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 811-4085

Fidelity Income Fund

(Exact name of registrant as specified in charter)

245 Summer St., Boston, Massachusetts 02210

(Address of principal executive offices) (Zip code)

William C. Coffey, 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

Date of reporting period:	August 31, 2018

Item 1.

Reports to Stockholders

Fidelity Flex℠ Funds

Fidelity Flex℠ Core Bond Fund

Annual Report

August 31, 2018

Contents

Performance
Management's Discussion of Fund Performance
Investment Summary
Schedule of Investments
Financial Statements
Notes to Financial Statements
Report of Independent Registered Public Accounting Firm
Trustees and Officers
Shareholder Expense Example
Distributions

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 1-800-835-5092 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.

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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q 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.

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, 2018	Past 1 year	Life of fund^A
Fidelity Flex℠ Core Bond Fund	(0.30)%	2.17%

^A From March 7, 2017

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity Flex℠ Core Bond Fund on March 7, 2017, 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. Aggregate Bond Index performed over the same period.

	Period Ending Values
	$10,324	Fidelity Flex℠ Core Bond Fund
	$10,244	Bloomberg Barclays U.S. Aggregate Bond Index

Management's Discussion of Fund Performance

Market Recap: U.S. taxable investment-grade bonds dipped below the waterline for the 12 months ending August 31, 2018, a period in which market interest rates rose overall and the U.S. economy exhibited broad strength. The Bloomberg Barclays U.S. Aggregate Bond Index returned -1.05% for the year. Longer-term bond yields declined through September 2017, as it became clear that changes to tax, health care and fiscal policies proposed by the Trump administration would take time to develop and implement. Yields then generally advanced through mid-May, driven by three policy-rate hikes, plans by the U.S. Federal Reserve to gradually reduce its balance sheet and tax reform passed by calendar year-end. Indications of robust employment and improved consumer sentiment reinforced the rate-tightening cycle. Longer-term yields moderated slightly by August 31, with spreads between shorter-term and longer-term Treasury bonds remaining tight, partly due to escalating trade tension. Within the Bloomberg Barclays index, asset-backed securities (+0.32%) topped all major market segments, followed by other securitized sectors. Conversely, safe-haven U.S. Treasury securities returned -1.54% and corporate bonds returned -1.01%. Outside the index, riskier, non-core fixed-income segments generally posted gains, while Treasury Inflation-Protected Securities (TIPS) rose 0.83%, according to Bloomberg Barclays, due to expectations for higher inflation.

Comments from Lead Portfolio Manager Ford O’Neil: For the fiscal year ending August 31, 2018, the fund returned -0.30%, outpacing the -1.05% return of the Bloomberg Barclays U.S. Aggregate Bond Index. Versus the benchmark, the fund’s somewhat shorter duration helped it hold in better as interest rates rose the past 12 months. We added value via out-of-index exposure to leveraged loans and overweighting high-yield corporates, two sectors that outpaced the index. The fund’s exposure to Treasury Inflation-Protected Securities (TIPS) also contributed, as they were among the best performers in the U.S. investment-grade market.Positioning among investment-grade corporate bonds aided the relative return, as did holding a smaller stake in Treasuries than the index. Within corporates, selections among the bonds of industrial and financial companies each helped, while picks among utility companies contributed to a smaller degree. Elsewhere, holdings in taxable municipal bonds from the state of Illinois added to the fund’s relative return. Conversely, the fund’s exposure to bonds from Argentina, which performed poorly as a slump in its currency threatened to push its economy into recession, detracted.

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)

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, 2018
	U.S. Government and U.S. Government Agency Obligations	57.0%
	AAA	2.1%
	AA	0.5%
	A	6.0%
	BBB	17.1%
	BB and Below	17.1%
	Not Rated	0.3%
	Short-Term Investments and Net Other Assets^*	(0.1)%

* 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, 2018^,^,^**
	Corporate Bonds	32.3%
	U.S. Government and U.S. Government Agency Obligations	57.0%
	Asset-Backed Securities	2.1%
	CMOs and Other Mortgage Related Securities	1.5%
	Municipal Bonds	0.9%
	Other Investments	6.3%
	Short-Term Investments and Net Other Assets (Liabilities)^†	(0.1)%

* Foreign investments - 9.5%

** Futures and Swaps - 0.5%

*** Written options - (0.2)%

† 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, 2018

Showing Percentage of Net Assets

Nonconvertible Bonds - 24.9%
	Principal Amount	Value
CONSUMER DISCRETIONARY - 2.1%
Automobiles - 0.6%
General Motors Financial Co., Inc. 4.375% 9/25/21	$200,000	$203,606
Media - 1.5%
21st Century Fox America, Inc. 7.75% 12/1/45	20,000	29,458
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
4.908% 7/23/25	45,000	45,885
5.375% 5/1/47	55,000	51,300
Comcast Corp.:
3.9% 3/1/38	6,000	5,555
3.969% 11/1/47	18,000	16,294
3.999% 11/1/49	21,000	18,912
4% 3/1/48	11,000	9,938
4.6% 8/15/45	15,000	14,749
4.65% 7/15/42	14,000	13,917
6.45% 3/15/37	15,000	18,135
NBCUniversal, Inc.:
4.45% 1/15/43	11,000	10,575
5.95% 4/1/41	8,000	9,269
Time Warner Cable, Inc.:
4% 9/1/21	80,000	80,621
7.3% 7/1/38	120,000	139,425
Time Warner, Inc. 6.2% 3/15/40	40,000	43,126
		507,159

TOTAL CONSUMER DISCRETIONARY		710,765

CONSUMER STAPLES - 0.9%
Beverages - 0.6%
Anheuser-Busch InBev Finance, Inc.:
2.65% 2/1/21	45,000	44,477
4.7% 2/1/36	125,000	126,714
Anheuser-Busch InBev Worldwide, Inc. 4.75% 4/15/58	27,000	26,491
		197,682
Tobacco - 0.3%
Reynolds American, Inc. 7.25% 6/15/37	75,000	94,112

TOTAL CONSUMER STAPLES		291,794

ENERGY - 5.4%
Oil, Gas & Consumable Fuels - 5.4%
Alberta Energy Co. Ltd.:
7.375% 11/1/31	28,000	34,884
8.125% 9/15/30	26,000	33,584
Anadarko Finance Co. 7.5% 5/1/31	40,000	50,076
Anadarko Petroleum Corp.:
5.55% 3/15/26	40,000	42,984
6.6% 3/15/46	30,000	36,105
Canadian Natural Resources Ltd.:
3.9% 2/1/25	25,000	24,828
5.85% 2/1/35	25,000	28,132
Cenovus Energy, Inc. 4.25% 4/15/27	24,000	23,182
Columbia Pipeline Group, Inc.:
4.5% 6/1/25	25,000	25,246
5.8% 6/1/45	10,000	11,158
DCP Midstream LLC 5.85% 5/21/43 (a)(b)	45,000	41,400
DCP Midstream Operating LP 3.875% 3/15/23	20,000	19,500
Enbridge, Inc.:
4.25% 12/1/26	25,000	25,110
5.5% 12/1/46	25,000	28,035
Encana Corp. 6.625% 8/15/37	15,000	17,916
Energy Transfer Partners LP:
4.2% 9/15/23	6,000	6,070
4.95% 6/15/28	22,000	22,444
5.8% 6/15/38	12,000	12,406
6% 6/15/48	8,000	8,490
Enterprise Products Operating LP 3.75% 2/15/25	20,000	20,065
Kinder Morgan Energy Partners LP 6.55% 9/15/40	65,000	73,317
Marathon Petroleum Corp. 5.125% 3/1/21	35,000	36,385
MPLX LP:
4.5% 7/15/23	10,000	10,281
4.875% 12/1/24	14,000	14,535
Petrobras Global Finance BV:
6.125% 1/17/22	50,000	51,050
7.25% 3/17/44	110,000	100,760
7.375% 1/17/27	90,000	89,253
Petroleos Mexicanos:
4.625% 9/21/23	330,000	324,324
5.625% 1/23/46	40,000	32,956
6.35% 2/12/48 (a)	55,000	48,813
6.5% 3/13/27	20,000	20,248
6.75% 9/21/47	210,000	194,393
Sunoco Logistics Partner Operations LP 5.4% 10/1/47	44,000	43,023
The Williams Companies, Inc.:
4.55% 6/24/24	70,000	71,445
5.75% 6/24/44	35,000	37,625
Western Gas Partners LP:
4.65% 7/1/26	35,000	35,037
4.75% 8/15/28	6,000	5,971
5.375% 6/1/21	48,000	49,740
Williams Partners LP 4.3% 3/4/24	100,000	101,190
		1,851,961
FINANCIALS - 10.2%
Banks - 4.5%
Bank of America Corp.:
3.004% 12/20/23 (b)	66,000	64,251
3.5% 4/19/26	160,000	155,758
3.705% 4/24/28 (b)	29,000	28,037
Barclays PLC 4.375% 1/12/26	200,000	195,348
CIT Group, Inc. 6.125% 3/9/28	30,000	31,350
Citigroup, Inc.:
2.4% 2/18/20	62,000	61,428
2.876% 7/24/23 (b)	43,000	41,750
3.142% 1/24/23 (b)	23,000	22,669
4.3% 11/20/26	9,000	8,874
4.4% 6/10/25	74,000	74,148
Credit Suisse Group Funding Guernsey Ltd. 3.8% 6/9/23	250,000	248,442
JPMorgan Chase & Co.:
2.95% 10/1/26	135,000	126,333
3.797% 7/23/24 (b)	35,000	35,118
4.35% 8/15/21	125,000	128,736
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	165,000	165,504
6% 12/19/23	75,000	78,202
6.125% 12/15/22	80,000	83,909
		1,549,857
Capital Markets - 3.8%
Affiliated Managers Group, Inc. 4.25% 2/15/24	22,000	22,395
Deutsche Bank AG New York Branch:
3.15% 1/22/21	100,000	97,722
4.1% 1/13/26	100,000	95,626
Goldman Sachs Group, Inc.:
2.876% 10/31/22 (b)	170,000	166,243
3.2% 2/23/23	35,000	34,379
3.691% 6/5/28 (b)	170,000	162,138
3.75% 5/22/25	50,000	49,221
3.814% 4/23/29 (b)	75,000	71,682
6.75% 10/1/37	13,000	15,688
Moody's Corp.:
3.25% 1/15/28	10,000	9,485
4.875% 2/15/24	9,000	9,457
Morgan Stanley:
3.125% 7/27/26	171,000	159,751
3.737% 4/24/24 (b)	115,000	114,549
5% 11/24/25	35,000	36,384
5.625% 9/23/19	100,000	102,799
5.75% 1/25/21	150,000	158,359
		1,305,878
Consumer Finance - 0.9%
Capital One Financial Corp.:
2.5% 5/12/20	125,000	123,711
3.8% 1/31/28	22,000	20,936
Discover Financial Services:
3.95% 11/6/24	80,000	78,406
4.1% 2/9/27	76,000	73,634
Synchrony Financial 3.95% 12/1/27	30,000	27,335
		324,022
Diversified Financial Services - 0.3%
AXA Equitable Holdings, Inc. 3.9% 4/20/23 (a)	6,000	5,980
Brixmor Operating Partnership LP:
3.25% 9/15/23	35,000	33,660
3.85% 2/1/25	40,000	38,860
Voya Financial, Inc. 3.125% 7/15/24	12,000	11,414
		89,914
Insurance - 0.7%
Pacific LifeCorp 5.125% 1/30/43 (a)	50,000	53,654
Pricoa Global Funding I 5.375% 5/15/45 (b)	45,000	45,450
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a)	80,000	79,678
Unum Group 3.875% 11/5/25	50,000	48,746
		227,528

TOTAL FINANCIALS		3,497,199

HEALTH CARE - 1.5%
Biotechnology - 0.1%
AbbVie, Inc. 4.5% 5/14/35	25,000	24,415
Health Care Equipment & Supplies - 0.0%
Becton, Dickinson & Co. 3.7% 6/6/27	18,000	17,236
Health Care Providers & Services - 0.8%
CVS Health Corp.:
4.1% 3/25/25	55,000	55,063
4.3% 3/25/28	64,000	63,518
4.78% 3/25/38	29,000	28,849
5.05% 3/25/48	42,000	42,565
Elanco Animal Health, Inc.:
3.912% 8/27/21 (a)	5,000	5,014
4.272% 8/28/23 (a)	18,000	18,075
4.9% 8/28/28 (a)	7,000	7,053
HCA Holdings, Inc. 6.5% 2/15/20	50,000	51,900
		272,037
Pharmaceuticals - 0.6%
Actavis Funding SCS 3.45% 3/15/22	40,000	39,692
Mylan NV:
3.15% 6/15/21	50,000	49,258
3.95% 6/15/26	20,000	18,967
4.55% 4/15/28 (a)	20,000	19,553
Shire Acquisitions Investments Ireland DAC 2.4% 9/23/21	55,000	53,147
Teva Pharmaceutical Finance Netherlands III BV 2.8% 7/21/23	10,000	8,849
Zoetis, Inc. 3.45% 11/13/20	15,000	15,079
		204,545

TOTAL HEALTH CARE		518,233

INDUSTRIALS - 0.6%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a)	40,000	39,894
Trading Companies & Distributors - 0.5%
Air Lease Corp. 3.875% 7/3/23	38,000	37,779
International Lease Finance Corp. 5.875% 8/15/22	100,000	106,474
		144,253

TOTAL INDUSTRIALS		184,147

REAL ESTATE - 2.6%
Equity Real Estate Investment Trusts (REITs) - 1.8%
Corporate Office Properties LP 5.25% 2/15/24	157,000	162,990
DDR Corp. 4.625% 7/15/22	65,000	66,825
Duke Realty LP 3.625% 4/15/23	50,000	49,756
Omega Healthcare Investors, Inc.:
4.375% 8/1/23	165,000	164,948
4.5% 1/15/25	6,000	5,939
4.75% 1/15/28	59,000	58,083
Ventas Realty LP:
3.5% 2/1/25	65,000	62,698
4% 3/1/28	11,000	10,766
WP Carey, Inc. 4% 2/1/25	28,000	27,511
		609,516
Real Estate Management & Development - 0.8%
Brandywine Operating Partnership LP:
3.95% 2/15/23	103,000	102,746
3.95% 11/15/27	24,000	22,960
Digital Realty Trust LP:
4.75% 10/1/25	45,000	46,606
5.25% 3/15/21	30,000	31,172
Liberty Property LP 4.4% 2/15/24	40,000	40,819
Mack-Cali Realty LP 3.15% 5/15/23	50,000	44,254
		288,557

TOTAL REAL ESTATE		898,073

TELECOMMUNICATION SERVICES - 0.9%
Diversified Telecommunication Services - 0.9%
AT&T, Inc.:
3.6% 2/17/23	95,000	94,527
4.45% 4/1/24	3,000	3,072
6.3% 1/15/38	50,000	55,043
Verizon Communications, Inc.:
3.85% 11/1/42	6,000	5,157
4.522% 9/15/48	10,000	9,387
4.862% 8/21/46	16,000	15,812
5.012% 4/15/49	37,000	37,112
5.012% 8/21/54	85,000	82,790
5.5% 3/16/47	11,000	11,860
		314,760
UTILITIES - 0.7%
Electric Utilities - 0.5%
FirstEnergy Corp.:
4.25% 3/15/23	45,000	45,890
7.375% 11/15/31	85,000	110,162
IPALCO Enterprises, Inc. 3.7% 9/1/24	10,000	9,666
		165,718
Independent Power and Renewable Electricity Producers - 0.2%
Dolphin Subsidiary II, Inc. 7.25% 10/15/21	80,000	86,600

TOTAL UTILITIES		252,318

TOTAL NONCONVERTIBLE BONDS
(Cost $8,688,006)		8,519,250

U.S. Government and Government Agency Obligations - 36.2%
U.S. Treasury Inflation-Protected Obligations - 7.2%
U.S. Treasury Inflation-Indexed Bonds 0.875% 2/15/47	699,413	692,689
U.S. Treasury Inflation-Indexed Notes:
0.375% 1/15/27	$1,382,214	$1,336,954
0.375% 7/15/27	432,655	418,928

TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS		2,448,571

U.S. Treasury Obligations - 29.0%
U.S. Treasury Bonds:
2.75% 11/15/47	429,000	406,008
3% 5/15/47	24,000	23,883
3% 8/15/48	918,000	913,374
U.S. Treasury Notes:
1.75% 6/30/22	655,000	631,614
1.875% 3/31/22	5,354,000	5,198,399
2.125% 11/30/24	336,000	323,098
2.25% 12/31/24	595,000	576,081
2.25% 2/15/27	68,000	64,948
2.5% 3/31/23	1,150,000	1,137,781
2.75% 2/28/25	500,000	498,535
2.75% 2/15/28	180,000	178,221

TOTAL U.S. TREASURY OBLIGATIONS		9,951,942

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $12,617,300)		12,400,513

U.S. Government Agency - Mortgage Securities - 1.6%
Fannie Mae - 1.6%
3% 9/1/48 (c)	100,000	96,729
3% 9/1/48 (c)	25,000	24,182
3.5% 9/1/48 (c)	325,000	323,056
4% 9/1/48 (c)	25,000	25,450
4% 9/1/48 (c)	75,000	76,350

TOTAL FANNIE MAE

(Cost $544,156)		545,767

Asset-Backed Securities - 1.8%
DB Master Finance LLC Series 2017-1A:
Class A2I, 3.629% 11/20/47 (a)	$49,625	$48,656
Class A2II, 4.03% 11/20/47 (a)	49,625	49,123
GCO Education Loan Funding Master Trust II Series 2007-1A Class A6L, 3 month U.S. LIBOR + 0.110% 2.4214% 11/25/26 (a)(b)(d)	64,348	64,110
Hyundai Auto Receivables Trust Series 2018-A Class A3, 2.79% 7/15/22	38,000	37,872
Kubota Credit Owner Trust Series 2018-1A Class A3, 3.1% 8/15/22 (a)	100,000	100,071
Nationstar HECM Loan Trust:
Series 2018-1A Class A, 2.76% 2/25/28 (a)	66,339	66,329
Series 2018-2A Class A, 3.1877% 7/25/28 (a)	92,921	92,921
Securitized Term Auto Receivables Trust Series 2018-1A Class A3, 3.068% 1/25/22 (a)	100,000	99,943
Volvo Financial Equipment Master Owner Trust Series 2018-A Class A, 1 month U.S. LIBOR + 0.500% 2.5827% 7/17/23(a)(b)(d)	60,000	60,169
TOTAL ASSET-BACKED SECURITIES
(Cost $620,600)		619,194

Collateralized Mortgage Obligations - 0.2%
Private Sponsor - 0.2%
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 4.1137% 1/25/37 (a)(b)	23,903	24,263
CSMC Trust Series 2009-5R Class 2A2, 3.9325% 6/25/36 (a)(b)	5,563	5,556
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b)	25,693	25,439
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (a)	18,333	18,163

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $74,011)		73,421

Commercial Mortgage Securities - 1.3%
COMM Mortgage Trust:
Series 2014-CR17 Class XA, 1.2424% 5/10/47 (b)(e)	96,573	3,866
Series 2015-DC1 Class XA, 1.2777% 2/10/48 (b)(e)	869,580	41,424
CSMC Trust Series 2017-PFHP Class D, 1 month U.S. LIBOR + 2.250% 4.3127% 12/15/30 (a)(b)(d)	76,000	76,237
GAHR Commercial Mortgage Trust Series 2015-NRF Class DFX, 3.4949% 12/15/34 (a)(b)	125,000	124,409
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT:
Class DFX, 5.3503% 7/5/33 (a)	10,000	10,351
Class EFX, 5.5422% 7/5/33 (a)	10,000	10,224
Morgan Stanley Capital I Trust floater Series 2018-BOP:
Class B, 1 month U.S. LIBOR + 1.250% 3.35% 6/15/35 (a)(b)(d)	23,000	23,000
Class C, 1 month U.S. LIBOR + 1.500% 3.6% 6/15/35 (a)(b)(d)	56,000	56,001
MSCG Trust Series 2016-SNR Class C, 5.205% 11/15/34 (a)	21,250	21,191
RETL floater Series 2018-RVP Class A, 1 month U.S. LIBOR + 1.100% 3.1627% 3/15/33 (a)(b)(d)	43,885	44,035
WF-RBS Commercial Mortgage Trust Series 2014-C21 Class XA, 1.2268% 8/15/47 (b)(e)	932,617	42,186
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $468,364)		452,924

Municipal Securities - 0.9%
California Gen. Oblig. Series 2009, 7.35% 11/1/39	90,000	127,582
Illinois Gen. Oblig.:
Series 2003, 5.1% 6/1/33	$125,000	$120,638
Series 2010-3, 5.547% 4/1/19	70,000	70,783
TOTAL MUNICIPAL SECURITIES
(Cost $311,072)		319,003

Foreign Government and Government Agency Obligations - 0.5%
Argentine Republic 5.875% 1/11/28	$100,000	$72,650
Dominican Republic 5.95% 1/25/27 (a)	100,000	101,875
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $204,974)		174,525
	Shares	Value

Fixed-Income Funds - 31.6%
Fidelity Floating Rate Central Fund (f)	18,252	1,879,588
Fidelity Mortgage Backed Securities Central Fund (f)	57,268	6,034,862
Fidelity Specialized High Income Central Fund (f)	29,257	2,920,771
TOTAL FIXED-INCOME FUNDS
(Cost $11,036,423)		10,835,221

Money Market Funds - 2.0%
Fidelity Cash Central Fund, 1.97% (g)
(Cost $662,902)	662,770	662,902
TOTAL INVESTMENT IN SECURITIES - 101.0%
(Cost $35,227,808)		34,602,720
NET OTHER ASSETS (LIABILITIES) - (1.0)%		(329,475)
NET ASSETS - 100%		$34,273,245

Legend

(a) 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 $1,441,180 or 4.2% of net assets.

(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(e) 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.

(f) 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-Q 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.

(g) 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.

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	$14,215
Fidelity Floating Rate Central Fund	89,739
Fidelity Mortgage Backed Securities Central Fund	144,337
Fidelity Specialized High Income Central Fund	178,680
Total	$426,971

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.

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 Floating Rate Central Fund	$1,244,345	$639,738	$--	$--	$(4,495)	$1,879,588	0.1%
Fidelity Mortgage Backed Securities Central Fund	4,765,339	1,966,433	532,238	(4,663)	(160,009)	6,034,862	0.1%
Fidelity Specialized High Income Central Fund	2,034,874	1,003,681	--	--	(117,784)	2,920,771	0.4%
Total	$8,044,558	$3,609,852	$532,238	$(4,663)	$(282,288)	$10,835,221

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2018, 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	$8,519,250	$--	$8,519,250	$--
U.S. Government and Government Agency Obligations	12,400,513	--	12,400,513	--
U.S. Government Agency - Mortgage Securities	545,767	--	545,767	--
Asset-Backed Securities	619,194	--	619,194	--
Collateralized Mortgage Obligations	73,421	--	73,421	--
Commercial Mortgage Securities	452,924	--	452,924	--
Municipal Securities	319,003	--	319,003	--
Foreign Government and Government Agency Obligations	174,525	--	174,525	--
Fixed-Income Funds	10,835,221	10,835,221	--	--
Money Market Funds	662,902	662,902	--	--
Total Investments in Securities:	$34,602,720	$11,498,123	$23,104,597	$--

See accompanying notes which are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities

		August 31, 2018
Assets
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $23,528,483)	$23,104,597
Fidelity Central Funds (cost $11,699,325)	11,498,123
Total Investment in Securities (cost $35,227,808)		$34,602,720
Cash		83,127
Receivable for fund shares sold		24,606
Interest receivable		180,252
Distributions receivable from Fidelity Central Funds		1,081
Total assets		34,891,786
Liabilities
Payable for investments purchased
Regular delivery	$64,107
Delayed delivery	544,156
Payable for fund shares redeemed	10,278
Total liabilities		618,541
Net Assets		$34,273,245
Net Assets consist of:
Paid in capital		$34,988,005
Undistributed net investment income		53,209
Accumulated undistributed net realized gain (loss) on investments		(142,881)
Net unrealized appreciation (depreciation) on investments		(625,088)
Net Assets, for 3,490,207 shares outstanding		$34,273,245
Net Asset Value, offering price and redemption price per share ($34,273,245 ÷ 3,490,207 shares)		$9.82

See accompanying notes which are an integral part of the financial statements.

Statement of Operations

		Year ended August 31, 2018
Investment Income
Interest		$691,258
Income from Fidelity Central Funds		379,282
Total income		1,070,540
Expenses
Independent trustees' fees and expenses	$130
Commitment fees	90
Total expenses		220
Net investment income (loss)		1,070,320
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(162,092)
Fidelity Central Funds	(4,663)
Capital gain distributions from Fidelity Central Funds	47,689
Total net realized gain (loss)		(119,066)
Change in net unrealized appreciation (depreciation) on:
Investment securities:
Unaffiliated issuers	(742,363)
Fidelity Central Funds	(282,288)
Total change in net unrealized appreciation (depreciation)		(1,024,651)
Net gain (loss)		(1,143,717)
Net increase (decrease) in net assets resulting from operations		$(73,397)

See accompanying notes which are an integral part of the financial statements.

Statement of Changes in Net Assets

	Year ended August 31, 2018	For the period March 7, 2017 (commencement of operations) to August 31, 2017
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$1,070,320	$374,647
Net realized gain (loss)	(119,066)	134,165
Change in net unrealized appreciation (depreciation)	(1,024,651)	399,563
Net increase (decrease) in net assets resulting from operations	(73,397)	908,375
Distributions to shareholders from net investment income	(1,042,939)	(344,679)
Distributions to shareholders from net realized gain	(160,473)	–
Total distributions	(1,203,412)	(344,679)
Share transactions
Proceeds from sales of shares	48,985,193	27,990,779
Reinvestment of distributions	1,203,412	344,679
Cost of shares redeemed	(43,441,240)	(96,465)
Net increase (decrease) in net assets resulting from share transactions	6,747,365	28,238,993
Total increase (decrease) in net assets	5,470,556	28,802,689
Net Assets
Beginning of period	28,802,689	–
End of period	$34,273,245	$28,802,689
Other Information
Undistributed net investment income end of period	$53,209	$28,153
Shares
Sold	4,932,002	2,794,789
Issued in reinvestment of distributions	120,969	33,972
Redeemed	(4,382,030)	(9,495)
Net increase (decrease)	670,941	2,819,266

See accompanying notes which are an integral part of the financial statements.

Financial Highlights

Fidelity Flex Core Bond Fund


Years ended August 31,	2018	2017 ^A
Selected Per–Share Data
Net asset value, beginning of period	$10.22	$10.00
Income from Investment Operations
Net investment income (loss)^B	.323	.145
Net realized and unrealized gain (loss)	(.355)	.209
Total from investment operations	(.032)	.354
Distributions from net investment income	(.316)	(.134)
Distributions from net realized gain	(.052)	–
Total distributions	(.368)	(.134)
Net asset value, end of period	$9.82	$10.22
Total Return^C,^D	(.30)%	3.55%
Ratios to Average Net Assets^E,^F
Expenses before reductions^G	-%	- %^H
Expenses net of fee waivers, if any^G	-%	- %^H
Expenses net of all reductions^G	-%	- %^H
Net investment income (loss)	3.26%	2.94%^H
Supplemental Data
Net assets, end of period (000 omitted)	$34,273	$28,803
Portfolio turnover rate^I	44%	60%^J

^A For the period March 7, 2017 (commencement of operations) to August 31, 2017.

^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 Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

^F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements 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 Fund.

^G Amount represents less than .005%.

^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, 2018

1. Organization.

Fidelity Flex Core Bond Fund (the Fund) is a fund of Fidelity Income Fund (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. 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 is available only to certain fee-based accounts offered by Fidelity.

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 Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%. 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 Floating Rate Central Fund	FMR Co., Inc. (FMRC)	Seeks a high level of income by normally investing in floating rate loans and other floating rate securities.	Loans & Direct Debt Instruments Restricted Securities	Less than .005%
Fidelity Mortgage Backed Securities Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.	Delayed Delivery & When Issued Securities Futures Options	Less than .005%
Fidelity Specialized High Income Central Fund	FMRC	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. 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 – Investments 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, 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.

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, 2018 is included at the end of the Fund's Schedule of Investments.

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, 2018, 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. 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 the Fidelity Central Funds, market discount, losses deferred due to wash sales and excise tax regulations.

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	$56,294
Gross unrealized depreciation	(685,690)
Net unrealized appreciation (depreciation)	$(629,396)
Tax Cost	$35,232,116

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income	$36,082
Net unrealized appreciation (depreciation) on securities and other investments	$(629,396)

The Fund intends to elect to defer to its next fiscal year $121,445 of capital losses recognized during the period November 1, 2017 to August 31, 2018.

The tax character of distributions paid was as follows:

	August 31, 2018	August 31, 2017^(a)
Ordinary Income	$1,184,350	$ 344,679
Long-term Capital Gains	19,062	–
Total	$1,203,412	$ 344,679

(a) For the period March 7, 2017 (commencement of operations) to August 31, 2017.

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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. 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.

New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $7,401,996 and $1,771,411, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services and the Fund does not pay any fees for these services. Under the management contract, the investment adviser or an affiliate pays all other expenses of the Fund, excluding fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

Interfund Trades. The Fund 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.

6. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $90 and is reflected in Commitment fees on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. 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.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Income Fund and Shareholders of Fidelity Flex Core Bond Fund:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Flex Core Bond Fund (one of the funds constituting Fidelity Income Fund, referred to hereafter as the "Fund") as of August 31, 2018, the related statement of operations for the year ended August 31, 2018 and the statement of changes in net assets and the financial highlights for the year ended August 31, 2018 and for the period March 7, 2017 (commencement of operations) through August 31, 2017, including the related notes (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, 2018, the results of its operations for the year ended August 31, 2018, and the changes in its net assets and the financial highlights for the year ended August 31, 2018 and for the period March 7, 2017 (commencement of operations) through August 31, 2017 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, 2018 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.

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 19, 2018

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 257 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 1-800-835-5092.

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. Marie L. Knowles 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 FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, 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. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a 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: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity^® funds. Prior to her retirement in April 2012, Ms. Acton was 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 of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity^® funds (2013-2016).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity^® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity^® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Albert R. Gamper, Jr. (1942)

Year of Election or Appointment: 2006

Trustee

Mr. Gamper also serves as Trustee of other Fidelity^® funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity^® funds and as Chairman of the Board of Governors, Rutgers University (2004-2007).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity^® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). 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).

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. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). 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. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally 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 Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity^® funds (2012-2015).

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity^® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors 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 is also a director or trustee of many community and professional organizations.

Advisory Board Members and Officers:

Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. 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

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Member of the Advisory Board

General Dunwoody also serves as a Member of the Advisory Board 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). She is the President of First to Four LLC (leadership and mentoring services, 2012-present). She also serves as a member of the Board of Directors and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor, and aerospace systems, 2013-present), Board of Directors and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and Board of Directors of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a member of the Board of Directors 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 of Directors, Chair of the Nomination and Governance Committee and member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Board of Directors of the Army Historical Foundation (2015-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present) and a member of the Board of Trustees of Florida Institute of Technology (2015-present) and ThanksUSA (military family education non-profit, 2014-present).

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 the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

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).

William C. Coffey (1969)

Year of Election or Appointment: 2018

Secretary and Chief Legal Officer (CLO)

Mr. Coffey also serves as Secretary and CLO of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Assistant Secretary of certain funds (2009-2018) and as Vice President and Associate General Counsel of FMR LLC (2005-2009).

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).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity^® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

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). 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 Assistant Treasurer of certain Fidelity^® funds (2016-2018).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as 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).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (1995-present).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as President Fixed Income, High Income/Emerging Market Debt and Multi Asset Class Strategies of FIAM LLC (2018-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), President Multi-Asset Class Strategies of FMR's Global Asset Allocation Division (2017-2018), Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity^® funds (2008-2009).

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 (2013-2018) 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 (accounting firm, 2005-2013).

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity^® funds (2013-2016).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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, 2018 to August 31, 2018).

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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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, 2018	Ending Account Value August 31, 2018	Expenses Paid During Period-^B March 1, 2018 to August 31, 2018
Actual	- %-^C	$1,000.00	$1,012.70	$--^D
Hypothetical-^E		$1,000.00	$1,025.21	$--^D

^A Annualized expense ratio reflects expenses net of applicable fee waivers.

^B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

^C Amount represents less than .005%.

^D Amount represents less than $.005.

^E 5% return per year before expenses

Distributions (Unaudited)

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2018, $19,062, or, if subsequently determined to be different, the net capital gain of such year.

A total of 27.13% 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 $693,235 of distributions paid during the period January 1, 2018 to August 31, 2018 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2019 of amounts for use in preparing 2018 income tax returns.

Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

ZCD-ANN-1018
1.9881607.101

Fidelity Advisor® Government Income Fund -

Class A, Class M, Class C and Class I

Annual Report

August 31, 2018

Class A, Class M, Class C and Class I are classes of Fidelity® Government Income Fund

Contents

Performance
Management's Discussion of Fund Performance
Investment Summary
Schedule of Investments
Financial Statements
Notes to Financial Statements
Report of Independent Registered Public Accounting Firm
Trustees and Officers
Shareholder Expense Example
Distributions

You may also call 1-877-208-0098 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.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Performance: The Bottom Line

Average Annual Total Returns

For the periods ended August 31, 2018	Past 1 year	Past 5 years	Past 10 years
Class A (incl. 4.00% sales charge)	(5.81)%	0.56%	2.19%
Class M (incl. 4.00% sales charge)	(5.80)%	0.57%	2.20%
Class C (incl. contingent deferred sales charge)	(3.61)%	0.61%	1.83%
Class I	(1.61)%	1.66%	2.87%

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.

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Government Income Fund - Class A on August 31, 2008, 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. Government Bond Index performed over the same period.

	Period Ending Values
	$12,415	Fidelity Advisor® Government Income Fund - Class A
	$13,179	Bloomberg Barclays U.S. Government Bond Index

Management's Discussion of Fund Performance

Comments from Co-Portfolio Managers Franco Castagliuolo and Sean Corcoran: For the annual reporting period ending August 31, 2018, the fund’s share classes (excluding sales charges, if applicable) produced a slightly negative return that trailed, net of fees, the -1.26% return of the Bloomberg Barclays 75% U.S. Government/25% U.S. MBS Blended Index. Our yield-curve positioning worked to the fund’s advantage versus the index. An overweighting in bonds with exposure to 10-year interest rates and an underweighting in securities with exposure to two-year rates proved helpful. Security selection also was beneficial, particularly our choices among mortgage-backed securities (MBS). In particular, an overweighting in premium-coupon bonds made up of mortgages with interest rates 4% and higher contributed. Elsewhere, outsized exposure to securities issued by the U.S. Agency for International Development was another plus. In addition, the fund’s stake in swaptions provided a slight boost. As for sector selection, underweighting agency debentures cost us some ground versus the index. Overweighting commercial mortgage-backed securities (CMBS) issued by Freddie Mac also modestly detracted from the relative result.

Note to Shareholders: On December 1, 2017, Sean Corcoran became Co-Manager of the fund, replacing Lead Manager William Irving.

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.

Coupon Distribution as of August 31, 2018

	% of fund's investments
Zero coupon bonds	0.4
0.01 - 0.99%	0.0
1 - 1.99%	14.6
2 - 2.99%	36.8
3 - 3.99%	27.9
4 - 4.99%	13.8
5 - 5.99%	7.8
6 - 6.99%	0.7
7% and above	0.0

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, 2018^,^,^**
	Mortgage Securities	25.3%
	CMOs and Other Mortgage Related Securities	31.1%
	U.S. Treasury Obligations	37.3%
	U.S. Government Agency Obligations^†	2.3%
	Foreign Government & Government Agency Obligations	3.8%
	Asset-Backed Securities	3.6%
	Short-Term Investments and Net Other Assets (Liabilities)^††	(3.4)%

* Foreign investments – 3.8%

** Futures and Swaps – 10.2%

*** Written options – (4.3)%

† Includes NCUA Guaranteed Notes

†† 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, 2018

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 39.6%
	Principal Amount (000s)	Value (000s)
U.S. Government Agency Obligations - 0.2%
Fannie Mae:
0.875% 8/2/19	$131	$129
1% 2/26/19	326	324
1.125% 12/14/18	240	239
Tennessee Valley Authority:
5.25% 9/15/39	2,807	3,498
5.375% 4/1/56	3,438	4,623
		8,813
U.S. Treasury Obligations - 37.3%
U.S. Treasury Bonds:
stripped coupon 2/15/34	23,210	14,560
2.5% 2/15/46	28,232	25,455
2.75% 8/15/47	49,596	46,948
2.75% 11/15/47	4,400	4,164
2.875% 8/15/45	108,041	105,050
3% 11/15/44	29,032	28,908
3% 11/15/45	26,406	26,294
3% 5/15/47	15,900	15,822
3% 8/15/48	24,717	24,592
3.625% 2/15/44	39,531	43,750
4.75% 2/15/37 (a)	42,044	52,992
5% 5/15/37 (a)(b)	27,242	35,365
U.S. Treasury Notes:
1.125% 9/30/21	48,467	46,216
1.375% 8/31/20	5,000	4,878
1.375% 1/31/21	22,500	21,821
1.375% 4/30/21	15,000	14,498
1.375% 5/31/21	17,000	16,411
1.5% 7/15/20	7,125	6,979
1.5% 8/15/26	9,629	8,716
1.625% 7/31/20	20,000	19,626
1.625% 8/31/22	17,293	16,568
1.625% 5/31/23	8,377	7,961
1.75% 10/31/20	2,405	2,360
1.75% 12/31/20	31,701	31,051
1.75% 6/30/22	34,052	32,836
1.875% 1/31/22	45,770	44,508
1.875% 3/31/22	45,561	44,237
1.875% 7/31/22	85,036	82,322
1.875% 9/30/22	28,814	27,855
2% 9/30/20	15,143	14,947
2% 12/31/21	78,894	77,091
2% 7/31/22	18,845	18,332
2% 10/31/22	10,000	9,709
2% 8/15/25 (a)	12,238	11,603
2% 11/15/26	12,579	11,804
2.125% 6/30/21	22,000	21,661
2.125% 12/31/21	2,000	1,962
2.125% 6/30/22	146	143
2.125% 12/31/22	59,329	57,825
2.125% 7/31/24	77,525	74,721
2.125% 5/15/25	18,702	17,915
2.25% 7/31/21	7,021	6,933
2.25% 12/31/24	27,679	26,799
2.25% 2/15/27	3,000	2,865
2.25% 11/15/27	8,251	7,843
2.375% 4/15/21	62,750	62,257
2.375% 5/15/27	2,200	2,120
2.625% 6/30/23	16,402	16,309
2.75% 4/30/23	30,920	30,919
2.75% 6/30/25	50,818	50,612
2.75% 2/15/28	1,980	1,960
		1,379,073
Other Government Related - 2.1%
National Credit Union Administration Guaranteed Notes Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 2.4211% 12/7/20 (NCUA Guaranteed) (c)(d)	2,283	2,286
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed)	74,000	75,188
		77,474
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $1,499,095)		1,465,360

U.S. Government Agency - Mortgage Securities - 4.3%
Fannie Mae - 3.3%
12 month U.S. LIBOR + 1.480% 4.287% 7/1/34 (c)(d)	64	67
12 month U.S. LIBOR + 1.523% 3.542% 3/1/36 (c)(d)	242	251
12 month U.S. LIBOR + 1.551% 2.482% 2/1/44 (c)(d)	259	267
12 month U.S. LIBOR + 1.553% 2.584% 5/1/44 (c)(d)	759	781
12 month U.S. LIBOR + 1.553% 4.279% 6/1/36 (c)(d)	70	73
12 month U.S. LIBOR + 1.558% 2.668% 2/1/44 (c)(d)	312	320
12 month U.S. LIBOR + 1.565% 3.565% 3/1/37 (c)(d)	109	114
12 month U.S. LIBOR + 1.570% 2.535% 5/1/44 (c)(d)	489	503
12 month U.S. LIBOR + 1.574% 2.633% 4/1/44 (c)(d)	1,148	1,186
12 month U.S. LIBOR + 1.580% 2.466% 4/1/44 (c)(d)	518	535
12 month U.S. LIBOR + 1.580% 2.526% 1/1/44 (c)(d)	508	526
12 month U.S. LIBOR + 1.725% 2.583% 6/1/42 (c)(d)	189	196
12 month U.S. LIBOR + 1.728% 3.923% 11/1/36 (c)(d)	45	47
12 month U.S. LIBOR + 1.741% 3.533% 3/1/40 (c)(d)	963	1,011
12 month U.S. LIBOR + 1.745% 3.681% 7/1/35 (c)(d)	110	115
12 month U.S. LIBOR + 1.800% 2.722% 1/1/42 (c)(d)	672	701
12 month U.S. LIBOR + 1.800% 4.547% 7/1/41 (c)(d)	173	182
12 month U.S. LIBOR + 1.818% 2.691% 2/1/42 (c)(d)	883	920
12 month U.S. LIBOR + 1.818% 3.05% 9/1/41 (c)(d)	83	86
12 month U.S. LIBOR + 1.818% 4.546% 7/1/41 (c)(d)	114	118
12 month U.S. LIBOR + 1.830% 3.381% 10/1/41 (c)(d)	75	78
12 month U.S. LIBOR + 1.851% 4.271% 5/1/36 (c)(d)	38	40
6 month U.S. LIBOR + 1.475% 3.647% 10/1/33 (c)(d)	57	58
6 month U.S. LIBOR + 1.510% 3.86% 2/1/33 (c)(d)(e)	46	47
6 month U.S. LIBOR + 1.535% 3.58% 12/1/34 (c)(d)	90	92
6 month U.S. LIBOR + 1.535% 3.795% 3/1/35 (c)(d)	52	54
6 month U.S. LIBOR + 1.556% 3.654% 10/1/33 (c)(d)	31	32
6 month U.S. LIBOR + 1.565% 4.065% 7/1/35 (c)(d)	31	32
U.S. TREASURY 1 YEAR INDEX + 1.965% 3.715% 2/1/36 (c)(d)	45	47
U.S. TREASURY 1 YEAR INDEX + 2.208% 4.083% 3/1/35 (c)(d)	36	38
U.S. TREASURY 1 YEAR INDEX + 2.295% 3.539% 10/1/33 (c)(d)	76	80
3.5% 7/1/32	9,892	9,967
3.5% 9/1/48 (f)	7,500	7,455
4% 2/1/45 to 3/1/48	7,912	8,064
4% 9/1/48 (f)	22,150	22,549
4% 9/1/48 (f)	25,300	25,755
4.5% 11/1/25 to 6/1/41	6,524	6,775
5.5% 12/1/39 to 5/1/44	26,035	28,379
6% 1/1/34 to 6/1/36	3,980	4,400
6.5% 3/1/22 to 5/1/27	183	198
9.5% 10/1/20	2	2
11.5% 1/15/21	0	0
		122,141
Freddie Mac - 0.6%
12 month U.S. LIBOR + 1.754% 3.218% 9/1/41 (c)(d)	859	887
12 month U.S. LIBOR + 1.874% 4.125% 10/1/42 (c)(d)	514	535
12 month U.S. LIBOR + 1.877% 4.204% 4/1/41 (c)(d)	73	75
12 month U.S. LIBOR + 1.880% 3.06% 10/1/41 (c)(d)	1,317	1,371
12 month U.S. LIBOR + 1.880% 3.173% 9/1/41 (c)(d)	87	90
12 month U.S. LIBOR + 1.910% 4.355% 5/1/41 (c)(d)	148	154
12 month U.S. LIBOR + 1.910% 4.477% 5/1/41 (c)(d)	102	108
12 month U.S. LIBOR + 1.910% 4.586% 6/1/41 (c)(d)	144	150
12 month U.S. LIBOR + 1.910% 4.654% 6/1/41 (c)(d)	88	91
12 month U.S. LIBOR + 2.045% 4.778% 7/1/36 (c)(d)	237	250
12 month U.S. LIBOR + 2.084% 3.896% 3/1/33 (c)(d)	6	6
6 month U.S. LIBOR + 1.445% 3.445% 3/1/35 (c)(d)	152	156
6 month U.S. LIBOR + 1.746% 3.83% 5/1/37 (c)(d)	57	59
6 month U.S. LIBOR + 2.656% 4.837% 10/1/35 (c)(d)	100	106
U.S. TREASURY 1 YEAR INDEX + 2.383% 3.842% 2/1/36 (c)(d)	10	11
U.S. TREASURY 1 YEAR INDEX + 2.548% 4.639% 7/1/35 (c)(d)	472	500
3% 11/1/33	6,357	6,286
3.5% 7/1/32	3,481	3,508
4% 5/1/47 to 7/1/47	3,930	4,007
4.5% 5/1/39 to 10/1/41	2,155	2,262
5.5% 7/1/29	12	13
6% 1/1/24	668	699
9.5% 11/1/19 to 8/1/21	1	2
		21,326
Ginnie Mae - 0.4%
6% 6/15/36	3,255	3,627
4.3% 8/20/61 (c)(g)	649	651
4.611% 2/20/62 (c)(g)	1,270	1,284
4.671% 2/20/62 (c)(g)	1,447	1,458
4.714% 1/20/62 (c)(g)	7,728	7,786
5.47% 8/20/59 (c)(g)	14	14
		14,820
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $158,832)		158,287

Asset-Backed Securities - 3.2%
GCO Education Loan Funding Trust Series 2006-1 Class A8L, 3 month U.S. LIBOR + 0.130% 2.4414% 5/25/25 (c)(d)	$1,706	$1,703
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 2.4814% 5/28/30 (c)(d)	2,107	2,106
Higher Education Funding Series 2005-1 Class A5, 3 month U.S. LIBOR + 0.160% 2.4714% 2/25/32 (c)(d)	1,994	1,992
Illinois Student Assistance Commission Student Loan Rev. Series 2010-1 Class A2, 3 month U.S. LIBOR + 1.050% 3.3853% 4/25/22 (c)(d)	337	338
Navient Student Loan Trust:
Series 2017-3A:
Class A1, 1 month U.S. LIBOR + 0.300% 2.3648% 7/26/66 (c)(d)(h)	6,410	6,415
Class A2, 1 month U.S. LIBOR + 0.600% 2.6648% 7/26/66 (c)(d)(h)	14,550	14,632
Series 2018-1A Class A1, 1 month U.S. LIBOR + 0.190% 2.2548% 3/25/67 (c)(d)(h)	10,667	10,667
Nelnet Student Loan Trust 3 month U.S. LIBOR + 0.100% 2.4353% 1/25/30 (c)(d)	5,938	5,934
Northstar Education Finance, Inc., Delaware Series 2004-2 Class A4, 3 month U.S. LIBOR + 0.230% 2.5689% 7/28/21 (c)(d)	18,820	18,824
SLM Student Loan Trust Series 2007-8 Class A4, 3 month U.S. LIBOR + 0.470% 2.8053% 1/26/26 (c)(d)	56,092	56,288
Small Business Administration guaranteed development participation certificates:
Series 2002-20J Class 1, 4.75% 10/1/22	458	464
Series 2002-20K Class 1, 5.08% 11/1/22	705	719
Series 2004-20H Class 1, 5.17% 8/1/24	298	308
TOTAL ASSET-BACKED SECURITIES
(Cost $120,199)		120,390

Collateralized Mortgage Obligations - 16.4%
U.S. Government Agency - 16.4%
Fannie Mae:
floater:	$	$
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 3.0448% 8/25/31 (c)(d)	67	68
Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 2.6774% 11/18/31 (c)(d)	63	64
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 3.0648% 4/25/32 (c)(d)	29	29
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 3.0648% 11/25/32 (c)(d)	58	60
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.9948% 6/25/36(c)(d)	4,307	4,385
planned amortization class:
Series 2005-19 Class PA, 5.5% 7/25/34	711	724
Series 2005-64 Class PX, 5.5% 6/25/35	1,083	1,134
Series 2005-68 Class CZ, 5.5% 8/25/35	3,444	3,734
Series 2006-45 Class OP 6/25/36 (i)	583	492
Series 2010-118 Class PB, 4.5% 10/25/40	4,750	4,910
Series 2012-149:
Class DA, 1.75% 1/25/43	872	829
Class GA, 1.75% 6/25/42	871	827
sequential payer:
Series 2003-117 Class MD, 5% 12/25/23	558	577
Series 2004-91 Class Z, 5% 12/25/34	4,025	4,293
Series 2005-117 Class JN, 4.5% 1/25/36	269	278
Series 2005-14 Class ZB, 5% 3/25/35	1,252	1,335
Series 2006-72 Class CY, 6% 8/25/26	2,365	2,497
Series 2009-59 Class HB, 5% 8/25/39	1,816	1,937
Series 2009-85 Class IB, 4.5% 8/25/24 (e)	106	3
Series 2009-93 Class IC, 4.5% 9/25/24 (e)	134	3
Series 2010-139 Class NI, 4.5% 2/25/40 (e)	2,471	235
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.9848% 3/25/36 (c)(d)	2,622	2,686
Series 2010-97 Class CI, 4.5% 8/25/25 (e)	457	17
Series 2012-27 Class EZ, 4.25% 3/25/42	6,619	6,827
Series 2016-26 Class CG, 3% 5/25/46	17,190	16,999
Freddie Mac:
floater:
Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 2.6627% 2/15/32 (c)(d)	38	38
Series 2682 Class FB, 1 month U.S. LIBOR + 0.900% 2.9627% 10/15/33 (c)(d)	1,981	2,023
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.9627% 2/15/33 (c)(d)	1,232	1,257
planned amortization class:
Series 1141 Class G, 9% 9/15/21	18	19
Series 2682 Class LD, 4.5% 10/15/33	540	561
Series 3415 Class PC, 5% 12/15/37	364	384
Series 3840 Class VA, 4.5% 9/15/27	1,853	1,865
Series 3857 Class ZP, 5% 5/15/41	3,144	3,527
Series 4135 Class AB, 1.75% 6/15/42	652	619
sequential payer:
Series 2004-2802 Class ZG, 5.5% 5/15/34	6,117	6,632
Series 2587 Class AD, 4.71% 3/15/33	2,100	2,170
Series 2773 Class HC, 4.5% 4/15/19	1	1
Series 2877 Class ZD, 5% 10/15/34	4,900	5,224
Series 3007 Class EW, 5.5% 7/15/25	3,818	4,007
Series 3745 Class KV, 4.5% 12/15/26	5,737	5,953
Series 3871 Class KB, 5.5% 6/15/41	13,870	15,336
Series 3889 Class DZ, 4% 1/15/41	36,213	37,281
Series 3843 Class PZ, 5% 4/15/41	2,690	2,984
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:
Series 4335 Class AL, 4.25% 3/15/40	5,259	5,371
Series 4341 Class ML, 3.5% 11/15/31	8,043	8,123
Freddie Mac Seasoned Credit Risk Transfer Series sequential payer Series 2018-3 Class MA, 3.5% 8/25/57	36,795	36,600
Freddie Mac SLST sequential payer Series 2018-1:
Class A1, 3.5% 6/25/28	4,938	4,942
Class A2, 3.5% 6/25/28	1,570	1,549
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater:
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 2.5574% 1/20/38 (c)(d)	198	199
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 2.9374% 8/20/38 (c)(d)	1,541	1,569
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 2.9774% 9/20/38 (c)(d)	1,305	1,334
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 2.6635% 11/16/39 (c)(d)	779	786
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 2.6499% 9/20/61 (c)(d)(g)	7,719	7,753
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 2.6999% 10/20/61 (c)(d)(g)	5,022	5,047
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 2.7999% 11/20/61 (c)(d)(g)	4,347	4,381
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 2.7999% 1/20/62 (c)(d)(g)	2,761	2,781
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 2.7299% 1/20/62 (c)(d)(g)	4,025	4,049
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 2.7299% 3/20/62 (c)(d)(g)	2,481	2,494
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 2.7499% 5/20/61 (c)(d)(g)	518	519
Series 2013-H19:
Class FC, 1 month U.S. LIBOR + 0.600% 2.6999% 8/20/63 (c)(d)(g)	1,066	1,071
Class FD, 1 month U.S. LIBOR + 0.600% 2.6999% 8/20/63 (c)(d)(g)	2,747	2,758
Series 2014-H02 Class FB, 1 month U.S. LIBOR + 0.650% 2.7499% 12/20/63 (c)(d)(g)	34,545	34,791
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 2.6999% 1/20/64 (c)(d)(g)	12,399	12,461
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 2.3999% 3/20/65 (c)(d)(g)	543	543
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 2.3799% 5/20/63 (c)(d)(g)	4,921	4,916
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 2.2999% 4/20/63 (c)(d)(g)	5,355	5,347
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 2.4999% 12/20/62 (c)(d)(g)	5,960	5,959
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 2.3274% 10/20/47 (c)(d)	4,712	4,705
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 2.3774% 5/20/48 (c)(d)	5,847	5,854
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 2.3774% 6/20/48 (c)(d)	6,590	6,590
planned amortization class:
Series 2010-31 Class BP, 5% 3/20/40	11,191	12,285
Series 2017-134 Class BA, 2.5% 11/20/46	732	703
sequential payer:
Series 2011-69 Class GX, 4.5% 5/16/40	10,205	10,647
Series 2013-H06 Class HA, 1.65% 1/20/63 (g)	3,126	3,083
Series 2013-H26 Class HA, 3.5% 9/20/63 (g)	31,143	31,267
Series 2014-H04 Class HA, 2.75% 2/20/64 (g)	7,475	7,413
Series 2014-H12 Class KA, 2.75% 5/20/64 (g)	4,536	4,472
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 2.5999% 9/20/62 (c)(d)(g)	14,814	14,824
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 2.7499% 11/20/65 (c)(d)(g)	2,105	2,108
Series 2004-22 Class M1, 5.5% 4/20/34	617	761
Series 2010-169 Class Z, 4.5% 12/20/40	7,139	7,433
Series 2010-H15 Class TP, 5.15% 8/20/60 (g)	8,466	8,569
Series 2010-H17 Class XP, 5.2966% 7/20/60 (c)(g)	8,087	8,204
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(g)	6,494	6,572
Series 2012-64 Class KI, 3.5% 11/20/36 (e)	831	59
Series 2013-124:
Class ES, 8.667% - 1 month U.S. LIBOR 5.8968% 4/20/39 (c)(j)	2,642	2,681
Class ST, 8.800% - 1 month U.S. LIBOR 6.0302% 8/20/39 (c)(j)	8,265	8,458
Series 2013-H07 Class JA, 1.75% 3/20/63 (g)	21,252	20,945
Series 2015-H17 Class HA, 2.5% 5/20/65 (g)	10,317	10,265
Series 2015-H21:
Class HA, 2.5% 6/20/63 (g)	27,565	27,461
Class JA, 2.5% 6/20/65 (g)	3,157	3,141
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(g)	31,187	30,844
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 2.83% 5/20/66 (c)(d)(g)	21,974	22,058
Series 2017-186 Class HK, 3% 11/16/45	8,636	8,474
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.68% 8/20/66 (c)(d)(g)	19,444	19,472
Series 2090-118 Class XZ, 5% 12/20/39	14,813	16,102
		605,617
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $615,517)		605,617

Commercial Mortgage Securities - 10.4%
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27	39,507	37,598
Freddie Mac:
floater:
Series KP04 Class AG1, 1 month U.S. LIBOR + 0.220% 2.3014% 7/25/20 (c)(d)	10,600	10,606
Series KP04, Class AG2, 1 month U.S. LIBOR + 0.200% 2.2814% 10/25/19 (c)(d)	21,200	21,202
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20	3,729	3,799
sequential payer:
Series 2017-SR01 Class A2, 2.75% 11/25/22	19,000	18,618
Series 2018-K074 Class A2, 3.6% 1/25/28	2,600	2,636
Series K009 Class A2, 3.808% 8/25/20	5,591	5,672
Series K069 Class A2, 3.187% 9/25/27	5,900	5,815
Series K071 Class A2, 3.286% 11/25/27	8,900	8,831
Series K072 Class A2, 3.444% 12/25/27	23,829	23,882
Series K073 Class A2, 3.35% 1/25/28	37,300	37,105
Series K155:
Class A1, 3.75% 11/25/29	766	784
Class A2, 3.75% 11/25/32	7,700	7,832
Series K708 Class A2, 2.13% 1/25/19	22,361	22,306
Series K709 Class A2, 2.086% 3/25/19	17,210	17,149
Series K710 Class A2, 1.883% 5/25/19	16,492	16,414
Series K712 Class A2, 1.869% 11/25/19	13,719	13,563
Series K713 Class A2, 2.313% 3/25/20	5,341	5,302
Series K717 Class A2, 2.991% 9/25/21	12,968	12,987
Series K077 Class A2, 3.85% 5/25/28	11,260	11,645
Series K079:
Class A1, 3.729% 2/25/28	1,854	1,904
Class A2, 3.926% 6/25/28	17,044	17,724
Series K504 Class A2, 2.566% 9/25/20	15,405	15,288
Series K706 Class A2, 2.323% 10/25/18	5,331	5,322
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 2.386% 2/25/20 (c)(d)	43,722	43,774
Freddie Mac Multi-family Structured pass-thru certificates Series K078 Class A2, 3.854% 6/25/28	15,100	15,610
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $387,560)		383,368

Foreign Government and Government Agency Obligations - 3.8%
Israeli State:
(guaranteed by U.S. Government through Agency for International Development):
5.5% 9/18/23	72,266	80,976
5.5% 12/4/23	48	54
5.5% 4/26/24	6,065	6,863
Jordanian Kingdom 3% 6/30/25	19,267	19,161
Ukraine Government 1.471% 9/29/21	34,809	33,435
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $135,480)		140,489
	Shares	Value (000s)

Fixed-Income Funds - 23.5%
Fidelity Mortgage Backed Securities Central Fund (k)
(Cost $862,839)	8,248,023	869,177

Money Market Funds - 0.2%
Fidelity Cash Central Fund, 1.97% (l)
(Cost $8,055)	8,053,217	8,055

Purchased Swaptions - 0.3%(m)
	Expiration Date	Notional Amount (000s)	Value (000s)
Put Options - 0.2%
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.495% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027	10/5/20	13,400	$574
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.7875% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2028	1/25/21	77,100	2,587
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.5340% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2027	12/8/20	44,800	1,890
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 3.0580% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2028	4/20/21	65,300	1,762

TOTAL PUT OPTIONS			6,813

Call Options - 0.1%
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.495% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027	10/5/20	13,400	206
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.7875% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2028	1/25/21	77,100	1,817
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.5340% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2027	12/8/20	44,800	763
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 3.058% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2028	4/20/21	65,300	2,145

TOTAL CALL OPTIONS			4,931

TOTAL PURCHASED SWAPTIONS
(Cost $12,226)			11,744
TOTAL INVESTMENT IN SECURITIES - 101.7%
(Cost $3,799,803)			3,762,487
NET OTHER ASSETS (LIABILITIES) - (1.7)%			(62,527)
NET ASSETS - 100%			$3,699,960

TBA Sale Commitments
	Principal Amount (000s)	Value (000s)
Fannie Mae
4% 9/1/48
(Proceeds $9,835)	$(9,700)	$(9,875)

Written Swaptions
	Expiration Date	Notional Amount (000s)	Value (000s)
Put Swaptions
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.989% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2028	8/27/21	73,000	$(2,280)
Call Swaptions
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.989% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2028	8/27/21	73,000	(2,380)
TOTAL WRITTEN SWAPTIONS			$(4,660)

Futures Contracts
	Number of contracts	Expiration Date	Notional Amount (000s)	Value (000s)	Unrealized Appreciation/(Depreciation) (000s)
Purchased
Treasury Contracts
CBOT 10-Year U.S. Treasury Note Contracts (United States)	739	Dec. 2018	$88,876	$(116)	$(116)
CBOT 2-Year U.S. Treasury Note Contracts (United States)	778	Dec. 2018	164,438	(77)	(77)
CBOT 5-Year U.S. Treasury Note Contracts (United States)	851	Dec. 2018	96,502	(141)	(141)
CBOT Long Term U.S. Treasury Bond Contracts (United States)	170	Dec. 2018	24,517	(119)	(119)

TOTAL PURCHASED FUTURES					(453)

Sold
Treasury Contracts
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States)	260	Dec. 2018	33,292	12	12
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)	6	Dec. 2018	956	6	6

TOTAL SOLD FUTURES					18

TOTAL FUTURES CONTRACTS					$(435)

The notional amount of futures purchased as a percentage of Net Assets is 10.1%

The notional amount of futures sold as a percentage of Net Assets is 0.9%

For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $372,751.

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
2.25%	Semi - annual	3-month LIBOR(3)	Quarterly	LCH	Sep. 2025	$20,030	$147	$0	$147

(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.

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 $1,686,000.

(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 $646,000.

(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(e) 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.

(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(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 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 $31,714,000 or 0.9% of net assets.

(i) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(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) 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-Q 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.

(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 $270,833,000.

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	$528
Fidelity Mortgage Backed Securities Central Fund	23,221
Total	$23,749

Fiscal year to date information regarding the Fund’s investments in non-Money Market Central Funds, including the ownership percentage, is presented below.

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Realized Gain/Loss	Change in Unrealized appreciation (depreciation)	Value, end of period	% ownership, end of period
Fidelity Mortgage Backed Securities Central Fund	$939,005	$111,224	$152,000	$3,913	$(32,965)	$869,177	10.9%
Total	$939,005	$111,224	$152,000	$3,913	$(32,965)	$869,177

Investment Valuation

	Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
(Amounts in thousands)
Investments in Securities:
U.S. Government and Government Agency Obligations	$1,465,360	$--	$1,465,360	$--
U.S. Government Agency - Mortgage Securities	158,287	--	158,287	--
Asset-Backed Securities	120,390	--	120,390	--
Collateralized Mortgage Obligations	605,617	--	605,617	--
Commercial Mortgage Securities	383,368	--	383,368	--
Foreign Government and Government Agency Obligations	140,489	--	140,489	--
Fixed-Income Funds	869,177	869,177	--	--
Money Market Funds	8,055	8,055	--	--
Purchased Swaptions	11,744	--	11,744	--
Total Investments in Securities:	$3,762,487	$877,232	$2,885,255	$--
Derivative Instruments:
Assets
Futures Contracts	$18	$18	$--	$--
Swaps	147	--	147	--
Total Assets	$165	$18	$147	$--
Liabilities
Futures Contracts	$(453)	$(453)	$--	$--
Written Swaptions	(4,660)	--	(4,660)	--
Total Liabilities	$(5,113)	$(453)	$(4,660)	$--
Total Derivative Instruments:	$(4,948)	$(435)	$(4,513)	$--
Other Financial Instruments:
TBA Sale Commitments	$(9,875)	$--	$(9,875)	$--
Total Other Financial Instruments:	$(9,875)	$--	$(9,875)	$--

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, 2018. 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)
Interest Rate Risk
Futures Contracts^(a)	$18	$(453)
Purchased Swaptions^(b)	11,744	0
Swaps^(c)	147	0
Written Swaptions^(d)	0	(4,660)
Total Interest Rate Risk	11,909	(5,113)
Total Value of Derivatives	$11,909	$(5,113)

(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 net unrealized appreciation (depreciation).

(b) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.

(c) 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 net unrealized appreciation (depreciation).

(d) 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, 2018
Assets
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $2,928,909)	$2,885,255
Fidelity Central Funds (cost $870,894)	877,232
Total Investment in Securities (cost $3,799,803)		$3,762,487
Receivable for investments sold		866
Receivable for premium on written options		4,649
Receivable for TBA sale commitments		9,835
Receivable for fund shares sold		3,635
Interest receivable		11,257
Distributions receivable from Fidelity Central Funds		22
Receivable for daily variation margin on futures contracts		185
Receivable for daily variation margin on centrally cleared OTC swaps		24
Other receivables		69
Total assets		3,793,029
Liabilities
Payable for investments purchased
Regular delivery	$16,970
Delayed delivery	55,600
TBA sale commitments, at value	9,875
Payable for fund shares redeemed	4,088
Distributions payable	275
Accrued management fee	946
Distribution and service plan fees payable	103
Written options, at value (premium receivable $4,649)	4,660
Other affiliated payables	484
Other payables and accrued expenses	68
Total liabilities		93,069
Net Assets		$3,699,960
Net Assets consist of:
Paid in capital		$3,841,152
Distributions in excess of net investment income		(7,946)
Accumulated undistributed net realized gain (loss) on investments		(95,591)
Net unrealized appreciation (depreciation) on investments		(37,655)
Net Assets		$3,699,960
Calculation of Maximum Offering Price
Class A:
Net Asset Value and redemption price per share ($131,379 ÷ 13,134 shares)		$10.00
Maximum offering price per share (100/96.00 of $10.00)		$10.42
Class M:
Net Asset Value and redemption price per share ($136,668 ÷ 13,665 shares)		$10.00
Maximum offering price per share (100/96.00 of $10.00)		$10.42
Class C:
Net Asset Value and offering price per share ($57,114 ÷ 5,711 shares)^(a)		$10.00
Government Income:
Net Asset Value, offering price and redemption price per share ($2,963,757 ÷ 296,780 shares)		$9.99
Class I:
Net Asset Value, offering price and redemption price per share ($411,042 ÷ 41,097 shares)		$10.00

(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

Amounts in thousands		Year ended August 31, 2018
Investment Income
Interest		$73,226
Income from Fidelity Central Funds		23,749
Total income		96,975
Expenses
Management fee	$12,307
Transfer agent fees	4,473
Distribution and service plan fees	1,352
Fund wide operations fee	1,754
Independent trustees' fees and expenses	16
Commitment fees	12
Total expenses before reductions	19,914
Expense reductions	(3)
Total expenses after reductions		19,911
Net investment income (loss)		77,064
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(27,204)
Fidelity Central Funds	3,909
Futures contracts	(9,678)
Swaps	(585)
Written options	259
Total net realized gain (loss)		(33,299)
Change in net unrealized appreciation (depreciation) on:
Investment securities:
Unaffiliated issuers	(82,089)
Fidelity Central Funds	(32,965)
Futures contracts	(989)
Swaps	131
Written options	(11)
Delayed delivery commitments	832
Total change in net unrealized appreciation (depreciation)		(115,091)
Net gain (loss)		(148,390)
Net increase (decrease) in net assets resulting from operations		$(71,326)

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, 2018	Year ended August 31, 2017
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$77,064	$76,961
Net realized gain (loss)	(33,299)	1,723
Change in net unrealized appreciation (depreciation)	(115,091)	(115,167)
Net increase (decrease) in net assets resulting from operations	(71,326)	(36,483)
Distributions to shareholders from net investment income	(76,545)	(74,479)
Distributions to shareholders from net realized gain	–	(34,956)
Total distributions	(76,545)	(109,435)
Share transactions - net increase (decrease)	(517,453)	(430,132)
Total increase (decrease) in net assets	(665,324)	(576,050)
Net Assets
Beginning of period	4,365,284	4,941,334
End of period	$3,699,960	$4,365,284
Other Information
Distributions in excess of net investment income end of period	$(7,946)	$(7,544)

See accompanying notes which are an integral part of the financial statements.

Financial Highlights

Fidelity Government Income Fund Class A

Years ended August 31,	2018	2017	2016	2015	2014
Selected Per–Share Data
Net asset value, beginning of period	$10.36	$10.66	$10.50	$10.47	$10.20
Income from Investment Operations
Net investment income (loss)^A	.166	.149	.135	.126	.138
Net realized and unrealized gain (loss)	(.362)	(.230)	.270	.048	.278
Total from investment operations	(.196)	(.081)	.405	.174	.416
Distributions from net investment income	(.164)	(.143)	(.150)	(.116)	(.139)
Distributions from net realized gain	–	(.076)	(.095)	(.028)	(.007)
Total distributions	(.164)	(.219)	(.245)	(.144)	(.146)
Net asset value, end of period	$10.00	$10.36	$10.66	$10.50	$10.47
Total Return^B,^C	(1.89)%	(.73)%	3.92%	1.67%	4.10%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.77%	.77%	.76%	.77%	.77%
Expenses net of fee waivers, if any	.77%	.77%	.76%	.77%	.77%
Expenses net of all reductions	.77%	.77%	.76%	.77%	.77%
Net investment income (loss)	1.64%	1.44%	1.28%	1.20%	1.34%
Supplemental Data
Net assets, end of period (in millions)	$131	$174	$261	$222	$246
Portfolio turnover rate^F	123%	157%	93%	83%	131%

^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 Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

^E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. 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.

^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 Government Income Fund Class M

Years ended August 31,	2018	2017	2016	2015	2014
Selected Per–Share Data
Net asset value, beginning of period	$10.36	$10.66	$10.50	$10.47	$10.20
Income from Investment Operations
Net investment income (loss)^A	.167	.149	.135	.127	.140
Net realized and unrealized gain (loss)	(.362)	(.229)	.270	.048	.277
Total from investment operations	(.195)	(.080)	.405	.175	.417
Distributions from net investment income	(.165)	(.144)	(.150)	(.117)	(.140)
Distributions from net realized gain	–	(.076)	(.095)	(.028)	(.007)
Total distributions	(.165)	(.220)	(.245)	(.145)	(.147)
Net asset value, end of period	$10.00	$10.36	$10.66	$10.50	$10.47
Total Return^B,^C	(1.88)%	(.73)%	3.92%	1.68%	4.12%
Ratios to Average Net Assets^D,^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)	1.65%	1.44%	1.28%	1.20%	1.36%
Supplemental Data
Net assets, end of period (in millions)	$137	$157	$197	$181	$196
Portfolio turnover rate^F	123%	157%	93%	83%	131%

^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.

^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 Government Income Fund Class C

Years ended August 31,	2018	2017	2016	2015	2014
Selected Per–Share Data
Net asset value, beginning of period	$10.36	$10.66	$10.50	$10.47	$10.20
Income from Investment Operations
Net investment income (loss)^A	.088	.069	.053	.044	.059
Net realized and unrealized gain (loss)	(.361)	(.229)	.270	.048	.278
Total from investment operations	(.273)	(.160)	.323	.092	.337
Distributions from net investment income	(.087)	(.064)	(.068)	(.034)	(.060)
Distributions from net realized gain	–	(.076)	(.095)	(.028)	(.007)
Total distributions	(.087)	(.140)	(.163)	(.062)	(.067)
Net asset value, end of period	$10.00	$10.36	$10.66	$10.50	$10.47
Total Return^B,^C	(2.64)%	(1.49)%	3.12%	.88%	3.32%
Ratios to Average Net Assets^D,^E
Expenses before reductions	1.54%	1.54%	1.54%	1.55%	1.54%
Expenses net of fee waivers, if any	1.54%	1.54%	1.54%	1.55%	1.54%
Expenses net of all reductions	1.54%	1.54%	1.54%	1.55%	1.54%
Net investment income (loss)	.87%	.67%	.50%	.42%	.57%
Supplemental Data
Net assets, end of period (in millions)	$57	$72	$94	$54	$58
Portfolio turnover rate^F	123%	157%	93%	83%	131%

^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.

^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 Government Income Fund

Years ended August 31,	2018	2017	2016	2015	2014
Selected Per–Share Data
Net asset value, beginning of period	$10.35	$10.65	$10.48	$10.45	$10.18
Income from Investment Operations
Net investment income (loss)^A	.198	.181	.167	.159	.171
Net realized and unrealized gain (loss)	(.361)	(.229)	.281	.048	.278
Total from investment operations	(.163)	(.048)	.448	.207	.449
Distributions from net investment income	(.197)	(.176)	(.183)	(.149)	(.172)
Distributions from net realized gain	–	(.076)	(.095)	(.028)	(.007)
Total distributions	(.197)	(.252)	(.278)	(.177)	(.179)
Net asset value, end of period	$9.99	$10.35	$10.65	$10.48	$10.45
Total Return^B	(1.58)%	(.42)%	4.35%	1.99%	4.45%
Ratios to Average Net Assets^C,^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)	1.96%	1.76%	1.59%	1.51%	1.66%
Supplemental Data
Net assets, end of period (in millions)	$2,964	$3,467	$3,896	$3,489	$3,157
Portfolio turnover rate^E	123%	157%	93%	83%	131%

^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 Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

^D Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. 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.

^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 Government Income Fund Class I

Years ended August 31,	2018	2017	2016	2015	2014
Selected Per–Share Data
Net asset value, beginning of period	$10.36	$10.66	$10.50	$10.47	$10.20
Income from Investment Operations
Net investment income (loss)^A	.194	.177	.162	.154	.166
Net realized and unrealized gain (loss)	(.361)	(.230)	.271	.048	.277
Total from investment operations	(.167)	(.053)	.433	.202	.443
Distributions from net investment income	(.193)	(.171)	(.178)	(.144)	(.166)
Distributions from net realized gain	–	(.076)	(.095)	(.028)	(.007)
Total distributions	(.193)	(.247)	(.273)	(.172)	(.173)
Net asset value, end of period	$10.00	$10.36	$10.66	$10.50	$10.47
Total Return^B	(1.61)%	(.46)%	4.19%	1.94%	4.38%
Ratios to Average Net Assets^C,^D
Expenses before reductions	.49%	.49%	.50%	.50%	.51%
Expenses net of fee waivers, if any	.49%	.49%	.50%	.50%	.51%
Expenses net of all reductions	.49%	.49%	.50%	.50%	.51%
Net investment income (loss)	1.92%	1.71%	1.54%	1.46%	1.61%
Supplemental Data
Net assets, end of period (in millions)	$411	$496	$494	$412	$298
Portfolio turnover rate^E	123%	157%	93%	83%	131%

^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.

^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.

Notes to Financial Statements

For the period ended August 31, 2018
(Amounts in thousands except percentages)

1. Organization.

Fidelity Government Income Fund (the Fund) is a fund of Fidelity Income Fund (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, Government Income and Class I 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.

2. Investments in Fidelity Central Funds.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense Ratio^(a)
Fidelity Mortgage Backed Securities Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.	Delayed Delivery & When Issued Securities Futures Options	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 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. Foreign government and government agency obligations 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. 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

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.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), certain independent Trustees have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees of $68 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.

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.

Book-tax differences are primarily due to futures contracts, swaps, market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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	$18,629
Gross unrealized depreciation	(104,929)
Net unrealized appreciation (depreciation)	$(86,300)
Tax Cost	$3,844,230

The tax-based components of distributable earnings as of period end were as follows:

Capital loss carryforward	$(53,176)
Net unrealized appreciation (depreciation) on securities and other investments	$(86,300)

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

No expiration
Short-term	$(32,862)
Long-term	(20,314)
Total capital loss carryforward	$(53,176)

The tax character of distributions paid was as follows:

	August 31, 2018	August 31, 2017
Ordinary Income	$76,545	$ 89,228
Long-term Capital Gains	–	20,207
Total	$76,545	$ 109,435

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.

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 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. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, 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)
Interest Rate Risk
Futures Contracts	$(9,678)	$(989)
Purchased Options	124	(482)
Swaps	(585)	131
Written Options	259	(11)
Totals	$(9,880)	$(1,351)

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 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.

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.

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.

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 (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $271,343 and $234,248, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Management & Research Company (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 .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. 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 .31% of the Fund's average net assets.

In addition, under the expense contract, the investment adviser pays class-level expenses for Government Income, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees, do not exceed .45% of the Class' average net assets. This agreement does not apply to any of the other classes and any change or modification that would increase expenses can only be made with shareholder approval.

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 Corporation (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%	$378	$27
Class M	-%	.25%	356	38
Class C	.75%	.25%	618	25
			$1,352	$90

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	$6
Class M	1
Class C^(a)	9
	$16

(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, Inc., (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 Government Income. FIIOC receives an asset-based fee of .10% of Government Income'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	$260	.17
Class M	231	.16
Class C	119	.19
Government Income	3,209	.10
Class I	654	.14
	$4,473

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 .04% of average net assets.

7. Committed Line of Credit.

The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $12 and is reflected in Commitment fees on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. 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 maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $18.

9. Expense Reductions.

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, these credits reduced the Fund's expenses by $3.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Year ended August 31, 2018	Year ended August 31, 2017
From net investment income
Class A	$2,453	$3,003
Class M	2,332	2,353
Class C	527	492
Government Income	62,521	60,593
Class I	8,712	8,038
Total	$76,545	$74,479
From net realized gain
Class A	$–	$1,831
Class M	–	1,339
Class C	–	658
Government Income	–	27,600
Class I	–	3,528
Total	$–	$34,956

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, 2018	Year ended August 31, 2017	Year ended August 31, 2018	Year ended August 31, 2017
Class A
Shares sold	2,386	4,084	$24,093	$42,226
Reinvestment of distributions	234	450	2,358	4,652
Shares redeemed	(6,296)	(12,230)	(63,573)	(125,628)
Net increase (decrease)	(3,676)	(7,696)	$(37,122)	$(78,750)
Class M
Shares sold	3,436	3,752	$34,657	$38,695
Reinvestment of distributions	213	338	2,151	3,499
Shares redeemed	(5,090)	(7,416)	(51,444)	(76,589)
Net increase (decrease)	(1,441)	(3,326)	$(14,636)	$(34,395)
Class C
Shares sold	1,086	1,245	$10,950	$12,880
Reinvestment of distributions	50	102	506	1,056
Shares redeemed	(2,329)	(3,261)	(23,542)	(33,484)
Net increase (decrease)	(1,193)	(1,914)	$(12,086)	$(19,548)
Government Income
Shares sold	44,098	78,457	$444,987	$805,428
Reinvestment of distributions	5,956	8,206	59,957	84,659
Shares redeemed	(88,405)	(117,437)	(890,477)	(1,203,566)
Net increase (decrease)	(38,351)	(30,774)	$(385,533)	$(313,479)
Class I
Shares sold	16,203	13,696	$164,389	$140,776
Reinvestment of distributions	830	1,085	8,367	11,211
Shares redeemed	(23,796)	(13,214)	(240,832)	(135,947)
Net increase (decrease)	(6,763)	1,567	$(68,076)	$16,040

12. Other.

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Income Fund and Shareholders of Fidelity Government Income Fund:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Government Income Fund (one of the funds constituting Fidelity Income Fund, hereafter collectively referred to as the "Fund") as of August 31, 2018, the related statement of operations for the year ended August 31, 2018, the statement of changes in net assets for each of the two years in the period ended August 31, 2018, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2018 (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, 2018, 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, 2018 and the financial highlights for each of the five years in the period ended August 31, 2018 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 18, 2018

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Trustees and Officers

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.

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

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

* 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.

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: 2013

Trustee

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Albert R. Gamper, Jr. (1942)

Year of Election or Appointment: 2006

Trustee

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Chairman of the Independent Trustees

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Vice Chairman of the Independent Trustees

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Advisory Board Members and Officers:

Name, Year of Birth; Principal Occupation

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Member of the Advisory Board

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

William C. Coffey (1969)

Year of Election or Appointment: 2018

Secretary and Chief Legal Officer (CLO)

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

President and Treasurer

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (1995-present).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including 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 the 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, 2018 to August 31, 2018).

Actual Expenses

The first line of the accompanying table for each class of the Fund 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 of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee, which was eliminated effective August 1, 2018, is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' 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. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee, which was eliminated effective August 1, 2018, is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

	Annualized Expense Ratio-^A	Beginning Account Value March 1, 2018	Ending Account Value August 31, 2018	Expenses Paid During Period-^B March 1, 2018 to August 31, 2018
Class A	.77%
Actual		$1,000.00	$1,009.50	$3.90
Hypothetical-^C		$1,000.00	$1,021.32	$3.92
Class M	.76%
Actual		$1,000.00	$1,009.60	$3.85
Hypothetical-^C		$1,000.00	$1,021.37	$3.87
Class C	1.53%
Actual		$1,000.00	$1,005.60	$7.73
Hypothetical-^C		$1,000.00	$1,017.49	$7.78
Government Income	.45%
Actual		$1,000.00	$1,011.20	$2.28
Hypothetical-^C		$1,000.00	$1,022.94	$2.29
Class I	.49%
Actual		$1,000.00	$1,010.90	$2.48
Hypothetical-^C		$1,000.00	$1,022.74	$2.50

^A Annualized expense ratio reflects expenses net of applicable fee waivers.

^B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

^C 5% return per year before expenses

Distributions (Unaudited)

A total of 35.62% 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 $51,078,293 of distributions paid during the period January 1, 2018 to August 31, 2018 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2019 of amounts for use in preparing 2018 income tax returns.

Fidelity Investments

AGVT-ANN-1018
1.834242.112

Fidelity® Government Income Fund

Annual Report

August 31, 2018

Contents

Performance
Management's Discussion of Fund Performance
Investment Summary
Schedule of Investments
Financial Statements
Notes to Financial Statements
Report of Independent Registered Public Accounting Firm
Trustees and Officers
Shareholder Expense Example
Distributions

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.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Performance: The Bottom Line

Average Annual Total Returns

For the periods ended August 31, 2018	Past 1 year	Past 5 years	Past 10 years
Fidelity® Government Income Fund	(1.58)%	1.73%	2.94%

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Government Income Fund, a class of the fund, on August 31, 2008.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Government Bond Index performed over the same period.

	Period Ending Values
	$13,355	Fidelity® Government Income Fund
	$13,179	Bloomberg Barclays U.S. Government Bond Index

Management's Discussion of Fund Performance

Note to Shareholders: On December 1, 2017, Sean Corcoran became Co-Manager of the fund, replacing Lead Manager William Irving.

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.

Coupon Distribution as of August 31, 2018

	% of fund's investments
Zero coupon bonds	0.4
0.01 - 0.99%	0.0
1 - 1.99%	14.6
2 - 2.99%	36.8
3 - 3.99%	27.9
4 - 4.99%	13.8
5 - 5.99%	7.8
6 - 6.99%	0.7
7% and above	0.0

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, 2018^,^,^**
	Mortgage Securities	25.3%
	CMOs and Other Mortgage Related Securities	31.1%
	U.S. Treasury Obligations	37.3%
	U.S. Government Agency Obligations^†	2.3%
	Foreign Government & Government Agency Obligations	3.8%
	Asset-Backed Securities	3.6%
	Short-Term Investments and Net Other Assets (Liabilities)^††	(3.4)%

* Foreign investments – 3.8%

** Futures and Swaps – 10.2%

*** Written options – (4.3)%

† Includes NCUA Guaranteed Notes

†† 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, 2018

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 39.6%
	Principal Amount (000s)	Value (000s)
U.S. Government Agency Obligations - 0.2%
Fannie Mae:
0.875% 8/2/19	$131	$129
1% 2/26/19	326	324
1.125% 12/14/18	240	239
Tennessee Valley Authority:
5.25% 9/15/39	2,807	3,498
5.375% 4/1/56	3,438	4,623
		8,813
U.S. Treasury Obligations - 37.3%
U.S. Treasury Bonds:
stripped coupon 2/15/34	23,210	14,560
2.5% 2/15/46	28,232	25,455
2.75% 8/15/47	49,596	46,948
2.75% 11/15/47	4,400	4,164
2.875% 8/15/45	108,041	105,050
3% 11/15/44	29,032	28,908
3% 11/15/45	26,406	26,294
3% 5/15/47	15,900	15,822
3% 8/15/48	24,717	24,592
3.625% 2/15/44	39,531	43,750
4.75% 2/15/37 (a)	42,044	52,992
5% 5/15/37 (a)(b)	27,242	35,365
U.S. Treasury Notes:
1.125% 9/30/21	48,467	46,216
1.375% 8/31/20	5,000	4,878
1.375% 1/31/21	22,500	21,821
1.375% 4/30/21	15,000	14,498
1.375% 5/31/21	17,000	16,411
1.5% 7/15/20	7,125	6,979
1.5% 8/15/26	9,629	8,716
1.625% 7/31/20	20,000	19,626
1.625% 8/31/22	17,293	16,568
1.625% 5/31/23	8,377	7,961
1.75% 10/31/20	2,405	2,360
1.75% 12/31/20	31,701	31,051
1.75% 6/30/22	34,052	32,836
1.875% 1/31/22	45,770	44,508
1.875% 3/31/22	45,561	44,237
1.875% 7/31/22	85,036	82,322
1.875% 9/30/22	28,814	27,855
2% 9/30/20	15,143	14,947
2% 12/31/21	78,894	77,091
2% 7/31/22	18,845	18,332
2% 10/31/22	10,000	9,709
2% 8/15/25 (a)	12,238	11,603
2% 11/15/26	12,579	11,804
2.125% 6/30/21	22,000	21,661
2.125% 12/31/21	2,000	1,962
2.125% 6/30/22	146	143
2.125% 12/31/22	59,329	57,825
2.125% 7/31/24	77,525	74,721
2.125% 5/15/25	18,702	17,915
2.25% 7/31/21	7,021	6,933
2.25% 12/31/24	27,679	26,799
2.25% 2/15/27	3,000	2,865
2.25% 11/15/27	8,251	7,843
2.375% 4/15/21	62,750	62,257
2.375% 5/15/27	2,200	2,120
2.625% 6/30/23	16,402	16,309
2.75% 4/30/23	30,920	30,919
2.75% 6/30/25	50,818	50,612
2.75% 2/15/28	1,980	1,960
		1,379,073
Other Government Related - 2.1%
National Credit Union Administration Guaranteed Notes Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 2.4211% 12/7/20 (NCUA Guaranteed) (c)(d)	2,283	2,286
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed)	74,000	75,188
		77,474
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $1,499,095)		1,465,360

U.S. Government Agency - Mortgage Securities - 4.3%
Fannie Mae - 3.3%
12 month U.S. LIBOR + 1.480% 4.287% 7/1/34 (c)(d)	64	67
12 month U.S. LIBOR + 1.523% 3.542% 3/1/36 (c)(d)	242	251
12 month U.S. LIBOR + 1.551% 2.482% 2/1/44 (c)(d)	259	267
12 month U.S. LIBOR + 1.553% 2.584% 5/1/44 (c)(d)	759	781
12 month U.S. LIBOR + 1.553% 4.279% 6/1/36 (c)(d)	70	73
12 month U.S. LIBOR + 1.558% 2.668% 2/1/44 (c)(d)	312	320
12 month U.S. LIBOR + 1.565% 3.565% 3/1/37 (c)(d)	109	114
12 month U.S. LIBOR + 1.570% 2.535% 5/1/44 (c)(d)	489	503
12 month U.S. LIBOR + 1.574% 2.633% 4/1/44 (c)(d)	1,148	1,186
12 month U.S. LIBOR + 1.580% 2.466% 4/1/44 (c)(d)	518	535
12 month U.S. LIBOR + 1.580% 2.526% 1/1/44 (c)(d)	508	526
12 month U.S. LIBOR + 1.725% 2.583% 6/1/42 (c)(d)	189	196
12 month U.S. LIBOR + 1.728% 3.923% 11/1/36 (c)(d)	45	47
12 month U.S. LIBOR + 1.741% 3.533% 3/1/40 (c)(d)	963	1,011
12 month U.S. LIBOR + 1.745% 3.681% 7/1/35 (c)(d)	110	115
12 month U.S. LIBOR + 1.800% 2.722% 1/1/42 (c)(d)	672	701
12 month U.S. LIBOR + 1.800% 4.547% 7/1/41 (c)(d)	173	182
12 month U.S. LIBOR + 1.818% 2.691% 2/1/42 (c)(d)	883	920
12 month U.S. LIBOR + 1.818% 3.05% 9/1/41 (c)(d)	83	86
12 month U.S. LIBOR + 1.818% 4.546% 7/1/41 (c)(d)	114	118
12 month U.S. LIBOR + 1.830% 3.381% 10/1/41 (c)(d)	75	78
12 month U.S. LIBOR + 1.851% 4.271% 5/1/36 (c)(d)	38	40
6 month U.S. LIBOR + 1.475% 3.647% 10/1/33 (c)(d)	57	58
6 month U.S. LIBOR + 1.510% 3.86% 2/1/33 (c)(d)(e)	46	47
6 month U.S. LIBOR + 1.535% 3.58% 12/1/34 (c)(d)	90	92
6 month U.S. LIBOR + 1.535% 3.795% 3/1/35 (c)(d)	52	54
6 month U.S. LIBOR + 1.556% 3.654% 10/1/33 (c)(d)	31	32
6 month U.S. LIBOR + 1.565% 4.065% 7/1/35 (c)(d)	31	32
U.S. TREASURY 1 YEAR INDEX + 1.965% 3.715% 2/1/36 (c)(d)	45	47
U.S. TREASURY 1 YEAR INDEX + 2.208% 4.083% 3/1/35 (c)(d)	36	38
U.S. TREASURY 1 YEAR INDEX + 2.295% 3.539% 10/1/33 (c)(d)	76	80
3.5% 7/1/32	9,892	9,967
3.5% 9/1/48 (f)	7,500	7,455
4% 2/1/45 to 3/1/48	7,912	8,064
4% 9/1/48 (f)	22,150	22,549
4% 9/1/48 (f)	25,300	25,755
4.5% 11/1/25 to 6/1/41	6,524	6,775
5.5% 12/1/39 to 5/1/44	26,035	28,379
6% 1/1/34 to 6/1/36	3,980	4,400
6.5% 3/1/22 to 5/1/27	183	198
9.5% 10/1/20	2	2
11.5% 1/15/21	0	0
		122,141
Freddie Mac - 0.6%
12 month U.S. LIBOR + 1.754% 3.218% 9/1/41 (c)(d)	859	887
12 month U.S. LIBOR + 1.874% 4.125% 10/1/42 (c)(d)	514	535
12 month U.S. LIBOR + 1.877% 4.204% 4/1/41 (c)(d)	73	75
12 month U.S. LIBOR + 1.880% 3.06% 10/1/41 (c)(d)	1,317	1,371
12 month U.S. LIBOR + 1.880% 3.173% 9/1/41 (c)(d)	87	90
12 month U.S. LIBOR + 1.910% 4.355% 5/1/41 (c)(d)	148	154
12 month U.S. LIBOR + 1.910% 4.477% 5/1/41 (c)(d)	102	108
12 month U.S. LIBOR + 1.910% 4.586% 6/1/41 (c)(d)	144	150
12 month U.S. LIBOR + 1.910% 4.654% 6/1/41 (c)(d)	88	91
12 month U.S. LIBOR + 2.045% 4.778% 7/1/36 (c)(d)	237	250
12 month U.S. LIBOR + 2.084% 3.896% 3/1/33 (c)(d)	6	6
6 month U.S. LIBOR + 1.445% 3.445% 3/1/35 (c)(d)	152	156
6 month U.S. LIBOR + 1.746% 3.83% 5/1/37 (c)(d)	57	59
6 month U.S. LIBOR + 2.656% 4.837% 10/1/35 (c)(d)	100	106
U.S. TREASURY 1 YEAR INDEX + 2.383% 3.842% 2/1/36 (c)(d)	10	11
U.S. TREASURY 1 YEAR INDEX + 2.548% 4.639% 7/1/35 (c)(d)	472	500
3% 11/1/33	6,357	6,286
3.5% 7/1/32	3,481	3,508
4% 5/1/47 to 7/1/47	3,930	4,007
4.5% 5/1/39 to 10/1/41	2,155	2,262
5.5% 7/1/29	12	13
6% 1/1/24	668	699
9.5% 11/1/19 to 8/1/21	1	2
		21,326
Ginnie Mae - 0.4%
6% 6/15/36	3,255	3,627
4.3% 8/20/61 (c)(g)	649	651
4.611% 2/20/62 (c)(g)	1,270	1,284
4.671% 2/20/62 (c)(g)	1,447	1,458
4.714% 1/20/62 (c)(g)	7,728	7,786
5.47% 8/20/59 (c)(g)	14	14
		14,820
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $158,832)		158,287

Asset-Backed Securities - 3.2%
GCO Education Loan Funding Trust Series 2006-1 Class A8L, 3 month U.S. LIBOR + 0.130% 2.4414% 5/25/25 (c)(d)	$1,706	$1,703
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 2.4814% 5/28/30 (c)(d)	2,107	2,106
Higher Education Funding Series 2005-1 Class A5, 3 month U.S. LIBOR + 0.160% 2.4714% 2/25/32 (c)(d)	1,994	1,992
Illinois Student Assistance Commission Student Loan Rev. Series 2010-1 Class A2, 3 month U.S. LIBOR + 1.050% 3.3853% 4/25/22 (c)(d)	337	338
Navient Student Loan Trust:
Series 2017-3A:
Class A1, 1 month U.S. LIBOR + 0.300% 2.3648% 7/26/66 (c)(d)(h)	6,410	6,415
Class A2, 1 month U.S. LIBOR + 0.600% 2.6648% 7/26/66 (c)(d)(h)	14,550	14,632
Series 2018-1A Class A1, 1 month U.S. LIBOR + 0.190% 2.2548% 3/25/67 (c)(d)(h)	10,667	10,667
Nelnet Student Loan Trust 3 month U.S. LIBOR + 0.100% 2.4353% 1/25/30 (c)(d)	5,938	5,934
Northstar Education Finance, Inc., Delaware Series 2004-2 Class A4, 3 month U.S. LIBOR + 0.230% 2.5689% 7/28/21 (c)(d)	18,820	18,824
SLM Student Loan Trust Series 2007-8 Class A4, 3 month U.S. LIBOR + 0.470% 2.8053% 1/26/26 (c)(d)	56,092	56,288
Small Business Administration guaranteed development participation certificates:
Series 2002-20J Class 1, 4.75% 10/1/22	458	464
Series 2002-20K Class 1, 5.08% 11/1/22	705	719
Series 2004-20H Class 1, 5.17% 8/1/24	298	308
TOTAL ASSET-BACKED SECURITIES
(Cost $120,199)		120,390

Collateralized Mortgage Obligations - 16.4%
U.S. Government Agency - 16.4%
Fannie Mae:
floater:	$	$
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 3.0448% 8/25/31 (c)(d)	67	68
Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 2.6774% 11/18/31 (c)(d)	63	64
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 3.0648% 4/25/32 (c)(d)	29	29
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 3.0648% 11/25/32 (c)(d)	58	60
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.9948% 6/25/36(c)(d)	4,307	4,385
planned amortization class:
Series 2005-19 Class PA, 5.5% 7/25/34	711	724
Series 2005-64 Class PX, 5.5% 6/25/35	1,083	1,134
Series 2005-68 Class CZ, 5.5% 8/25/35	3,444	3,734
Series 2006-45 Class OP 6/25/36 (i)	583	492
Series 2010-118 Class PB, 4.5% 10/25/40	4,750	4,910
Series 2012-149:
Class DA, 1.75% 1/25/43	872	829
Class GA, 1.75% 6/25/42	871	827
sequential payer:
Series 2003-117 Class MD, 5% 12/25/23	558	577
Series 2004-91 Class Z, 5% 12/25/34	4,025	4,293
Series 2005-117 Class JN, 4.5% 1/25/36	269	278
Series 2005-14 Class ZB, 5% 3/25/35	1,252	1,335
Series 2006-72 Class CY, 6% 8/25/26	2,365	2,497
Series 2009-59 Class HB, 5% 8/25/39	1,816	1,937
Series 2009-85 Class IB, 4.5% 8/25/24 (e)	106	3
Series 2009-93 Class IC, 4.5% 9/25/24 (e)	134	3
Series 2010-139 Class NI, 4.5% 2/25/40 (e)	2,471	235
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.9848% 3/25/36 (c)(d)	2,622	2,686
Series 2010-97 Class CI, 4.5% 8/25/25 (e)	457	17
Series 2012-27 Class EZ, 4.25% 3/25/42	6,619	6,827
Series 2016-26 Class CG, 3% 5/25/46	17,190	16,999
Freddie Mac:
floater:
Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 2.6627% 2/15/32 (c)(d)	38	38
Series 2682 Class FB, 1 month U.S. LIBOR + 0.900% 2.9627% 10/15/33 (c)(d)	1,981	2,023
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.9627% 2/15/33 (c)(d)	1,232	1,257
planned amortization class:
Series 1141 Class G, 9% 9/15/21	18	19
Series 2682 Class LD, 4.5% 10/15/33	540	561
Series 3415 Class PC, 5% 12/15/37	364	384
Series 3840 Class VA, 4.5% 9/15/27	1,853	1,865
Series 3857 Class ZP, 5% 5/15/41	3,144	3,527
Series 4135 Class AB, 1.75% 6/15/42	652	619
sequential payer:
Series 2004-2802 Class ZG, 5.5% 5/15/34	6,117	6,632
Series 2587 Class AD, 4.71% 3/15/33	2,100	2,170
Series 2773 Class HC, 4.5% 4/15/19	1	1
Series 2877 Class ZD, 5% 10/15/34	4,900	5,224
Series 3007 Class EW, 5.5% 7/15/25	3,818	4,007
Series 3745 Class KV, 4.5% 12/15/26	5,737	5,953
Series 3871 Class KB, 5.5% 6/15/41	13,870	15,336
Series 3889 Class DZ, 4% 1/15/41	36,213	37,281
Series 3843 Class PZ, 5% 4/15/41	2,690	2,984
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:
Series 4335 Class AL, 4.25% 3/15/40	5,259	5,371
Series 4341 Class ML, 3.5% 11/15/31	8,043	8,123
Freddie Mac Seasoned Credit Risk Transfer Series sequential payer Series 2018-3 Class MA, 3.5% 8/25/57	36,795	36,600
Freddie Mac SLST sequential payer Series 2018-1:
Class A1, 3.5% 6/25/28	4,938	4,942
Class A2, 3.5% 6/25/28	1,570	1,549
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater:
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 2.5574% 1/20/38 (c)(d)	198	199
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 2.9374% 8/20/38 (c)(d)	1,541	1,569
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 2.9774% 9/20/38 (c)(d)	1,305	1,334
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 2.6635% 11/16/39 (c)(d)	779	786
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 2.6499% 9/20/61 (c)(d)(g)	7,719	7,753
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 2.6999% 10/20/61 (c)(d)(g)	5,022	5,047
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 2.7999% 11/20/61 (c)(d)(g)	4,347	4,381
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 2.7999% 1/20/62 (c)(d)(g)	2,761	2,781
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 2.7299% 1/20/62 (c)(d)(g)	4,025	4,049
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 2.7299% 3/20/62 (c)(d)(g)	2,481	2,494
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 2.7499% 5/20/61 (c)(d)(g)	518	519
Series 2013-H19:
Class FC, 1 month U.S. LIBOR + 0.600% 2.6999% 8/20/63 (c)(d)(g)	1,066	1,071
Class FD, 1 month U.S. LIBOR + 0.600% 2.6999% 8/20/63 (c)(d)(g)	2,747	2,758
Series 2014-H02 Class FB, 1 month U.S. LIBOR + 0.650% 2.7499% 12/20/63 (c)(d)(g)	34,545	34,791
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 2.6999% 1/20/64 (c)(d)(g)	12,399	12,461
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 2.3999% 3/20/65 (c)(d)(g)	543	543
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 2.3799% 5/20/63 (c)(d)(g)	4,921	4,916
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 2.2999% 4/20/63 (c)(d)(g)	5,355	5,347
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 2.4999% 12/20/62 (c)(d)(g)	5,960	5,959
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 2.3274% 10/20/47 (c)(d)	4,712	4,705
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 2.3774% 5/20/48 (c)(d)	5,847	5,854
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 2.3774% 6/20/48 (c)(d)	6,590	6,590
planned amortization class:
Series 2010-31 Class BP, 5% 3/20/40	11,191	12,285
Series 2017-134 Class BA, 2.5% 11/20/46	732	703
sequential payer:
Series 2011-69 Class GX, 4.5% 5/16/40	10,205	10,647
Series 2013-H06 Class HA, 1.65% 1/20/63 (g)	3,126	3,083
Series 2013-H26 Class HA, 3.5% 9/20/63 (g)	31,143	31,267
Series 2014-H04 Class HA, 2.75% 2/20/64 (g)	7,475	7,413
Series 2014-H12 Class KA, 2.75% 5/20/64 (g)	4,536	4,472
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 2.5999% 9/20/62 (c)(d)(g)	14,814	14,824
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 2.7499% 11/20/65 (c)(d)(g)	2,105	2,108
Series 2004-22 Class M1, 5.5% 4/20/34	617	761
Series 2010-169 Class Z, 4.5% 12/20/40	7,139	7,433
Series 2010-H15 Class TP, 5.15% 8/20/60 (g)	8,466	8,569
Series 2010-H17 Class XP, 5.2966% 7/20/60 (c)(g)	8,087	8,204
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(g)	6,494	6,572
Series 2012-64 Class KI, 3.5% 11/20/36 (e)	831	59
Series 2013-124:
Class ES, 8.667% - 1 month U.S. LIBOR 5.8968% 4/20/39 (c)(j)	2,642	2,681
Class ST, 8.800% - 1 month U.S. LIBOR 6.0302% 8/20/39 (c)(j)	8,265	8,458
Series 2013-H07 Class JA, 1.75% 3/20/63 (g)	21,252	20,945
Series 2015-H17 Class HA, 2.5% 5/20/65 (g)	10,317	10,265
Series 2015-H21:
Class HA, 2.5% 6/20/63 (g)	27,565	27,461
Class JA, 2.5% 6/20/65 (g)	3,157	3,141
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(g)	31,187	30,844
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 2.83% 5/20/66 (c)(d)(g)	21,974	22,058
Series 2017-186 Class HK, 3% 11/16/45	8,636	8,474
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.68% 8/20/66 (c)(d)(g)	19,444	19,472
Series 2090-118 Class XZ, 5% 12/20/39	14,813	16,102
		605,617
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $615,517)		605,617

Commercial Mortgage Securities - 10.4%
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27	39,507	37,598
Freddie Mac:
floater:
Series KP04 Class AG1, 1 month U.S. LIBOR + 0.220% 2.3014% 7/25/20 (c)(d)	10,600	10,606
Series KP04, Class AG2, 1 month U.S. LIBOR + 0.200% 2.2814% 10/25/19 (c)(d)	21,200	21,202
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20	3,729	3,799
sequential payer:
Series 2017-SR01 Class A2, 2.75% 11/25/22	19,000	18,618
Series 2018-K074 Class A2, 3.6% 1/25/28	2,600	2,636
Series K009 Class A2, 3.808% 8/25/20	5,591	5,672
Series K069 Class A2, 3.187% 9/25/27	5,900	5,815
Series K071 Class A2, 3.286% 11/25/27	8,900	8,831
Series K072 Class A2, 3.444% 12/25/27	23,829	23,882
Series K073 Class A2, 3.35% 1/25/28	37,300	37,105
Series K155:
Class A1, 3.75% 11/25/29	766	784
Class A2, 3.75% 11/25/32	7,700	7,832
Series K708 Class A2, 2.13% 1/25/19	22,361	22,306
Series K709 Class A2, 2.086% 3/25/19	17,210	17,149
Series K710 Class A2, 1.883% 5/25/19	16,492	16,414
Series K712 Class A2, 1.869% 11/25/19	13,719	13,563
Series K713 Class A2, 2.313% 3/25/20	5,341	5,302
Series K717 Class A2, 2.991% 9/25/21	12,968	12,987
Series K077 Class A2, 3.85% 5/25/28	11,260	11,645
Series K079:
Class A1, 3.729% 2/25/28	1,854	1,904
Class A2, 3.926% 6/25/28	17,044	17,724
Series K504 Class A2, 2.566% 9/25/20	15,405	15,288
Series K706 Class A2, 2.323% 10/25/18	5,331	5,322
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 2.386% 2/25/20 (c)(d)	43,722	43,774
Freddie Mac Multi-family Structured pass-thru certificates Series K078 Class A2, 3.854% 6/25/28	15,100	15,610
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $387,560)		383,368

Foreign Government and Government Agency Obligations - 3.8%
Israeli State:
(guaranteed by U.S. Government through Agency for International Development):
5.5% 9/18/23	72,266	80,976
5.5% 12/4/23	48	54
5.5% 4/26/24	6,065	6,863
Jordanian Kingdom 3% 6/30/25	19,267	19,161
Ukraine Government 1.471% 9/29/21	34,809	33,435
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $135,480)		140,489
	Shares	Value (000s)

Fixed-Income Funds - 23.5%
Fidelity Mortgage Backed Securities Central Fund (k)
(Cost $862,839)	8,248,023	$869,177

Money Market Funds - 0.2%
Fidelity Cash Central Fund, 1.97% (l)
(Cost $8,055)	8,053,217	8,055

Purchased Swaptions - 0.3%(m)
	Expiration Date	Notional Amount (000s)	Value (000s)
Put Options - 0.2%
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.495% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027	10/5/20	13,400	$574
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.7875% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2028	1/25/21	77,100	2,587
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.5340% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2027	12/8/20	44,800	1,890
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 3.0580% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2028	4/20/21	65,300	1,762

TOTAL PUT OPTIONS			6,813

Call Options - 0.1%
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.495% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027	10/5/20	13,400	206
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.7875% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2028	1/25/21	77,100	1,817
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.5340% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2027	12/8/20	44,800	763
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 3.058% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2028	4/20/21	65,300	2,145

TOTAL CALL OPTIONS			4,931

TOTAL PURCHASED SWAPTIONS
(Cost $12,226)			11,744
TOTAL INVESTMENT IN SECURITIES - 101.7%
(Cost $3,799,803)			3,762,487
NET OTHER ASSETS (LIABILITIES) - (1.7)%			(62,527)
NET ASSETS - 100%			$3,699,960

TBA Sale Commitments
	Principal Amount (000s)	Value (000s)
Fannie Mae
4% 9/1/48
(Proceeds $9,835)	$(9,700)	$(9,875)

Written Swaptions
	Expiration Date	Notional Amount (000s)	Value (000s)
Put Swaptions
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.989% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2028	8/27/21	73,000	$(2,280)
Call Swaptions
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.989% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2028	8/27/21	73,000	(2,380)
TOTAL WRITTEN SWAPTIONS			$(4,660)

Futures Contracts
	Number of contracts	Expiration Date	Notional Amount (000s)	Value (000s)	Unrealized Appreciation/(Depreciation) (000s)
Purchased
Treasury Contracts
CBOT 10-Year U.S. Treasury Note Contracts (United States)	739	Dec. 2018	$88,876	$(116)	$(116)
CBOT 2-Year U.S. Treasury Note Contracts (United States)	778	Dec. 2018	164,438	(77)	(77)
CBOT 5-Year U.S. Treasury Note Contracts (United States)	851	Dec. 2018	96,502	(141)	(141)
CBOT Long Term U.S. Treasury Bond Contracts (United States)	170	Dec. 2018	24,517	(119)	(119)

TOTAL PURCHASED FUTURES					(453)

Sold
Treasury Contracts
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States)	260	Dec. 2018	33,292	12	12
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)	6	Dec. 2018	956	6	6

TOTAL SOLD FUTURES					18

TOTAL FUTURES CONTRACTS					$(435)

The notional amount of futures purchased as a percentage of Net Assets is 10.1%

The notional amount of futures sold as a percentage of Net Assets is 0.9%

For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $372,751.

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
2.25%	Semi - annual	3-month LIBOR(3)	Quarterly	LCH	Sep. 2025	$20,030	$147	$0	$147