0001752724-24-166839.txt : 20240726 0001752724-24-166839.hdr.sgml : 20240726 20240726161206 ACCESSION NUMBER: 0001752724-24-166839 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: 241146992 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: 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Fixed 0.03250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.25% 10/15/2025 91282CFP1 7500000.00000000 PA USD 7419140.63000000 0.048899019653 Long DBT UST US N 2 2025-10-15 Fixed 0.04250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 2.25% 11/15/2025 912828M56 54523000.00000000 PA USD 52405974.41000000 0.345403989546 Long DBT UST US N 2 2025-11-15 Fixed 0.02250000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.5% 02/15/2046 912810RQ3 15623000.00000000 PA USD 10880565.08000000 0.071713018018 Long DBT UST US N 2 2046-02-15 Fixed 0.02500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 4.875% 10/31/2028 91282CJF9 84100000.00000000 PA USD 85184101.14000000 0.561442253692 Long DBT UST US N 2 2028-10-31 Fixed 0.04875000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.375% 12/31/2025 91282CBC4 86183100.00000000 PA USD 80194047.64000000 0.528553171744 Long DBT UST US N 2 2025-12-31 Fixed 0.00375000 N N N N N N UNITED 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NOTES 254900HROIFWPRGM1V77 UST NOTES 4.125% 07/31/2028 91282CHQ7 112000000.00000000 PA USD 110166874.72000000 0.726101908658 Long DBT UST US N 2 2028-07-31 Fixed 0.04125000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 5% 10/31/2025 91282CJE2 133700000.00000000 PA USD 133590285.78000000 0.880483917961 Long DBT UST US N 2 2025-10-31 Fixed 0.05000000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.125% 08/31/2027 91282CFH9 9600000.00000000 PA USD 9164250.05000000 0.060400909707 Long DBT UST US N 2 2027-08-31 Fixed 0.03125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.25% 08/15/2046 912810RT7 1600000.00000000 PA USD 1053875.01000000 0.006946014019 Long DBT UST US N 2 2046-08-15 Fixed 0.02250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.875% 08/15/2033 91282CHT1 152600000.00000000 PA USD 145423031.25000000 0.958472688109 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_2814_20240531.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity® SAI U.S. Treasury Bond Index Fund
May 31, 2024
 
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
UYB-NPRT1-0724
1.9868587.108
U.S. Government and Government Agency Obligations - 99.3%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Obligations - 99.3%
 
 
 
U.S. Treasury Bonds:
 
 
 
 1.125% 5/15/40
 
21,884,000
13,250,078
 1.125% 8/15/40
 
121,437,000
72,833,738
 1.25% 5/15/50
 
12,672,000
6,169,680
 1.375% 11/15/40
 
60,934,300
37,922,081
 1.375% 8/15/50
 
4,170,000
2,097,054
 1.625% 11/15/50
 
92,037,500
49,520,490
 1.75% 8/15/41
 
142,327,000
92,829,450
 1.875% 2/15/41
 
14,329,000
9,677,113
 1.875% 2/15/51
 
158,731,000
91,127,715
 1.875% 11/15/51
 
90,363,000
51,524,559
 2% 11/15/41
 
95,700,000
64,866,656
 2% 2/15/50
 
94,678,000
56,618,183
 2% 8/15/51
 
140,345,000
82,858,372
 2.25% 5/15/41
 
75,633,000
54,065,777
 2.25% 8/15/46
 
1,600,000
1,053,875
 2.25% 8/15/49
 
43,180,000
27,508,696
 2.25% 2/15/52
 
138,800,000
86,918,078
 2.375% 2/15/42
 
97,200,000
69,877,692
 2.375% 11/15/49
 
35,960,000
23,528,516
 2.375% 5/15/51
 
189,037,000
122,541,759
 2.5% 2/15/45
 
4,601,000
3,241,908
 2.5% 2/15/46
 
15,623,000
10,880,565
 2.5% 5/15/46
 
24,683,000
17,140,222
 2.75% 8/15/42
 
59,738,000
45,370,544
 2.75% 11/15/42
 
32,626,000
24,693,804
 2.75% 8/15/47
 
12,031,000
8,659,030
 2.75% 11/15/47
 
318,000
228,376
 2.875% 5/15/43
 
56,884,000
43,682,912
 2.875% 8/15/45
 
45,054,000
33,818,659
 2.875% 11/15/46
 
4,289,000
3,182,405
 2.875% 5/15/49
 
34,911,000
25,437,300
 2.875% 5/15/52
 
33,900,000
24,462,293
 3% 5/15/42
 
33,338,000
26,417,761
 3% 11/15/44
 
40,600,000
31,334,953
 3% 5/15/45
 
39,700,000
30,510,070
 3% 11/15/45
 
57,800,000
44,264,414
 3% 2/15/47
 
77,389,000
58,619,145
 3% 5/15/47
 
82,292,000
62,214,037
 3% 2/15/48
 
23,859,000
17,931,530
 3% 8/15/48
 
106,508,000
79,826,914
 3% 2/15/49
 
83,411,000
62,362,755
 3% 8/15/52
 
101,400,000
75,107,296
 3.125% 11/15/41
 
50,864,000
41,388,593
 3.125% 2/15/42
 
11,800,000
9,563,531
 3.125% 2/15/43
 
67,701,000
54,224,270
 3.125% 5/15/48
 
99,204,500
76,197,582
 3.25% 5/15/42
 
172,000,000
141,476,718
 3.375% 8/15/42
 
70,200,000
58,647,164
 3.375% 5/15/44
 
61,800,000
50,898,094
 3.375% 11/15/48
 
8,391,300
6,730,085
 3.5% 2/15/39
 
315,000
280,325
 3.625% 8/15/43
 
33,301,000
28,620,648
 3.625% 2/15/44
 
38,656,000
33,127,890
 3.625% 2/15/53
 
63,100,000
52,848,715
 3.625% 5/15/53
 
95,300,000
79,828,641
 3.75% 11/15/43
 
12,484,000
10,912,772
 3.875% 2/15/43
 
57,200,000
51,131,438
 4% 11/15/42
 
109,500,000
99,811,817
 4% 11/15/52
 
138,800,000
124,638,063
 4.125% 8/15/53
 
79,800,000
73,191,563
 4.25% 5/15/39
 
1,598,000
1,544,130
 4.25% 11/15/40
 
17,780,000
16,991,707
 4.25% 2/15/54
 
44,600,000
41,833,406
 4.375% 2/15/38
 
6,284,000
6,207,905
 4.375% 11/15/39
 
4,140,000
4,044,424
 4.375% 5/15/41
 
7,517,000
7,276,515
 4.375% 8/15/43
 
6,500,000
6,207,246
 4.5% 2/15/36 (b)
 
24,732,200
24,934,115
 4.5% 5/15/38
 
24,300,000
24,285,762
 4.5% 8/15/39
 
3,831,000
3,800,921
 4.5% 2/15/44
 
4,200,000
4,075,969
 4.625% 2/15/40
 
4,405,000
4,421,519
 4.625% 5/15/54
 
16,300,000
16,279,625
 4.75% 2/15/37
 
13,000
13,377
 4.75% 2/15/41
 
33,300,000
33,751,371
 4.75% 11/15/53
 
37,400,000
38,101,250
 5% 5/15/37
 
1,967,000
2,070,882
 5.25% 11/15/28
 
31,601,000
32,513,232
 5.25% 2/15/29
 
10,374,000
10,705,887
 5.375% 2/15/31
 
3,562,000
3,758,467
 5.5% 8/15/28
 
154,965,000
160,963,841
 6% 2/15/26
 
3,771,000
3,844,800
 6.125% 11/15/27
 
139,604,000
146,393,335
 6.25% 5/15/30
 
116,378,000
126,870,204
 6.375% 8/15/27
 
21,500,000
22,619,512
 6.5% 11/15/26
 
39,000
40,834
 6.625% 2/15/27
 
9,550,000
10,045,779
 6.75% 8/15/26
 
2,423,000
2,525,504
 6.875% 8/15/25
 
91,000
93,197
U.S. Treasury Notes:
 
 
 
 0.25% 6/30/25
 
115,476,400
109,633,791
 0.25% 7/31/25
 
157,226,000
148,713,687
 0.25% 8/31/25
 
124,344,000
117,145,649
 0.25% 9/30/25
 
150,380,000
141,175,099
 0.25% 10/31/25
 
50,021,300
46,787,501
 0.375% 11/30/25
 
32,600,000
30,442,797
 0.375% 12/31/25
 
86,183,100
80,194,048
 0.375% 1/31/26
 
123,905,000
114,897,688
 0.375% 7/31/27
 
141,814,000
124,198,042
 0.375% 9/30/27
 
61,826,000
53,800,695
 0.5% 2/28/26
 
156,611,000
145,097,645
 0.5% 4/30/27
 
119,444,000
106,034,545
 0.5% 5/31/27
 
38,920,000
34,435,078
 0.5% 6/30/27
 
25,881,000
22,837,961
 0.5% 8/31/27
 
76,109,000
66,705,376
 0.625% 7/31/26
 
129,205,000
118,207,433
 0.625% 3/31/27
 
17,704,000
15,820,875
 0.625% 11/30/27
 
28,200,700
24,606,212
 0.625% 12/31/27
 
15,039,900
13,083,538
 0.625% 5/15/30
 
154,627,000
123,641,200
 0.625% 8/15/30
 
182,194,900
144,360,990
 0.75% 3/31/26 (b)
 
114,616,000
106,364,543
 0.75% 4/30/26
 
79,288,000
73,369,274
 0.75% 5/31/26
 
144,299,000
133,121,464
 0.75% 8/31/26
 
57,499,000
52,589,125
 0.75% 1/31/28
 
122,528,000
106,781,238
 0.875% 6/30/26
 
32,001,000
29,527,173
 0.875% 9/30/26
 
199,077,000
182,171,007
 0.875% 11/15/30
 
64,580,900
51,631,925
 1% 7/31/28
 
142,409,000
123,384,048
 1.125% 10/31/26
 
107,215,000
98,390,703
 1.125% 2/28/27
 
89,038,000
80,937,629
 1.125% 2/29/28
 
29,970,000
26,427,452
 1.125% 8/31/28
 
190,807,000
165,793,395
 1.125% 2/15/31
 
30,498,000
24,658,109
 1.25% 11/30/26
 
76,047,000
69,844,417
 1.25% 12/31/26
 
85,700,000
78,552,754
 1.25% 3/31/28
 
39,508,000
34,916,738
 1.25% 4/30/28
 
44,999,000
39,685,251
 1.25% 5/31/28
 
85,074,000
74,848,504
 1.25% 6/30/28
 
147,635,000
129,584,315
 1.25% 9/30/28
 
131,538,000
114,659,003
 1.25% 8/15/31
 
235,666,000
189,085,142
 1.375% 8/31/26
 
132,600,000
122,991,679
 1.375% 10/31/28
 
131,200,000
114,733,375
 1.375% 12/31/28
 
23,700,000
20,636,590
 1.375% 11/15/31
 
85,946,000
69,105,956
 1.5% 8/15/26
 
102,770,000
95,716,606
 1.5% 1/31/27
 
129,900,000
119,533,371
 1.5% 11/30/28
 
67,400,000
59,154,031
 1.5% 2/15/30
 
30,793,000
26,181,267
 1.625% 2/15/26
 
29,244,000
27,662,996
 1.625% 9/30/26
 
75,600,000
70,414,313
 1.625% 10/31/26
 
87,777,000
81,553,748
 1.625% 11/30/26
 
9,625,000
8,925,308
 1.625% 8/15/29
 
116,062,000
100,792,593
 1.625% 5/15/31
 
276,993,000
230,055,664
 1.75% 12/31/26
 
39,400,000
36,581,976
 1.75% 1/31/29
 
76,700,000
67,828,567
 1.75% 11/15/29
 
21,907,000
19,067,647
 1.875% 8/31/24
 
1,000
991
 1.875% 6/30/26
 
30,005,000
28,263,303
 1.875% 7/31/26
 
63,142,000
59,360,880
 1.875% 2/28/27
 
71,600,000
66,428,578
 1.875% 2/28/29
 
2,900,000
2,575,563
 1.875% 2/15/32
 
128,600,000
106,778,188
 2% 8/15/25
 
54,627,000
52,663,842
 2% 11/15/26
 
30,050,000
28,150,746
 2.125% 5/15/25
 
5,400,000
5,247,439
 2.125% 5/31/26
 
37,900,000
35,936,898
 2.25% 11/15/25
 
54,523,000
52,405,974
 2.25% 2/15/27
 
44,880,000
42,111,816
 2.25% 8/15/27
 
15,984,000
14,854,506
 2.25% 11/15/27
 
43,000,000
39,780,039
 2.375% 4/30/26
 
9,000
8,590
 2.375% 5/15/27
 
7,901,000
7,405,644
 2.375% 3/31/29
 
113,600,000
103,123,063
 2.375% 5/15/29
 
93,199,000
84,436,109
 2.5% 2/28/26
 
2,000
1,919
 2.625% 12/31/25
 
83,200,000
80,216,500
 2.625% 1/31/26
 
28,504,000
27,436,213
 2.625% 5/31/27
 
40,400,000
38,110,141
 2.625% 2/15/29
 
76,744,000
70,613,474
 2.625% 7/31/29
 
29,600,000
27,052,781
 2.75% 6/30/25
 
89,960,000
87,719,200
 2.75% 8/31/25
 
17,437,000
16,944,541
 2.75% 4/30/27
 
83,900,000
79,531,301
 2.75% 7/31/27
 
12,400,000
11,712,188
 2.75% 2/15/28
 
86,418,200
81,003,560
 2.75% 5/31/29
 
158,100,000
145,729,910
 2.75% 8/15/32
 
118,900,000
104,729,535
 2.875% 4/30/25
 
6,286,000
6,156,413
 2.875% 5/31/25
 
5,889,000
5,757,130
 2.875% 6/15/25
 
56,500,000
55,196,196
 2.875% 7/31/25
 
120,897,000
117,874,575
 2.875% 11/30/25
 
93,000,000
90,130,078
 2.875% 5/15/28
 
52,785,000
49,580,786
 2.875% 8/15/28
 
92,876,000
86,955,155
 2.875% 4/30/29
 
74,400,000
69,058,312
 2.875% 5/15/32
 
183,300,000
163,495,007
 3% 7/15/25
 
28,400,000
27,745,469
 3% 9/30/25
 
81,060,000
78,919,509
 3% 10/31/25
 
72,984,000
70,965,536
 3.125% 8/15/25
 
31,000,000
30,286,758
 3.125% 8/31/27
 
9,600,000
9,164,250
 3.125% 11/15/28
 
26,503,000
25,001,854
 3.125% 8/31/29
 
63,333,900
59,266,676
 3.25% 6/30/27
 
46,500,000
44,650,899
 3.25% 6/30/29
 
51,100,000
48,181,711
 3.375% 5/15/33
 
131,200,000
120,417,000
 3.5% 2/15/33
 
151,300,000
140,478,504
 3.625% 3/31/28
 
35,900,000
34,698,192
 3.75% 12/31/28
 
182,200,000
176,349,671
 3.75% 6/30/30
 
76,200,000
73,125,211
 3.75% 12/31/30
 
64,200,000
61,456,453
 3.875% 1/15/26
 
34,100,000
33,509,910
 3.875% 11/30/27
 
6,500,000
6,345,371
 3.875% 12/31/27
 
35,600,000
34,748,494
 3.875% 9/30/29
 
4,900,000
4,751,660
 3.875% 11/30/29
 
32,200,000
31,202,555
 3.875% 12/31/29
 
69,900,000
67,693,781
 3.875% 8/15/33
 
152,600,000
145,423,031
 4% 12/15/25
 
53,800,000
52,993,000
 4% 2/15/26
 
82,200,000
80,912,414
 4% 1/15/27
 
132,200,000
129,840,024
 4% 1/31/29
 
65,200,000
63,771,203
 4% 10/31/29
 
16,600,000
16,188,891
 4% 2/28/30
 
25,900,000
25,228,219
 4% 7/31/30
 
96,800,000
94,153,125
 4% 1/31/31
 
130,300,000
126,533,516
 4% 2/15/34
 
166,800,000
160,362,563
 4.125% 2/15/27
 
40,600,000
40,000,516
 4.125% 9/30/27
 
94,400,000
92,936,063
 4.125% 7/31/28
 
112,000,000
110,166,875
 4.125% 8/31/30
 
74,800,000
73,216,343
 4.125% 3/31/31
 
49,300,000
48,221,563
 4.125% 11/15/32
 
112,900,000
109,945,195
 4.25% 10/15/25
 
7,500,000
7,419,141
 4.25% 12/31/25
 
137,800,000
136,225,635
 4.25% 2/28/29
 
15,600,000
15,426,328
 4.25% 2/28/31
 
3,100,000
3,055,316
 4.375% 8/15/26
 
125,600,000
124,417,594
 4.375% 12/15/26
 
152,300,000
150,949,527
 4.375% 8/31/28
 
121,300,000
120,451,847
 4.375% 11/30/28
 
75,100,000
74,621,824
 4.375% 11/30/30
 
35,900,000
35,626,543
 4.375% 5/15/34
 
46,700,000
46,284,078
 4.5% 11/15/25
 
13,300,000
13,198,172
 4.5% 7/15/26
 
107,600,000
106,860,250
 4.5% 4/15/27
 
134,900,000
134,246,578
 4.5% 5/15/27
 
107,700,000
107,195,156
 4.5% 11/15/33
 
147,200,000
147,223,000
 4.625% 10/15/26
 
118,500,000
118,074,141
 4.625% 4/30/29 (b)
 
120,100,000
120,681,734
 4.625% 9/30/30
 
95,600,000
96,163,891
 4.625% 4/30/31
 
13,600,000
13,699,875
 4.875% 10/31/28
 
84,100,000
85,184,101
 4.875% 10/31/30
 
68,000,000
69,349,375
 5% 10/31/25
 
133,700,000
133,590,286
 
 
 
 
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $16,250,895,032)
 
 
 
15,088,321,307
 
 
 
 
Money Market Funds - 1.3%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.39% (c)
 
35,811,122
35,818,284
Fidelity Securities Lending Cash Central Fund 5.39% (c)(d)
 
158,309,314
158,325,145
 
TOTAL MONEY MARKET FUNDS
 (Cost $194,143,429)
 
 
194,143,429
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.6%
 (Cost $16,445,038,461)
 
 
 
15,282,464,736
NET OTHER ASSETS (LIABILITIES) - (0.6)%  
(85,802,928)
NET ASSETS - 100.0%
15,196,661,808
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Security or a portion of the security is on loan at period end.
 
(c)
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.
 
(d)
Investment made with cash collateral received from securities on loan.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.39%
202,074,752
263,868,956
430,125,399
656,066
(25)
-
35,818,284
0.1%
Fidelity Securities Lending Cash Central Fund 5.39%
117,899,759
900,660,236
860,234,850
28,470
-
-
158,325,145
0.6%
Total
319,974,511
1,164,529,192
1,290,360,249
684,536
(25)
-
194,143,429
 
 
 
 
 
 
 
 
 
 
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.
 
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.