0001752724-24-166792.txt : 20240726 0001752724-24-166792.hdr.sgml : 20240726 20240726160942 ACCESSION NUMBER: 0001752724-24-166792 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240531 FILED AS OF DATE: 20240726 DATE AS OF CHANGE: 20240726 PERIOD START: 20250228 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY SALEM STREET TRUST CENTRAL INDEX KEY: 0000035315 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-02105 FILM NUMBER: 241146907 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY FIXED INCOME TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY FLEXIBLE BOND FUND DATE OF NAME CHANGE: 19860904 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY CORPORATE BOND FUND INC DATE OF NAME CHANGE: 19851225 0000035315 S000017677 Fidelity Intermediate Treasury Bond Index Fund C000194654 Fidelity Intermediate Treasury Bond Index Fund FUAMX NPORT-P 1 primary_doc.xml NPORT-P false 0000035315 XXXXXXXX S000017677 C000194654 Fidelity Salem Street Trust 811-02105 0000035315 S4W85DGKOEJ24DPRB829 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Intermediate Treasury Bond Index Fund S000017677 549300EY0UI546HG7V19 2025-02-28 2024-05-31 N 8355942530.43 22256010.07 8333686520.36 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 242591.60000000 USD N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.875% 09/30/2029 91282CFL0 46800000.00000000 PA USD 45383203.01000000 0.544575355685 Long DBT UST US N 2 2029-09-30 Fixed 0.03875000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 5.5% 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DBT UST US N 2 2027-11-30 Fixed 0.00625000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.125% 08/31/2029 91282CFJ5 388759000.00000000 PA USD 363793382.97000000 4.365335582052 Long DBT UST US N 2 2029-08-31 Fixed 0.03125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 6.625% 02/15/2027 912810EZ7 315000.00000000 PA USD 331352.93000000 0.003976066644 Long DBT UST US N 2 2027-02-15 Fixed 0.06625000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 5.25% 02/15/2029 912810FG8 4944000.00000000 PA USD 5102169.39000000 0.061223437881 Long DBT UST US N 2 2029-02-15 Fixed 0.05250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.375% 11/30/2030 91282CJM4 113600000.00000000 PA USD 112734687.22000000 1.352758913412 Long DBT UST US N 2 2030-11-30 Fixed 0.04375000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.875% 10/31/2030 91282CJG7 186900000.00000000 PA USD 190608796.88000000 2.287208625070 Long DBT UST US N 2 2030-10-31 Fixed 0.04875000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 6.375% 08/15/2027 912810FA1 3000.00000000 PA USD 3156.21000000 0.000037872914 Long DBT UST US N 2 2027-08-15 Fixed 0.06375000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.25% 02/28/2031 91282CKC4 215500000.00000000 PA USD 212393770.07000000 2.548617224215 Long DBT UST US N 2 2031-02-28 Fixed 0.04250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.625% 12/31/2027 91282CBB6 2000.00000000 PA USD 1739.84000000 0.000020877195 Long DBT UST US N 2 2027-12-31 Fixed 0.00625000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.75% 08/15/2032 91282CFF3 328300000.00000000 PA USD 289173307.77000000 3.469932629017 Long DBT UST US N 2 2032-08-15 Fixed 0.02750000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.375% 07/31/2027 91282CAD3 17000.00000000 PA USD 14888.28000000 0.000178651788 Long DBT UST US N 2 2027-07-31 Fixed 0.00375000 N 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DBT UST US N 2 2028-05-31 Fixed 0.01250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.625% 03/31/2030 91282CGS4 120200000.00000000 PA USD 114767523.74000000 1.377151917817 Long DBT UST US N 2 2030-03-31 Fixed 0.03625000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 5.375% 02/15/2031 912810FP8 63650000.00000000 PA USD 67160695.31000000 0.805894187955 Long DBT UST US N 2 2031-02-15 Fixed 0.05375000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.25% 03/31/2028 91282CBS9 77000.00000000 PA USD 68051.76000000 0.000816586511 Long DBT UST US N 2 2028-03-31 Fixed 0.01250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4% 10/31/2029 91282CFT3 50800000.00000000 PA USD 49541906.50000000 0.594477682583 Long DBT UST US N 2 2029-10-31 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.5% 02/15/2033 91282CGM7 350100000.00000000 PA USD 325059643.66000000 3.900550409063 Long DBT UST US N 2 2033-02-15 Fixed 0.03500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.625% 05/15/2030 912828ZQ6 279105000.00000000 PA USD 223174976.00000000 2.677986212401 Long DBT UST US N 2 2030-05-15 Fixed 0.00625000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.5% 04/30/2027 912828ZN3 48000.00000000 PA USD 42611.25000000 0.000511313329 Long DBT UST US N 2 2027-04-30 Fixed 0.00500000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 6.25% 05/15/2030 912810FM5 124504000.00000000 PA USD 135728813.75000000 1.628676737700 Long DBT UST US N 2 2030-05-15 Fixed 0.06250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.5% 10/31/2027 91282CAU5 38000.00000000 PA USD 33108.98000000 0.000397290921 Long DBT UST US N 2 2027-10-31 Fixed 0.00500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.25% 08/15/2031 91282CCS8 465608000.00000000 PA USD 373577668.75000000 4.482742035440 Long DBT UST US N 2 2031-08-15 Fixed 0.01250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.375% 05/15/2029 9128286T2 193998000.00000000 PA USD 175757640.69000000 2.109002303609 Long DBT UST US N 2 2029-05-15 Fixed 0.02375000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Cash Central Fund 31635A105 70580655.80700000 NS USD 70594771.94000000 0.847101361054 Long STIV RF US N 1 N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.625% 08/15/2029 912828YB0 190126000.00000000 PA USD 165112548.13000000 1.981266606640 Long DBT UST US N 2 2029-08-15 Fixed 0.01625000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.5% 06/30/2027 912828ZV5 26000.00000000 PA USD 22942.97000000 0.000275303971 Long DBT UST US N 2 2027-06-30 Fixed 0.00500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.25% 06/30/2029 91282CEV9 134250000.00000000 PA USD 126583065.74000000 1.518932412813 Long DBT UST US N 2 2029-06-30 Fixed 0.03250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.5% 11/15/2033 91282CJJ1 408900000.00000000 PA USD 408963890.63000000 4.907358701708 Long DBT UST US N 2 2033-11-15 Fixed 0.04500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.875% 02/15/2032 91282CDY4 306022000.00000000 PA USD 254093891.88000000 3.048997478597 Long DBT UST US N 2 2032-02-15 Fixed 0.01875000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.625% 04/30/2031 91282CKN0 102800000.00000000 PA USD 103554937.50000000 1.242606585296 Long DBT UST US N 2 2031-04-30 Fixed 0.04625000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4% 02/28/2030 91282CGQ8 32650000.00000000 PA USD 31803140.63000000 0.381621513507 Long DBT UST US N 2 2030-02-28 Fixed 0.04000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.75% 11/15/2029 912828YS3 253086000.00000000 PA USD 220283680.45000000 2.643292136221 Long DBT UST US N 2 2029-11-15 Fixed 0.01750000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.875% 12/31/2029 91282CGB1 26700000.00000000 PA USD 25857281.25000000 0.310274224820 Long DBT UST US N 2 2029-12-31 Fixed 0.03875000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.125% 02/15/2031 91282CBL4 247938000.00000000 PA USD 200461745.79000000 2.405439001098 Long DBT UST US N 2 2031-02-15 Fixed 0.01125000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.125% 08/31/2030 91282CHW4 37850000.00000000 PA USD 37048644.34000000 0.444564890333 Long DBT UST US N 2 2030-08-31 Fixed 0.04125000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.625% 08/15/2030 91282CAE1 491822000.00000000 PA USD 389692087.81000000 4.676106868886 Long DBT UST US N 2 2030-08-15 Fixed 0.00625000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.875% 05/15/2032 91282CEP2 381050000.00000000 PA USD 339878736.38000000 4.078371985190 Long DBT UST US N 2 2032-05-15 Fixed 0.02875000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 1.5% 02/15/2030 912828Z94 317987000.00000000 PA USD 270363479.79000000 3.244224259329 Long DBT UST US N 2 2030-02-15 Fixed 0.01500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.625% 07/31/2029 91282CFC0 82150000.00000000 PA USD 75080607.22000000 0.900929103063 Long DBT UST US N 2 2029-07-31 Fixed 0.02625000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.875% 08/15/2033 91282CHT1 273600000.00000000 PA USD 260732250.00000000 3.128654399982 Long DBT UST US N 2 2033-08-15 Fixed 0.03875000 N N N N N N 2024-06-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX NPORT-EX 2 QTLY_1561_20240531.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity® Intermediate Treasury Bond Index Fund
May 31, 2024
ITB-NPRT1-0724
1.832120.118
U.S. Government and Government Agency Obligations - 99.1%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Obligations - 99.1%
 
 
 
U.S. Treasury Bonds:
 
 
 
 5.25% 2/15/29
 
4,944,000
5,102,169
 5.375% 2/15/31
 
63,650,000
67,160,695
 5.5% 8/15/28
 
41,000
42,587
 6.25% 5/15/30
 
124,504,000
135,728,814
 6.375% 8/15/27
 
3,000
3,156
 6.625% 2/15/27
 
315,000
331,353
U.S. Treasury Notes:
 
 
 
 0.375% 7/31/27
 
17,000
14,888
 0.375% 9/30/27
 
28,000
24,365
 0.5% 4/30/27
 
48,000
42,611
 0.5% 6/30/27
 
26,000
22,943
 0.5% 10/31/27
 
38,000
33,109
 0.625% 11/30/27
 
115,000
100,342
 0.625% 12/31/27
 
2,000
1,740
 0.625% 5/15/30
 
279,105,000
223,174,976
 0.625% 8/15/30
 
491,822,000
389,692,088
 0.875% 11/15/30
 
577,791,000
461,939,392
 1% 7/31/28
 
43,000
37,255
 1.125% 2/15/31
 
247,938,000
200,461,746
 1.25% 3/31/28
 
77,000
68,052
 1.25% 5/31/28
 
34,000
29,913
 1.25% 8/15/31
 
465,608,000
373,577,669
 1.375% 11/15/31
 
357,485,000
287,440,283
 1.5% 2/15/30
 
317,987,000
270,363,480
 1.625% 8/15/29
 
190,126,000
165,112,548
 1.625% 5/15/31
 
241,616,000
200,673,415
 1.75% 11/15/29
 
253,086,000
220,283,680
 1.875% 2/15/32
 
306,022,000
254,093,892
 2.625% 7/31/29
 
82,150,000
75,080,607
 2.75% 8/15/32
 
328,300,000
289,173,308
 2.875% 5/15/28
 
20,000
18,786
 2.875% 5/15/32
 
381,050,000
339,878,736
 3.125% 8/31/29
 
388,759,000
363,793,383
 3.25% 6/30/29
 
42,450,000
40,025,707
 3.375% 5/15/33
 
389,600,000
357,579,750
 3.5% 4/30/30
 
73,950,000
70,093,623
 3.5% 2/15/33
 
350,100,000
325,059,644
 3.625% 3/31/30
 
120,200,000
114,767,524
 3.875% 9/30/29
 
46,800,000
45,383,203
 3.875% 11/30/29
 
79,350,000
76,892,010
 3.875% 12/31/29
 
26,700,000
25,857,281
 3.875% 8/15/33
 
273,600,000
260,732,250
 4% 10/31/29
 
50,800,000
49,541,907
 4% 2/28/30
 
32,650,000
31,803,141
 4% 7/31/30
 
235,000,000
228,574,219
 4% 1/31/31
 
225,850,000
219,321,523
 4% 2/15/34
 
396,050,000
380,764,945
 4.125% 8/31/30
 
37,850,000
37,048,644
 4.125% 3/31/31
 
126,250,000
123,488,281
 4.125% 11/15/32
 
243,700,000
237,321,913
 4.25% 2/28/31
 
215,500,000
212,393,770
 4.375% 11/30/30
 
113,600,000
112,734,687
 4.375% 5/15/34
 
147,900,000
146,582,766
 4.5% 11/15/33
 
408,900,000
408,963,891
 4.625% 4/30/31
 
102,800,000
103,554,938
 4.625% 5/31/31
 
151,250,000
152,343,017
 4.875% 10/31/30
 
186,900,000
190,608,797
 
 
 
 
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $8,683,966,493)
 
 
 
8,274,939,412
 
 
 
 
Money Market Funds - 0.8%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.39% (b)
 
 (Cost $70,594,772)
 
 
70,580,656
70,594,772
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 99.9%
 (Cost $8,754,561,265)
 
 
 
8,345,534,184
NET OTHER ASSETS (LIABILITIES) - 0.1%  
7,759,077
NET ASSETS - 100.0%
8,353,293,261
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.39%
66,409,718
266,503,080
262,317,531
339,393
(495)
-
70,594,772
0.1%
Fidelity Securities Lending Cash Central Fund 5.39%
-
733,133,906
733,133,906
53,913
-
-
-
0.0%
Total
66,409,718
999,636,986
995,451,437
393,306
(495)
-
70,594,772
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
 
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.   
 
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Government and Government Agency Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
 
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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