 43,995 | 1,612,705 | 507,096 |
| Shares redeemed | (2,642,550) | (1,081,003) | (30,830,917) | (12,354,669) |
| Net increase (decrease) | 12,643,258 | 5,526,644 | $148,826,300 | $63,186,252 |
(a) Share transactions for Class Z are for the period October 2, 2018 (commencement of sale of shares) to August 31, 2019.
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
13. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
14. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Limited Term Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Advisor Limited Term Bond Fund (one of the funds constituting Fidelity Advisor Series II, referred to hereafter as the “Fund”) as of August 31, 2020, the related statement of operations for the year ended August 31, 2020, the statement of changes in net assets for each of the two years in the period ended August 31, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended August 31, 2020 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
October 9, 2020
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 278 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Arthur E. Johnson serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2016
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2016
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Vice Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management and Executive Vice President and Chief Investment Officer of Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager for various institutional equity accounts and mutual funds and Portfolio Manager for a number of institutional fixed-income clients. Mr. Kenneally began his career as a Research Analyst in 1983 and was awarded the Chartered Financial Analyst (CFA) designation in 1991.
Marie L. Knowles (1946)
Year of Election or Appointment: 2001
Trustee
Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present) and a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Jamie Pagliocco (1964)
Year of Election or Appointment: 2020
Vice President
Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.
Kenneth B. Robins (1969)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Deputy Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2020 to August 31, 2020).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized Expense Ratio-A | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During Period-B March 1, 2020 to August 31, 2020 | |
| Fidelity Advisor Limited Term Bond Fund | ||||
| Class A | .75% | |||
| Actual | $1,000.00 | $1,022.40 | $3.81 | |
| Hypothetical-C | $1,000.00 | $1,021.37 | $3.81 | |
| Class M | .75% | |||
| Actual | $1,000.00 | $1,021.60 | $3.81 | |
| Hypothetical-C | $1,000.00 | $1,021.37 | $3.81 | |
| Class C | 1.53% | |||
| Actual | $1,000.00 | $1,018.50 | $7.76 | |
| Hypothetical-C | $1,000.00 | $1,017.44 | $7.76 | |
| Fidelity Limited Term Bond Fund | .45% | |||
| Actual | $1,000.00 | $1,023.90 | $2.29 | |
| Hypothetical-C | $1,000.00 | $1,022.87 | $2.29 | |
| Class I | .49% | |||
| Actual | $1,000.00 | $1,023.70 | $2.49 | |
| Hypothetical-C | $1,000.00 | $1,022.67 | $2.49 | |
| Class Z | .36% | |||
| Actual | $1,000.00 | $1,024.40 | $1.83 | |
| Hypothetical-C | $1,000.00 | $1,023.33 | $1.83 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity Advisor Limited Term Bond Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
| Pay Date | Record Date | Capital Gains | |
| Fidelity Advisor Limited Term Bond Fund | |||
| Class A | 10/12/20 | 10/09/20 | $0.044 |
| Class M | 10/12/20 | 10/09/20 | $0.044 |
| Class C | 10/12/20 | 10/09/20 | $0.044 |
| Fidelity Limited Term Bond Fund | 10/12/20 | 10/09/20 | $0.044 |
| Class I | 10/12/20 | 10/09/20 | $0.044 |
| Class Z | 10/12/20 | 10/09/20 | $0.044 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2020, $6,650,489, or, if subsequently determined to be different, the net capital gain of such year.
A total of 4.97% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $35,875,159 of distributions paid during the period January 1, 2020 to August 31, 2020 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
LTB-ANN-1020
1.539398.123
Fidelity Advisor® Mortgage Securities Fund
August 31, 2020
Includes Fidelity and Fidelity Advisor share classes
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
| Account Type | Website | Phone Number |
| Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
| Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
| Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
| Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
| For the periods ended August 31, 2020 | Past 1 year | Past 5 years | Past 10 years |
| Class A (incl. 4.00% sales charge) | 0.31% | 1.95% | 2.44% |
| Class M (incl. 4.00% sales charge) | 0.21% | 1.94% | 2.44% |
| Class C (incl. contingent deferred sales charge) | 2.59% | 2.02% | 2.10% |
| Fidelity® Mortgage Securities Fund | 4.84% | 3.16% | 3.21% |
| Class I | 4.72% | 3.10% | 3.16% |
| Class Z | 4.85% | 3.17% | 3.19% |
Class C shares' contingent deferred sales charges included in the past one year, past five years and past ten years total return figures are 1%, 0% and 0%, respectively.
The initial offering of Class Z shares took place on October 2, 2018. Returns prior to October 2, 2018, are those of Class I.
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Mortgage Securities Fund - Class A on August 31, 2010, and the current 4.00% sales charge was paid.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. MBS Index performed over the same period.
| Period Ending Values | ||
| $12,723 | Fidelity Advisor® Mortgage Securities Fund - Class A | |
| $13,411 | Bloomberg Barclays U.S. MBS Index | |
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds rose strongly for the 12 months ending August 31, 2020, led by corporate bonds early and late in the period, and by U.S. Treasuries in March, as investors sought safer havens amid the market shock of the coronavirus pandemic. The Bloomberg Barclays U.S. Aggregate Bond Index gained 6.47% for the year. Corporate bonds advanced through January 2020, as spreads remained narrow and market yields held roughly steady. Yields then plunged in February and spreads widened due to robust investor demand for relatively safer assets – especially U.S. Treasury bonds – as the outbreak and spread of the coronavirus threatened global economic growth and corporate earnings, leading to pockets of market illiquidity in March. Aggressive intervention by the U.S. Federal Reserve boosted liquidity and led to a broad rally for fixed-income assets from April through July. Yields then rose and spreads widened in August, amid strong issuance of new corporate bonds. Within the Bloomberg Barclays index, corporate bonds gained 7.50% for the period, topping the 6.98% advance of U.S. Treasuries. Conversely, agency mortgage-backed securities (+4.54%) lagged the broader market, as did other securitized sectors. Outside the index, U.S. corporate high-yield bonds gained 3.62%, while Treasury Inflation-Protected Securities (TIPS) rose 8.99%.Comments from Co-Portfolio Managers Franco Castagliuolo and Sean Corcoran: For the fiscal year, the fund's share classes (excluding sales charges, if applicable) gained roughly 4% to 5%, compared with 4.54% for the benchmark, the Bloomberg Barclays U.S. MBS Index. In managing the fund the past 12 months, we attempted to exploit market inefficiencies and identify attractively valued securities in accordance with our longer-term strategy. In doing so, we added value with timely purchases of certain MBS during the bond market's late-winter/early-spring distress, when spreads widened, as well as with sales of them when spreads narrowed. Security selection was another plus. We were rewarded for overweighting securities made up of 30-year loans with relatively low interest rates (3% and below) and to securities made up of 15-year loans. Our exposure to non-agency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS) further aided our relative result. We also added value by keeping the fund’s duration longer than that of the benchmark. Using swaptions to manage the fund's exposure to interest rate volatility also contributed on a relative basis. In contrast, the fund's exposure to specified MBS pools modestly detracted on a relative basis.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Coupon Distribution as of August 31, 2020
| % of fund's investments | |
| Zero coupon bonds | 0.0 |
| 0.01 - 0.99% | 1.2 |
| 1 - 1.99% | 2.7 |
| 2 - 2.99% | 13.7 |
| 3 - 3.99% | 43.5 |
| 4 - 4.99% | 17.2 |
| 5 - 5.99% | 1.6 |
| 6 - 6.99% | 0.5 |
| 7% and above | 0.2 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
Asset Allocation (% of fund's net assets)
| As of August 31, 2020*,**,*** | ||
| Mortgage Securities | 99.9% | |
| CMOs and Other Mortgage Related Securities | 9.5% | |
| Asset-Backed Securities | 2.7% | |
| Short-Term Investments and Net Other Assets (Liabilities)† | (12.1)% | |
* Foreign investments - 0.8%
** Futures and Swaps - 13.9%
*** Written options - (3.5)%
† Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Schedule of Investments August 31, 2020
Showing Percentage of Net Assets
| U.S. Government Agency - Mortgage Securities - 114.1% | |||
| Principal Amount (000s) | Value (000s) | ||
| Fannie Mae - 36.0% | |||
| 12 month U.S. LIBOR + 1.440% 3.384% 4/1/37 (a)(b) | 35 | 37 | |
| 12 month U.S. LIBOR + 1.490% 3.339% 1/1/35 (a)(b) | 42 | 44 | |
| 12 month U.S. LIBOR + 1.530% 3.535% 3/1/36 (a)(b) | 20 | 21 | |
| 12 month U.S. LIBOR + 1.550% 2.553% 6/1/36 (a)(b) | 5 | 5 | |
| 12 month U.S. LIBOR + 1.620% 2.698% 5/1/36 (a)(b) | 94 | 98 | |
| 12 month U.S. LIBOR + 1.660% 3.287% 11/1/36 (a)(b) | 9 | 10 | |
| 12 month U.S. LIBOR + 1.680% 3.435% 4/1/36 (a)(b) | 44 | 46 | |
| 12 month U.S. LIBOR + 1.710% 2.671% 8/1/35 (a)(b) | 74 | 77 | |
| 12 month U.S. LIBOR + 1.730% 2.972% 5/1/36 (a)(b) | 6 | 6 | |
| 12 month U.S. LIBOR + 1.740% 3.757% 3/1/40 (a)(b) | 28 | 29 | |
| 12 month U.S. LIBOR + 1.750% 3.545% 8/1/41 (a)(b) | 18 | 19 | |
| 12 month U.S. LIBOR + 1.750% 3.603% 7/1/35 (a)(b) | 9 | 9 | |
| 12 month U.S. LIBOR + 1.800% 3.666% 12/1/40 (a)(b) | 727 | 761 | |
| 12 month U.S. LIBOR + 1.800% 3.814% 1/1/42 (a)(b) | 46 | 48 | |
| 12 month U.S. LIBOR + 1.810% 3.825% 2/1/42 (a)(b) | 50 | 52 | |
| U.S. TREASURY 1 YEAR INDEX + 1.720% 2.1% 7/1/35 (a)(b) | 0 | 0 | |
| U.S. TREASURY 1 YEAR INDEX + 2.200% 3.708% 3/1/35 (a)(b) | 4 | 5 | |
| U.S. TREASURY 1 YEAR INDEX + 2.270% 4.143% 6/1/36 (a)(b) | 59 | 62 | |
| U.S. TREASURY 1 YEAR INDEX + 2.290% 4.259% 10/1/33 (a)(b) | 12 | 12 | |
| 2.5% 5/1/31 to 7/1/50 | 26,173 | 27,666 | |
| 3% 8/1/27 to 7/1/50 (c)(d)(e) | 120,985 | 128,774 | |
| 3.5% 7/1/32 to 5/1/50 | 110,114 | 117,454 | |
| 4% 5/1/29 to 2/1/50 | 37,110 | 40,061 | |
| 4.5% 5/1/25 to 9/1/49 | 15,120 | 16,780 | |
| 5% 10/1/21 to 2/1/49 | 4,923 | 5,593 | |
| 5.249% 8/1/41 (a) | 360 | 406 | |
| 6.5% 12/1/23 to 5/1/38 | 311 | 356 | |
| 6.567% 2/1/39 (a) | 257 | 283 | |
| 7% to 7% 9/1/21 to 5/1/30 | 287 | 328 | |
| 7.5% to 7.5% 8/1/22 to 9/1/32 | 247 | 289 | |
| 8% 12/1/29 to 3/1/37 | 11 | 14 | |
| 8.5% 2/1/22 to 3/1/23 | 8 | 8 | |
| 9% 10/1/30 | 81 | 96 | |
| 9.5% 6/1/22 to 8/1/22 | 0 | 0 | |
| 339,449 | |||
| Freddie Mac - 23.0% | |||
| 12 month U.S. LIBOR + 1.500% 3.464% 3/1/36 (a)(b) | 74 | 77 | |
| 12 month U.S. LIBOR + 1.510% 3.39% 11/1/35 (a)(b) | 25 | 26 | |
| 12 month U.S. LIBOR + 1.750% 3.751% 12/1/40 (a)(b) | 304 | 317 | |
| 12 month U.S. LIBOR + 1.750% 3.841% 9/1/41 (a)(b) | 97 | 100 | |
| 12 month U.S. LIBOR + 1.790% 3.793% 4/1/37 (a)(b) | 6 | 6 | |
| 12 month U.S. LIBOR + 1.870% 3.376% 10/1/42 (a)(b) | 49 | 51 | |
| 12 month U.S. LIBOR + 1.960% 2.85% 6/1/33 (a)(b) | 145 | 152 | |
| 12 month U.S. LIBOR + 2.040% 2.97% 7/1/36 (a)(b) | 37 | 38 | |
| 12 month U.S. LIBOR + 2.200% 4.325% 12/1/36 (a)(b) | 62 | 65 | |
| 6 month U.S. LIBOR + 1.720% 2.274% 8/1/37 (a)(b) | 37 | 39 | |
| 6 month U.S. LIBOR + 1.830% 3.58% 5/1/37 (a)(b) | 10 | 10 | |
| 6 month U.S. LIBOR + 2.020% 3.135% 6/1/37 (a)(b) | 172 | 180 | |
| 6 month U.S. LIBOR + 2.040% 3.165% 6/1/37 (a)(b) | 15 | 16 | |
| 6 month U.S. LIBOR + 2.680% 4.001% 10/1/35 (a)(b) | 5 | 5 | |
| U.S. TREASURY 1 YEAR INDEX + 2.230% 2.731% 5/1/34 (a)(b) | 2 | 2 | |
| 2.5% 6/1/31 to 7/1/50 | 17,350 | 18,299 | |
| 3% 4/1/32 to 6/1/50 | 26,860 | 28,687 | |
| 3.5% 3/1/32 to 4/1/50 | 87,545 | 93,876 | |
| 3.5% 8/1/47 | 71 | 77 | |
| 4% 1/1/36 to 4/1/49 | 50,085 | 54,488 | |
| 4% 4/1/48 | 103 | 110 | |
| 4.5% 7/1/25 to 12/1/48 | 13,614 | 15,090 | |
| 5% 7/1/33 to 7/1/41 | 1,487 | 1,695 | |
| 5.5% 6/1/22 | 49 | 50 | |
| 6% 3/1/24 to 6/1/39 | 575 | 668 | |
| 6.5% 4/1/21 to 9/1/39 | 842 | 962 | |
| 7% 6/1/21 to 9/1/36 | 389 | 451 | |
| 7.5% 1/1/27 to 7/1/34 | 601 | 700 | |
| 216,237 | |||
| Ginnie Mae - 21.7% | |||
| 3% 6/15/42 to 4/15/45 | 3,458 | 3,720 | |
| 3.5% 9/20/40 to 2/20/47 | 60,194 | 65,041 | |
| 4% 7/20/33 to 5/20/49 | 53,058 | 57,774 | |
| 4.5% 8/15/33 to 4/20/47 | 17,316 | 19,312 | |
| 5.5% 12/15/38 to 9/15/39 | 273 | 320 | |
| 6.5% 10/15/34 to 7/15/36 | 95 | 111 | |
| 7% to 7% 2/15/24 to 4/20/32 | 341 | 391 | |
| 7.5% to 7.5% 2/15/22 to 12/15/29 | 77 | 87 | |
| 8% 11/15/21 to 10/15/25 | 30 | 33 | |
| 8.5% 11/15/27 to 10/15/28 | 34 | 38 | |
| 2% 9/1/50 (f) | 850 | 880 | |
| 2% 9/1/50 (f) | 850 | 880 | |
| 2.5% 9/1/50 (f) | 5,700 | 6,007 | |
| 2.5% 9/1/50 (f) | 6,100 | 6,429 | |
| 3% 9/1/50 (f) | 11,000 | 11,585 | |
| 3% 9/1/50 (f) | 8,700 | 9,163 | |
| 3% 9/1/50 (f) | 18,200 | 19,168 | |
| 5% 9/20/33 to 4/20/48 | 2,954 | 3,343 | |
| 204,282 | |||
| Uniform Mortgage Backed Securities - 33.4% | |||
| 2% 9/1/35 (f) | 10,100 | 10,511 | |
| 2% 9/1/35 (f) | 9,800 | 10,198 | |
| 2% 9/1/35 (f) | 4,700 | 4,891 | |
| 2% 9/1/35 (f) | 2,200 | 2,289 | |
| 2% 9/1/35 (f) | 2,200 | 2,289 | |
| 2% 9/1/50 (f) | 14,250 | 14,692 | |
| 2% 9/1/50 (f) | 13,400 | 13,815 | |
| 2% 9/1/50 (f) | 3,200 | 3,299 | |
| 2% 9/1/50 (f) | 6,400 | 6,598 | |
| 2% 9/1/50 (f) | 7,700 | 7,939 | |
| 2% 9/1/50 (f) | 7,700 | 7,939 | |
| 2.5% 9/1/50 (f) | 24,400 | 25,684 | |
| 2.5% 9/1/50 (f) | 18,200 | 19,158 | |
| 2.5% 9/1/50 (f) | 2,250 | 2,368 | |
| 3% 9/1/50 (f) | 9,500 | 10,019 | |
| 3% 9/1/50 (f) | 1,400 | 1,477 | |
| 3% 9/1/50 (f) | 550 | 580 | |
| 3% 9/1/50 (f) | 1,000 | 1,055 | |
| 3% 9/1/50 (f) | 4,100 | 4,324 | |
| 3% 9/1/50 (f) | 4,750 | 5,010 | |
| 3% 9/1/50 (f) | 4,650 | 4,904 | |
| 3% 9/1/50 (f) | 9,400 | 9,914 | |
| 3% 9/1/50 (f) | 11,000 | 11,601 | |
| 3% 9/1/50 (f) | 4,650 | 4,904 | |
| 3% 9/1/50 (f) | 11,000 | 11,601 | |
| 3% 10/1/50 (f) | 16,500 | 17,374 | |
| 3% 10/1/50 (f) | 9,450 | 9,951 | |
| 3% 10/1/50 (f) | 6,900 | 7,266 | |
| 3% 10/1/50 (f) | 7,950 | 8,371 | |
| 3% 10/1/50 (f) | 7,950 | 8,371 | |
| 3.5% 9/1/50 (f) | 6,500 | 6,856 | |
| 3.5% 9/1/50 (f) | 11,400 | 12,024 | |
| 3.5% 9/1/50 (f) | 8,100 | 8,543 | |
| 3.5% 9/1/50 (f) | 6,900 | 7,278 | |
| 3.5% 9/1/50 (f) | 3,100 | 3,270 | |
| 3.5% 10/1/50 (f) | 7,700 | 8,127 | |
| 3.5% 10/1/50 (f) | 11,600 | 12,244 | |
| 4% 9/1/50 (f) | 7,400 | 7,887 | |
| 314,621 | |||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
| (Cost $1,051,794) | 1,074,589 | ||
| Asset-Backed Securities - 2.7% | |||
| Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 0.5351% 10/25/35 (a)(b) | $751 | $730 | |
| Carvana Auto Receivables Trust Series 2019-4A: | |||
| Class A2, 2.2% 7/15/22 (g) | 111 | 112 | |
| Class A3, 2.3% 9/15/23 (g) | 704 | 713 | |
| Cascade Funding Mortgage Trust Series 2020-HB2 Class A, 3.4047% 4/25/30 (g) | 2,190 | 2,213 | |
| Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5251% 10/25/37 (a)(b)(g) | 2,017 | 2,019 | |
| Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (g) | 364 | 364 | |
| Consumer Loan Underlying Bond Credit Trust: | |||
| Series 2018-P3 Class A, 3.82% 1/15/26 (g) | 563 | 568 | |
| Series 2019-HP1 Class A, 2.59% 12/15/26 (g) | 1,428 | 1,440 | |
| Series 2019-P1 Class A, 2.94% 7/15/26 (g) | 303 | 305 | |
| Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 4,023 | 4,536 | |
| GMF Floorplan Owner Revolving Trust Series 2018-4 Class A2, 1 month U.S. LIBOR + 0.410% 0.5719% 9/15/23 (a)(b)(g) | 325 | 325 | |
| GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (g)(h) | 21 | 7 | |
| Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 0.8054% 4/10/31 (a)(b)(g) | 390 | 389 | |
| Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (g) | 450 | 481 | |
| Nationstar HECM Loan Trust: | |||
| Series 2018-2A Class A, 3.1877% 7/25/28 (g) | 292 | 292 | |
| Series 2018-3A Class A 3.5545% 11/25/28 (g) | 1,497 | 1,498 | |
| Series 2019-1A Class A, 2.6513% 6/25/29 (g) | 1,565 | 1,570 | |
| North Carolina State Ed Assistance Auth. Student Loan Rev. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.800% 1.0445% 7/25/25 (a)(b) | 70 | 70 | |
| Prosper Marketplace Issuance Trust Series 2019-3A Class A, 3.19% 7/15/25 (g) | 886 | 891 | |
| Towd Point Mortgage Trust: | |||
| Series 2018-3 Class A1, 3.75% 5/25/58 (g) | 749 | 805 | |
| Series 2018-6 Class A1A, 3.75% 3/25/58 (g) | 3,594 | 3,787 | |
| Series 2019-1 Class A1, 3.75% 3/25/58 (g) | 1,621 | 1,755 | |
| World Omni Automobile Lease Securitization Trust Series 2020-A Class A2, 1.71% 11/15/22 | 146 | 147 | |
| TOTAL ASSET-BACKED SECURITIES | |||
| (Cost $24,011) | 25,017 | ||
| Collateralized Mortgage Obligations - 4.8% | |||
| Private Sponsor - 1.2% | |||
| Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 0.3116% 6/27/36 (a)(b)(g) | 473 | 471 | |
| BCAP LLC Trust sequential payer: | |||
| Series 2010-RR2 Class 5A2, 5% 12/26/36 (g) | $48 | $47 | |
| Series 2012-RR5 Class 8A5, 0.5868% 7/26/36 (a)(g) | 107 | 105 | |
| Citigroup Mortgage Loan Trust sequential payer: | |||
| Series 2009-5 Class 5A1, 3.7542% 1/25/37 (a)(g) | 24 | 24 | |
| Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(g) | 1,325 | 1,325 | |
| CSMC: | |||
| floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.4828% 5/27/37 (a)(b)(g) | 1,159 | 1,093 | |
| Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (a)(b)(g)(h) | 139 | 0 | |
| FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(g) | 90 | 90 | |
| Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.7% 8/25/60 (a)(b)(g) | 555 | 554 | |
| Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 0.695% 10/15/54 (a)(b)(g) | 574 | 574 | |
| Lanark Master Issuer PLC: | |||
| floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 1.128% 12/22/69 (a)(b)(g) | 491 | 492 | |
| Series 2019-2A Class 1A, 2.71% 12/22/69 (g) | 2,972 | 3,013 | |
| Permanent Master Issuer PLC floater: | |||
| Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 0.655% 7/15/58 (a)(b)(g) | 675 | 675 | |
| Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 0.825% 7/15/58 (a)(b)(g) | 330 | 330 | |
| Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (g) | 271 | 275 | |
| Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.8414% 1/21/70 (a)(b)(g) | 1,128 | 1,128 | |
| Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.8151% 9/25/43 (a)(b) | 1,090 | 1,036 | |
| Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 3.0171% 9/25/33 (a) | 138 | 136 | |
| 11,368 | |||
| U.S. Government Agency - 3.6% | |||
| Fannie Mae: | |||
| floater Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.9249% 12/25/33 (a)(i)(j) | 108 | 31 | |
| planned amortization class: | |||
| Series 1999-17 Class PG, 6% 4/25/29 | 170 | 189 | |
| Series 1999-32 Class PL, 6% 7/25/29 | 170 | 191 | |
| Series 1999-33 Class PK, 6% 7/25/29 | 129 | 144 | |
| Series 2001-52 Class YZ, 6.5% 10/25/31 | 17 | 20 | |
| Series 2005-39 Class TE, 5% 5/25/35 | 280 | 314 | |
| Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.0947% 8/25/35 (a)(j) | 12 | 17 | |
| Series 2012-149: | |||
| Class DA, 1.75% 1/25/43 | 132 | 136 | |
| Class GA, 1.75% 6/25/42 | 141 | 146 | |
| sequential payer: | |||
| Series 2001-20 Class Z, 6% 5/25/31 | 173 | 194 | |
| Series 2001-31 Class ZC, 6.5% 7/25/31 | 82 | 96 | |
| Series 2002-16 Class ZD, 6.5% 4/25/32 | 31 | 37 | |
| Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.3749% 11/25/32 (a)(i)(j) | 62 | 10 | |
| Series 2012-67 Class AI, 4.5% 7/25/27 (i) | 150 | 10 | |
| Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.4649% 12/25/36 (a)(i)(j) | 76 | 21 | |
| Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.2649% 5/25/37 (a)(i)(j) | 41 | 10 | |
| Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.3045% 9/25/23 (a)(j) | 6 | 7 | |
| Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.9249% 3/25/33 (a)(i)(j) | 30 | 8 | |
| Series 2005-79 Class ZC, 5.9% 9/25/35 | 215 | 246 | |
| Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 39.5692% 6/25/37 (a)(j) | 144 | 314 | |
| Series 2007-66 Class SB, 39.600% - 1 month U.S. LIBOR 38.5492% 7/25/37 (a)(j) | 40 | 78 | |
| Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.1749% 3/25/38 (a)(i)(j) | 216 | 47 | |
| Series 2010-135: | |||
| Class LS, 6.050% - 1 month U.S. LIBOR 5.8749% 12/25/40 (a)(i)(j) | 205 | 43 | |
| Class ZA, 4.5% 12/25/40 | 115 | 126 | |
| Series 2010-139 Class NI, 4.5% 2/25/40 (i) | 162 | 10 | |
| Series 2010-150 Class ZC, 4.75% 1/25/41 | 803 | 898 | |
| Series 2010-95 Class ZC, 5% 9/25/40 | 1,734 | 1,962 | |
| Series 2011-4 Class PZ, 5% 2/25/41 | 358 | 407 | |
| Series 2011-67 Class AI, 4% 7/25/26 (i) | 49 | 3 | |
| Series 2011-83 Class DI, 6% 9/25/26 (i) | 26 | 1 | |
| Series 2012-100 Class WI, 3% 9/25/27 (i) | 537 | 33 | |
| Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.4749% 12/25/30 (a)(i)(j) | 176 | 12 | |
| Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3749% 6/25/41 (a)(i)(j) | 207 | 17 | |
| Series 2013-133 Class IB, 3% 4/25/32 (i) | 367 | 12 | |
| Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8749% 1/25/44 (a)(i)(j) | 186 | 29 | |
| Series 2013-51 Class GI, 3% 10/25/32 (i) | 166 | 12 | |
| Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.5449% 6/25/35 (a)(i)(j) | 213 | 45 | |
| Series 2015-42 Class IL, 6% 6/25/45 (i) | 874 | 178 | |
| Series 2015-70 Class JC, 3% 10/25/45 | 1,094 | 1,167 | |
| Series 2017-30 Class AI, 5.5% 5/25/47 (i) | 489 | 95 | |
| Fannie Mae Stripped Mortgage-Backed Securities: | |||
| Series 348 Class 14, 6.5% 8/25/34 (a)(i) | 61 | 14 | |
| Series 351: | |||
| Class 12, 5.5% 4/25/34 (a)(i) | 39 | 7 | |
| Class 13, 6% 3/25/34 (i) | 54 | 10 | |
| Series 359 Class 19, 6% 7/25/35 (a)(i) | 33 | 7 | |
| Series 384 Class 6, 5% 7/25/37 (i) | 118 | 20 | |
| Freddie Mac: | |||
| planned amortization class: | |||
| Series 2095 Class PE, 6% 11/15/28 | 204 | 228 | |
| Series 2104 Class PG, 6% 12/15/28 | 57 | 64 | |
| Series 2121 Class MG, 6% 2/15/29 | 82 | 91 | |
| Series 2154 Class PT, 6% 5/15/29 | 149 | 167 | |
| Series 2162 Class PH, 6% 6/15/29 | 19 | 21 | |
| Series 2520 Class BE, 6% 11/15/32 | 113 | 130 | |
| Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 7.4381% 3/15/23 (a)(i)(j) | 1 | 0 | |
| Series 2693 Class MD, 5.5% 10/15/33 | 1,881 | 2,181 | |
| Series 2802 Class OB, 6% 5/15/34 | 309 | 348 | |
| Series 3002 Class NE, 5% 7/15/35 | 177 | 198 | |
| Series 3189 Class PD, 6% 7/15/36 | 163 | 195 | |
| Series 3415 Class PC, 5% 12/15/37 | 50 | 56 | |
| Series 3786 Class HI, 4% 3/15/38 (i) | 104 | 3 | |
| Series 3806 Class UP, 4.5% 2/15/41 | 450 | 497 | |
| Series 3832 Class PE, 5% 3/15/41 | 762 | 861 | |
| Series 4135 Class AB, 1.75% 6/15/42 | 107 | 110 | |
| sequential payer: | |||
| Series 2114 Class ZM, 6% 1/15/29 | 27 | 31 | |
| Series 2135 Class JE, 6% 3/15/29 | 98 | 111 | |
| Series 2274 Class ZM, 6.5% 1/15/31 | 56 | 64 | |
| Series 2281 Class ZB, 6% 3/15/30 | 37 | 41 | |
| Series 2357 Class ZB, 6.5% 9/15/31 | 110 | 130 | |
| Series 2502 Class ZC, 6% 9/15/32 | 105 | 121 | |
| Series 3871 Class KB, 5.5% 6/15/41 | 631 | 755 | |
| Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.4381% 2/15/36 (a)(i)(j) | 51 | 11 | |
| Series 1658 Class GZ, 7% 1/15/24 | 73 | 79 | |
| Series 2013-4281 Class AI, 4% 12/15/28 (i) | 321 | 17 | |
| Series 2017-4683 Class LM, 3% 5/15/47 | 957 | 1,015 | |
| Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 8.0381% 11/15/31 (a)(i)(j) | 342 | 54 | |
| Series 2587 Class IM, 6.5% 3/15/33 (i) | 54 | 11 | |
| Series 2844: | |||
| Class SC, 46.800% - 1 month U.S. LIBOR 45.7478% 8/15/24 (a)(j) | 1 | 1 | |
| Class SD, 86.400% - 1 month U.S. LIBOR 84.3455% 8/15/24 (a)(j) | 1 | 2 | |
| Series 2933 Class ZM, 5.75% 2/15/35 | 469 | 558 | |
| Series 2935 Class ZK, 5.5% 2/15/35 | 588 | 673 | |
| Series 2947 Class XZ, 6% 3/15/35 | 259 | 301 | |
| Series 2996 Class ZD, 5.5% 6/15/35 | 345 | 411 | |
| Series 3237 Class C, 5.5% 11/15/36 | 489 | 569 | |
| Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.4981% 11/15/36 (a)(i)(j) | 174 | 43 | |
| Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.5881% 3/15/37 (a)(i)(j) | 250 | 66 | |
| Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.5981% 4/15/37 (a)(i)(j) | 348 | 94 | |
| Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.4181% 6/15/37 (a)(i)(j) | 155 | 36 | |
| Series 3949 Class MK, 4.5% 10/15/34 | 124 | 137 | |
| Series 3955 Class YI, 3% 11/15/21 (i) | 65 | 1 | |
| Series 4055 Class BI, 3.5% 5/15/31 (i) | 327 | 12 | |
| Series 4149 Class IO, 3% 1/15/33 (i) | 82 | 8 | |
| Series 4314 Class AI, 5% 3/15/34 (i) | 110 | 8 | |
| Series 4427 Class LI, 3.5% 2/15/34 (i) | 635 | 34 | |
| Series 4471 Class PA 4% 12/15/40 | 877 | 939 | |
| Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 77 | 89 | |
| Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 1,404 | 1,552 | |
| Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 337 | 368 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
| floater: | |||
| Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.5281% 6/16/37 (a)(i)(j) | 84 | 21 | |
| Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.5026% 7/20/60 (a)(b)(k) | 178 | 177 | |
| Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.4638% 9/20/60 (a)(b)(k) | 217 | 216 | |
| Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.4638% 8/20/60 (a)(b)(k) | 227 | 226 | |
| Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.6638% 4/20/61 (a)(b)(k) | 82 | 82 | |
| Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.8138% 5/20/61 (a)(b)(k) | 10 | 10 | |
| planned amortization class: | |||
| Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.684% 12/20/40 (a)(j) | 873 | 1,048 | |
| Series 2011-136 Class WI, 4.5% 5/20/40 (i) | 93 | 6 | |
| Series 2016-69 Class WA, 3% 2/20/46 | 527 | 561 | |
| Series 2017-134 Class BA, 2.5% 11/20/46 | 162 | 169 | |
| sequential payer: | |||
| Series 2002-42 Class ZA, 6% 6/20/32 | 127 | 147 | |
| Series 2004-24 Class ZM, 5% 4/20/34 | 263 | 300 | |
| Series 2010-160 Class DY, 4% 12/20/40 | 1,625 | 1,795 | |
| Series 2010-170 Class B, 4% 12/20/40 | 362 | 400 | |
| Series 2017-139 Class BA, 3% 9/20/47 | 2,112 | 2,265 | |
| Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.3381% 5/16/34 (a)(i)(j) | 150 | 32 | |
| Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.0381% 8/17/34 (a)(i)(j) | 52 | 13 | |
| Series 2011-52 Class HI, 7% 4/16/41 (i) | 599 | 122 | |
| Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.5381% 6/16/42 (a)(i)(j) | 275 | 63 | |
| Series 2013-124: | |||
| Class ES, 8.667% - 1 month U.S. LIBOR 8.456% 4/20/39 (a)(j) | 76 | 79 | |
| Class ST, 8.800% - 1 month U.S. LIBOR 8.5893% 8/20/39 (a)(j) | 302 | 310 | |
| Series 2013-149 Class MA, 2.5% 5/20/40 | 1,913 | 2,000 | |
| Series 2015-H13 Class HA, 2.5% 8/20/64 (k) | 284 | 286 | |
| Series 2015-H17 Class HA, 2.5% 5/20/65 (k) | 145 | 145 | |
| Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.52% 8/20/66 (a)(b)(k) | 2,951 | 2,922 | |
| 34,261 | |||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
| (Cost $44,216) | 45,629 | ||
| Commercial Mortgage Securities - 4.7% | |||
| BAMLL Commercial Mortgage Securities Trust: | |||
| sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (g) | 525 | 512 | |
| Series 2019-BPR Class BNM, 3.465% 11/5/32 (g) | 118 | 106 | |
| BANK sequential payer: | |||
| Series 2018-BN10 Class A5, 3.688% 2/15/61 | 400 | 459 | |
| Series 2019-BN24 Class A3, 2.96% 11/15/62 | 500 | 558 | |
| Benchmark Mortgage Trust: | |||
| sequential payer Series 2019-B13 Class A4, 2.952% 8/15/57 | 236 | 262 | |
| Series 2019-B14 Class XA, 0.915% 12/15/62 (a)(i) | 7,300 | 384 | |
| BX Commercial Mortgage Trust floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9619% 12/15/36 (a)(b)(g) | 799 | 797 | |
| BX Trust floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1619% 4/15/34 (a)(b)(g) | 178 | 171 | |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
| Class A, 1 month U.S. LIBOR + 0.950% 1.1119% 11/15/36 (a)(b)(g) | 390 | 386 | |
| Class B, 1 month U.S. LIBOR + 1.250% 1.4119% 11/15/36 (a)(b)(g) | 500 | 487 | |
| CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.2819% 6/15/34 (a)(b)(g) | 1,302 | 1,240 | |
| Citigroup Commercial Mortgage Trust: | |||
| Series 2015-GC33 Class XA, 1.0412% 9/10/58 (a)(i) | 17,170 | 636 | |
| Series 2016-P6 Class XA, 0.9245% 12/10/49 (a)(i) | 17,411 | 499 | |
| COMM Mortgage Trust: | |||
| sequential payer Series 2013-CR7 Class AM, 3.314% 3/10/46 (g) | 304 | 318 | |
| Series 2014-CR20 Class XA, 1.1745% 11/10/47 (a)(i) | 4,132 | 145 | |
| Series 2014-LC17 Class XA, 0.8771% 10/10/47 (a)(i) | 14,002 | 327 | |
| Series 2014-UBS6 Class XA, 1.0375% 12/10/47 (a)(i) | 10,391 | 309 | |
| Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 1.0419% 12/15/31 (a)(b)(g) | 2,001 | 1,985 | |
| Credit Suisse Mortgage Trust: | |||
| floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.1419% 5/15/36 (a)(b)(g) | 8,761 | 8,777 | |
| Series 2018-SITE Class A, 4.284% 4/15/36 (g) | 672 | 659 | |
| GS Mortgage Securities Trust: | |||
| floater: | |||
| Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.6119% 9/15/31 (a)(b)(g) | 9,113 | 8,503 | |
| Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.2519% 10/15/31 (a)(b)(g) | 562 | 552 | |
| sequential payer Series 2019-GC39 Class A4, 3.567% 5/10/52 | 300 | 345 | |
| Series 2014-GC20 Class XA, 1.2196% 4/10/47 (a)(i) | 4,196 | 103 | |
| Series 2015-GC34 Class XA, 1.4026% 10/10/48 (a)(i) | 8,448 | 423 | |
| JPMBB Commercial Mortgage Securities Trust: | |||
| Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 700 | 751 | |
| Series 2014-C19 Class XA, 0.901% 4/15/47 (a)(i) | 3,447 | 59 | |
| JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 200 | 207 | |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT: | |||
| Class AFX, 4.2475% 7/5/33 (g) | 899 | 950 | |
| Class XAFX, 1.2948% 7/5/33 (a)(g)(i) | 7,720 | 221 | |
| Morgan Stanley BAML Trust Series 2015-C25 Class XA, 1.2189% 10/15/48 (a)(i) | 10,180 | 424 | |
| Morgan Stanley Capital I Trust: | |||
| floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.0119% 8/15/33 (a)(b)(g) | 2,179 | 2,124 | |
| sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (g) | 1,140 | 1,148 | |
| Series 2019-MEAD Class B, 3.283% 11/10/36 (a)(g) | 165 | 158 | |
| RETL floater Series 2019-RVP: | |||
| Class A, 1 month U.S. LIBOR + 1.150% 1.3119% 3/15/36 (a)(b)(g) | 77 | 73 | |
| Class B, 1 month U.S. LIBOR + 1.550% 1.7119% 3/15/36 (a)(b)(g) | 2,917 | 2,705 | |
| Class C, 1 month U.S. LIBOR + 2.100% 2.2619% 3/15/36 (a)(b)(g) | 600 | 546 | |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.2009% 12/15/50 (a)(i) | 13,160 | 731 | |
| UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9583% 4/10/46 (a)(b)(g) | 1,215 | 1,211 | |
| Wells Fargo Commercial Mortgage Trust: | |||
| sequential payer Series 2016-LC24 Class A3, 2.684% 10/15/49 | 900 | 964 | |
| Series 2015-C31 Class XA, 1.1409% 11/15/48 (a)(i) | 8,854 | 379 | |
| Series 2017-C42 Class XA, 1.0317% 12/15/50 (a)(i) | 15,475 | 829 | |
| Series 2018-C46 Class XA, 1.1073% 8/15/51 (a)(i) | 10,212 | 515 | |
| WF-RBS Commercial Mortgage Trust: | |||
| floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.8819% 6/15/46 (a)(b)(g) | 1,112 | 1,110 | |
| Series 2014-C24 Class XA, 0.9799% 11/15/47 (a)(i) | 6,317 | 166 | |
| Series 2014-LC14 Class XA, 1.3642% 3/15/47 (a)(i) | 7,234 | 229 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
| (Cost $45,400) | 44,443 | ||
| Shares | Value (000s) | ||
| Money Market Funds - 12.5% | |||
| Fidelity Cash Central Fund 0.12% (l) | |||
| (Cost $117,546) | 117,522,611 | 117,546 |
| Purchased Swaptions - 0.3%(m) | ||||
| Expiration Date | Notional Amount (000s) | Value (000s) | ||
| Put Options - 0.1% | ||||
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 0.98% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2030 | 7/1/25 | 16,400 | $467 | |
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.7375% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/20/24 | 4,200 | 42 | |
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.82% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/18/24 | 8,400 | 80 | |
| Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.3275% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 6/11/24 | 11,000 | 48 | |
| TOTAL PUT OPTIONS | 637 | |||
| Call Options - 0.2% | ||||
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.98% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2030 | 7/1/25 | 16,400 | 389 | |
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.7375% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/20/24 | 4,200 | 202 | |
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.82% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/18/24 | 8,400 | 429 | |
| Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.3275% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 6/11/24 | 11,000 | 811 | |
| TOTAL CALL OPTIONS | 1,831 | |||
| TOTAL PURCHASED SWAPTIONS | ||||
| (Cost $2,222) | 2,468 | |||
| TOTAL INVESTMENT IN SECURITIES - 139.1% | ||||
| (Cost $1,285,189) | 1,309,692 | |||
| NET OTHER ASSETS (LIABILITIES) - (39.1)% | (368,189) | |||
| NET ASSETS - 100% | $941,503 |
| TBA Sale Commitments | ||
| Principal Amount (000s) | Value (000s) | |
| Uniform Mortgage Backed Securities | ||
| 2% 9/1/50 | $(6,400) | $(6,598) |
| 2% 9/1/50 | (6,400) | (6,598) |
| 2.5% 9/1/50 | (7,800) | (8,210) |
| 2.5% 9/1/50 | (3,900) | (4,105) |
| 3% 9/1/50 | (16,500) | (17,402) |
| 3% 9/1/50 | (9,450) | (9,966) |
| 3% 9/1/50 | (11,000) | (11,601) |
| 3% 9/1/50 | (2,500) | (2,637) |
| 3% 9/1/50 | (6,900) | (7,277) |
| 3% 9/1/50 | (4,650) | (4,904) |
| 3% 9/1/50 | (11,000) | (11,601) |
| 3.5% 9/1/50 | (1,750) | (1,846) |
| 3.5% 9/1/50 | (5,950) | (6,276) |
| 3.5% 9/1/50 | (5,850) | (6,170) |
| 3.5% 9/1/50 | (7,700) | (8,121) |
| 3.5% 9/1/50 | (6,900) | (7,278) |
| 3.5% 9/1/50 | (11,600) | (12,236) |
| TOTAL TBA SALE COMMITMENTS | ||
| (Proceeds $132,752) | $(132,826) |
| Written Swaptions | |||
| Expiration Date | Notional Amount | Value (000s) | |
| Put Swaptions | |||
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.92% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2030 | 1/8/25 | 3,000 | $(29) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2030 | 3/18/25 | 13,200 | (264) |
| TOTAL PUT SWAPTIONS | (293) | ||
| Call Swaptions | |||
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.92% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2030 | 1/8/25 | 3,000 | (163) |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2030 | 3/18/25 | 13,200 | (415) |
| TOTAL CALL SWAPTIONS | (578) | ||
| TOTAL WRITTEN SWAPTIONS | $(871) |
| Futures Contracts | |||||
| Number of contracts | Expiration Date | Notional Amount (000s) | Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
| Purchased | |||||
| Treasury Contracts | |||||
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 77 | Dec. 2020 | $9,704 | $10 | $10 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 28 | Dec. 2020 | 4,920 | 2 | 2 |
| TOTAL PURCHASED | 12 | ||||
| Sold | |||||
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 762 | Dec. 2020 | 106,109 | 153 | 153 |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 238 | Dec. 2020 | 52,585 | (13) | (13) |
| TOTAL SOLD | 140 | ||||
| TOTAL FUTURES CONTRACTS | $152 |
The notional amount of futures purchased as a percentage of Net Assets is 1.6%
The notional amount of futures sold as a percentage of Net Assets is 16.9%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $175,270,000.
Swaps
| Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount (000s) | Value (000s) | Upfront Premium Received/(Paid) (000s) | Unrealized Appreciation/(Depreciation) (000s) |
| Credit Default Swaps | ||||||||
| Buy Protection | ||||||||
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $19,150 | $(76) | $0 | $(76) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 2,820 | (11) | (92) | (103) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,700 | (7) | (22) | (29) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 3,050 | (12) | (42) | (54) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1,300 | (5) | (16) | (21) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | JPMorgan Securities LLC | (0.5%) | Monthly | 1,500 | (6) | (18) | (24) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,400 | (10) | (113) | (123) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,800 | (10) | (100) | (110) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,000 | (8) | (56) | (64) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,450 | (6) | (7) | (13) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,280 | (5) | (11) | (16) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,200 | (9) | (24) | (33) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,100 | (4) | 4 | 0 |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 4,200 | (17) | (33) | (50) |
| TOTAL CREDIT DEFAULT SWAPS | $(186) | $(530) | $(716) | |||||
Swaps
| Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount (000s) | Value (000s) | Upfront Premium Received/(Paid) (000s)(2) | Unrealized Appreciation/(Depreciation) (000s) |
| Interest Rate Swaps | |||||||||
| 0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2022 | $37,691 | $25 | $0 | $25 |
| 0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2025 | 1,513 | 72 | 0 | 72 |
| 3-month LIBOR(3) | Quarterly | 0.75% | Semi - annual | LCH | Sep. 2030 | 6,001 | 25 | 0 | 25 |
| TOTAL INTEREST RATE SWAPS | $122 | $0 | $122 | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) 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).
(3) Represents floating rate.
Values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
Amounts shown as 0 in the Schedule of Investments may represent less than 1 share.
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(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 $1,441,000.
(d) 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 $372,000.
(e) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $151,000.
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(g) 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 $64,469,000 or 6.8% of net assets.
(h) Level 3 security
(i) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(j) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(k) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(l) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(m) For the period, the average monthly notional amount for purchased swaptions was $107,633,000.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| (Amounts in thousands) | |
| Fidelity Cash Central Fund | $280 |
| Total | $280 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
The value, beginning of period, for the Fidelity Cash Central Fund was $33,207. Net realized gain (loss) and change in net unrealized appreciation (depreciation) was $(5) and $0, respectively. Purchases and sales of the Fidelity Cash Central Fund were $573,656 and $489,312, respectively, during the period.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: | ||||
| Description | Total | Level 1 | Level 2 | Level 3 |
| (Amounts in thousands) | ||||
| Investments in Securities: | ||||
| U.S. Government Agency - Mortgage Securities | $1,074,589 | $-- | $1,074,589 | $-- |
| Asset-Backed Securities | 25,017 | -- | 25,010 | 7 |
| Collateralized Mortgage Obligations | 45,629 | -- | 45,629 | -- |
| Commercial Mortgage Securities | 44,443 | -- | 44,443 | -- |
| Money Market Funds | 117,546 | 117,546 | -- | -- |
| Purchased Swaptions | 2,468 | -- | 2,468 | -- |
| Total Investments in Securities: | $1,309,692 | $117,546 | $1,192,139 | $7 |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $165 | $165 | $-- | $-- |
| Swaps | 122 | -- | 122 | -- |
| Total Assets | $287 | $165 | $122 | $-- |
| Liabilities | ||||
| Futures Contracts | $(13) | $(13) | $-- | $-- |
| Swaps | (186) | -- | (186) | -- |
| Written Swaptions | (871) | -- | (871) | -- |
| Total Liabilities | $(1,070) | $(13) | $(1,057) | $-- |
| Total Derivative Instruments: | $(783) | $152 | $(935) | $-- |
| Other Financial Instruments: | ||||
| TBA Sale Commitments | $(132,826) | $-- | $(132,826) | $-- |
| Total Other Financial Instruments: | $(132,826) | $-- | $(132,826) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
| Primary Risk Exposure / Derivative Type | Value | |
| Asset | Liability | |
| (Amounts in thousands) | ||
| Credit Risk | ||
| Swaps(a) | $0 | $(186) |
| Total Credit Risk | 0 | (186) |
| Interest Rate Risk | ||
| Futures Contracts(b) | 165 | (13) |
| Purchased Swaptions(c) | 2,468 | 0 |
| Swaps(d) | 122 | 0 |
| Written Swaptions(e) | 0 | (871) |
| Total Interest Rate Risk | 2,755 | (884) |
| Total Value of Derivatives | $2,755 | $(1,070) |
(a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(b) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(c) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
(d) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).
(e) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| Amounts in thousands (except per-share amounts) | August 31, 2020 | |
| Assets | ||
| Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $1,167,643) | $1,192,146 | |
| Fidelity Central Funds (cost $117,546) | 117,546 | |
| Total Investment in Securities (cost $1,285,189) | $1,309,692 | |
| Receivable for investments sold | 572 | |
| Receivable for premium on written options | 922 | |
| Receivable for TBA sale commitments | 132,752 | |
| Receivable for fund shares sold | 1,607 | |
| Interest receivable | 2,305 | |
| Distributions receivable from Fidelity Central Funds | 11 | |
| Receivable from investment adviser for expense reductions | 1 | |
| Total assets | 1,447,862 | |
| Liabilities | ||
| Payable for investments purchased | ||
| Regular delivery | $2,786 | |
| Delayed delivery | 368,405 | |
| TBA sale commitments, at value | 132,826 | |
| Payable for fund shares redeemed | 715 | |
| Distributions payable | 101 | |
| Bi-lateral OTC swaps, at value | 186 | |
| Accrued management fee | 232 | |
| Distribution and service plan fees payable | 13 | |
| Payable for daily variation margin on futures contracts | 90 | |
| Payable for daily variation margin on centrally cleared OTC swaps | 12 | |
| Written options, at value (premium receivable $922) | 871 | |
| Other affiliated payables | 119 | |
| Other payables and accrued expenses | 3 | |
| Total liabilities | 506,359 | |
| Net Assets | $941,503 | |
| Net Assets consist of: | ||
| Paid in capital | $916,553 | |
| Total accumulated earnings (loss) | 24,950 | |
| Net Assets | $941,503 | |
| Net Asset Value and Maximum Offering Price | ||
| Class A: | ||
| Net Asset Value and redemption price per share ($28,617 ÷ 2,455 shares)(a) | $11.66 | |
| Maximum offering price per share (100/96.00 of $11.66) | $12.15 | |
| Class M: | ||
| Net Asset Value and redemption price per share ($13,643 ÷ 1,168 shares)(a) | $11.68 | |
| Maximum offering price per share (100/96.00 of $11.68) | $12.17 | |
| Class C: | ||
| Net Asset Value and offering price per share ($5,541 ÷ 476 shares)(a) | $11.64 | |
| Fidelity Mortgage Securities Fund: | ||
| Net Asset Value, offering price and redemption price per share ($819,375 ÷ 70,119 shares) | $11.69 | |
| Class I: | ||
| Net Asset Value, offering price and redemption price per share ($22,601 ÷ 1,941 shares) | $11.64 | |
| Class Z: | ||
| Net Asset Value, offering price and redemption price per share ($51,726 ÷ 4,439 shares) | $11.65 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Amounts in thousands | Year ended August 31, 2020 | |
| Investment Income | ||
| Interest | $19,286 | |
| Income from Fidelity Central Funds | 280 | |
| Total income | 19,566 | |
| Expenses | ||
| Management fee | $2,554 | |
| Transfer agent fees | 863 | |
| Distribution and service plan fees | 156 | |
| Fund wide operations fee | 409 | |
| Independent trustees' fees and expenses | 3 | |
| Commitment fees | 2 | |
| Total expenses before reductions | 3,987 | |
| Expense reductions | (36) | |
| Total expenses after reductions | 3,951 | |
| Net investment income (loss) | 15,615 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 20,534 | |
| Redemptions in-kind with affiliated entities | 1,792 | |
| Fidelity Central Funds | (5) | |
| Futures contracts | (5,462) | |
| Swaps | (28) | |
| Written options | (827) | |
| Total net realized gain (loss) | 16,004 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 6,919 | |
| Futures contracts | 323 | |
| Swaps | (363) | |
| Written options | 377 | |
| Delayed delivery commitments | 206 | |
| Total change in net unrealized appreciation (depreciation) | 7,462 | |
| Net gain (loss) | 23,466 | |
| Net increase (decrease) in net assets resulting from operations | $39,081 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Amounts in thousands | Year ended August 31, 2020 | Year ended August 31, 2019 |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $15,615 | $25,965 |
| Net realized gain (loss) | 16,004 | 5,926 |
| Change in net unrealized appreciation (depreciation) | 7,462 | 35,192 |
| Net increase (decrease) in net assets resulting from operations | 39,081 | 67,083 |
| Distributions to shareholders | (18,494) | (24,740) |
| Share transactions - net increase (decrease) | 24,693 | (147,595) |
| Total increase (decrease) in net assets | 45,280 | (105,252) |
| Net Assets | ||
| Beginning of period | 896,223 | 1,001,475 |
| End of period | $941,503 | $896,223 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Advisor Mortgage Securities Fund Class A
| Years ended August 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $11.37 | $10.89 | $11.30 | $11.44 | $11.29 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .174 | .257 | .226 | .185 | .217 |
| Net realized and unrealized gain (loss) | .330 | .465 | (.353) | (.124) | .173 |
| Total from investment operations | .504 | .722 | (.127) | .061 | .390 |
| Distributions from net investment income | (.214) | (.242) | (.283) | (.201) | (.234) |
| Distributions from net realized gain | – | – | – | – | (.006) |
| Total distributions | (.214) | (.242) | (.283) | (.201) | (.240) |
| Net asset value, end of period | $11.66 | $11.37 | $10.89 | $11.30 | $11.44 |
| Total ReturnB,C | 4.49% | 6.73% | (1.13)% | .56% | 3.49% |
| Ratios to Average Net AssetsD,E | |||||
| Expenses before reductions | .79% | .80% | .79% | .79% | .79% |
| Expenses net of fee waivers, if any | .79% | .80% | .79% | .79% | .79% |
| Expenses net of all reductions | .79% | .80% | .79% | .79% | .79% |
| Net investment income (loss) | 1.51% | 2.33% | 2.05% | 1.64% | 1.92% |
| Supplemental Data | |||||
| Net assets, end of period (in millions) | $29 | $29 | $27 | $35 | $49 |
| Portfolio turnover rateF | 741%G | 680%G | 363% | 357% | 404% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Mortgage Securities Fund Class M
| Years ended August 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $11.40 | $10.91 | $11.32 | $11.46 | $11.31 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .173 | .257 | .226 | .184 | .218 |
| Net realized and unrealized gain (loss) | .321 | .475 | (.354) | (.123) | .172 |
| Total from investment operations | .494 | .732 | (.128) | .061 | .390 |
| Distributions from net investment income | (.214) | (.242) | (.282) | (.201) | (.234) |
| Distributions from net realized gain | – | – | – | – | (.006) |
| Total distributions | (.214) | (.242) | (.282) | (.201) | (.240) |
| Net asset value, end of period | $11.68 | $11.40 | $10.91 | $11.32 | $11.46 |
| Total ReturnB,C | 4.38% | 6.80% | (1.13)% | .55% | 3.48% |
| Ratios to Average Net AssetsD,E | |||||
| Expenses before reductions | .80% | .81% | .80% | .79% | .80% |
| Expenses net of fee waivers, if any | .80% | .81% | .80% | .79% | .79% |
| Expenses net of all reductions | .80% | .81% | .80% | .79% | .79% |
| Net investment income (loss) | 1.51% | 2.33% | 2.04% | 1.63% | 1.92% |
| Supplemental Data | |||||
| Net assets, end of period (in millions) | $14 | $15 | $15 | $20 | $25 |
| Portfolio turnover rateF | 741%G | 680%G | 363% | 357% | 404% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Mortgage Securities Fund Class C
| Years ended August 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $11.36 | $10.87 | $11.28 | $11.42 | $11.27 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .084 | .177 | .144 | .100 | .133 |
| Net realized and unrealized gain (loss) | .320 | .473 | (.353) | (.123) | .172 |
| Total from investment operations | .404 | .650 | (.209) | (.023) | .305 |
| Distributions from net investment income | (.124) | (.160) | (.201) | (.117) | (.149) |
| Distributions from net realized gain | – | – | – | – | (.006) |
| Total distributions | (.124) | (.160) | (.201) | (.117) | (.155) |
| Net asset value, end of period | $11.64 | $11.36 | $10.87 | $11.28 | $11.42 |
| Total ReturnB,C | 3.59% | 6.04% | (1.86)% | (.19)% | 2.72% |
| Ratios to Average Net AssetsD,E | |||||
| Expenses before reductions | 1.58% | 1.54% | 1.54% | 1.54% | 1.54% |
| Expenses net of fee waivers, if any | 1.58% | 1.54% | 1.54% | 1.54% | 1.54% |
| Expenses net of all reductions | 1.58% | 1.54% | 1.54% | 1.54% | 1.54% |
| Net investment income (loss) | .73% | 1.61% | 1.30% | .89% | 1.17% |
| Supplemental Data | |||||
| Net assets, end of period (in millions) | $6 | $5 | $9 | $13 | $19 |
| Portfolio turnover rateF | 741%G | 680%G | 363% | 357% | 404% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the contingent deferred sales charge.
D Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Mortgage Securities Fund
| Years ended August 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $11.40 | $10.91 | $11.33 | $11.47 | $11.31 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .214 | .298 | .264 | .223 | .257 |
| Net realized and unrealized gain (loss) | .331 | .474 | (.363) | (.123) | .182 |
| Total from investment operations | .545 | .772 | (.099) | .100 | .439 |
| Distributions from net investment income | (.255) | (.282) | (.321) | (.240) | (.273) |
| Distributions from net realized gain | – | – | – | – | (.006) |
| Total distributions | (.255) | (.282) | (.321) | (.240) | (.279) |
| Net asset value, end of period | $11.69 | $11.40 | $10.91 | $11.33 | $11.47 |
| Total ReturnB | 4.84% | 7.19% | (.87)% | .90% | 3.93% |
| Ratios to Average Net AssetsC,D | |||||
| Expenses before reductions | .45% | .45% | .45% | .45% | .45% |
| Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% |
| Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% |
| Net investment income (loss) | 1.86% | 2.69% | 2.39% | 1.98% | 2.26% |
| Supplemental Data | |||||
| Net assets, end of period (in millions) | $819 | $696 | $894 | $926 | $948 |
| Portfolio turnover rateE | 741%F | 680%F | 363% | 357% | 404% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
D Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Mortgage Securities Fund Class I
| Years ended August 31, | 2020 | 2019 | 2018 | 2017 | 2016 |
| Selected Per–Share Data | |||||
| Net asset value, beginning of period | $11.36 | $10.87 | $11.28 | $11.43 | $11.27 |
| Income from Investment Operations | |||||
| Net investment income (loss)A | .211 | .292 | .259 | .218 | .250 |
| Net realized and unrealized gain (loss) | .319 | .475 | (.353) | (.134) | .182 |
| Total from investment operations | .530 | .767 | (.094) | .084 | .432 |
| Distributions from net investment income | (.250) | (.277) | (.316) | (.234) | (.266) |
| Distributions from net realized gain | – | – | – | – | (.006) |
| Total distributions | (.250) | (.277) | (.316) | (.234) | (.272) |
| Net asset value, end of period | $11.64 | $11.36 | $10.87 | $11.28 | $11.43 |
| Total ReturnB | 4.72% | 7.17% | (.83)% | .76% | 3.88% |
| Ratios to Average Net AssetsC,D | |||||
| Expenses before reductions | .49% | .49% | .49% | .49% | .50% |
| Expenses net of fee waivers, if any | .49% | .49% | .49% | .49% | .50% |
| Expenses net of all reductions | .48% | .49% | .49% | .49% | .50% |
| Net investment income (loss) | 1.82% | 2.65% | 2.35% | 1.94% | 2.21% |
| Supplemental Data | |||||
| Net assets, end of period (in millions) | $23 | $47 | $56 | $73 | $79 |
| Portfolio turnover rateE | 741%F | 680%F | 363% | 357% | 404% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
D Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Mortgage Securities Fund Class Z
| Years ended August 31, | 2020 | 2019 A |
| Selected Per–Share Data | ||
| Net asset value, beginning of period | $11.37 | $10.80 |
| Income from Investment Operations | ||
| Net investment income (loss)B | .225 | .245 |
| Net realized and unrealized gain (loss) | .319 | .589 |
| Total from investment operations | .544 | .834 |
| Distributions from net investment income | (.264) | (.264) |
| Distributions from net realized gain | – | – |
| Total distributions | (.264) | (.264) |
| Net asset value, end of period | $11.65 | $11.37 |
| Total ReturnC,D | 4.85% | 7.82% |
| Ratios to Average Net AssetsE,F | ||
| Expenses before reductions | .40% | .39%G |
| Expenses net of fee waivers, if any | .36% | .36%G |
| Expenses net of all reductions | .36% | .36%G |
| Net investment income (loss) | 1.95% | 2.76%G |
| Supplemental Data | ||
| Net assets, end of period (in millions) | $52 | $105 |
| Portfolio turnover rateH | 741%I | 680%I |
A For the period October 2, 2018 (commencement of sale of shares) to August 31, 2019.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended August 31, 2020
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor Mortgage Securities Fund (the Fund) is a fund of Fidelity Advisor Series II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Fidelity Mortgage Securities Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of ten years from the initial date of purchase, with certain exceptions.
Effective January 1, 2020:
Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".
Broker-dealer Fidelity Distributors Corporation merged with and into Fidelity Investments Institutional Services Company, Inc. ("FIISC"). FIISC was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Distributors Company LLC".
Fidelity Investments Institutional Operations Company, Inc. converted from a Massachusetts corporation to a Massachusetts LLC, and changed its name to "Fidelity Investments Institutional Operations Company LLC".
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors 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. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. Swaps are marked-to-market daily based on valuations from third party pricing vendors, 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, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and 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. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of August 31, 2020 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swaps, market discount, redemptions in kind, capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $22,357 |
| Gross unrealized depreciation | (5,034) |
| Net unrealized appreciation (depreciation) | $17,323 |
| Tax Cost | $1,292,096 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $7,627 |
| Net unrealized appreciation (depreciation) on securities and other investments | $17,323 |
The tax character of distributions paid was as follows:
| August 31, 2020 | August 31, 2019 | |
| Ordinary Income | $18,494 | $ 24,740 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. 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 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 risks:
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
| 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 such as options and bi-lateral swaps, 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 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. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. 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 futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures 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 and amounts recognized in the Statement of Assets and Liabilities. 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.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
| Credit Risk | ||
| Swaps | $412 | $(475) |
| Total Credit Risk | $412 | $(475) |
| Interest Rate Risk | ||
| Futures Contracts | $(5,462) | $323 |
| Purchased Options | 1,872 | (764) |
| Written Options | (827) | 377 |
| Swaps | (440) | 112 |
| Total Interest Rate Risk | (4,857) | 48 |
| Totals | $(4,445) | $(427) |
A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. 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.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
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.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity Advisor Mortgage Securities Fund | 4,116,982 | 3,991,576 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .10% during the period. The group fee rate is based upon the monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .30% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
| Class A | -% | .25% | $74 | $3 |
| Class M | -% | .25% | 34 | –(a) |
| Class C | .75% | .25% | 48 | 5 |
| $156 | $8 |
(a) Amount represents less than five hundred dollars.
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained by FDC | |
| Class A | $3 |
| Class M | 1 |
| Class C(a) | 1 |
| $5 |
(a) When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Fidelity Mortgage Securities Fund and Class Z. FIIOC receives an asset-based fee of Fidelity Mortgage Securities Fund's and Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of Class-Level Average Net Assets | |
| Class A | $57 | .19 |
| Class M | 28 | .20 |
| Class C | 11 | .23 |
| Fidelity Mortgage Securities Fund | 698 | .10 |
| Class I | 29 | .14 |
| Class Z | 40 | .05 |
| $863 |
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% of the Fund's average net assets less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annual rate of .05% of average net assets.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Affiliated Redemptions In-Kind. During the period, 11,628 shares of the Fund were redeemed in-kind for investments, including accrued interest, and cash with a value of $132,066. The net realized gain of $1,792 on investments delivered through in-kind redemptions is included in the accompanying Statement of Operations. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets as well as the Notes to Financial Statements. The Fund recognized no gain or loss for federal income tax purposes.
Prior Fiscal Year Affiliated Redemptions In-Kind. During the prior period, 6,861 shares of the Fund were redeemed in-kind for investments, including accrued interest, and cash with a value fo $73,960. The Fund had a net realized loss of $(2,018) on investments delivered through in-kind redemptions. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets as well as the Notes to Financial Statements. The Fund recognized no gain or loss for federal income tax purposes.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Commitment fees on the Statement of Operations, and are as follows:
| Amount | |
| Fidelity Advisor Mortgage Securities Fund | $2 |
During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2021. Some expenses, for example the compensation of the independent Trustees and certain other expenses such as interest expense, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
| Expense Limitations | Reimbursement | |
| Class Z | .36% | $32 |
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $4.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| Year ended August 31, 2020 | Year ended August 31, 2019(a) | |
| Distributions to shareholders | ||
| Class A | $551 | $575 |
| Class M | 256 | 327 |
| Class C | 50 | 110 |
| Fidelity Mortgage Securities Fund | 15,147 | 22,329 |
| Class I | 466 | 1,291 |
| Class Z | 2,024 | 108 |
| Total | $18,494 | $24,740 |
(a) Distributions for Class Z are for the period October 2, 2018 (commencement of sale of shares) to August 31, 2019.
10. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
| Shares | Shares | Dollars | Dollars | |
| Year ended August 31, 2020 | Year ended August 31, 2019(a) | Year ended August 31, 2020 | Year ended August 31, 2019(a) | |
| Class A | ||||
| Shares sold | 744 | 716 | $8,523 | $7,946 |
| Reinvestment of distributions | 44 | 47 | 508 | 523 |
| Shares redeemed | (900) | (652) | (10,285) | (7,167) |
| Net increase (decrease) | (112) | 111 | $(1,254) | $1,302 |
| Class M | ||||
| Shares sold | 162 | 126 | $1,861 | $1,404 |
| Reinvestment of distributions | 22 | 29 | 252 | 319 |
| Shares redeemed | (293) | (259) | (3,360) | (2,880) |
| Net increase (decrease) | (109) | (104) | $(1,247) | $(1,157) |
| Class C | ||||
| Shares sold | 183 | 73 | $2,099 | $808 |
| Reinvestment of distributions | 4 | 10 | 49 | 108 |
| Shares redeemed | (124) | (541) | (1,418) | (5,976) |
| Net increase (decrease) | 63 | (458) | $730 | $(5,060) |
| Fidelity Mortgage Securities Fund | ||||
| Shares sold | 33,042 | 31,610 | $380,754 | $348,998 |
| Reinvestment of distributions | 1,109 | 1,411 | 12,752 | 15,588 |
| Shares redeemed | (25,085)(b) | (53,917)(c) | (287,460)(b) | (600,456)(c) |
| Net increase (decrease) | 9,066 | (20,896) | $106,046 | $(235,870) |
| Class I | ||||
| Shares sold | 2,666 | 627 | $30,489 | $6,903 |
| Reinvestment of distributions | 37 | 114 | 426 | 1,256 |
| Shares redeemed | (4,883)(b) | (1,767) | (55,592)(b) | (19,466) |
| Net increase (decrease) | (2,180) | (1,026) | $(24,677) | $(11,307) |
| Class Z | ||||
| Shares sold | 5,619 | 9,604 | $64,438 | $108,812 |
| Reinvestment of distributions | 172 | 8 | 1,960 | 95 |
| Shares redeemed | (10,573) | (391) | (121,303) | (4,410) |
| Net increase (decrease) | (4,782) | 9,221 | $(54,905) | $104,497 |
(a) Share transactions for Class Z are for the period October 2, 2018 (commencement of sale of shares) to August 31, 2019.
(b) Amount includes in-kind redemptions (see Affiliated Redemptions In-Kind note for additional details).
(c) Amount includes in-kind redemptions (see Prior Fiscal Year Affiliated Redemptions In-Kind note for additional details).
11. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
12. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
13. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Mortgage Securities Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Advisor Mortgage Securities Fund (one of the funds constituting Fidelity Advisor Series II, referred to hereafter as the “Fund”) as of August 31, 2020, the related statement of operations for the year ended August 31, 2020, the statement of changes in net assets for each of the two years in the period ended August 31, 2020, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended August 31, 2020 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2020 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
October 14, 2020
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 278 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Arthur E. Johnson serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2016
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2016
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Vice Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management and Executive Vice President and Chief Investment Officer of Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager for various institutional equity accounts and mutual funds and Portfolio Manager for a number of institutional fixed-income clients. Mr. Kenneally began his career as a Research Analyst in 1983 and was awarded the Chartered Financial Analyst (CFA) designation in 1991.
Marie L. Knowles (1946)
Year of Election or Appointment: 2001
Trustee
Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present) and a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Jamie Pagliocco (1964)
Year of Election or Appointment: 2020
Vice President
Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.
Kenneth B. Robins (1969)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Deputy Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2020 to August 31, 2020).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized Expense Ratio-A | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During Period-B March 1, 2020 to August 31, 2020 | |
| Fidelity Advisor Mortgage Securities Fund | ||||
| Class A | .79% | |||
| Actual | $1,000.00 | $1,022.30 | $4.02 | |
| Hypothetical-C | $1,000.00 | $1,021.17 | $4.01 | |
| Class M | .79% | |||
| Actual | $1,000.00 | $1,021.40 | $4.01 | |
| Hypothetical-C | $1,000.00 | $1,021.17 | $4.01 | |
| Class C | 1.56% | |||
| Actual | $1,000.00 | $1,017.50 | $7.91 | |
| Hypothetical-C | $1,000.00 | $1,017.29 | $7.91 | |
| Fidelity Mortgage Securities Fund | .45% | |||
| Actual | $1,000.00 | $1,024.00 | $2.29 | |
| Hypothetical-C | $1,000.00 | $1,022.87 | $2.29 | |
| Class I | .50% | |||
| Actual | $1,000.00 | $1,022.90 | $2.54 | |
| Hypothetical-C | $1,000.00 | $1,022.62 | $2.54 | |
| Class Z | .36% | |||
| Actual | $1,000.00 | $1,023.60 | $1.83 | |
| Hypothetical-C | $1,000.00 | $1,023.33 | $1.83 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity Advisor Mortgage Securities Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
| Pay Date | Record Date | Capital Gains | |
| Class A | 10/12/2020 | 10/09/2020 | $0.087 |
| Class M | 10/12/2020 | 10/09/2020 | $0.087 |
| Class C | 10/12/2020 | 10/09/2020 | $0.087 |
| Fidelity Mortgage Securities Fund | 10/12/2020 | 10/09/2020 | $0.087 |
| Class I | 10/12/2020 | 10/09/2020 | $0.087 |
| Class Z | 10/12/2020 | 10/09/2020 | $0.087 |
A total of 0.39% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $9,528,868 of distributions paid during the period January 1, 2020 to August 31, 2020 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
AMOR-ANN-1020
1.704047.123
Fidelity® Series Investment Grade Securitized Fund
August 31, 2020
See the inside front cover for important information about access to your fund’s shareholder reports.
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
| Account Type | Website | Phone Number |
| Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
| Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
| Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
| Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2020 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Note to Shareholders:
Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and the outlook for corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.
In the weeks following, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.
Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
| For the periods ended August 31, 2020 | Past 1 year | Life of fundA |
| Fidelity® Series Investment Grade Securitized Fund | 5.28% | 6.45% |
A From August 17, 2018
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Series Investment Grade Securitized Fund on August 17, 2018, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Securitized Index performed over the same period.
| Period Ending Values | ||
| $11,361 | Fidelity® Series Investment Grade Securitized Fund | |
| $11,241 | Bloomberg Barclays U.S. Securitized Index | |
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds rose strongly for the 12 months ending August 31, 2020, led by corporate bonds early and late in the period, and by U.S. Treasuries in March, as investors sought safer havens amid the market shock of the coronavirus pandemic. The Bloomberg Barclays U.S. Aggregate Bond Index gained 6.47% for the year. Corporate bonds advanced through January 2020, as spreads remained narrow and market yields held roughly steady. Yields then plunged in February and spreads widened due to robust investor demand for relatively safer assets – especially U.S. Treasury bonds – as the outbreak and spread of the coronavirus threatened global economic growth and corporate earnings, leading to pockets of market illiquidity in March. Aggressive intervention by the U.S. Federal Reserve boosted liquidity and led to a broad rally for fixed-income assets from April through July. Yields then rose and spreads widened in August, amid strong issuance of new corporate bonds. Within the Bloomberg Barclays index, corporate bonds gained 7.50% for the period, topping the 6.98% advance of U.S. Treasuries. Conversely, agency mortgage-backed securities (+4.54%) lagged the broader market, as did other securitized sectors. Outside the index, U.S. corporate high-yield bonds gained 3.62%, while Treasury Inflation-Protected Securities (TIPS) rose 8.99%.Comments from Co-Portfolio Managers Franco Castagliuolo and Sean Corcoran: For the fiscal year ending August 31, 2020, the fund gained 5.28%, outpacing, net of fees, the 4.61% advance of the benchmark, the Bloomberg Barclays U.S. Securitized Index. The past 12 months, we attempted to exploit market inefficiencies while managing risk and identifying attractively priced securities in accordance with our longer-term strategy. We added value with timely purchases of certain MBS during the bond market's late-winter/early-spring distress, when spreads widened, as well as with sales of them when spreads narrowed. Maintaining a longer-than-benchmark duration also boosted our relative performance.. Using swaptions to manage the fund's exposure to interest-rate volatility also contributed on a relative basis. Outsized exposure to MBS that proved resilient to prepayment boosted the fund’s relative result, as declining interest rates spurred a boom in home-loan refinancing and elevated mortgage prepayments. Against this backdrop, the fund’s overweightings in securities backed by pools of mortgages with coupons (interest rates) of 3% and below and those with coupons of 4% to 4.5%, contributed to our relative result. We also were rewarded for owning non-agency commercial mortgage-backed securities (CMBS), as well as investing in a synthetic index that references CMBS.The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Investment Summary (Unaudited)
Quality Diversification (% of fund's net assets)
| As of August 31, 2020 | ||
| U.S. Government and U.S. Government Agency Obligations | 105.2% | |
| AAA | 11.7% | |
| AA | 0.3% | |
| Not Rated | 1.7% | |
| Short-Term Investments and Net Other Assets* | (18.9)% | |
* Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
| As of August 31, 2020*,**,*** | ||
| U.S. Government and U.S. Government Agency Obligations | 105.2% | |
| Asset-Backed Securities | 1.7% | |
| CMOs and Other Mortgage Related Securities | 12.0% | |
| Short-Term Investments and Net Other Assets (Liabilities)† | (18.9)% | |
* Foreign investments – 0.8%
** Futures and Swaps – 15.1%
*** Written options – (1.3)%
† Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Schedule of Investments August 31, 2020
Showing Percentage of Net Assets
| U.S. Government Agency - Mortgage Securities - 128.8% | |||
| Principal Amount | Value | ||
| Fannie Mae - 35.6% | |||
| 2.5% 5/1/31 to 10/1/37 | 2,036,403 | 2,151,810 | |
| 3% 8/1/32 to 9/1/50 | 18,945,679 | 20,174,497 | |
| 3.5% 7/1/34 to 5/1/50 | 27,005,433 | 28,659,005 | |
| 4% 5/1/29 to 2/1/50 | 8,575,445 | 9,207,428 | |
| 4.5% 12/1/48 to 9/1/49 | 6,167,595 | 6,745,673 | |
| TOTAL FANNIE MAE | 66,938,413 | ||
| Freddie Mac - 21.7% | |||
| 2.5% 6/1/31 to 7/1/50 | 4,686,043 | 4,934,884 | |
| 3% 12/1/32 to 6/1/50 | 4,202,001 | 4,465,542 | |
| 3.5% 11/1/33 to 3/1/50 | 19,771,182 | 20,992,012 | |
| 4% 5/1/38 to 9/1/48 (a)(b) | 8,531,632 | 9,139,221 | |
| 4.5% 10/1/39 to 12/1/48 | 1,212,450 | 1,351,895 | |
| TOTAL FREDDIE MAC | 40,883,554 | ||
| Ginnie Mae - 21.6% | |||
| 2% 9/1/50 (c) | 700,000 | 725,097 | |
| 2% 9/1/50 (c) | 700,000 | 725,097 | |
| 2.5% 8/20/47 | 29,909 | 31,714 | |
| 2.5% 9/1/50 (c) | 2,600,000 | 2,740,039 | |
| 3% 2/20/50 to 8/20/50 | 1,036,557 | 1,110,458 | |
| 3% 9/1/50 (c) | 1,050,000 | 1,105,873 | |
| 3% 9/1/50 (c) | 1,100,000 | 1,158,534 | |
| 3% 9/1/50 (c) | 2,350,000 | 2,475,049 | |
| 3% 9/1/50 (c) | 1,850,000 | 1,948,443 | |
| 3% 9/1/50 (c) | 2,600,000 | 2,738,353 | |
| 3.5% 9/20/40 to 12/20/49 | 7,870,823 | 8,526,632 | |
| 4% 10/20/40 to 5/20/49 | 12,680,039 | 13,685,609 | |
| 4.5% 4/20/47 to 6/20/47 | 1,666,462 | 1,818,153 | |
| 5% 4/20/48 to 6/20/48 | 1,722,619 | 1,894,379 | |
| TOTAL GINNIE MAE | 40,683,430 | ||
| Uniform Mortgage Backed Securities - 49.9% | |||
| 2% 9/1/35 (c) | 4,400,000 | 4,578,854 | |
| 2% 9/1/35 (c) | 2,700,000 | 2,809,751 | |
| 2% 9/1/35 (c) | 1,550,000 | 1,613,005 | |
| 2% 9/1/35 (c) | 1,550,000 | 1,613,005 | |
| 2% 9/1/50 (c) | 3,350,000 | 3,453,841 | |
| 2% 9/1/50 (c) | 3,150,000 | 3,247,642 | |
| 2% 9/1/50 (c) | 300,000 | 309,299 | |
| 2% 9/1/50 (c) | 1,700,000 | 1,752,695 | |
| 2% 9/1/50 (c) | 1,850,000 | 1,907,345 | |
| 2% 9/1/50 (c) | 1,850,000 | 1,907,345 | |
| 2.5% 9/1/50 (c) | 7,000,000 | 7,368,319 | |
| 2.5% 9/1/50 (c) | 5,250,000 | 5,526,239 | |
| 2.5% 9/1/50 (c) | 200,000 | 210,523 | |
| 2.5% 9/1/50 (c) | 200,000 | 210,523 | |
| 3% 9/1/50 (c) | 3,600,000 | 3,796,731 | |
| 3% 9/1/50 (c) | 900,000 | 949,183 | |
| 3% 9/1/50 (c) | 500,000 | 527,324 | |
| 3% 9/1/50 (c) | 900,000 | 949,183 | |
| 3% 9/1/50 (c) | 800,000 | 843,718 | |
| 3% 9/1/50 (c) | 1,450,000 | 1,529,239 | |
| 3% 9/1/50 (c) | 1,450,000 | 1,529,239 | |
| 3% 9/1/50 (c) | 1,300,000 | 1,371,042 | |
| 3% 9/1/50 (c) | 900,000 | 949,183 | |
| 3% 9/1/50 (c) | 2,350,000 | 2,478,422 | |
| 3% 9/1/50 (c) | 2,350,000 | 2,478,422 | |
| 3% 10/1/50 (c) | 4,700,000 | 4,949,084 | |
| 3% 10/1/50 (c) | 1,300,000 | 1,368,895 | |
| 3% 10/1/50 (c) | 700,000 | 737,098 | |
| 3% 10/1/50 (c) | 2,950,000 | 3,106,340 | |
| 3% 10/1/50 (c) | 2,950,000 | 3,106,340 | |
| 3.5% 9/1/50 (c) | 2,950,000 | 3,111,445 | |
| 3.5% 9/1/50 (c) | 6,700,000 | 7,066,671 | |
| 3.5% 9/1/50 (c) | 2,150,000 | 2,267,663 | |
| 3.5% 9/1/50 (c) | 900,000 | 949,254 | |
| 3.5% 10/1/50 (c) | 4,500,000 | 4,749,787 | |
| 3.5% 10/1/50 (c) | 6,800,000 | 7,177,456 | |
| 4% 9/1/50 (c) | 1,450,000 | 1,545,383 | |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 94,045,488 | ||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
| (Cost $239,565,304) | 242,550,885 | ||
| Asset-Backed Securities - 1.7% | |||
| Carvana Auto Receivables Trust Series 2019-4A: | |||
| Class A2, 2.2% 7/15/22 (d) | $17,586 | $17,673 | |
| Class A3, 2.3% 9/15/23 (d) | 117,000 | 118,453 | |
| Cascade Funding Mortgage Trust Series 2020-HB2 Class A, 3.4047% 4/25/30 (d) | 336,966 | 340,533 | |
| CNH Equipment Trust Series 2018-A Class A3, 3.12% 7/17/23 | 101,884 | 103,677 | |
| Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (d) | 233,247 | 233,615 | |
| Consumer Loan Underlying Bond Credit Trust: | |||
| Series 2018-P2 Class A, 3.47% 10/15/25 (d) | 10,039 | 10,065 | |
| Series 2018-P3 Class A, 3.82% 1/15/26 (d) | 36,432 | 36,709 | |
| Series 2019-HP1 Class A, 2.59% 12/15/26 (d) | 430,366 | 434,061 | |
| Series 2019-P1 Class A, 2.94% 7/15/26 (d) | 74,310 | 74,780 | |
| Flagship Credit Auto Trust Series 2019-4 Class A, 2.17% 6/17/24 (d) | 140,268 | 142,502 | |
| Ford Credit Auto Owner Trust Series 2019-1 Class A, 3.52% 7/15/30 (d) | 100,000 | 109,648 | |
| Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 50,000 | 56,380 | |
| Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (d)(e) | 200,000 | 202,650 | |
| Marlette Funding Trust: | |||
| Series 2019-4A Class A, 2.39% 12/17/29 (d) | 58,964 | 59,441 | |
| Series 2020-1A Class A, 2.24% 3/15/30 (d) | 62,965 | 63,447 | |
| Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (d) | 75,179 | 80,339 | |
| Nationstar HECM Loan Trust: | |||
| Series 2018-3A Class A 3.5545% 11/25/28 (d) | 34,564 | 34,584 | |
| Series 2019-1A Class A, 2.6513% 6/25/29 (d) | 152,060 | 152,536 | |
| Prosper Marketplace Issuance Trust: | |||
| Series 2019-2A Class A, 3.2% 9/15/25 (d) | 190,724 | 191,061 | |
| Series 2019-3A Class A, 3.19% 7/15/25 (d) | 138,509 | 139,190 | |
| Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (d) | 154,377 | 156,868 | |
| RMF Buyout Issuance Trust Series 2020-1 Class A, 2.1582% 2/25/30 (d) | 72,878 | 73,100 | |
| Securitized Term Auto Receivables Trust Series 2017-2A Class A4, 2.289% 3/25/22 (d) | 41,994 | 42,231 | |
| Towd Point Mortgage Trust: | |||
| Series 2018-3 Class A1, 3.75% 5/25/58 (d) | 148,184 | 159,352 | |
| Series 2018-6 Class A1A, 3.75% 3/25/58 (d) | 70,755 | 74,552 | |
| Series 2019-1 Class A1, 3.75% 3/25/58 (d) | 77,314 | 83,689 | |
| TOTAL ASSET-BACKED SECURITIES | |||
| (Cost $3,126,488) | 3,191,136 | ||
| Collateralized Mortgage Obligations - 1.5% | |||
| Private Sponsor - 1.1% | |||
| Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.7% 8/25/60 (d)(e)(f) | 91,099 | 90,951 | |
| Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 0.695% 10/15/54 (d)(e)(f) | 93,581 | 93,624 | |
| Lanark Master Issuer PLC: | |||
| floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 1.128% 12/22/69 (d)(e)(f) | 140,000 | 140,350 | |
| Series 2019-2A Class 1A, 2.71% 12/22/69 (d) | 418,000 | 423,792 | |
| Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/25/29 (d) | 62,889 | 62,779 | |
| New Residential Mtg Ln Trust 2020 3.5% 10/25/59 (d) | 104,589 | 109,889 | |
| Permanent Master Issuer PLC floater Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 0.655% 7/15/58 (d)(e)(f) | 475,000 | 474,955 | |
| Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (d) | 65,797 | 66,832 | |
| RMF Buyout Issuance Trust sequential payer Series 2020-2 Class A, 1.7063% 6/25/30 (d) | 476,703 | 477,123 | |
| Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.8414% 1/21/70 (d)(e)(f) | 144,000 | 144,008 | |
| TOTAL PRIVATE SPONSOR | 2,084,303 | ||
| U.S. Government Agency - 0.4% | |||
| Fannie Mae Series 2013-44 Class DJ, 1.85% 5/25/33 | 205,504 | 209,987 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
| planned amortization class Series 2016-69 Class WA, 3% 2/20/46 | 51,251 | 54,481 | |
| sequential payer: | |||
| Series 2017-139 Class BA, 3% 9/20/47 | 307,846 | 330,255 | |
| Series 2018-H12 Class HA, 3.25% 8/20/68 (g) | 89,936 | 97,395 | |
| TOTAL U.S. GOVERNMENT AGENCY | 692,118 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
| (Cost $2,737,289) | 2,776,421 | ||
| Commercial Mortgage Securities - 10.9% | |||
| BAMLL Commercial Mortgage Securities Trust sequential payer Series 2019-BPR: | |||
| Class AMP, 3.287% 11/5/32 (d) | 600,000 | 605,074 | |
| Class ANM, 3.112% 11/5/32 (d) | 100,000 | 97,491 | |
| BANK sequential payer: | |||
| Series 2018-BN10 Class A5, 3.688% 2/15/61 | 50,000 | 57,336 | |
| Series 2019-BN24 Class A3, 2.96% 11/15/62 | 200,000 | 223,343 | |
| Benchmark Mortgage Trust: | |||
| sequential payer: | |||
| Series 2019-B10 Class A4, 3.717% 3/15/62 | 29,000 | 33,736 | |
| Series 2019-B13 Class A4, 2.952% 8/15/57 | 400,000 | 444,782 | |
| Series 2020-B17 Class A5, 2.289% 3/15/53 | 200,000 | 212,049 | |
| Series 2019-B12 Class XA, 1.2043% 8/15/52 (e)(h) | 969,292 | 65,767 | |
| Series 2019-B14 Class XA, 0.915% 12/15/62 (e)(h) | 1,208,763 | 63,574 | |
| Series 2020-B17 Class XA, 1.5421% 3/15/53 (e)(h) | 2,099,504 | 203,150 | |
| Series 2020-B18 Class XA, 1.919% 7/15/53 (e)(h) | 1,486,557 | 182,917 | |
| BX Commercial Mortgage Trust floater sequential payer Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.0379% 11/15/32 (d)(e)(f) | 32,000 | 31,719 | |
| BX Trust: | |||
| floater: | |||
| Series 2018-EXCL Class A, 1 month U.S. LIBOR + 1.088% 1.2495% 9/15/37 (d)(e)(f) | 1,179,603 | 1,076,975 | |
| Series 2018-IND Class B, 1 month U.S. LIBOR + 0.900% 1.0619% 11/15/35 (d)(e)(f) | 70,000 | 69,649 | |
| floater, sequential payer: | |||
| Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1619% 4/15/34 (d)(e)(f) | 103,000 | 98,876 | |
| Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.0819% 10/15/36 (d)(e)(f) | 1,044,228 | 1,042,976 | |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
| Class A, 1 month U.S. LIBOR + 0.950% 1.1119% 11/15/36 (d)(e)(f) | 100,000 | 98,998 | |
| Class B, 1 month U.S. LIBOR + 1.250% 1.4119% 11/15/36 (d)(e)(f) | 100,000 | 97,496 | |
| CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.2819% 6/15/34 (d)(e)(f) | 139,398 | 132,708 | |
| Citigroup Commercial Mortgage Trust: | |||
| sequential payer Series 2017-P7 Class AAB, 3.509% 4/14/50 | 400,000 | 436,320 | |
| Series 2019-GC41 Class XA, 1.1877% 8/10/56 (e)(h) | 1,297,554 | 95,670 | |
| COMM Mortgage Trust sequential payer Series 2017-CD4 Class ASB, 3.317% 5/10/50 | 124,000 | 135,210 | |
| Credit Suisse Mortgage Trust: | |||
| floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.1419% 5/15/36 (d)(e)(f) | 1,800,000 | 1,803,307 | |
| Series 2018-SITE Class A, 4.284% 4/15/36 (d) | 100,000 | 98,080 | |
| DBUBS Mortgage Trust Series 2011-LC3A Class B, 5.5128% 8/10/44 (d)(e) | 800,000 | 813,397 | |
| GS Mortgage Securities Trust: | |||
| floater: | |||
| Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.6119% 9/15/31 (d)(e)(f) | 1,725,000 | 1,609,439 | |
| Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.2519% 10/15/31 (d)(e)(f) | 1,400,000 | 1,375,034 | |
| sequential payer Series 2016-GC34 Class AAB, 3.278% 10/10/48 | 74,000 | 77,736 | |
| Series 2011-GC5 Class A/S, 5.209% 8/10/44 (d) | 243,000 | 248,720 | |
| J.P. Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2020-NNN Class AFX, 2.8123% 1/16/37 (d) | 670,000 | 680,568 | |
| JPMBB Commercial Mortgage Securities Trust: | |||
| sequential payer Series 2014-C22 Class ASB, 3.5036% 9/15/47 | 273,351 | 285,958 | |
| Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 114,000 | 122,363 | |
| JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
| sequential payer Series 2012-CBX Class A4, 3.4834% 6/15/45 | 682,756 | 697,786 | |
| Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 127,000 | 132,652 | |
| Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (d) | 200,000 | 204,212 | |
| JPMorgan Chase Commercial Mortgage Securities Trust: | |||
| sequential payer: | |||
| Series 2013-C13 Class ASB, 3.4137% 1/15/46 | 312,028 | 322,487 | |
| Series 2013-LC11 Class A4, 2.6942% 4/15/46 | 36,701 | 38,021 | |
| Series 2018-WPT Class AFX, 4.2475% 7/5/33 (d) | 59,000 | 62,326 | |
| Ladder Capital Commercial Mortgage Securities Trust sequential payer Series 2014-909 Class A, 3.388% 5/15/31 (d) | 500,000 | 502,354 | |
| Morgan Stanley BAML Trust sequential payer: | |||
| Series 2013-C10 Class A4, 4.2182% 7/15/46 (e) | 200,000 | 213,891 | |
| Series 2014-C19 Class ASB, 3.326% 12/15/47 | 1,480,002 | 1,547,275 | |
| Series 2016-C28 Class A3, 3.272% 1/15/49 | 99,739 | 105,971 | |
| Morgan Stanley Capital Barclays Bank Trust sequential payer Series 2016-MART Class A, 2.2004% 9/13/31 (d) | 46,000 | 45,781 | |
| Morgan Stanley Capital I Trust: | |||
| floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (d)(e)(f) | 1,000,000 | 981,412 | |
| sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (d) | 279,000 | 281,035 | |
| Series 2011-C3 Class AJ, 5.4192% 7/15/49 (d)(e) | 293,000 | 301,029 | |
| Series 2019-MEAD Class B, 3.283% 11/10/36 (d)(e) | 26,000 | 24,959 | |
| RETL floater Series 2019-RVP: | |||
| Class A, 1 month U.S. LIBOR + 1.150% 1.3119% 3/15/36 (d)(e)(f) | 3,822 | 3,644 | |
| Class B, 1 month U.S. LIBOR + 1.550% 1.7119% 3/15/36 (d)(e)(f) | 100,000 | 92,719 | |
| Class C, 1 month U.S. LIBOR + 2.100% 2.2619% 3/15/36 (d)(e)(f) | 100,000 | 90,996 | |
| UBS Commercial Mortgage Trust: | |||
| sequential payer: | |||
| Series 2017-C1 Class ASB, 3.462% 11/15/50 | 100,000 | 110,613 | |
| Series 2017-C3 Class ASB, 3.215% 8/15/50 | 300,000 | 327,022 | |
| Series 2012-C1 Class A/S, 4.171% 5/10/45 | 267,000 | 276,929 | |
| UBS-Barclays Commercial Mortgage Trust: | |||
| sequential payer Series 2012-C4 Class A/S, 3.3165% 12/10/45 (d) | 800,000 | 829,154 | |
| Series 2012-C3 Class A/S, 3.814% 8/10/49 (d) | 173,000 | 180,133 | |
| Wells Fargo Commercial Mortgage Trust sequential payer: | |||
| Series 2015-C29 Class ASB, 3.4% 6/15/48 | 190,481 | 200,314 | |
| Series 2016-LC24 Class A3, 2.684% 10/15/49 | 200,000 | 214,210 | |
| WF-RBS Commercial Mortgage Trust: | |||
| Series 2012-C8 Class A/S, 3.66% 8/15/45 | 68,000 | 70,471 | |
| Series 2012-C9 Class A/S, 3.388% 11/15/45 | 86,000 | 88,960 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
| (Cost $20,707,901) | 20,566,774 | ||
| Shares | Value | ||
| Money Market Funds - 10.0% | |||
| Fidelity Cash Central Fund 0.12% (i) | |||
| (Cost $18,841,350) | 18,837,583 | 18,841,350 |
| Purchased Swaptions - 0.3%(j) | ||||
| Expiration Date | Notional Amount | Value | ||
| Put Options - 0.1% | ||||
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 0.765% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2031 | 3/11/21 | 900,000 | $16,584 | |
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 0.98% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2030 | 7/1/25 | 7,100,000 | 201,063 | |
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.785% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/24/24 | 1,100,000 | 11,043 | |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4025% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/26/25 | 800,000 | 13,786 | |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.57125% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/5/24 | 600,000 | 7,171 | |
| TOTAL PUT OPTIONS | 249,647 | |||
| Call Options - 0.2% | ||||
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.765% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2031 | 3/11/21 | 900,000 | 16,652 | |
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.98% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2030 | 7/1/25 | 7,100,000 | 168,512 | |
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.785% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/24/24 | 1,100,000 | 54,674 | |
| Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4025% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/26/25 | 800,000 | 28,487 | |
| Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.57125% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/5/24 | 600,000 | 25,325 | |
| TOTAL CALL OPTIONS | 293,650 | |||
| TOTAL PURCHASED SWAPTIONS | ||||
| (Cost $586,738) | 543,297 | |||
| TOTAL INVESTMENT IN SECURITIES - 153.2% | ||||
| (Cost $285,565,070) | 288,469,863 | |||
| NET OTHER ASSETS (LIABILITIES) - (53.2)% | (100,185,791) | |||
| NET ASSETS - 100% | $188,284,072 |
| TBA Sale Commitments | ||
| Principal Amount | Value | |
| Uniform Mortgage Backed Securities | ||
| 2% 9/1/50 | $(1,700,000) | $(1,752,695) |
| 2% 9/1/50 | (1,700,000) | (1,752,695) |
| 2.5% 9/1/50 | (2,600,000) | (2,736,804) |
| 2.5% 9/1/50 | (2,200,000) | (2,315,757) |
| 2.5% 9/1/50 | (300,000) | (315,785) |
| 2.5% 9/1/50 | (300,000) | (315,785) |
| 3% 9/1/50 | (4,700,000) | (4,956,844) |
| 3% 9/1/50 | (700,000) | (738,253) |
| 3% 9/1/50 | (1,500,000) | (1,581,971) |
| 3% 9/1/50 | (1,300,000) | (1,371,042) |
| 3% 9/1/50 | (900,000) | (949,183) |
| 3% 9/1/50 | (1,300,000) | (1,371,042) |
| 3% 9/1/50 | (700,000) | (738,253) |
| 3% 9/1/50 | (2,350,000) | (2,478,422) |
| 3% 9/1/50 | (700,000) | (738,253) |
| 3% 9/1/50 | (2,350,000) | (2,478,422) |
| 3.5% 9/1/50 | (950,000) | (1,001,991) |
| 3.5% 9/1/50 | (1,800,000) | (1,898,509) |
| 3.5% 9/1/50 | (1,800,000) | (1,898,509) |
| 3.5% 9/1/50 | (4,500,000) | (4,746,272) |
| 3.5% 9/1/50 | (2,150,000) | (2,267,663) |
| 3.5% 9/1/50 | (6,800,000) | (7,172,144) |
| TOTAL TBA SALE COMMITMENTS | ||
| (Proceeds $45,562,992) | $(45,576,294) |
| Written Swaptions | |||
| Expiration Date | Notional Amount | Value | |
| Put Options | |||
| Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.9% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 | 12/10/24 | 1,200,000 | $(11,283) |
| Call Options | |||
| Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.9% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 | 12/10/24 | 1,200,000 | (64,449) |
| TOTAL WRITTEN SWAPTIONS | $(75,732) |
| 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) | 22 | Dec. 2020 | $2,772,688 | $987 | $987 |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 26 | Dec. 2020 | 4,568,688 | (46,616) | (46,616) |
| TOTAL PURCHASED FUTURES | (45,629) | ||||
| Sold | |||||
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 42 | Dec. 2020 | 5,848,500 | 7,836 | 7,836 |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 102 | Dec. 2020 | 22,536,422 | (4,981) | (4,981) |
| TOTAL SOLD FUTURES | 2,855 | ||||
| TOTAL FUTURES CONTRACTS | $(42,774) |
The notional amount of futures purchased as a percentage of Net Assets is 3.9%
The notional amount of futures sold as a percentage of Net Assets is 15.1%
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $25,477,738.
Swaps
| Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
| Credit Default Swaps | ||||||||
| Buy Protection | ||||||||
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | $80,000 | $(317) | $(891) | $(1,208) |
| CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1,690,000 | (6,700) | (11,913) | (18,613) |
| TOTAL CREDIT DEFAULT SWAPS | $(7,017) | $(12,804) | $(19,821) | |||||
Swaps
| Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(2) | Unrealized Appreciation/(Depreciation) |
| Interest Rate Swaps | |||||||||
| 0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2022 | $9,615,000 | $6,244 | $0 | $6,244 |
| 0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2025 | 179,000 | 8,216 | 0 | 8,216 |
| 3-month LIBOR(3) | Quarterly | 0.75% | Semi - annual | LCH | Sep. 2030 | 686,000 | 5,252 | 0 | 5,252 |
| 0.75% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Sep. 2050 | 11,000 | 1,074 | 0 | 1,074 |
| TOTAL INTEREST RATE SWAPS | $20,786 | $0 | $20,786 | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) 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).
(3) Represents floating rate.
Legend
(a) 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 $103,159.
(b) 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 $92,311.
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(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 $18,695,643 or 9.9% of net assets.
(e) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(f) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(g) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(i) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
(j) For the period, the average monthly notional amount for purchased swaptions was $36,750,000.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $134,249 |
| Total | $134,249 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.
The value, beginning of period, for the Fidelity Cash Central Fund was $12,062,614. Net realized gain (loss) and change in net unrealized appreciation (depreciation) was ($1,649) and $0, respectively. Purchases and sales of the Fidelity Cash Central Fund were $187,308,368 and $180,527,983, respectively, during the period.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2020, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: | ||||
| Description | Total | Level 1 | Level 2 | Level 3 |
| Investments in Securities: | ||||
| U.S. Government Agency - Mortgage Securities | $242,550,885 | $-- | $242,550,885 | $-- |
| Asset-Backed Securities | 3,191,136 | -- | 3,191,136 | -- |
| Collateralized Mortgage Obligations | 2,776,421 | -- | 2,776,421 | -- |
| Commercial Mortgage Securities | 20,566,774 | -- | 20,566,774 | -- |
| Money Market Funds | 18,841,350 | 18,841,350 | -- | -- |
| Purchased Swaptions | 543,297 | -- | 543,297 | -- |
| Total Investments in Securities: | $288,469,863 | $18,841,350 | $269,628,513 | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $8,823 | $8,823 | $-- | $-- |
| Swaps | 20,786 | -- | 20,786 | -- |
| Total Assets | $29,609 | $8,823 | $20,786 | $-- |
| Liabilities | ||||
| Futures Contracts | $(51,597) | $(51,597) | $-- | $-- |
| Swaps | (7,017) | -- | (7,017) | -- |
| Written Swaptions | (75,732) | -- | (75,732) | -- |
| Total Liabilities | $(134,346) | $(51,597) | $(82,749) | $-- |
| Total Derivative Instruments: | $(104,737) | $(42,774) | $(61,963) | $-- |
| Other Financial Instruments: | ||||
| TBA Sale Commitments | $(45,576,294) | $-- | $(45,576,294) | $-- |
| Total Other Financial Instruments: | $(45,576,294) | $-- | $(45,576,294) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2020. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
| Primary Risk Exposure / Derivative Type | Value | |
| Asset | Liability | |
| Credit Risk | ||
| Swaps(a) | $-- | $(7,017) |
| Total Credit Risk | -- | (7,017) |
| Interest Rate Risk | ||
| Futures Contracts(b) | 8,823 | (51,597) |
| Purchased Swaptions(c) | 543,297 | -- |
| Swaps(d) | 20,786 | -- |
| Written Swaptions(e) | -- | (75,732) |
| Total Interest Rate Risk | 572,906 | (127,329) |
| Total Value of Derivatives | $572,906 | $(134,346) |
(a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(b) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(c) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
(d) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).
(e) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| August 31, 2020 | ||
| Assets | ||
| Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $266,723,720) | $269,628,513 | |
| Fidelity Central Funds (cost $18,841,350) | 18,841,350 | |
| Total Investment in Securities (cost $285,565,070) | $288,469,863 | |
| Cash | 30,430 | |
| Receivable for premium on written options | 67,800 | |
| Receivable for TBA sale commitments | 45,562,992 | |
| Receivable for fund shares sold | 9,919,092 | |
| Interest receivable | 421,584 | |
| Distributions receivable from Fidelity Central Funds | 2,362 | |
| Receivable for daily variation margin on futures contracts | 16,695 | |
| Receivable for daily variation margin on centrally cleared OTC swaps | 703 | |
| Receivable from investment adviser for expense reductions | 687 | |
| Total assets | 344,492,208 | |
| Liabilities | ||
| Payable for investments purchased | ||
| Regular delivery | $2,917,201 | |
| Delayed delivery | 107,583,879 | |
| TBA sale commitments, at value | 45,576,294 | |
| Payable for fund shares redeemed | 43,187 | |
| Bi-lateral OTC swaps, at value | 7,017 | |
| Written options, at value (premium receivable $67,800) | 75,732 | |
| Other payables and accrued expenses | 4,826 | |
| Total liabilities | 156,208,136 | |
| Net Assets | $188,284,072 | |
| Net Assets consist of: | ||
| Paid in capital | $181,910,913 | |
| Total accumulated earnings (loss) | 6,373,159 | |
| Net Assets | $188,284,072 | |
| Net Asset Value, offering price and redemption price per share ($188,284,072 ÷ 17,632,555 shares) | $10.68 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Year ended August 31, 2020 | ||
| Investment Income | ||
| Interest | $2,740,540 | |
| Income from Fidelity Central Funds | 134,249 | |
| Total income | 2,874,789 | |
| Expenses | ||
| Custodian fees and expenses | $19,278 | |
| Independent trustees' fees and expenses | 436 | |
| Commitment fees | 317 | |
| Total expenses before reductions | 20,031 | |
| Expense reductions | (2,373) | |
| Total expenses after reductions | 17,658 | |
| Net investment income (loss) | 2,857,131 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 4,715,209 | |
| Fidelity Central Funds | (1,649) | |
| Futures contracts | (445,119) | |
| Swaps | (150,397) | |
| Written options | (81,479) | |
| Total net realized gain (loss) | 4,036,565 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 409,629 | |
| Futures contracts | (34,639) | |
| Swaps | (5,009) | |
| Written options | 60,450 | |
| Delayed delivery commitments | 17,799 | |
| Total change in net unrealized appreciation (depreciation) | 448,230 | |
| Net gain (loss) | 4,484,795 | |
| Net increase (decrease) in net assets resulting from operations | $7,341,926 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Year ended August 31, 2020 | Year ended August 31, 2019 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $2,857,131 | $1,413,881 |
| Net realized gain (loss) | 4,036,565 | 659,281 |
| Change in net unrealized appreciation (depreciation) | 448,230 | 2,396,605 |
| Net increase (decrease) in net assets resulting from operations | 7,341,926 | 4,469,767 |
| Distributions to shareholders | (3,981,146) | (1,454,770) |
| Share transactions | ||
| Proceeds from sales of shares | 115,827,888 | 102,568,868 |
| Reinvestment of distributions | 3,981,012 | 1,454,761 |
| Cost of shares redeemed | (43,327,475) | (8,977,277) |
| Net increase (decrease) in net assets resulting from share transactions | 76,481,425 | 95,046,352 |
| Total increase (decrease) in net assets | 79,842,205 | 98,061,349 |
| Net Assets | ||
| Beginning of period | 108,441,867 | 10,380,518 |
| End of period | $188,284,072 | $108,441,867 |
| Other Information | ||
| Shares | ||
| Sold | 11,011,591 | 10,074,761 |
| Issued in reinvestment of distributions | 381,767 | 141,542 |
| Redeemed | (4,142,660) | (872,756) |
| Net increase (decrease) | 7,250,698 | 9,343,547 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series Investment Grade Securitized Fund
| Years ended August 31, | 2020 | 2019 | 2018 A |
| Selected Per–Share Data | |||
| Net asset value, beginning of period | $10.45 | $10.00 | $10.00 |
| Income from Investment Operations | |||
| Net investment income (loss)B | .209 | .293 | .008 |
| Net realized and unrealized gain (loss) | .330 | .475 | –C |
| Total from investment operations | .539 | .768 | .008 |
| Distributions from net investment income | (.219) | (.318) | (.008) |
| Distributions from net realized gain | (.090) | – | – |
| Total distributions | (.309) | (.318) | (.008) |
| Net asset value, end of period | $10.68 | $10.45 | $10.00 |
| Total ReturnD,E | 5.28% | 7.83% | .08% |
| Ratios to Average Net AssetsF,G | |||
| Expenses before reductions | .01% | .02% | - %C,H |
| Expenses net of fee waivers, if any | .01% | .01% | - %C,H |
| Expenses net of all reductions | .01% | .01% | - %C,H |
| Net investment income (loss) | 2.00% | 2.92% | 1.99%H |
| Supplemental Data | |||
| Net assets, end of period (000 omitted) | $188,284 | $108,442 | $10,381 |
| Portfolio turnover rateI | 1,014% | 1,434% | 18%J |
A For the period August 17, 2018 (commencement of operations) to August 31, 2018.
B Calculated based on average shares outstanding during the period.
C Amount represents less than .005%.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
H Annualized
I Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
J Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended August 31, 2020
1. Organization.
Fidelity Series Investment Grade Securitized Fund (the Fund) is a fund of Fidelity Advisor Series II (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered only to certain other Fidelity funds and Fidelity managed 529 plans. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Effective January 1, 2020:
Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to .01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – 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 the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors 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. Swaps are marked-to-market daily based on valuations from third party pricing vendors, 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, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and 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. Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of August 31, 2020 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2020, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to swaps, futures and options transactions and finance transactions.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $3,587,467 |
| Gross unrealized depreciation | (703,815) |
| Net unrealized appreciation (depreciation) | $2,883,652 |
| Tax Cost | $285,510,946 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $3,489,508 |
| Net unrealized appreciation (depreciation) on securities and other investments | $2,883,652 |
The tax character of distributions paid was as follows:
| August 31, 2020 | August 31, 2019 | |
| Total Ordinary Income | $3,981,146 | $ 1,454,770 |
Delayed Delivery Transactions and When-Issued Securities. During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities (including Private Placements). The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. 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 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 risks:
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
| 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 such as options and bi-lateral swaps, 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 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. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. 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 futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures 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 and amounts recognized in the Statement of Assets and Liabilities. 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.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
| Credit Risk | ||
| Swaps | $179,395 | $(19,372) |
| Interest Rate Risk | ||
| Futures Contracts | (445,119) | (34,639) |
| Purchased Options | 960,778 | (581,711) |
| Written Options | (81,479) | 60,450 |
| Swaps | (329,792) | 14,363 |
| Total Interest Rate Risk | 104,388 | (541,537) |
| Totals | $283,783 | $(560,909) |
A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. 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.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
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.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity Series Investment Grade Securitized Fund | 1,071,914,421 | 1,013,738,050 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Commitment fees on the Statement of Operations, and are as follows:
| Amount | |
| Fidelity Series Investment Grade Securitized Fund | $317 |
During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .003% of average net assets. This reimbursement will remain in place through December 31, 2023. The expense limitation prior to August 1, 2020 was .014%. Some expenses, for example the compensation of the independent Trustees, and certain other expenses such as interest expense, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $972.
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $1,401.
9. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds and accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
10. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Series Investment Grade Securitized Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Series Investment Grade Securitized Fund (the "Fund"), a fund of Fidelity Advisor Series II, including the schedule of investments, as of August 31, 2020, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the two years in the period then ended and for the period from August 17, 2018 (commencement of operations) through August 31, 2018, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2020, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the two years in the period then ended and for the period from August 17, 2018 (commencement of operations) through August 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2020, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
October 14, 2020
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 278 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Arthur E. Johnson serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and currently serves as director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2016
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as President of First to Four LLC (leadership and mentoring services, 2012-present), a member of the Board and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present), a member of the Board of Florida Institute of Technology (2015-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2016
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Mr. Engler currently serves as a member of the Board of K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Vice Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management and Executive Vice President and Chief Investment Officer of Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager for various institutional equity accounts and mutual funds and Portfolio Manager for a number of institutional fixed-income clients. Mr. Kenneally began his career as a Research Analyst in 1983 and was awarded the Chartered Financial Analyst (CFA) designation in 1991.
Marie L. Knowles (1946)
Year of Election or Appointment: 2001
Trustee
Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Knowles held several positions at Atlantic Richfield Company (diversified energy), including Executive Vice President and Chief Financial Officer (1996-2000), Senior Vice President (1993-1996) and President of ARCO Transportation Company (pipeline and tanker operations, 1993-1996). Ms. Knowles currently serves as a member of the Board of McKesson Corporation (healthcare service, since 2002), a member of the Board of the Santa Catalina Island Company (real estate, 2009-present), a member of the Investment Company Institute Board of Governors and a member of the Governing Council of the Independent Directors Council (2014-present). Ms. Knowles also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present) and a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of certain funds (2017-2019), as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Cynthia Lo Bessette (1969)
Year of Election or Appointment: 2019
Secretary and Chief Legal Officer (CLO)
Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Jamie Pagliocco (1964)
Year of Election or Appointment: 2020
Vice President
Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as President of Fixed Income (2020-present), and is an employee of Fidelity Investments (2001-present). Previously, Mr. Pagliocco served as Co-Chief Investment Officer – Bond (2017-2020), Global Head of Bond Trading (2016-2019), and as a portfolio manager.
Kenneth B. Robins (1969)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2016-2019), as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Deputy Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche LLP (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2020 to August 31, 2020).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio-A | Beginning Account Value March 1, 2020 | Ending Account Value August 31, 2020 | Expenses Paid During Period-B March 1, 2020 to August 31, 2020 | |
| Fidelity Series Investment Grade Securitized Fund | .01% | |||
| Actual | $1,000.00 | $1,027.60 | $.05 | |
| Hypothetical-C | $1,000.00 | $1,025.09 | $.05 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/ 366 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity Series Investment Grade Securitized Fund voted to pay on October 12, 2020, to shareholders of record at the opening of business on October 09, 2020, a distribution of $0.206 per share derived from capital gains realized from sales of portfolio securities.
A total of 1.06% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund will notify shareholders in January 2021 of amounts for use in preparing 2020 income tax returns.
IGS-ANN-1020
1.9891237.102
Item 2.
Code of Ethics
As of the end of the period, August 31, 2020, Fidelity Advisor Series II (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Advisor Limited Term Bond Fund and Fidelity Advisor Mortgage Securities Fund (the “Funds”):
Services Billed by PwC
August 31, 2020 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Advisor Limited Term Bond Fund | $86,700 | $7,500 | $10,600 | $4,100 |
Fidelity Advisor Mortgage Securities Fund | $91,300 | $7,800 | $13,100 | $4,300 |
August 31, 2019 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Advisor Limited Term Bond Fund | $105,000 | $7,800 | $4,600 | $4,500 |
Fidelity Advisor Mortgage Securities Fund | $111,000 | $8,100 | $4,600 | $4,600 |
A Amounts may reflect rounding.
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Series Investment Grade Securitized Fund (the “Fund”):
Services Billed by Deloitte Entities
August 31, 2020 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Series Investment Grade Securitized Fund | $79,700 | $- | $10,500 | $1,700 |
August 31, 2019 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Series Investment Grade Securitized Fund | $84,000 | $100 | $6,500 | $2,200 |
A Amounts may reflect rounding.
The following table(s) present(s) fees billed by Deloitte Entities and PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by PwC
| August 31, 2020A | August 31, 2019A |
Audit-Related Fees | $9,030,200 | $7,890,000 |
Tax Fees | $20,800 | $10,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
Services Billed by Deloitte Entities
| August 31, 2020A | August 31, 2019A |
|
Audit-Related Fees | $- | $290,000 |
|
Tax Fees | $3,000 | $- |
|
All Other Fees | $- | $- |
|
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities and PwC for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | August 31, 2020A | August 31, 2019A |
PwC | $14,146,000 | $12,605,000 |
Deloitte Entities | $516,800 | $710,000 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities and PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
|
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer |
|
|
Date: | October 20, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer |
|
|
Date: | October 20, 2020 |
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer |
|
|
Date: | October 20, 2020 |