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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