Quarterly Holdings Report
for
Fidelity® Series Investment Grade Securitized Fund
November 30, 2019
IGS-QTLY-0120
1.9891239.101
Schedule of Investments November 30, 2019 (Unaudited)
Showing Percentage of Net Assets
U.S. Government Agency - Mortgage Securities - 120.5% | |||
Principal Amount | Value | ||
Fannie Mae - 38.4% | |||
3% 3/1/30 to 11/1/49 | 10,175,100 | 10,434,334 | |
3.5% 7/1/34 to 11/1/49(a)(b) | 16,208,061 | 16,978,899 | |
4% 5/1/29 to 4/1/49 | 7,777,860 | 8,162,600 | |
4.5% 12/1/48 to 9/1/49 | 11,260,061 | 11,995,643 | |
2.5% 10/1/22 to 10/1/37 | 2,285,883 | 2,296,600 | |
TOTAL FANNIE MAE | 49,868,076 | ||
Freddie Mac - 17.5% | |||
2.5% 6/1/31 to 12/1/34 | 4,605,881 | 4,662,638 | |
3% 12/1/32 to 10/1/49 | 1,734,348 | 1,783,193 | |
3.5% 11/1/33 to 5/1/49 | 5,895,771 | 6,183,687 | |
4% 9/1/42 to 10/1/48 (a)(b) | 8,025,323 | 8,405,593 | |
4.5% 10/1/39 to 12/1/48 | 1,526,606 | 1,647,511 | |
TOTAL FREDDIE MAC | 22,682,622 | ||
Ginnie Mae - 42.3% | |||
3% 1/20/47 to 4/20/48 | 1,336,690 | 1,378,176 | |
3% 12/1/49 (c) | 5,800,000 | 5,960,860 | |
3% 12/1/49 (c) | 3,100,000 | 3,185,977 | |
3% 12/1/49 (c) | 2,400,000 | 2,466,563 | |
3% 12/1/49 (c) | 1,200,000 | 1,233,281 | |
3% 12/1/49 (c) | 325,000 | 334,014 | |
3% 12/1/49 (c) | 300,000 | 308,320 | |
3% 12/1/49 (c) | 175,000 | 179,854 | |
3% 12/1/49 (c) | 350,000 | 359,707 | |
3% 12/1/49 (c) | 50,000 | 51,387 | |
3.5% 9/20/40 to 8/20/47 | 11,435,331 | 11,989,484 | |
3.5% 12/1/49 (c) | 5,400,000 | 5,580,984 | |
3.5% 12/1/49 (c) | 4,100,000 | 4,237,414 | |
3.5% 12/1/49 (c) | 3,400,000 | 3,513,953 | |
4% 10/20/40 to 5/20/49 | 7,040,369 | 7,436,797 | |
4% 12/1/49 (c) | 1,400,000 | 1,453,703 | |
4.5% 4/20/47 to 6/20/48 | 2,485,066 | 2,636,176 | |
5% 4/20/48 to 6/20/48 | 2,419,609 | 2,580,036 | |
TOTAL GINNIE MAE | 54,886,686 | ||
Uniform Mortgage Backed Securities - 22.3% | |||
3% 12/1/34 (c) | 1,000,000 | 1,023,438 | |
3% 12/1/49 (c) | 1,900,000 | 1,926,867 | |
3% 12/1/49 (c) | 10,050,000 | 10,192,113 | |
3% 12/1/49 (c) | 1,200,000 | 1,216,969 | |
3.5% 12/1/49 (c) | 2,800,000 | 2,874,375 | |
3.5% 12/1/49 (c) | 4,400,000 | 4,516,875 | |
3.5% 12/1/49 (c) | 600,000 | 615,938 | |
4.5% 12/1/49 (c) | 6,200,000 | 6,513,391 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 28,879,966 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $155,107,009) | 156,317,350 | ||
Asset-Backed Securities - 2.7% | |||
CNH Equipment Trust Series 2018-A Class A3, 3.12% 7/17/23 | $147,000 | $148,890 | |
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (d) | 54,024 | 54,315 | |
Consumer Loan Underlying Bond Credit Trust: | |||
Series 2018-P2 Class A, 3.47% 10/15/25 (d) | 38,503 | 38,738 | |
Series 2018-P3 Class A, 3.82% 1/15/26 (d) | 48,567 | 49,013 | |
Series 2019-HP1 Class A, 2.59% 12/15/26 (d) | 549,000 | 548,961 | |
Series 2019-P1 Class A, 2.94% 7/15/26 (d) | 76,305 | 76,606 | |
Finance of America Structured Securities Trust Series 2018-HB1 Class A, 3.3751% 9/25/28 (d) | 38,289 | 38,289 | |
Flagship Credit Auto Trust Series 2019-4 Class A, 2.17% 6/17/24 (d) | 200,000 | 200,139 | |
Ford Credit Auto Owner Trust Series 2019-1 Class A, 3.52% 7/15/30 (d) | 100,000 | 104,803 | |
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 | 50,000 | 55,113 | |
Marlette Funding Trust Series 2019-4A Class A, 2.39% 12/17/29 (d) | 100,000 | 100,059 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (d) | 89,779 | 92,926 | |
Nationstar HECM Loan Trust: | |||
Series 2018-3A Class A 3.5545% 11/25/28 (d) | 72,003 | 71,869 | |
Series 2019-1A Class A, 2.6513% 6/25/29 (d) | 269,154 | 269,318 | |
Navistar Financial Dealer Note Master Trust Series 2018-1 Class A, 1 month U.S. LIBOR + 0.630% 2.338% 9/25/23 (d)(e)(f) | 100,000 | 100,117 | |
Prosper Marketplace Issuance Trust: | |||
Series 2018-2A Class A, 3.35% 10/15/24 (d) | 23,572 | 23,632 | |
Series 2019-2A Class A, 3.2% 9/15/25 (d) | 1,199,236 | 1,203,678 | |
Securitized Term Auto Receivables Trust Series 2017-2A Class A4, 2.289% 3/25/22 (d) | 55,000 | 55,084 | |
Towd Point Mortgage Trust: | |||
Series 2018-6 Class A1A, 3.75% 3/25/58 (d) | 83,848 | 86,286 | |
Series 2019-1 Class A1, 3.75% 3/25/58 (d) | 88,488 | 92,289 | |
Upgrade Receivables Trust Series 2018-1A Class A, 3.76% 11/15/24 (d) | 35,517 | 35,617 | |
Verizon Owner Trust Series 2017-1A Class A, 2.06% 9/20/21 (d) | 30,362 | 30,360 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $3,448,033) | 3,476,102 | ||
Collateralized Mortgage Obligations - 2.0% | |||
Private Sponsor - 2.0% | |||
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
planned amortization class Series 2016-69 Class WA, 3% 2/20/46 | 65,070 | 66,228 | |
sequential payer: | |||
Series 2017-139 Class BA, 3% 9/20/47 | 382,907 | 387,131 | |
Series 2018-H12 Class HA, 3.25% 8/20/68 (g) | 99,476 | 103,872 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 2.3595% 8/25/60 (d)(e)(f) | 132,230 | 131,998 | |
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 2.4209% 10/15/54 (d)(e)(f) | 184,266 | 184,178 | |
Lanark Master Issuer PLC: | |||
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.6873% 12/22/69 (d)(e)(f) | 173,333 | 173,599 | |
Series 2019-2A Class 1A, 2.71% 12/22/69 (d) | 218,000 | 219,082 | |
Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/26/29 (d) | 100,000 | 99,686 | |
Permanent Master Issuer PLC floater Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 2.3661% 7/15/58 (d)(e)(f) | 1,000,000 | 1,000,040 | |
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 10/25/49 (d) | 100,000 | 100,984 | |
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 2.5359% 1/21/70 (d)(e)(f) | 183,000 | 182,751 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $2,648,986) | 2,649,549 | ||
Commercial Mortgage Securities - 7.9% | |||
BAMLL Commercial Mortgage Securities Trust sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (d) | 100,000 | 102,998 | |
Benchmark Mortgage Trust: | |||
Series 2019-B12 Class XA, 1.2066% 8/15/52 (e)(h) | 971,344 | 72,870 | |
Series 2019-B14 Class XA, 0.7959% 12/15/61 (e)(h) | 1,212,000 | 69,072 | |
BX Commercial Mortgage Trust floater sequential payer Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 2.626% 11/25/28 (d)(e)(f) | 32,000 | 32,000 | |
BX Trust floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 2.7654% 4/15/34 (d)(e)(f) | 103,000 | 103,086 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 2.6854% 10/15/36 (d)(e)(f) | 1,000,000 | 1,000,938 | |
CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50 | 400,000 | 419,844 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 2.8% 11/15/36 (d)(e)(f) | 100,000 | 100,000 | |
Class B, 1 month U.S. LIBOR + 1.250% 3.1% 11/15/36 (d)(e)(f) | 100,000 | 100,000 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 2.8854% 6/15/34 (d)(e)(f) | 140,000 | 140,242 | |
Citigroup Commercial Mortgage Trust sequential payer: | |||
Series 2017-C4 Class AAB, 3.297% 10/12/50 | 280,000 | 294,882 | |
Series 2017-P7 Class AAB, 3.509% 4/14/50 | 400,000 | 419,583 | |
Series 2018-B2 Class AAB, 3.962% 3/10/51 | 300,000 | 324,814 | |
COMM Mortgage Trust sequential payer Series 2017-CD4 Class ASB, 3.317% 5/10/50 | 278,000 | 290,289 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 2.7454% 5/15/36 (d)(e)(f) | 1,400,000 | 1,401,964 | |
Series 2018-SITE Class A, 4.284% 4/15/36 (d) | 100,000 | 105,705 | |
CSAIL Commercial Mortgage Trust sequential payer: | |||
Series 2015-C3 Class A4, 3.7182% 8/15/48 | 200,000 | 212,933 | |
Series 2019-C18 Class A4, 2.968% 12/15/52 | 300,000 | 307,211 | |
Freddie Mac sequential payer Series 2019-K101 Class A2, 2.524% 10/25/29 | 400,000 | 409,091 | |
Freddie Mac Multi-family Structured pass-thru certificates Series K078 Class A2, 3.854% 6/25/28 | 500,000 | 557,955 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 3.2154% 9/15/31 (d)(e)(f) | 1,625,000 | 1,619,427 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 2.8554% 10/15/31 (d)(e)(f) | 1,200,000 | 1,199,211 | |
sequential payer Series 2015-GC32 Class A4, 3.764% 7/10/48 | 100,000 | 107,412 | |
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (d) | 100,000 | 103,905 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 2.7154% 3/15/34 (d)(e)(f) | 32,000 | 32,000 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (d) | 179,000 | 184,505 | |
Series 2019-MEAD Class B, 3.1771% 11/10/36 (d) | 26,000 | 26,528 | |
MSCG Trust Series 2016-SNR Class A, 3.4596% 11/15/34 (d)(e) | 2,128 | 2,137 | |
RETL floater Series 2019-RVP: | |||
Class A, 1 month U.S. LIBOR + 1.150% 2.9154% 3/15/36 (d)(e)(f) | 24,650 | 24,665 | |
Class B, 1 month U.S. LIBOR + 1.550% 3.3154% 3/15/36 (d)(e)(f) | 100,000 | 100,187 | |
Class C, 1 month U.S. LIBOR + 2.100% 3.8654% 3/15/36 (d)(e)(f) | 100,000 | 100,375 | |
Wells Fargo Commercial Mortgage Trust sequential payer Series 2015-C26 Class A4, 3.166% 2/15/48 | 100,000 | 103,965 | |
WF-RBS Commercial Mortgage Trust Series 2014-C25 Class A5, 3.631% 11/15/47 | 150,000 | 159,019 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $10,178,884) | 10,228,813 | ||
Shares | Value | ||
Money Market Funds - 16.0% | |||
Fidelity Cash Central Fund 1.61% (i) | |||
(Cost $20,764,171) | 20,760,019 | 20,764,171 |
Purchased Swaptions - 1.3% | ||||
Expiration Date | Notional Amount | Value | ||
Put Options - 0.4% | ||||
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.78% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/15/24 | 3,400,000 | $100,113 | |
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 | 2,100,000 | 61,736 | |
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 | 1,800,000 | 51,434 | |
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.525% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/4/22 | 6,000,000 | 55,806 | |
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.54% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/5/22 | 5,000,000 | 45,504 | |
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.755% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 2/15/22 | 500,000 | 3,081 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.905% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/28/24 | 2,200,000 | 58,889 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.645% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/14/22 | 2,000,000 | 15,899 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.767% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 2/1/22 | 400,000 | 2,365 | |
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 | 20,421 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.741% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/12/24 | 1,000,000 | 29,933 | |
TOTAL PUT OPTIONS | 445,181 | |||
Call Options - 0.9% | ||||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.78% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/15/24 | 3,400,000 | 93,010 | |
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 | 2,100,000 | 57,610 | |
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 | 1,800,000 | 50,824 | |
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.525% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/4/22 | 6,000,000 | 370,907 | |
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.54% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/5/22 | 5,000,000 | 312,963 | |
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.755% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 2/15/22 | 500,000 | 37,142 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.905% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/28/24 | 2,200,000 | 66,374 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.645% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 | 4/14/22 | 2,000,000 | 135,930 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.767% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2029 | 2/1/22 | 400,000 | 30,001 | |
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 | 13,735 | |
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.741% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 | 9/12/24 | 1,000,000 | 26,359 | |
TOTAL CALL OPTIONS | 1,194,855 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $1,400,328) | 1,640,036 | |||
TOTAL INVESTMENT IN SECURITIES - 150.4% | ||||
(Cost $193,547,411) | 195,076,021 | |||
NET OTHER ASSETS (LIABILITIES) - (50.4)% | (65,393,638) | |||
NET ASSETS - 100% | $129,682,383 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Ginnie Mae | ||
3% 12/1/49 | $(1,200,000) | $(1,233,281) |
3% 12/1/49 | (1,200,000) | (1,233,281) |
3% 12/1/49 | (1,600,000) | (1,644,375) |
3% 12/1/49 | (2,000,000) | (2,055,469) |
3% 12/1/49 | (2,100,000) | (2,158,242) |
3.5% 12/1/49 | (1,300,000) | (1,343,570) |
TOTAL GINNIE MAE | (9,668,218) | |
Uniform Mortgage Backed Securities | ||
3% 12/1/34 | (1,000,000) | (1,023,438) |
3% 12/1/49 | (1,200,000) | (1,216,969) |
3% 12/1/49 | (1,300,000) | (1,318,383) |
3% 12/1/49 | (5,000,000) | (5,070,703) |
3% 12/1/49 | (700,000) | (709,898) |
3.5% 12/1/49 | (250,000) | (256,641) |
3.5% 12/1/49 | (1,000,000) | (1,026,563) |
3.5% 12/1/49 | (500,000) | (513,281) |
4.5% 12/1/49 | (6,200,000) | (6,513,391) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (17,649,267) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $27,292,722) | $(27,317,485) |
Written Swaptions | |||
Expiration Date | Notional Amount | Value | |
Put Swaptions | |||
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.1675% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 6/20/24 | 3,600,000 | $(73,162) |
Call Swaptions | |||
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.1675% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 | 6/20/24 | 3,600,000 | (132,337) |
TOTAL WRITTEN SWAPTIONS | $(205,499) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 21 | March 2020 | $2,716,547 | $(8,308) | $(8,308) |
Sold | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 9 | March 2020 | 1,940,273 | (655) | (655) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 34 | March 2020 | 4,044,938 | 8,166 | 8,166 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 1 | March 2020 | 187,719 | (1,651) | (1,651) |
TOTAL SOLD FUTURES | 5,860 | ||||
TOTAL FUTURES CONTRACTS | $(2,448) |
The notional amount of futures purchased as a percentage of Net Assets is 2.1%
The notional amount of futures sold as a percentage of Net Assets is 4.8%
Swaps
Underlying Reference | Rating | 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 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $400,000 | $(2,000) | $823 | $(1,177) | |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 610,000 | (3,050) | 2,955 | (95) | |
CMBX N.A. AAA Index Series 11 | Nov. 2054 | J.P. Morgan Securities LLC | (0.5%) | Monthly | 400,000 | (2,000) | 1,876 | (124) | |
TOTAL CREDIT DEFAULT SWAPS | $(7,050) | $5,654 | $(1,396) | ||||||
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 | |||||||||
1.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Dec. 2021 | $9,105,000 | $(6,561) | $0 | $(6,561) |
1.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Dec. 2024 | 260,000 | (507) | 0 | (507) |
3-month LIBOR(3) | Quarterly | 1.75% | Semi - annual | LCH | Dec. 2026 | 1,860,000 | 8,128 | 0 | 8,128 |
3-month LIBOR(3) | Quarterly | 1.5% | Semi - annual | LCH | Dec. 2029 | 5,455,000 | 62,011 | 0 | 62,011 |
TOTAL INTEREST RATE SWAPS | $63,071 | $0 | $63,071 | ||||||
(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 $75,586.
(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 $334,171.
(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 $11,844,290 or 9.1% 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 are available on the SEC's website or upon request.
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 | $77,223 |
Total | $77,223 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. 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: 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). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 each business day and are categorized as Level 1 in the hierarchy.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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