0001379491-19-004661.txt : 20191025 0001379491-19-004661.hdr.sgml : 20191025 20191025104435 ACCESSION NUMBER: 0001379491-19-004661 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 21 CONFORMED PERIOD OF REPORT: 20190831 FILED AS OF DATE: 20191025 DATE AS OF CHANGE: 20191025 EFFECTIVENESS DATE: 20191025 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY INCOME FUND /MA/ CENTRAL INDEX KEY: 0000751199 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-04085 FILM NUMBER: 191168266 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY MORTGAGE SECURITIES FUND DATE OF NAME CHANGE: 19851103 0000751199 S000007066 Fidelity Total Bond Fund C000019272 Fidelity Total Bond Fund FTBFX C000019273 Fidelity Advisor Total Bond Fund: Class A FEPAX C000019275 Fidelity Advisor Total Bond Fund: Class C FCEPX C000019276 Fidelity Advisor Total Bond Fund: Class M FEPTX C000019277 Fidelity Advisor Total Bond Fund: Class I FEPIX C000150510 Fidelity Advisor Total Bond Fund: Class Z FBKWX 0000751199 S000007069 Fidelity Government Income Fund C000019283 Fidelity Government Income Fund FGOVX C000038098 Fidelity Advisor Government Income Fund: Class A FVIAX C000038100 Fidelity Advisor Government Income Fund: Class C FVICX C000038101 Fidelity Advisor Government Income Fund: Class M FVITX C000038102 Fidelity Advisor Government Income Fund: Class I FVIIX C000205069 Fidelity Advisor Government Income Fund: Class Z FIKPX 0000751199 S000007070 Fidelity Intermediate Government Income Fund C000019284 Fidelity Intermediate Government Income Fund FSTGX 0000751199 S000056368 Fidelity Flex Core Bond Fund C000177595 Fidelity Flex Core Bond Fund FLXCX 0000751199 S000057288 Fidelity Total Bond K6 Fund C000182864 Fidelity Total Bond K6 Fund FTKFX 0000751199 S000062811 Fidelity Series Government Bond Index Fund C000203458 Fidelity Series Government Bond Index Fund FHNFX N-CSR 1 filing842.htm PRIMARY DOCUMENT

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)


Cynthia Lo Bessette, 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, 2019



Item 1.

Reports to Stockholders






Fidelity® Government Income Fund



Annual Report

August 31, 2019

Includes Fidelity and Fidelity Advisor share classes




Fidelity Investments


Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


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 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one 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.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.



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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT 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, 2019 Past 1 year Past 5 years Past 10 years 
Class A (incl. 4.00% sales charge) 4.70% 1.50% 2.30% 
Class M (incl. 4.00% sales charge) 4.72% 1.51% 2.31% 
Class C (incl. contingent deferred sales charge) 7.24% 1.55% 1.94% 
Fidelity® Government Income Fund 9.33% 2.66% 3.04% 
Class I 9.38% 2.61% 3.00% 
Class Z 9.49% 2.63% 3.01% 

 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. 

 The initial offering of Class Z shares took place on October 2, 2018. Returns prior to October 2, 2018, are those of Class I. 

$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, 2009.

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

$13,494Fidelity® Government Income Fund

$13,659Bloomberg Barclays U.S. Government Bond Index

Management's Discussion of Fund Performance

Market Recap:  For the 12 months ending August 31, 2019, U.S. taxable investment-grade bonds posted their strongest trailing one-year return since 2009, driven by slower global economic growth, a maturing business cycle, trade uncertainty and, late in the period, the Fed’s dovish shift. The Bloomberg Barclays U.S. Aggregate Bond Index gained 10.17%. Market yields rose in the early fall of 2018, on expectations for higher inflation. Yields then declined and credit spreads widened in November and December, partly because of weaker U.S. manufacturing data. Yield spreads narrowed in January, as the U.S. Federal Reserve said it would be “patient” with policy rate hikes, and that future increases largely would depend on economic data. Yields continued to decline in the spring, amid international trade tension and attacks on oil tankers in the Middle East, and then tumbled further in July, when the Fed cut interest rates for the first time since 2008. The yield curve ended the period roughly flat, amid expectations for another rate cut of 25 basis points in September. Within the Bloomberg Barclays index, corporate bonds gained 13.33%, topping the 10.38% advance of U.S. Treasuries. Outside the index, U.S. corporate high-yield bonds lagged nominal U.S. Treasuries, while Treasury Inflation-Protected Securities (TIPS) gained 7.46%.

Comments from Co-Portfolio Managers Franco Castagliuolo and Sean Corcoran:  For the fiscal year, fund's share classes posted gains in the range of 8.2% to 9.5%, net of fees, compared with the 9.49% gain of the benchmark Bloomberg Barclays 75% U.S. Government/25% U.S. MBS Blend Index. We attempted to exploit market inefficiencies while managing risk, identifying attractively priced securities in accordance with our longer-term strategy. Our use of swaptions (options that give the buyer the right, but not the obligation, to enter into a swap contract after specified periods of time) was another positive. We purchased swaptions when interest-rate volatility was below what we deemed reasonable in early 2019, anticipating volatility would rise. This ultimately proved to be the case later in the period, and rising rate-volatility boosted the value of our swaptions. We also added value with the fund's yield-curve positioning. Elsewhere, owning securities made up of reperforming loans issued by Fannie Mae contributed, as did timely purchases and sales of Freddie Mac K-Series securities made up of mortgages on multifamily housing projects, and our security selection among agency mortgage securities. Conversely, the fund's exposure to floating-rate collateralized mortgage obligations (CMOs) 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.

Coupon Distribution as of August 31, 2019

 % of fund's investments 
Zero coupon bonds 0.0 
0.01 - 0.99% 0.0 
1 - 1.99% 4.7 
2 - 2.99% 35.5 
3 - 3.99% 28.8 
4 - 4.99% 14.2 
5 - 5.99% 3.8 
6 - 6.99% 0.2 
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, 2019*,**,*** 
   Mortgage Securities 31.1% 
   CMOs and Other Mortgage Related Securities 14.1% 
   U.S. Treasury Obligations 48.2% 
   U.S. Government Agency Obligations 2.5% 
   Foreign Government & Government Agency Obligations 1.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.3% 


 * Foreign investments – 1.8%

 ** Futures and Swaps – 14.8%

 *** Written options – (4.6)%

 † Includes NCUA Guaranteed Notes

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.

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, 2019

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 50.7%   
 Principal Amount (000s) Value (000s) 
U.S. Government Agency Obligations - 0.3%   
Tennessee Valley Authority:   
5.25% 9/15/39 $2,807 $4,036 
5.375% 4/1/56 3,438 5,686 
  9,722 
U.S. Treasury Obligations - 48.2%   
U.S. Treasury Bonds:   
2.25% 8/15/49 1,760 1,872 
2.5% 2/15/45 (a) 178,195 197,744 
2.875% 5/15/49 5,600 6,753 
3% 2/15/49 132,551 163,297 
4.75% 2/15/37 (a)(b)(c) 69,091 101,054 
U.S. Treasury Notes:   
1.25% 8/31/24 23,320 23,162 
1.625% 8/31/22 17,293 17,387 
1.625% 8/15/29 1,500 1,517 
1.75% 10/31/20 2,405 2,405 
1.75% 7/31/21 24,900 25,003 
1.75% 7/31/24 2,160 2,196 
1.875% 7/31/22 47,036 47,611 
2% 8/15/25 12,238 12,626 
2.125% 12/31/22 40,469 41,387 
2.125% 3/31/24 110,993 114,466 
2.125% 7/31/24 74,916 77,441 
2.125% 5/15/25 18,702 19,408 
2.25% 7/31/21 7,021 7,113 
2.25% 4/30/24 3,571 3,705 
2.25% 12/31/24 27,679 28,853 
2.25% 3/31/26 1,166 1,224 
2.375% 4/15/21 62,750 63,507 
2.5% 12/31/20 111,427 112,615 
2.5% 1/31/21 107,184 108,411 
2.5% 2/28/21 59,889 60,649 
2.5% 1/15/22 65,460 66,997 
2.5% 2/28/26 85,942 91,515 
2.625% 6/30/23 6,315 6,597 
2.625% 12/31/23 78,488 82,443 
2.625% 2/15/29 87,517 96,135 
2.75% 6/30/25 39,256 42,125 
2.875% 11/30/25 36,311 39,395 
3.125% 11/15/28 18,150 20,672 
  1,687,285 
Other Government Related - 2.2%   
National Credit Union Administration Guaranteed Notes Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 2.5628% 12/7/20 (NCUA Guaranteed) (d)(e) 2,101 2,096 
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 74,000 76,026 
  78,122 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,650,996)  1,775,129 
U.S. Government Agency - Mortgage Securities - 24.3%   
Fannie Mae - 1.8%   
12 month U.S. LIBOR + 1.480% 4.242% 7/1/34 (d)(e) 61 64 
12 month U.S. LIBOR + 1.523% 4.66% 3/1/36 (d)(e) 102 106 
12 month U.S. LIBOR + 1.553% 4.337% 6/1/36 (d)(e) 52 55 
12 month U.S. LIBOR + 1.553% 4.428% 5/1/44 (d)(e) 235 243 
12 month U.S. LIBOR + 1.557% 4.67% 2/1/44 (d)(e) 110 113 
12 month U.S. LIBOR + 1.558% 4.544% 2/1/44 (d)(e) 147 152 
12 month U.S. LIBOR + 1.565% 4.69% 3/1/37 (d)(e) 105 110 
12 month U.S. LIBOR + 1.570% 4.445% 5/1/44 (d)(e) 110 114 
12 month U.S. LIBOR + 1.575% 4.601% 4/1/44 (d)(e) 622 642 
12 month U.S. LIBOR + 1.580% 4.574% 1/1/44 (d)(e) 196 202 
12 month U.S. LIBOR + 1.580% 4.681% 4/1/44 (d)(e) 230 238 
12 month U.S. LIBOR + 1.666% 4.538% 11/1/36 (d)(e) 34 35 
12 month U.S. LIBOR + 1.711% 4.595% 6/1/42 (d)(e) 101 105 
12 month U.S. LIBOR + 1.745% 4.755% 7/1/35 (d)(e) 85 88 
12 month U.S. LIBOR + 1.752% 4.734% 3/1/40 (d)(e) 582 608 
12 month U.S. LIBOR + 1.800% 4.492% 7/1/41 (d)(e) 131 138 
12 month U.S. LIBOR + 1.800% 4.786% 1/1/42 (d)(e) 264 274 
12 month U.S. LIBOR + 1.818% 4.535% 7/1/41 (d)(e) 70 73 
12 month U.S. LIBOR + 1.818% 4.568% 9/1/41 (d)(e) 40 41 
12 month U.S. LIBOR + 1.818% 4.932% 2/1/42 (d)(e) 315 328 
12 month U.S. LIBOR + 1.830% 4.657% 10/1/41 (d)(e) 47 49 
12 month U.S. LIBOR + 1.851% 4.58% 5/1/36 (d)(e) 37 38 
6 month U.S. LIBOR + 1.475% 4.178% 10/1/33 (d)(e) 36 37 
6 month U.S. LIBOR + 1.510% 4.144% 2/1/33 (d)(e) 40 41 
6 month U.S. LIBOR + 1.535% 4.178% 3/1/35 (d)(e) 49 51 
6 month U.S. LIBOR + 1.535% 4.315% 12/1/34 (d)(e) 76 79 
6 month U.S. LIBOR + 1.556% 4.278% 10/1/33 (d)(e) 25 26 
6 month U.S. LIBOR + 1.565% 4.085% 7/1/35 (d)(e) 30 31 
U.S. TREASURY 1 YEAR INDEX + 2.208% 4.833% 3/1/35 (d)(e) 19 20 
U.S. TREASURY 1 YEAR INDEX + 2.295% 4.678% 10/1/33 (d)(e) 63 65 
2.5% 1/1/32 494 502 
3% 1/1/28 to 6/1/34 14,248 14,720 
3.5% 7/1/32 8,427 8,790 
4% 5/1/29 5,225 5,458 
4.5% 11/1/25 2,012 2,085 
5.5% 12/1/39 to 5/1/44 21,750 24,017 
6% 1/1/34 to 6/1/36 3,339 3,763 
6.5% 3/1/22 to 5/1/27 150 164 
  63,665 
Freddie Mac - 1.4%   
12 month U.S. LIBOR + 1.754% 4.498% 9/1/41 (d)(e) 698 722 
12 month U.S. LIBOR + 1.877% 4.787% 4/1/41 (d)(e) 55 57 
12 month U.S. LIBOR + 1.880% 4.63% 9/1/41 (d)(e) 52 54 
12 month U.S. LIBOR + 1.880% 4.717% 10/1/41 (d)(e) 1,056 1,096 
12 month U.S. LIBOR + 1.884% 4.628% 10/1/42 (d)(e) 357 372 
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (d)(e) 49 51 
12 month U.S. LIBOR + 1.910% 4.73% 6/1/41 (d)(e) 104 109 
12 month U.S. LIBOR + 1.910% 4.785% 5/1/41 (d)(e) 89 93 
12 month U.S. LIBOR + 1.910% 4.807% 5/1/41 (d)(e) 105 109 
12 month U.S. LIBOR + 2.045% 4.785% 7/1/36 (d)(e) 229 240 
12 month U.S. LIBOR + 2.070% 4.998% 3/1/33 (d)(e) 
6 month U.S. LIBOR + 1.445% 4.195% 3/1/35 (d)(e) 148 153 
6 month U.S. LIBOR + 1.746% 4.58% 5/1/37 (d)(e) 54 57 
6 month U.S. LIBOR + 2.276% 4.955% 10/1/35 (d)(e) 44 46 
U.S. TREASURY 1 YEAR INDEX + 2.239% 4.865% 2/1/36 (d)(e) 
U.S. TREASURY 1 YEAR INDEX + 2.548% 4.956% 7/1/35 (d)(e) 454 475 
2.5% 6/1/31 to 7/1/33 8,949 9,085 
3% 4/1/33 to 11/1/33 30,679 31,723 
3.5% 7/1/32 3,038 3,170 
5.5% 7/1/29 11 12 
6% 1/1/24 433 454 
9.5% 11/1/19 to 8/1/21 
  48,088 
Ginnie Mae - 11.1%   
6% 6/15/36 2,805 3,169 
3% 9/1/49 (f) 4,900 5,053 
3% 9/1/49 (f) 21,600 22,274 
3% 9/1/49 (f) 12,200 12,581 
3% 9/1/49 (f) 12,100 12,478 
3% 9/1/49 (f) 9,750 10,054 
3% 9/1/49 (f) 15,350 15,829 
3% 9/1/49 (f) 14,450 14,901 
3% 9/1/49 (f) 3,200 3,300 
3% 9/1/49 (f) 2,700 2,784 
3% 9/1/49 (f) 1,400 1,444 
3% 9/1/49 (f) 6,500 6,703 
3% 9/1/49 (f) 11,200 11,550 
3% 9/1/49 (f) 36,100 37,227 
3% 10/1/49 (f) 24,600 25,335 
3.5% 8/20/42 to 6/20/49 42,319 44,447 
3.5% 9/1/49 (f) 11,900 12,363 
3.5% 9/1/49 (f) 11,800 12,259 
4% 3/20/47 22,120 23,345 
4.469% 2/20/62 (d)(g) 361 365 
4.5% 6/20/48 106,438 111,972 
4.573% 2/20/62 (d)(g) 67 67 
4.97% 1/20/62 (d)(g) 614 621 
5.47% 8/20/59 (d)(g) 
  390,127 
Uniform Mortgage Backed Securities - 10.0%   
3.5% 9/1/49 (f) 9,300 9,556 
4% 9/1/49 (f) 40,500 42,042 
4% 9/1/49 (f) 85,350 88,599 
4% 9/1/49 (f) 38,050 39,499 
4% 9/1/49 (f) 85,350 88,599 
4% 9/1/49 (f) 40,500 42,042 
4% 9/1/49 (f) 38,050 39,499 
  349,836 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $847,600)  851,716 
Asset-Backed Securities - 0.0%   
Nelnet Student Loan Trust 3 month U.S. LIBOR + 0.100% 2.3755% 1/25/30 (d)(e) $571 $571 
Small Business Administration guaranteed development participation certificates:   
Series 2002-20J Class 1, 4.75% 10/1/22 302 310 
Series 2002-20K Class 1, 5.08% 11/1/22 419 432 
Series 2004-20H Class 1, 5.17% 8/1/24 213 225 
TOTAL ASSET-BACKED SECURITIES   
(Cost $1,505)  1,538 
Collateralized Mortgage Obligations - 12.3%   
U.S. Government Agency - 12.3%   
Fannie Mae:   
floater: 
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 3.1253% 8/25/31 (d)(e) 54 55 
Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 2.782% 11/18/31 (d)(e) 54 54 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 3.1453% 4/25/32 (d)(e) 23 24 
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 3.1453% 11/25/32 (d)(e) 48 48 
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 3.0753% 6/25/36 (d)(e) 3,631 3,682 
planned amortization class:   
Series 2005-19 Class PA, 5.5% 7/25/34 268 270 
Series 2005-64 Class PX, 5.5% 6/25/35 749 798 
Series 2005-68 Class CZ, 5.5% 8/25/35 3,076 3,496 
Series 2006-45 Class OP 6/25/36 (h) 489 445 
Series 2010-118 Class PB, 4.5% 10/25/40 3,991 4,320 
Series 2012-149:   
Class DA, 1.75% 1/25/43 687 684 
Class GA, 1.75% 6/25/42 713 704 
sequential payer:   
Series 2003-117 Class MD, 5% 12/25/23 394 406 
Series 2004-91 Class Z, 5% 12/25/34 3,328 3,678 
Series 2005-117 Class JN, 4.5% 1/25/36 253 273 
Series 2005-14 Class ZB, 5% 3/25/35 1,059 1,170 
Series 2006-72 Class CY, 6% 8/25/26 1,862 1,985 
Series 2009-59 Class HB, 5% 8/25/39 1,519 1,679 
Series 2009-85 Class IB, 4.5% 8/25/24 (i) 14 
Series 2010-139 Class NI, 4.5% 2/25/40 (i) 1,871 139 
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 3.0653% 3/25/36 (d)(e) 2,309 2,357 
Series 2010-97 Class CI, 4.5% 8/25/25 (i) 192 
Series 2012-27 Class EZ, 4.25% 3/25/42 6,706 7,464 
Series 2016-26 Class CG, 3% 5/25/46 14,578 14,844 
Freddie Mac:   
floater:   
Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 2.7951% 2/15/32 (d)(e) 32 33 
Series 2682 Class FB, 1 month U.S. LIBOR + 0.900% 3.0951% 10/15/33 (d)(e) 1,742 1,770 
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 3.0951% 2/15/33 (d)(e) 997 1,012 
planned amortization class:   
Series 1141 Class G, 9% 9/15/21 10 10 
Series 2682 Class LD, 4.5% 10/15/33 445 470 
Series 3415 Class PC, 5% 12/15/37 299 329 
Series 3857 Class ZP, 5% 5/15/41 3,305 4,100 
Series 4135 Class AB, 1.75% 6/15/42 535 532 
sequential payer:   
Series 2004-2802 Class ZG, 5.5% 5/15/34 5,152 5,853 
Series 2587 Class AD, 4.71% 3/15/33 1,867 1,960 
Series 2877 Class ZD, 5% 10/15/34 4,159 4,597 
Series 3007 Class EW, 5.5% 7/15/25 2,861 3,015 
Series 3745 Class KV, 4.5% 12/15/26 5,155 5,482 
Series 3871 Class KB, 5.5% 6/15/41 12,574 14,651 
Series 3889 Class DZ, 4% 1/15/41 37,688 40,254 
Series 3843 Class PZ, 5% 4/15/41 2,827 3,420 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:   
Series 4335 Class AL, 4.25% 3/15/40 3,834 3,987 
Series 4341 Class ML, 3.5% 11/15/31 6,771 7,151 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 2.6521% 1/20/38 (d)(e) 171 172 
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 3.0321% 8/20/38 (d)(e) 1,299 1,317 
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 3.0721% 9/20/38 (d)(e) 1,079 1,103 
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 2.7974% 11/16/39 (d)(e) 680 685 
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 2.9295% 9/20/61 (d)(e)(g) 6,721 6,734 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 2.9795% 10/20/61 (d)(e)(g) 4,244 4,256 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 3.0795% 11/20/61 (d)(e)(g) 3,794 3,814 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 3.0795% 1/20/62 (d)(e)(g) 2,411 2,423 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 3.0095% 1/20/62 (d)(e)(g) 3,494 3,507 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 3.0095% 3/20/62 (d)(e)(g) 2,177 2,179 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.0295% 5/20/61 (d)(e)(g) 140 141 
Series 2013-H19:   
Class FC, 1 month U.S. LIBOR + 0.600% 2.9795% 8/20/63 (d)(e)(g) 1,008 1,011 
Class FD, 1 month U.S. LIBOR + 0.600% 2.9795% 8/20/63 (d)(e)(g) 2,626 2,631 
Series 2014-H02 Class FB, 1 month U.S. LIBOR + 0.650% 3.0295% 12/20/63 (d)(e)(g) 33,290 33,441 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 2.9795% 1/20/64 (d)(e)(g) 10,879 10,908 
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 2.6795% 3/20/65 (d)(e)(g) 146 146 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 2.6595% 5/20/63 (d)(e)(g) 1,033 1,032 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 2.5795% 4/20/63 (d)(e)(g) 1,020 1,017 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 2.7795% 12/20/62 (d)(e)(g) 1,075 1,074 
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 2.4221% 10/20/47 (d)(e) 4,337 4,297 
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 2.4721% 5/20/48 (d)(e) 5,375 5,332 
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 2.4721% 6/20/48 (d)(e) 6,189 6,138 
planned amortization class:   
Series 2010-31 Class BP, 5% 3/20/40 11,191 13,019 
Series 2017-134 Class BA, 2.5% 11/20/46 660 670 
sequential payer:   
Series 2011-69 Class GX, 4.5% 5/16/40 10,205 10,956 
Series 2013-H06 Class HA, 1.65% 1/20/63 (g) 1,636 1,628 
Series 2013-H26 Class HA, 3.5% 9/20/63 (g) 21,001 21,186 
Series 2014-H04 Class HA, 2.75% 2/20/64 (g) 5,265 5,326 
Series 2014-H12 Class KA, 2.75% 5/20/64 (g) 4,232 4,262 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 2.8795% 9/20/62 (d)(e)(g) 6,403 6,405 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 3.0295% 11/20/65 (d)(e)(g) 622 623 
Series 2017-139 Class BA, 3% 9/20/47 12,313 12,495 
Series 2004-22 Class M1, 5.5% 4/20/34 652 844 
Series 2010-169 Class Z, 4.5% 12/20/40 7,467 8,362 
Series 2010-H15 Class TP, 5.15% 8/20/60 (g) 2,834 2,842 
Series 2010-H17 Class XP, 5.2943% 7/20/60 (d)(g) 1,662 1,668 
Series 2010-H18 Class PL, 5.01% 9/20/60 (d)(g) 1,591 1,601 
Series 2012-64 Class KI, 3.5% 11/20/36 (i) 574 20 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 5.7705% 4/20/39 (d)(j) 1,496 1,540 
Class ST, 8.800% - 1 month U.S. LIBOR 5.9038% 8/20/39 (d)(j) 5,203 5,389 
Series 2013-H07 Class JA, 1.75% 3/20/63 (g) 12,784 12,728 
Series 2015-H17 Class HA, 2.5% 5/20/65 (g) 4,320 4,317 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (g) 6,272 6,264 
Class JA, 2.5% 6/20/65 (g) 1,328 1,327 
Series 2015-H30 Class HA, 1.75% 9/20/62 (d)(g) 12,608 12,557 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 2.43% 5/20/66 (d)(e)(g) 17,790 17,794 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.28% 8/20/66 (d)(e)(g) 16,402 16,360 
Series 2090-118 Class XZ, 5% 12/20/39 15,571 18,003 
  428,748 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $427,531)  428,748 
Commercial Mortgage Securities - 0.3%   
Freddie Mac:   
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 3,580 3,652 
sequential payer Series K712 Class A2, 1.869% 11/25/19 7,151 7,137 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $10,815)  10,789 
Foreign Government and Government Agency Obligations - 1.8%   
Israeli State:   
(guaranteed by U.S. Government through Agency for International Development) 5.5% 12/4/23 48 56 
5.5% 4/26/24 6,065 7,110 
Jordanian Kingdom 3% 6/30/25 19,267 20,593 
Ukraine Government 1.471% 9/29/21 34,809 34,749 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $60,933)  62,508 
 Shares Value (000s) 
Fixed-Income Funds - 20.9%   
Fidelity Mortgage Backed Securities Central Fund (k)   
(Cost $690,783) 6,649,461 730,709 
Money Market Funds - 5.5%   
Fidelity Cash Central Fund 2.13% (l)   
(Cost $190,770) 190,734,128 190,772 

Purchased Swaptions - 0.7%(m)    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.0%    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 2.215% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/10/24 35,000 $528 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.605% and receive quarterly a floating rate based on 3-month LIBOR, expiring May 2029 4/29/22 18,500 125 
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.54% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/5/22 39,000 275 
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.651% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 8,900 55 
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 26 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.645% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 18,000 112 
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 27,300 51 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.815% and receive quarterly a floating rate based on 3-month LIBOR, expiring March 2029 3/7/22 22,000 106 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. 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 65,300 114 
TOTAL PUT OPTIONS   1,392 
Call Options - 0.7%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 2.215% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/10/24 35,000 1,771 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.605% and pay quarterly a floating rate based on 3-month LIBOR, expiring May 2029 4/29/22 18,500 1,628 
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.54% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/5/22 39,000 3,294 
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.651% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 8,900 807 
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 1,103 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.645% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 18,000 1,625 
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 27,300 2,751 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.815% and pay quarterly a floating rate based on 3-month LIBOR, expiring March 2029 3/7/22 22,000 2,211 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. 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 7,685 
TOTAL CALL OPTIONS   22,875 
TOTAL PURCHASED SWAPTIONS    
(Cost $14,282)   24,267 
TOTAL INVESTMENT IN SECURITIES - 116.5%    
(Cost $3,895,215)   4,076,176 
NET OTHER ASSETS (LIABILITIES) - (16.5)%   (576,462) 
NET ASSETS - 100%   $3,499,714 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Ginnie Mae   
3% 9/1/49 $(24,600) $(25,368) 
3.5% 9/1/49 (2,100) (2,182) 
TOTAL GINNIE MAE  (27,550) 
Uniform Mortgage Backed Securities   
3% 9/1/49 (51,900) (52,902) 
3% 9/1/49 (37,800) (38,529) 
3.5% 9/1/49 (76,300) (78,404) 
4% 9/1/49 (163,900) (170,139) 
4% 9/1/49 (85,350) (88,599) 
4% 9/1/49 (40,500) (42,042) 
4% 9/1/49 (38,050) (39,499) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (510,114) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $536,421)  $(537,664) 

Written Swaptions    
 Expiration Date Notional Amount Value (000s) 
Put Swaptions    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.507% and receive quarterly a floating rate based on 3-month LIBOR, expiring November 2029 11/8/19 2,000 $(16) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.65% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/7/24 10,400 (258) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.97% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 15,000 (284) 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 1.92% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/25/19 14,840 (2) 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.26% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 5/31/22 9,000 (98) 
TOTAL PUT SWAPTIONS   (658) 
Call Swaptions    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.507% and pay quarterly a floating rate based on 3-month LIBOR, expiring November 2029 11/8/19 2,000 (41) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.65% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/7/24 10,400 (354) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.97% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 15,000 (644) 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 1.92% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/25/19 14,840 (757) 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.26% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 5/31/22 9,000 (624) 
TOTAL CALL SWAPTIONS   (2,420) 
TOTAL WRITTEN SWAPTIONS   $(3,078) 

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) 580 Dec. 2019 $76,397 $(47) $(47) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 1,483 Dec. 2019 320,502 131 131 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 916 Dec. 2019 109,899 170 170 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 127 Dec. 2019 18,344 15 15 
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 64 Dec. 2019 12,636 (8) (8) 
TOTAL FUTURES CONTRACTS     $261 

The notional amount of futures purchased as a percentage of Net Assets is 15.4%

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $572,466,000.

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          
1.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Dec. 2021 $31,060 $(17) $0 $(17) 
3-month LIBOR(3) Quarterly 1.5% Semi - annual LCH Dec. 2024 7,220 
3-month LIBOR(3) Quarterly 1.5% Semi - annual LCH Dec. 2029 98,950 178 178 
TOTAL INTEREST RATE SWAPS       $169 $0 $169 

 (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.

Amounts shown as 0 in the Schedule of Investments may represent less than 1 share.

Legend

 (a) 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 $5,720,000.

 (b) 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 $2,960,000.

 (c) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $459,000.

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

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

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

 (i) 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.

 (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-PORT 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 $368,433,000.

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 $2,472 
Fidelity Mortgage Backed Securities Central Fund 24,275 
Total $26,747 

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 (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 $869,177 $24,274 $194,500 $(1,830) $33,588 $730,709 12.6% 
Total $869,177 $24,274 $194,500 $(1,830) $33,588 $730,709  

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2019, 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 
(Amounts in thousands)     
Investments in Securities:     
U.S. Government and Government Agency Obligations $1,775,129 $-- $1,775,129 $-- 
U.S. Government Agency - Mortgage Securities 851,716 -- 851,716 -- 
Asset-Backed Securities 1,538 -- 1,538 -- 
Collateralized Mortgage Obligations 428,748 -- 428,748 -- 
Commercial Mortgage Securities 10,789 -- 10,789 -- 
Foreign Government and Government Agency Obligations 62,508 -- 62,508 -- 
Fixed-Income Funds 730,709 730,709 -- -- 
Money Market Funds 190,772 190,772 -- -- 
Purchased Swaptions 24,267 -- 24,267 -- 
Total Investments in Securities: $4,076,176 $921,481 $3,154,695 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $316 $316 $-- $-- 
Swaps 186 -- 186 -- 
Total Assets $502 $316 $186 $-- 
Liabilities     
Futures Contracts $(55) $(55) $-- $-- 
Swaps (17) -- (17) -- 
Written Swaptions (3,078) -- (3,078) -- 
Total Liabilities $(3,150) $(55) $(3,095) $-- 
Total Derivative Instruments: $(2,648) $261 $(2,909) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(537,664) $-- $(537,664) $-- 
Total Other Financial Instruments: $(537,664) $-- $(537,664) $-- 

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, 2019. 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) $316 $(55) 
Purchased Swaptions(b) 24,267 
Swaps(c) 186 (17) 
Written Swaptions(d) (3,078) 
Total Interest Rate Risk 24,769 (3,150) 
Total Value of Derivatives $24,769 $(3,150) 

 (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 distributable earnings.

 (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 distributable earnings.

 (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, 2019 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $3,013,662) 
$3,154,695  
Fidelity Central Funds (cost $881,553) 921,481  
Total Investment in Securities (cost $3,895,215)  $4,076,176 
Cash  
Receivable for investments sold  13,658 
Receivable for premium on written options  2,433 
Receivable for TBA sale commitments  536,421 
Receivable for fund shares sold  3,194 
Interest receivable  10,042 
Distributions receivable from Fidelity Central Funds  408 
Receivable for daily variation margin on futures contracts  122 
Receivable from investment adviser for expense reductions  
Other receivables  58 
Total assets  4,642,515 
Liabilities   
Payable for investments purchased   
Regular delivery $40,688  
Delayed delivery 554,763  
TBA sale commitments, at value 537,664  
Payable for fund shares redeemed 4,783  
Distributions payable 266  
Accrued management fee 877  
Distribution and service plan fees payable 97  
Payable for daily variation margin on centrally cleared OTC swaps 75  
Written options, at value (premium receivable $2,433) 3,078  
Other affiliated payables 452  
Other payables and accrued expenses 58  
Total liabilities  1,142,801 
Net Assets  $3,499,714 
Net Assets consist of:   
Paid in capital  $3,408,544 
Total distributable earnings (loss)  91,170 
Net Assets  $3,499,714 
Net Asset Value and Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($139,184 ÷ 13,009 shares)(a)  $10.70 
Maximum offering price per share (100/96.00 of $10.70)  $11.15 
Class M:   
Net Asset Value and redemption price per share ($131,242 ÷ 12,268 shares)(a)  $10.70 
Maximum offering price per share (100/96.00 of $10.70)  $11.15 
Class C:   
Net Asset Value and offering price per share ($50,620 ÷ 4,732 shares)(a)  $10.70 
Government Income:   
Net Asset Value, offering price and redemption price per share ($2,632,841 ÷ 246,476 shares)  $10.68 
Class I:   
Net Asset Value, offering price and redemption price per share ($407,014 ÷ 38,045 shares)  $10.70 
Class Z:   
Net Asset Value, offering price and redemption price per share ($138,813 ÷ 12,970 shares)  $10.70 

 (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, 2019 
Investment Income   
Interest (including $128 from security lending)  $69,475 
Income from Fidelity Central Funds  26,441 
Total income  95,916 
Expenses   
Management fee $10,660  
Transfer agent fees 3,877  
Distribution and service plan fees 1,183  
Fund wide operations fee 1,579  
Independent trustees' fees and expenses 16  
Commitment fees  
Total expenses before reductions 17,324  
Expense reductions (11)  
Total expenses after reductions  17,313 
Net investment income (loss)  78,603 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 2,813  
Fidelity Central Funds (1,832)  
Futures contracts 18,999  
Swaps (5,713)  
Written options (774)  
Capital gain distributions from Fidelity Central Funds 306  
Total net realized gain (loss)  13,799 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 184,687  
Fidelity Central Funds 33,590  
Futures contracts 696  
Swaps 22  
Written options (634)  
Delayed delivery commitments (1,203)  
Total change in net unrealized appreciation (depreciation)  217,158 
Net gain (loss)  230,957 
Net increase (decrease) in net assets resulting from operations  $309,560 

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, 2019 Year ended August 31, 2018 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $78,603 $77,064 
Net realized gain (loss) 13,799 (33,299) 
Change in net unrealized appreciation (depreciation) 217,158 (115,091) 
Net increase (decrease) in net assets resulting from operations 309,560 (71,326) 
Distributions to shareholders (77,199) – 
Distributions to shareholders from net investment income – (76,545) 
Total distributions (77,199) (76,545) 
Share transactions - net increase (decrease) (432,607) (517,453) 
Total increase (decrease) in net assets (200,246) (665,324) 
Net Assets   
Beginning of period 3,699,960 4,365,284 
End of period $3,499,714 $3,699,960 
Other Information   
Distributions in excess of net investment income end of period  $(7,946) 

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


Financial Highlights

Fidelity Government Income Fund Class A

Years ended August 31, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $10.00 $10.36 $10.66 $10.50 $10.47 
Income from Investment Operations      
Net investment income (loss)A .199 .166 .149 .135 .126 
Net realized and unrealized gain (loss) .696 (.362) (.230) .270 .048 
Total from investment operations .895 (.196) (.081) .405 .174 
Distributions from net investment income (.195) (.164) (.143) (.150) (.116) 
Distributions from net realized gain – – (.076) (.095) (.028) 
Total distributions (.195) (.164) (.219) (.245) (.144) 
Net asset value, end of period $10.70 $10.00 $10.36 $10.66 $10.50 
Total ReturnB,C 9.06% (1.89)% (.73)% 3.92% 1.67% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .78% .77% .77% .76% .77% 
Expenses net of fee waivers, if any .78% .77% .77% .76% .77% 
Expenses net of all reductions .78% .77% .77% .76% .77% 
Net investment income (loss) 1.96% 1.64% 1.44% 1.28% 1.20% 
Supplemental Data      
Net assets, end of period (in millions) $139 $131 $174 $261 $222 
Portfolio turnover rateF 246% 123% 157% 93% 83% 

 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, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $10.00 $10.36 $10.66 $10.50 $10.47 
Income from Investment Operations      
Net investment income (loss)A .201 .167 .149 .135 .127 
Net realized and unrealized gain (loss) .696 (.362) (.229) .270 .048 
Total from investment operations .897 (.195) (.080) .405 .175 
Distributions from net investment income (.197) (.165) (.144) (.150) (.117) 
Distributions from net realized gain – – (.076) (.095) (.028) 
Total distributions (.197) (.165) (.220) (.245) (.145) 
Net asset value, end of period $10.70 $10.00 $10.36 $10.66 $10.50 
Total ReturnB,C 9.08% (1.88)% (.73)% 3.92% 1.68% 
Ratios to Average Net AssetsD,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) 1.98% 1.65% 1.44% 1.28% 1.20% 
Supplemental Data      
Net assets, end of period (in millions) $131 $137 $157 $197 $181 
Portfolio turnover rateF 246% 123% 157% 93% 83% 

 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 C

Years ended August 31, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $10.00 $10.36 $10.66 $10.50 $10.47 
Income from Investment Operations      
Net investment income (loss)A .122 .088 .069 .053 .044 
Net realized and unrealized gain (loss) .695 (.361) (.229) .270 .048 
Total from investment operations .817 (.273) (.160) .323 .092 
Distributions from net investment income (.117) (.087) (.064) (.068) (.034) 
Distributions from net realized gain – – (.076) (.095) (.028) 
Total distributions (.117) (.087) (.140) (.163) (.062) 
Net asset value, end of period $10.70 $10.00 $10.36 $10.66 $10.50 
Total ReturnB,C 8.24% (2.64)% (1.49)% 3.12% .88% 
Ratios to Average Net AssetsD,E      
Expenses before reductions 1.54% 1.54% 1.54% 1.54% 1.55% 
Expenses net of fee waivers, if any 1.54% 1.54% 1.54% 1.54% 1.55% 
Expenses net of all reductions 1.54% 1.54% 1.54% 1.54% 1.55% 
Net investment income (loss) 1.20% .87% .67% .50% .42% 
Supplemental Data      
Net assets, end of period (in millions) $51 $57 $72 $94 $54 
Portfolio turnover rateF 246% 123% 157% 93% 83% 

 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.

 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

Years ended August 31, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $9.99 $10.35 $10.65 $10.48 $10.45 
Income from Investment Operations      
Net investment income (loss)A .232 .198 .181 .167 .159 
Net realized and unrealized gain (loss) .686 (.361) (.229) .281 .048 
Total from investment operations .918 (.163) (.048) .448 .207 
Distributions from net investment income (.228) (.197) (.176) (.183) (.149) 
Distributions from net realized gain – – (.076) (.095) (.028) 
Total distributions (.228) (.197) (.252) (.278) (.177) 
Net asset value, end of period $10.68 $9.99 $10.35 $10.65 $10.48 
Total ReturnB 9.33% (1.58)% (.42)% 4.35% 1.99% 
Ratios to Average Net AssetsC,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) 2.29% 1.96% 1.76% 1.59% 1.51% 
Supplemental Data      
Net assets, end of period (in millions) $2,633 $2,964 $3,467 $3,896 $3,489 
Portfolio turnover rateE 246% 123% 157% 93% 83% 

 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, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $10.00 $10.36 $10.66 $10.50 $10.47 
Income from Investment Operations      
Net investment income (loss)A .228 .194 .177 .162 .154 
Net realized and unrealized gain (loss) .696 (.361) (.230) .271 .048 
Total from investment operations .924 (.167) (.053) .433 .202 
Distributions from net investment income (.224) (.193) (.171) (.178) (.144) 
Distributions from net realized gain – – (.076) (.095) (.028) 
Total distributions (.224) (.193) (.247) (.273) (.172) 
Net asset value, end of period $10.70 $10.00 $10.36 $10.66 $10.50 
Total ReturnB 9.38% (1.61)% (.46)% 4.19% 1.94% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .49% .49% .49% .50% .50% 
Expenses net of fee waivers, if any .49% .49% .49% .50% .50% 
Expenses net of all reductions .49% .49% .49% .50% .50% 
Net investment income (loss) 2.25% 1.92% 1.71% 1.54% 1.46% 
Supplemental Data      
Net assets, end of period (in millions) $407 $411 $496 $494 $412 
Portfolio turnover rateE 246% 123% 157% 93% 83% 

 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 Z

Year ended August 31, 2019 A 
Selected Per–Share Data  
Net asset value, beginning of period $9.91 
Income from Investment Operations  
Net investment income (loss)B .198 
Net realized and unrealized gain (loss) .808 
Total from investment operations 1.006 
Distributions from net investment income (.216) 
Distributions from net realized gain – 
Total distributions (.216) 
Net asset value, end of period $10.70 
Total ReturnC,D 10.27% 
Ratios to Average Net AssetsE,F  
Expenses before reductions .40%G 
Expenses net of fee waivers, if any .36%G 
Expenses net of all reductions .36%G 
Net investment income (loss) 2.27%G 
Supplemental Data  
Net assets, end of period (in millions) $139 
Portfolio turnover rateH 246% 

 A For the period October 2, 2018 (commencement of sale of shares) to August 31, 2019.

 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 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. 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 class.

 G Annualized

 H 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, 2019
(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 commenced sale of Class Z shares on October 2, 2018. The Fund offers Class A, Class M, Class C, Government Income, Class I and Class Z 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. Effective March 1, 2019, Class C shares will automatically convert to Class A shares after a holding period of ten years from the initial date of purchase, with certain exceptions.

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 ranged from less than .005% to .01%. 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 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
Swaps 
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 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. 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.

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, 2019 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

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) for the Fund, 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 $58 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.

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, 2019, 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 declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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 futures contracts, swaps, market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.

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 $145,089 
Gross unrealized depreciation (10,985) 
Net unrealized appreciation (depreciation) $134,104 
Tax Cost $3,937,911 

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

Undistributed ordinary income $72 
Capital loss carryforward $(35,521) 
Net unrealized appreciation (depreciation) on securities and other investments $126,662 

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 $(13,370) 
Long-term (22,151) 
Total capital loss carryforward $(35,521) 

The tax character of distributions paid was as follows:

 August 31, 2019 August 31, 2018 
Ordinary Income $77,199 $ 76,545 

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.

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.

New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.

Financial Statement Current Line-Item Presentation (As Applicable) Prior Line-Item Presentation (As Applicable) 
Statement of Assets and Liabilities Total distributable earnings (loss) Undistributed/Distributions in excess of/Accumulated net investment income (loss)
Accumulated/Undistributed net realized gain (loss)
Net unrealized appreciation (depreciation) 
Statement of Changes in Net Assets N/A - removed Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period 
Statement of Changes in Net Assets Distributions to shareholders Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain 
Distributions to Shareholders Note to Financial Statements Distributions to shareholders Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain 

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 $18,999 $696 
Purchased Options 1,192 10,467 
Swaps (5,713) 22 
Written Options (774) (634) 
Total Interest Rate Risk $13,704 $10,551 

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 $87,933 and $558,632, 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 .10% 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 .30% 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% $324 $10 
Class M -% .25% 324 
Class C .75% .25% 535 64 
   $1,183 $76 

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 $15 
Class M 
Class C(a) 
 $21 

 (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 and Class Z. FIIOC receives an asset-based fee of Government Income's and Class Z'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 $232 .18 
Class M 208 .16 
Class C 104 .19 
Government Income 2,786 .10 
Class I 542 .14 
Class Z .05(a) 
 $3,877  

 (a) Annualized

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 .05% of average net assets.

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.

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 $9 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. The Fund may lend securities to certain qualified borrowers. 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.

9. Expense Reductions.

The investment adviser contractually agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2020. Some expenses, for example the compensation of the independent Trustees, and certain other expenses such as interest expense, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

 Expense Limitations Reimbursement 
Class Z .36% $4 

In addition, 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 custody expenses by $7.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2019(a) 
Year ended
August 31, 2018 
Distributions to shareholders   
Class A $2,488 $– 
Class M 2,511 – 
Class C 619 – 
Government Income 62,697 – 
Class I 8,663 – 
Class Z 221 – 
Total $77,199 $– 
From net investment income   
Class A $– $2,453 
Class M – 2,332 
Class C – 527 
Government Income – 62,521 
Class I – 8,712 
Total $– $76,545 

 (a) Distributions for Class Z are for the period October 2, 2018 (commencement of sale of shares) to August 31, 2019.

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, 2019(a) Year ended August 31, 2018 Year ended August 31, 2019(a) Year ended August 31, 2018 
Class A     
Shares sold 4,814 2,386 $49,197 $24,093 
Reinvestment of distributions 232 234 2,359 2,358 
Shares redeemed (5,171) (6,296) (52,580) (63,573) 
Net increase (decrease) (125) (3,676) $(1,024) $(37,122) 
Class M     
Shares sold 3,711 3,436 $37,749 $34,657 
Reinvestment of distributions 224 213 2,278 2,151 
Shares redeemed (5,332) (5,090) (54,031) (51,444) 
Net increase (decrease) (1,397) (1,441) $(14,004) $(14,636) 
Class C     
Shares sold 1,617 1,086 $16,434 $10,950 
Reinvestment of distributions 59 50 603 506 
Shares redeemed (2,655) (2,329) (26,999) (23,542) 
Net increase (decrease) (979) (1,193) $(9,962) $(12,086) 
Government Income     
Shares sold 52,032 44,098 $527,496 $444,987 
Reinvestment of distributions 5,887 5,956 59,791 59,957 
Shares redeemed (108,223) (88,405) (1,102,701) (890,477) 
Net increase (decrease) (50,304) (38,351) $(515,414) $(385,533) 
Class I     
Shares sold 13,101 16,203 $133,750 $164,389 
Reinvestment of distributions 805 830 8,190 8,367 
Shares redeemed (16,958) (23,796) (172,113) (240,832) 
Net increase (decrease) (3,052) (6,763) $(30,173) $(68,076) 
Class Z     
Shares sold 13,616 – $144,841 $– 
Reinvestment of distributions 19 – 195 – 
Shares redeemed (665) – (7,066) – 
Net increase (decrease) 12,970 – $137,970 $– 

 (a) Share transactions for Class Z are for the period October 2, 2018 (commencement of sale of shares) to August 31, 2019.

12. 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 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, referred to hereafter as the “Fund”) as of August 31, 2019, the related statement of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (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, 2019, 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, 2019 and the financial highlights for each of the periods indicated therein 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, 2019 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 17, 2019



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 276 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 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one.

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. Arthur E. Johnson 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).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee 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 Advisory Board of certain Fidelity® funds (2018), 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).

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 interim president of Michigan State University (2018-2019), 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.

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). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and 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 Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

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.

 + 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. 

Advisory Board Members and Officers:

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

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.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).

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).

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). 

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as Secretary and CLO of other funds. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

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).

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 of Fixed Income (2014-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), 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), and President, Money Market and Short Duration Bond Group of Fidelity Management & Research Company (FMR) (investment adviser firm, 2013-2014).

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).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

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, 2019 to August 31, 2019).

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. 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. 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. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2019 
Ending
Account Value
August 31, 2019 
Expenses Paid
During Period-B
March 1, 2019
to August 31, 2019 
Class A .77%    
Actual  $1,000.00 $1,072.60 $4.02 
Hypothetical-C  $1,000.00 $1,021.32 $3.92 
Class M .75%    
Actual  $1,000.00 $1,073.70 $3.92 
Hypothetical-C  $1,000.00 $1,021.42 $3.82 
Class C 1.53%    
Actual  $1,000.00 $1,069.60 $7.98 
Hypothetical-C  $1,000.00 $1,017.49 $7.78 
Government Income .45%    
Actual  $1,000.00 $1,074.50 $2.35 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 
Class I .48%    
Actual  $1,000.00 $1,074.10 $2.51 
Hypothetical-C  $1,000.00 $1,022.79 $2.45 
Class Z .36%    
Actual  $1,000.00 $1,074.80 $1.88 
Hypothetical-C  $1,000.00 $1,023.39 $1.84 

 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 36.58% 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 $50,670,412 of distributions paid during the period January 1, 2019 to August 31, 2019 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.





Fidelity Investments

GOV-ANN-1019
1.537760.123


Fidelity® Intermediate Government Income Fund



Annual Report

August 31, 2019




Fidelity Investments


Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


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 1-800-544-8544 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.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.



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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT 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, 2019 Past 1 year Past 5 years Past 10 years 
Fidelity® Intermediate Government Income Fund 7.30% 1.95% 2.32% 

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Intermediate Government Income Fund on August 31, 2009.

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


Period Ending Values

$12,581Fidelity® Intermediate Government Income Fund

$12,727Bloomberg Barclays U.S. Intermediate Government Bond Index

Management's Discussion of Fund Performance

Market Recap:  For the 12 months ending August 31, 2019, U.S. taxable investment-grade bonds posted their strongest trailing one-year return since 2009, driven by slower global economic growth, a maturing business cycle, trade uncertainty and, late in the period, the Fed’s dovish shift. The Bloomberg Barclays U.S. Aggregate Bond Index gained 10.17%. Market yields rose in the early fall of 2018, on expectations for higher inflation. Yields then declined and credit spreads widened in November and December, partly because of weaker U.S. manufacturing data. Yield spreads narrowed in January, as the U.S. Federal Reserve said it would be “patient” with policy rate hikes, and that future increases largely would depend on economic data. Yields continued to decline in the spring, amid international trade tension and attacks on oil tankers in the Middle East, and then tumbled further in July, when the Fed cut interest rates for the first time since 2008. The yield curve ended the period roughly flat, amid expectations for another rate cut of 25 basis points in September. Within the Bloomberg Barclays index, corporate bonds gained 13.33%, topping the 10.38% advance of U.S. Treasuries. Outside the index, U.S. corporate high-yield bonds lagged nominal U.S. Treasuries, while Treasury Inflation-Protected Securities (TIPS) gained 7.46%.

Comments from Co-Portfolio Managers Franco Castagliuolo and Sean Corcoran:  For the fiscal year, the fund advanced 7.30%, nearly in line, net of fees, with the 7.45% gain of the benchmark Bloomberg Barclays U.S. Intermediate Government Bond Index, and well ahead of the Lipper peer group average. We attempted to exploit market inefficiencies while identifying attractively priced securities, in accordance with our longer-term strategy. Our use of swaptions – options that give the buyer the right, but not the obligation, to enter into swap contracts after specified periods of time – contributed notably versus the benchmark. We purchased swaptions early in 2019, anticipating volatility would rise. This proved to be the case by period end, which boosted the value of the fund's swaptions. Owning securities comprised of reperforming loans issued by Fannie Mae also helped versus the benchmark. Timely purchases and sales of Freddie Mac K-Series securities made up of mortgages on multifamily housing projects also boosted the fund's relative return. We added modest value due to the fund's yield-curve positioning. Specifically, overweighting two- and 10-year securities and underweighting three- and 5-year securities added value. Conversely, the fund's exposure to floating-rate collateralized mortgage obligations (CMOs) slightly detracted from relative performance.

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)

Coupon Distribution as of August 31, 2019

 % of fund's investments 
1 - 1.99% 8.9 
2 - 2.99% 53.2 
3 - 3.99% 7.5 
4 - 4.99% 2.3 
5 - 5.99% 5.3 
6 - 6.99% 0.5 
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, 2019*,**,*** 
   Mortgage Securities 5.0% 
   CMOs and Other Mortgage Related Securities 13.3% 
   U.S. Treasury Obligations 67.2% 
   U.S. Government Agency Obligations 2.6% 
   Foreign Government & Government Agency Obligations 3.5% 
   Short-Term Investments and Net Other Assets (Liabilities) 8.4% 


 * Foreign investments - 3.5%

 ** Futures and Swaps - 19.1%

 *** Written options - (6.1)%

 † Includes NCUA Guaranteed Notes

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, 2019

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 69.8%   
 Principal Amount (000s) Value (000s) 
U.S. Treasury Obligations - 67.2%   
U.S. Treasury Notes:   
1.25% 8/31/24 $4,400 $4,370 
1.375% 4/30/20 2,170 2,163 
1.375% 8/31/26 5,949 5,918 
1.5% 7/15/20 5,688 5,672 
1.625% 8/31/22 3,459 3,478 
1.625% 8/15/29 1,940 1,962 
1.75% 7/31/21 7,000 7,029 
1.75% 6/30/22 (a) 24 24 
1.75% 7/31/24 220 224 
1.875% 7/31/22 16,612 16,815 
2% 8/15/25 (a)(b) 39,301 40,547 
2.125% 6/30/22 327 333 
2.125% 3/31/24 9,848 10,156 
2.125% 7/31/24 (a) 17,767 18,366 
2.125% 5/15/25 (a)(b) 1,053 1,093 
2.125% 5/31/26 3,100 3,233 
2.25% 7/31/21 29,232 29,617 
2.25% 4/30/24 1,993 2,068 
2.25% 12/31/24 8,407 8,764 
2.25% 3/31/26 3,325 3,491 
2.375% 4/30/20 6,400 6,420 
2.375% 4/15/21 11,560 11,700 
2.5% 12/31/20 12,682 12,817 
2.5% 1/31/21 39,395 39,846 
2.5% 1/15/22 20,457 20,937 
2.5% 1/31/24 1,900 1,987 
2.5% 2/28/26 9,441 10,053 
2.625% 8/31/20 6,000 6,049 
2.625% 6/30/23 11,432 11,942 
2.625% 12/31/23 15,587 16,372 
2.625% 2/15/29 19,388 21,297 
2.75% 6/30/25 (a) 7,900 8,477 
2.875% 11/30/25 9,753 10,581 
3.125% 11/15/28 10,010 11,401 
  355,202 
Other Government Related - 2.6%   
National Credit Union Administration Guaranteed Notes:   
Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 2.5628% 12/7/20 (NCUA Guaranteed) (c)(d) 495 494 
Series 2011-R1 Class 1A, 1 month U.S. LIBOR + 0.450% 2.6785% 1/8/20 (NCUA Guaranteed) (c)(d) 588 588 
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 12,000 12,329 
  13,411 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $356,685)  368,613 
U.S. Government Agency - Mortgage Securities - 21.4%   
Fannie Mae - 1.7%   
12 month U.S. LIBOR + 1.365% 4.115% 10/1/35 (c)(d) 
12 month U.S. LIBOR + 1.480% 4.242% 7/1/34 (c)(d) 
12 month U.S. LIBOR + 1.495% 4.509% 1/1/35 (c)(d) 25 26 
12 month U.S. LIBOR + 1.553% 4.337% 6/1/36 (c)(d) 
12 month U.S. LIBOR + 1.553% 4.428% 5/1/44 (c)(d) 38 39 
12 month U.S. LIBOR + 1.557% 4.67% 2/1/44 (c)(d) 18 18 
12 month U.S. LIBOR + 1.558% 4.544% 2/1/44 (c)(d) 24 25 
12 month U.S. LIBOR + 1.565% 4.69% 3/1/37 (c)(d) 10 10 
12 month U.S. LIBOR + 1.570% 4.445% 5/1/44 (c)(d) 18 19 
12 month U.S. LIBOR + 1.575% 4.601% 4/1/44 (c)(d) 101 104 
12 month U.S. LIBOR + 1.580% 4.574% 1/1/44 (c)(d) 32 33 
12 month U.S. LIBOR + 1.580% 4.681% 4/1/44 (c)(d) 37 39 
12 month U.S. LIBOR + 1.617% 4.583% 3/1/33 (c)(d) 17 17 
12 month U.S. LIBOR + 1.645% 4.693% 6/1/47 (c)(d) 21 22 
12 month U.S. LIBOR + 1.666% 4.538% 11/1/36 (c)(d) 34 36 
12 month U.S. LIBOR + 1.745% 4.755% 7/1/35 (c)(d) 
12 month U.S. LIBOR + 1.752% 4.734% 3/1/40 (c)(d) 135 141 
12 month U.S. LIBOR + 1.760% 4.84% 2/1/37 (c)(d) 79 82 
12 month U.S. LIBOR + 1.800% 4.786% 1/1/42 (c)(d) 70 73 
12 month U.S. LIBOR + 1.818% 4.932% 2/1/42 (c)(d) 85 89 
12 month U.S. LIBOR + 1.851% 4.58% 5/1/36 (c)(d) 
12 month U.S. LIBOR + 1.885% 4.927% 4/1/36 (c)(d) 59 62 
12 month U.S. LIBOR + 2.176% 4.808% 8/1/35 (c)(d) 28 29 
6 month U.S. LIBOR + 1.510% 4.144% 2/1/33 (c)(d)(e) 
6 month U.S. LIBOR + 1.535% 4.178% 3/1/35 (c)(d) 
6 month U.S. LIBOR + 1.535% 4.315% 12/1/34 (c)(d) 
6 month U.S. LIBOR + 1.556% 4.278% 10/1/33 (c)(d) 
6 month U.S. LIBOR + 1.565% 4.085% 7/1/35 (c)(d) 
U.S. TREASURY 1 YEAR INDEX + 2.207% 4.681% 7/1/36 (c)(d) 26 27 
U.S. TREASURY 1 YEAR INDEX + 2.208% 4.833% 3/1/35 (c)(d) 
U.S. TREASURY 1 YEAR INDEX + 2.295% 4.678% 10/1/33 (c)(d) 
2.5% 8/1/33 373 378 
3% 5/1/33 to 7/1/33 799 826 
3.5% 7/1/32 1,426 1,487 
4.5% 11/1/25 293 303 
5% 1/1/22 to 4/1/22 
5.5% 8/1/25 to 5/1/44 3,002 3,304 
6% 1/1/34 to 6/1/36 668 752 
6.5% 2/1/22 to 8/1/36 676 766 
  8,781 
Freddie Mac - 1.3%   
12 month U.S. LIBOR + 1.515% 4.39% 11/1/35 (c)(d) 13 14 
12 month U.S. LIBOR + 1.600% 4.35% 7/1/35 (c)(d) 11 12 
12 month U.S. LIBOR + 1.754% 4.498% 9/1/41 (c)(d) 196 203 
12 month U.S. LIBOR + 1.793% 4.695% 4/1/37 (c)(d) 14 14 
12 month U.S. LIBOR + 1.880% 4.717% 10/1/41 (c)(d) 171 178 
12 month U.S. LIBOR + 1.884% 4.628% 10/1/42 (c)(d) 96 100 
12 month U.S. LIBOR + 2.045% 4.785% 7/1/36 (c)(d) 22 23 
12 month U.S. LIBOR + 2.070% 4.998% 3/1/33 (c)(d) 
6 month U.S. LIBOR + 1.445% 4.195% 3/1/35 (c)(d) 15 15 
6 month U.S. LIBOR + 1.647% 4.289% 2/1/37 (c)(d) 16 16 
6 month U.S. LIBOR + 1.665% 4.318% 7/1/35 (c)(d) 170 176 
6 month U.S. LIBOR + 1.720% 4.247% 8/1/37 (c)(d) 20 21 
6 month U.S. LIBOR + 1.746% 4.58% 5/1/37 (c)(d) 
6 month U.S. LIBOR + 1.843% 4.534% 10/1/36 (c)(d) 56 58 
6 month U.S. LIBOR + 1.912% 4.623% 10/1/35 (c)(d) 36 38 
6 month U.S. LIBOR + 2.010% 4.635% 5/1/37 (c)(d) 21 21 
6 month U.S. LIBOR + 2.010% 4.731% 5/1/37 (c)(d) 27 28 
6 month U.S. LIBOR + 2.040% 4.665% 6/1/37 (c)(d) 16 16 
6 month U.S. LIBOR + 2.276% 4.955% 10/1/35 (c)(d) 
U.S. TREASURY 1 YEAR INDEX + 2.035% 4.58% 6/1/33 (c)(d) 50 53 
U.S. TREASURY 1 YEAR INDEX + 2.230% 4.741% 4/1/34 (c)(d) 145 153 
U.S. TREASURY 1 YEAR INDEX + 2.239% 4.865% 2/1/36 (c)(d) 
U.S. TREASURY 1 YEAR INDEX + 2.548% 4.956% 7/1/35 (c)(d) 46 48 
2.5% 12/1/32 to 7/1/34 1,018 1,033 
3% 4/1/33 to 7/1/49 4,125 4,242 
3.5% 7/1/32 514 537 
6% 1/1/24 92 96 
6.5% 12/1/21 20 21 
9.5% 5/1/20 
10% 2/1/20 to 3/1/21 
10.5% 1/1/21 
11% 9/1/20 
  7,128 
Ginnie Mae - 6.8%   
6% 6/15/36 583 658 
8% 12/15/23 29 31 
10.5% 8/15/21 to 10/15/21 
3% 9/1/49 (f) 2,250 2,320 
3% 9/1/49 (f) 2,150 2,217 
3% 9/1/49 (f) 500 516 
3% 9/1/49 (f) 400 412 
3% 9/1/49 (f) 300 309 
3% 9/1/49 (f) 900 928 
3% 9/1/49 (f) 1,400 1,444 
3% 9/1/49 (f) 10,900 11,240 
3% 9/1/49 (f) 1,200 1,237 
3.5% 8/20/42 to 3/20/44 5,026 5,282 
3.5% 9/1/49 (f) 650 675 
3.5% 9/1/49 (f) 650 675 
4% 10/20/43 to 3/20/47 2,517 2,657 
4.469% 2/20/62 (c)(g) 76 77 
4.5% 6/20/48 4,933 5,189 
4.573% 2/20/62 (c)(g) 14 14 
4.97% 1/20/62 (c)(g) 132 134 
5.47% 8/20/59 (c)(g) 
11% 1/20/21 
  36,018 
Uniform Mortgage Backed Securities - 11.6%   
3% 9/1/49 (f) 500 510 
3% 9/1/49 (f) 3,300 3,364 
3.5% 9/1/49 (f) 2,950 3,031 
3.5% 9/1/49 (f) 2,550 2,620 
3.5% 9/1/49 (f) 1,400 1,439 
4% 9/1/49 (f) 6,000 6,228 
4% 9/1/49 (f) 12,600 13,080 
4% 9/1/49 (f) 5,600 5,813 
4% 9/1/49 (f) 12,600 13,080 
4% 9/1/49 (f) 6,000 6,228 
4% 9/1/49 (f) 5,600 5,813 
  61,206 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $112,605)  113,133 
Asset-Backed Securities - 0.0%   
Nelnet Student Loan Trust 3 month U.S. LIBOR + 0.100% 2.3755% 1/25/30 (c)(d) $75 $75 
Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24 41 44 
TOTAL ASSET-BACKED SECURITIES   
(Cost $116)  119 
Collateralized Mortgage Obligations - 12.9%   
U.S. Government Agency - 12.9%   
Fannie Mae:   
floater: 
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 1.57% 4/25/24 (c)(d) 204 203 
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 3.1253% 8/25/31 (c)(d) 51 52 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 3.1453% 4/25/32 (c)(d) 12 12 
Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 2.5953% 11/25/32 (c)(d) 555 557 
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 3.1453% 11/25/32 (c)(d) 24 24 
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 3.0753% 6/25/36 (c)(d) 786 797 
planned amortization class:   
Series 2003-28 Class KG, 5.5% 4/25/23 76 79 
Series 2005-19 Class PA, 5.5% 7/25/34 58 58 
Series 2005-64 Class PX, 5.5% 6/25/35 162 172 
Series 2005-68 Class CZ, 5.5% 8/25/35 628 713 
Series 2012-149:   
Class DA, 1.75% 1/25/43 115 114 
Class GA, 1.75% 6/25/42 119 118 
sequential payer:   
Series 2003-117 Class MD, 5% 12/25/23 83 85 
Series 2004-52 Class KZ, 5.5% 7/25/34 1,337 1,506 
Series 2004-91 Class Z, 5% 12/25/34 736 814 
Series 2009-59 Class HB, 5% 8/25/39 318 351 
Series 2010-139 Class NI, 4.5% 2/25/40 (e) 431 32 
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 3.0653% 3/25/36 (c)(d) 497 508 
Series 2011-67 Class AI, 4% 7/25/26 (e) 114 
Series 2016-26 Class CG, 3% 5/25/46 1,862 1,896 
Freddie Mac:   
floater:   
Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 2.5951% 11/15/32 (c)(d) 102 102 
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 3.0951% 2/15/33 (c)(d) 215 218 
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 2.5951% 3/15/34 (c)(d) 245 245 
planned amortization class:   
Series 2802 Class OB, 6% 5/15/34 227 245 
Series 3415 Class PC, 5% 12/15/37 84 92 
Series 4135 Class AB, 1.75% 6/15/42 89 89 
sequential payer:   
Series 1929 Class EZ, 7.5% 2/17/27 243 260 
Series 2004-2802 Class ZG, 5.5% 5/15/34 1,080 1,227 
Series 2004-2862 Class NE, 5% 9/15/24 1,453 1,503 
Series 2145 Class MZ, 6.5% 4/15/29 277 314 
Series 2357 Class ZB, 6.5% 9/15/31 198 228 
Series 2877 Class ZD, 5% 10/15/34 917 1,013 
Series 2998 Class LY, 5.5% 7/15/25 77 81 
Series 3007 Class EW, 5.5% 7/15/25 363 382 
Series 3745 Class KV, 4.5% 12/15/26 882 937 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:   
Series 4335 Class AL, 4.25% 3/15/40 581 604 
Series 4341 Class ML, 3.5% 11/15/31 989 1,044 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 2.6721% 7/20/37 (c)(d) 138 139 
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 2.6521% 1/20/38 (c)(d) 36 36 
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 2.7974% 11/16/39 (c)(d) 141 142 
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 2.7274% 12/16/39 (c)(d) 107 108 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 2.5711% 7/20/60 (c)(d)(g) 1,860 1,853 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 2.6795% 9/20/60 (c)(d)(g) 2,191 2,181 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 2.6795% 8/20/60 (c)(d)(g) 2,550 2,539 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.7595% 12/20/60 (c)(d)(g) 686 684 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 2.8795% 12/20/60 (c)(d)(g) 1,204 1,205 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 2.8795% 2/20/61 (c)(d)(g) 2,382 2,384 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 2.8695% 2/20/61 (c)(d)(g) 2,659 2,660 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 2.8795% 4/20/61 (c)(d)(g) 902 903 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 2.8795% 5/20/61 (c)(d)(g) 1,087 1,088 
Class FC, 1 month U.S. LIBOR + 0.500% 2.8795% 5/20/61 (c)(d)(g) 1,003 1,004 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 2.9095% 6/20/61 (c)(d)(g) 1,194 1,196 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 2.9795% 10/20/61 (c)(d)(g) 1,218 1,222 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 3.0795% 11/20/61 (c)(d)(g) 1,089 1,095 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 3.0795% 1/20/62 (c)(d)(g) 694 698 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 3.0095% 1/20/62 (c)(d)(g) 1,002 1,005 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 3.0095% 3/20/62 (c)(d)(g) 627 628 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.0295% 5/20/61 (c)(d)(g) 21 21 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 2.6595% 5/20/63 (c)(d)(g) 178 178 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 2.5795% 4/20/63 (c)(d)(g) 175 174 
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 2.4221% 10/20/47 (c)(d) 630 624 
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 2.4721% 5/20/48 (c)(d) 776 769 
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 2.4721% 6/20/48 (c)(d) 896 889 
planned amortization class:   
Series 2010-31 Class BP, 5% 3/20/40 1,810 2,106 
Series 2011-136 Class WI, 4.5% 5/20/40 (e) 252 20 
Series 2011-68 Class EC, 3.5% 4/20/41 665 697 
Series 2017-134 Class BA, 2.5% 11/20/46 122 124 
sequential payer:   
Series 2013-H06 Class HA, 1.65% 1/20/63 (g) 265 263 
Series 2014-H12 Class KA, 2.75% 5/20/64 (g) 709 715 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 2.8795% 9/20/62 (c)(d)(g) 972 972 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 3.0295% 11/20/65 (c)(d)(g) 120 121 
Series 2017-139 Class BA, 3% 9/20/47 1,875 1,903 
Series 2010-169 Class Z, 4.5% 12/20/40 1,090 1,221 
Series 2010-H15 Class TP, 5.15% 8/20/60 (g) 613 614 
Series 2010-H17 Class XP, 5.2943% 7/20/60 (c)(g) 352 353 
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(g) 335 337 
Series 2012-64 Class KI, 3.5% 11/20/36 (e) 123 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 5.7705% 4/20/39 (c)(h) 305 314 
Class ST, 8.800% - 1 month U.S. LIBOR 5.9038% 8/20/39 (c)(h) 1,062 1,100 
Series 2013-H04 Class BA, 1.65% 2/20/63 (g) 644 641 
Series 2013-H07 Class JA, 1.75% 3/20/63 (g) 1,776 1,769 
Series 2015-H17 Class HA, 2.5% 5/20/65 (g) 976 976 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (g) 1,357 1,355 
Class JA, 2.5% 6/20/65 (g) 225 225 
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(g) 2,108 2,100 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 2.43% 5/20/66 (c)(d)(g) 2,719 2,720 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.28% 8/20/66 (c)(d)(g) 2,583 2,576 
Series 2090-118 Class XZ, 5% 12/20/39 2,467 2,852 
  68,186 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $68,067)  68,186 
Commercial Mortgage Securities - 0.4%   
Freddie Mac:   
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 747 762 
sequential payer Series K712 Class A2, 1.869% 11/25/19 1,014 1,012 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $1,779)  1,774 
Foreign Government and Government Agency Obligations - 3.5%   
Israeli State:   
(guaranteed by U.S. Government through Agency for International Development) 5.5% 12/4/23 10,710 12,413 
5.5% 4/26/24 1,100 1,289 
Jordanian Kingdom 3% 6/30/25 3,329 3,558 
Ukraine Government 1.471% 9/29/21 1,400 1,398 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $17,239)  18,658 
 Shares Value (000s) 
Money Market Funds - 9.1%   
Fidelity Cash Central Fund 2.13% (i)   
(Cost $48,234) 48,224,815 48,234 

Purchased Swaptions - 0.7%(j)    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.0%    
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.3275% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/11/24 5,000 $68 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.58% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/25/22 4,500 31 
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.54% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/5/22 24,400 172 
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.651% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 1,900 12 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. 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 3,300 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.5575% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/6/20 3,600 
TOTAL PUT OPTIONS   297 
Call Options - 0.7%    
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.3275% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/11/24 5,000 272 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.58% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/25/22 4,500 390 
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.54% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/5/22 24,400 2,061 
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.651% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 1,900 172 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. 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 3,300 280 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.5575% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/6/20 3,600 311 
TOTAL CALL OPTIONS   3,486 
TOTAL PURCHASED SWAPTIONS    
(Cost $2,410)   3,783 
TOTAL INVESTMENT IN SECURITIES - 117.8%    
(Cost $607,135)   622,500 
NET OTHER ASSETS (LIABILITIES) - (17.8)%   (93,965) 
NET ASSETS - 100%   $528,535 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Uniform Mortgage Backed Securities   
3% 9/1/49 $(6,500) $(6,625) 
3% 9/1/49 (11,400) (11,620) 
3.5% 9/1/49 (17,875) (18,368) 
4% 9/1/49 (24,200) (25,122) 
4% 9/1/49 (12,600) (13,080) 
4% 9/1/49 (6,000) (6,228) 
4% 9/1/49 (5,600) (5,813) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $86,764)  $(86,856) 

Written Swaptions    
 Expiration Date Notional Amount Value (000s) 
Put Swaptions    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.65% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/7/24 6,900 $(171) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.97% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 1,000 (19) 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 1.92% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/25/19 2,020 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.7825% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/5/24 5,800 (129) 
TOTAL PUT SWAPTIONS   (319) 
Call Swaptions    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.65% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/7/24 6,900 (236) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.97% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 1,000 (43) 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 1.92% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/25/19 2,020 (103) 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.7825% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/5/24 5,800 (218) 
TOTAL CALL SWAPTIONS   (600) 
TOTAL WRITTEN SWAPTIONS   $(919) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount (000s) Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased      
Treasury Contracts      
CBOT 2-Year U.S. Treasury Note Contracts (United States) 348 Dec. 2019 $75,209 $30 $30 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 374 Dec. 2019 44,871 70 70 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) Dec. 2019 722 (1) (1) 
TOTAL PURCHASED FUTURES     99 
Sold      
Treasury Contracts      
CBOT Long Term U.S. Treasury Bond Contracts (United States) Dec. 2019 661 (4) (4) 
TOTAL FUTURES CONTRACTS     $95 

The notional amount of futures purchased as a percentage of Net Assets is 22.9%

The notional amount of futures sold as a percentage of Net Assets is 0.1%

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $96,487,000.

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          
1.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Dec. 2021 $3,615 $(2) $0 $(2) 
3-month LIBOR(3) Quarterly 1.75% Semi - annual LCH Dec. 2026 1,000 
3-month LIBOR(3) Quarterly 1.5% Semi - annual LCH Dec. 2029 14,595 26 26 
TOTAL INTEREST RATE SWAPS       $24 $0 $24 

 (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 $561,000.

 (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 $826,000.

 (c) 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) 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) 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.

 (i) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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.

 (j) For the period, the average monthly notional amount for purchased swaptions was $48,983,000.

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 $334 
Total $334 

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.

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2019, 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 
(Amounts in thousands)     
Investments in Securities:     
U.S. Government and Government Agency Obligations $368,613 $-- $368,613 $-- 
U.S. Government Agency - Mortgage Securities 113,133 -- 113,133 -- 
Asset-Backed Securities 119 -- 119 -- 
Collateralized Mortgage Obligations 68,186 -- 68,186 -- 
Commercial Mortgage Securities 1,774 -- 1,774 -- 
Foreign Government and Government Agency Obligations 18,658 -- 18,658 -- 
Money Market Funds 48,234 48,234 -- -- 
Purchased Swaptions 3,783 -- 3,783 -- 
Total Investments in Securities: $622,500 $48,234 $574,266 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $100 $100 $-- $-- 
Swaps 26 -- 26 -- 
Total Assets $126 $100 $26 $-- 
Liabilities     
Futures Contracts $(5) $(5) $-- $-- 
Swaps (2) -- (2) -- 
Written Swaptions (919) -- (919) -- 
Total Liabilities $(926) $(5) $(921) $-- 
Total Derivative Instruments: $(800) $95 $(895) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(86,856) $-- $(86,856) $-- 
Total Other Financial Instruments: $(86,856) $-- $(86,856) $-- 

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, 2019. 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) $100 $(5) 
Purchased Swaptions(b) 3,783 
Swaps(c) 26 (2) 
Written Swaptions(d) (919) 
Total Interest Rate Risk 3,909 (926) 
Total Value of Derivatives $3,909 $(926) 

 (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 distributable earnings.

 (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 distributable earnings.

 (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 amount)  August 31, 2019 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $558,901) 
$574,266  
Fidelity Central Funds (cost $48,234) 48,234  
Total Investment in Securities (cost $607,135)  $622,500 
Receivable for investments sold  2,350 
Receivable for premium on written options  858 
Receivable for TBA sale commitments  86,764 
Receivable for fund shares sold  138 
Interest receivable  1,848 
Distributions receivable from Fidelity Central Funds  62 
Receivable for daily variation margin on futures contracts  68 
Total assets  714,588 
Liabilities   
Payable for investments purchased   
Regular delivery $14,599  
Delayed delivery 83,021  
TBA sale commitments, at value 86,856  
Payable for fund shares redeemed 369  
Distributions payable 53  
Accrued management fee 132  
Payable for daily variation margin on centrally cleared OTC swaps 40  
Written options, at value (premium receivable $858) 919  
Other affiliated payables 64  
Total liabilities  186,053 
Net Assets  $528,535 
Net Assets consist of:   
Paid in capital  $519,496 
Total distributable earnings (loss)  9,039 
Net Assets, for 49,086 shares outstanding  $528,535 
Net Asset Value, offering price and redemption price per share ($528,535 ÷ 49,086 shares)  $10.77 

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


Statement of Operations

Amounts in thousands  Year ended August 31, 2019 
Investment Income   
Interest  $12,691 
Income from Fidelity Central Funds  334 
Total income  13,025 
Expenses   
Management fee $1,582  
Transfer agent fees 520  
Fund wide operations fee 234  
Independent trustees' fees and expenses  
Commitment fees  
Total expenses before reductions 2,340  
Expense reductions (2)  
Total expenses after reductions  2,338 
Net investment income (loss)  10,687 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 415  
Futures contracts 2,254  
Swaps (525)  
Written options (169)  
Total net realized gain (loss)  1,975 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 23,348  
Futures contracts 152  
Swaps 20  
Written options (62)  
Delayed delivery commitments (93)  
Total change in net unrealized appreciation (depreciation)  23,365 
Net gain (loss)  25,340 
Net increase (decrease) in net assets resulting from operations  $36,027 

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, 2019 Year ended August 31, 2018 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $10,687 $9,492 
Net realized gain (loss) 1,975 (5,130) 
Change in net unrealized appreciation (depreciation) 23,365 (12,368) 
Net increase (decrease) in net assets resulting from operations 36,027 (8,006) 
Distributions to shareholders (9,928) – 
Distributions to shareholders from net investment income – (9,409) 
Total distributions (9,928) (9,409) 
Share transactions   
Proceeds from sales of shares 60,158 87,437 
Reinvestment of distributions 9,146 8,658 
Cost of shares redeemed (108,245) (113,050) 
Net increase (decrease) in net assets resulting from share transactions (38,941) (16,955) 
Total increase (decrease) in net assets (12,842) (34,370) 
Net Assets   
Beginning of period 541,377 575,747 
End of period $528,535 $541,377 
Other Information   
Distributions in excess of net investment income end of period  $(320) 
Shares   
Sold 5,773 8,532 
Issued in reinvestment of distributions 880 840 
Redeemed (10,466) (10,950) 
Net increase (decrease) (3,813) (1,578) 

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


Financial Highlights

Fidelity Intermediate Government Income Fund

      
Years ended August 31, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $10.23 $10.57 $10.79 $10.71 $10.68 
Income from Investment Operations      
Net investment income (loss)A .214 .181 .144 .130 .144 
Net realized and unrealized gain (loss) .524 (.342) (.138) .148 .016 
Total from investment operations .738 (.161) .006 .278 .160 
Distributions from net investment income (.198) (.179) (.138) (.135) (.130) 
Distributions from net realized gain – – (.088) (.063) – 
Total distributions (.198) (.179) (.226) (.198) (.130) 
Net asset value, end of period $10.77 $10.23 $10.57 $10.79 $10.71 
Total ReturnB 7.30% (1.52)% .08% 2.62% 1.50% 
Ratios to Average Net AssetsC,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) 2.06% 1.75% 1.36% 1.21% 1.34% 
Supplemental Data      
Net assets, end of period (in millions) $529 $541 $576 $721 $740 
Portfolio turnover rateE 244% 132% 149% 117% 71% 

 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.

 D 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. 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.

 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, 2019
(Amounts in thousands except percentages)

1. Organization.

Fidelity Intermediate Government Income 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.

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.

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 ranged from less than .005% to .01%.

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 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. 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.

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, 2019 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

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, 2019, 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.

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 swaps, futures and options transactions, market discount, capital loss carryforwards, and losses deferred due to wash sales.

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 $16,872 
Gross unrealized depreciation (1,467) 
Net unrealized appreciation (depreciation) $15,405 
Tax Cost $606,108 

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

Undistributed ordinary income $120 
Capital loss carryforward $(5,989) 
Net unrealized appreciation (depreciation) on securities and other investments $14,908 

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 $(2,864) 
Long-term (3,125) 
Total capital loss carryforward $(5,989) 

The tax character of distributions paid was as follows:

 August 31, 2019 August 31, 2018 
Ordinary Income $9,928 $ 9,409 

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.

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.

New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.

Financial Statement Current Line-Item Presentation (As Applicable) Prior Line-Item Presentation (As Applicable) 
Statement of Assets and Liabilities Total distributable earnings (loss) Undistributed/Distributions in excess of/Accumulated net investment income (loss)
Accumulated/Undistributed net realized gain (loss)
Net unrealized appreciation (depreciation) 
Statement of Changes in Net Assets N/A - removed Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period 
Statement of Changes in Net Assets Distributions to shareholders Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain 

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 $2,254 $152 
Purchased Options 246 1,492 
Written Options (169) (62) 
Swaps (525) 20 
Total Interest Rate Risk $1,806 $1,602 

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, other than short-term securities and U.S. government securities, aggregated $13,033 and $48,624, respectively.

6. 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 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 .10% 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 .30% of the Fund's average net assets.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee of .10% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

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, 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 .05% of average net assets.

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.

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 $2 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. 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 $2.

9. 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 Intermediate 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 Intermediate Government Income Fund (one of the funds constituting Fidelity Income Fund, referred to hereafter as the “Fund”) as of August 31, 2019, the related statement of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2019 (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, 2019, 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, 2019 and the financial highlights for each of the five years in the period ended August 31, 2019 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, 2019 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 17, 2019



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 276 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 1-800-544-8544.

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. Arthur E. Johnson 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).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee 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 Advisory Board of certain Fidelity® funds (2018), 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).

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 interim president of Michigan State University (2018-2019), 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.

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). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and 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 Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

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.

 + 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. 

Advisory Board Members and Officers:

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

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.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).

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).

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). 

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as Secretary and CLO of other funds. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

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).

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 of Fixed Income (2014-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), 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), and President, Money Market and Short Duration Bond Group of Fidelity Management & Research Company (FMR) (investment adviser firm, 2013-2014).

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).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management 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, 2019 to August 31, 2019).

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, 2019 
Ending
Account Value
August 31, 2019 
Expenses Paid
During Period-B
March 1, 2019
to August 31, 2019 
Actual .45% $1,000.00 $1,053.20 $2.33 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 

 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).

 C 5% return per year before expenses

Distributions (Unaudited)

A total of 52.97% 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 $6,473,887 of distributions paid during the period January 1, 2019 to August 31, 2019 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.





Fidelity Investments

SLM-ANN-1019
1.844593.114


Fidelity® Total Bond Fund



Annual Report

August 31, 2019

Includes Fidelity and Fidelity Advisor share classes




Fidelity Investments


Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


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 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one 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.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.



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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT 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, 2019 Past 1 year Past 5 years Past 10 years 
Class A (incl. 4.00% sales charge) 4.95% 2.57% 4.13% 
Class M (incl. 4.00% sales charge) 4.96% 2.55% 4.13% 
Class C (incl. contingent deferred sales charge) 7.49% 2.64% 3.80% 
Fidelity® Total Bond Fund 9.65% 3.73% 4.90% 
Class I 9.61% 3.66% 4.84% 
Class Z 9.76% 3.79% 4.91% 

 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. 

 The initial offering of Class Z shares took place on December 22, 2014. Returns prior to December 22, 2014, are those of Class I. 

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Total Bond Fund, a class of the fund, on August 31, 2009.

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

$16,130Fidelity® Total Bond Fund

$14,678Bloomberg Barclays U.S. Aggregate Bond Index

Management's Discussion of Fund Performance

Market Recap:  For the 12 months ending August 31, 2019, U.S. taxable investment-grade bonds posted their strongest trailing one-year return since 2009, driven by slower global economic growth, a maturing business cycle, trade uncertainty and, late in the period, the Fed’s dovish shift. The Bloomberg Barclays U.S. Aggregate Bond Index gained 10.17%. Market yields rose in the early fall of 2018, on expectations for higher inflation. Yields then declined and credit spreads widened in November and December, partly because of weaker U.S. manufacturing data. Yield spreads narrowed in January, as the U.S. Federal Reserve said it would be “patient” with policy rate hikes, and that future increases largely would depend on economic data. Yields continued to decline in the spring, amid international trade tension and attacks on oil tankers in the Middle East, and then tumbled further in July, when the Fed cut interest rates for the first time since 2008. The yield curve ended the period roughly flat, amid expectations for another rate cut of 25 basis points in September. Within the Bloomberg Barclays index, corporate bonds gained 13.33%, topping the 10.38% advance of U.S. Treasuries. Outside the index, U.S. corporate high-yield bonds lagged nominal U.S. Treasuries, while Treasury Inflation-Protected Securities (TIPS) gained 7.46%.

Comments from Lead Manager Ford O'Neil and Co-Manager Celso Munoz:  For the year, the fund's share classes posted returns ranging from 8.5% to 9.8%, lagging, net of fees, the 10.17% gain of the benchmark Bloomberg Barclays U.S. Aggregate Bond Index. The fund's modestly shorter duration hampered performance versus this benchmark, as did positioning along the yield curve. Owning Treasury Inflation-Protected Securities (TIPS) also hurt the fund's relative performance. Conversely, the fund's positioning in investment-grade corporate bonds contributed versus the Aggregate benchmark, as both industry allocation and security selection within this segment added value. In particular, an overweighting and some favorable security choices in financials helped. Elsewhere, underweighting U.S. Treasuries and mortgage securities worked to the fund's relative advantage, as did exposure to "plus" sectors, namely emerging markets, high-yield bonds and floating-rate loans.

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.

Note to shareholders:  On December 31, 2018, former Co-Manager Matthew Conti retired from Fidelity, leaving Co-Manager Mike Weaver with sole responsibility for the fund's high-income subportfolio. On December 1, 2018, Timothy Gill assumed co-management responsibilities for the emerging-markets subportfolio, joining Jonathan Kelly. On October 1, 2019, David Bagnani retired from Fidelity, leaving Stephen Rosen and Bill Maclay with co-management responsibilities for the fund's real estate high income subportfolio.

Investment Summary (Unaudited)

Quality Diversification (% of fund's net assets)

As of August 31, 2019 
   U.S. Government and U.S. Government Agency Obligations 53.8% 
   AAA 3.9% 
   AA 0.9% 
   5.9% 
   BBB 21.5% 
   BB and Below 13.6% 
   Not Rated 1.8% 
 Short-Term Investments and Net Other Assets* (1.4)% 


 * 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, 2019*,**,*** 
   Corporate Bonds 34.1% 
   U.S. Government and U.S. Government Agency Obligations 53.8% 
   Asset-Backed Securities 2.4% 
   CMOs and Other Mortgage Related Securities 3.8% 
   Municipal Bonds 0.7% 
   Other Investments 6.6% 
 Short-Term Investments and Net Other Assets (Liabilities) (1.4)% 


 * Foreign investments - 13.1%

 ** Futures and Swaps - 1.9%

 *** Written options - (0.3)%

 † 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, 2019

Showing Percentage of Net Assets

Corporate Bonds - 34.1%   
 Principal Amount(a) Value 
Convertible Bonds - 0.0%   
COMMUNICATION SERVICES - 0.0%   
Media - 0.0%   
DISH Network Corp.:   
2.375% 3/15/24  $3,638,000 $3,173,398 
3.375% 8/15/26 1,918,000 1,765,045 
  4,938,443 
Nonconvertible Bonds - 34.1%   
COMMUNICATION SERVICES - 3.3%   
Diversified Telecommunication Services - 1.1%   
Altice Finco SA 7.625% 2/15/25 (b) 5,099,000 5,251,970 
AT&T, Inc.:   
2.45% 6/30/20 7,195,000 7,208,008 
3% 6/30/22 7,993,000 8,171,852 
3.4% 5/15/25 25,177,000 26,443,976 
3.6% 2/17/23 26,826,000 28,042,736 
3.6% 7/15/25 4,081,000 4,300,822 
4.3% 2/15/30 10,373,000 11,518,490 
4.45% 4/1/24 1,500,000 1,632,274 
4.5% 3/9/48 13,000,000 14,189,835 
5.15% 11/15/46 12,000,000 14,116,794 
6.2% 3/15/40 7,512,000 9,658,273 
6.3% 1/15/38 10,617,000 13,746,844 
Axtel S.A.B. de CV 6.375% 11/14/24 (b) 976,000 986,065 
BellSouth Capital Funding Corp. 7.875% 2/15/30 25,000 33,226 
C&W Senior Financing Designated Activity Co.:   
6.875% 9/15/27 (b) 4,695,000 4,999,659 
7.5% 10/15/26 (b) 10,630,000 11,531,424 
Colombia Telecomunicaciones SA 5.375% 9/27/22 (b) 651,000 657,510 
Cumulus Media New Holdings, Inc. 6.75% 7/1/26 (b) 375,000 386,250 
Frontier Communications Corp. 8% 4/1/27 (b) 5,385,000 5,613,863 
GTH Finance BV 7.25% 4/26/23 (b) 2,180,000 2,423,589 
Iliad SA 0.625% 11/25/21 (Reg. S) EUR8,500,000 9,371,744 
Level 3 Communications, Inc. 5.75% 12/1/22 3,067,000 3,090,003 
Level 3 Financing, Inc.:   
5.375% 1/15/24 7,175,000 7,300,563 
5.375% 5/1/25 1,758,000 1,828,320 
Oztel Holdings SPC Ltd. 5.625% 10/24/23 (b) 538,000 551,450 
Qtel International Finance Ltd. 3.25% 2/21/23 (b) 2,075,000 2,126,875 
Qwest Corp. 6.75% 12/1/21 1,650,000 1,779,938 
SFR Group SA:   
6.25% 5/15/24 (b) 3,302,000 3,404,098 
7.375% 5/1/26 (b) 8,376,000 8,941,380 
8.125% 2/1/27 (b) 3,701,000 4,080,353 
Telecom Argentina SA 8% 7/18/26 (b) 400,000 318,000 
Telecom Italia Capital SA:   
6% 9/30/34 1,570,000 1,609,250 
6.375% 11/15/33 885,000 935,888 
Telecom Italia SpA 5.303% 5/30/24 (b) 8,625,000 9,228,750 
Telefonica Celular del Paraguay SA 5.875% 4/15/27 (b) 625,000 664,063 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) 7,200,000 7,322,400 
Turk Telekomunikasyon A/S 6.875% 2/28/25 (b) 625,000 633,398 
U.S. West Communications 7.25% 9/15/25 1,800,000 2,032,677 
Verizon Communications, Inc.:   
4.862% 8/21/46 10,531,000 13,113,405 
5.012% 4/15/49 5,836,000 7,460,377 
5.5% 3/16/47 22,998,000 30,870,125 
  287,576,517 
Entertainment - 0.1%   
NBCUniversal, Inc.:   
4.45% 1/15/43 6,238,000 7,342,849 
5.15% 4/30/20 7,399,000 7,541,891 
5.95% 4/1/41 4,363,000 6,071,215 
The Walt Disney Co.:   
6.15% 3/1/37 (b) 4,759,000 6,802,497 
7.75% 12/1/45 (b) 3,426,000 6,035,930 
  33,794,382 
Media - 1.8%   
Altice Financing SA:   
6.625% 2/15/23 (b) 4,771,000 4,920,094 
7.5% 5/15/26 (b) 14,513,000 15,456,345 
Altice SA 7.75% 5/15/22 (b) 763,000 782,476 
Cablevision SA 6.5% 6/15/21 (b) 645,000 564,446 
Cablevision Systems Corp. 5.875% 9/15/22 1,988,000 2,126,564 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4% 3/1/23 (b) 4,074,000 4,114,740 
5% 2/1/28 (b) 12,200,000 12,810,000 
5.125% 2/15/23 720,000 731,700 
5.125% 5/1/23 (b) 6,996,000 7,156,908 
5.125% 5/1/27 (b) 7,097,000 7,505,007 
5.5% 5/1/26 (b) 7,769,000 8,186,584 
5.75% 1/15/24 5,915,000 6,048,088 
5.75% 2/15/26 (b) 7,122,000 7,540,418 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 13,008,000 13,744,460 
4.908% 7/23/25 13,008,000 14,376,229 
5.375% 5/1/47 32,692,000 36,307,320 
6.484% 10/23/45 5,223,000 6,458,452 
Comcast Corp.:   
3.9% 3/1/38 3,341,000 3,746,174 
4.6% 8/15/45 8,807,000 10,649,245 
4.65% 7/15/42 7,870,000 9,603,375 
6.45% 3/15/37 1,399,000 2,006,161 
CSC Holdings LLC:   
5.25% 6/1/24 2,729,000 2,920,030 
5.375% 7/15/23 (b) 6,090,000 6,259,058 
5.5% 5/15/26 (b) 4,409,000 4,662,518 
5.5% 4/15/27 (b) 2,577,000 2,757,390 
6.75% 11/15/21 5,240,000 5,659,200 
7.5% 4/1/28 (b) 3,026,000 3,404,250 
7.75% 7/15/25 (b) 9,531,000 10,233,911 
DISH DBS Corp.:   
5.875% 7/15/22 2,548,000 2,637,180 
5.875% 11/15/24 8,151,000 7,754,046 
7.75% 7/1/26 863,000 847,898 
E.W. Scripps Co. 5.125% 5/15/25 (b) 1,988,000 2,002,910 
Fox Corp.:   
3.666% 1/25/22 (b) 2,306,000 2,390,329 
4.03% 1/25/24 (b) 4,055,000 4,342,864 
4.709% 1/25/29 (b) 5,868,000 6,797,343 
5.476% 1/25/39 (b) 5,787,000 7,230,958 
5.576% 1/25/49 (b) 3,840,000 4,996,268 
Globo Comunicacao e Participacoes SA:   
4.843% 6/8/25 (b) 1,164,000 1,207,286 
4.875% 4/11/22 (b) 360,000 373,725 
5.125% 3/31/27 (b) 370,000 376,475 
iHeartCommunications, Inc.:   
6.375% 5/1/26 78,393 84,664 
8.375% 5/1/27 142,088 153,277 
Lagardere S.C.A.:   
1.625% 6/21/24 (Reg. S) EUR3,100,000 3,506,207 
2.75% 4/13/23 (Reg. S) EUR4,400,000 5,133,155 
MDC Partners, Inc. 6.5% 5/1/24 (b) 4,256,000 3,872,960 
Nielsen Co. SARL (Luxembourg):   
5% 2/1/25 (b) 2,504,000 2,472,700 
5.5% 10/1/21 (b) 561,000 562,627 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (b) 5,574,000 5,601,870 
Sirius XM Radio, Inc.:   
3.875% 8/1/22 (b) 3,880,000 3,947,900 
4.625% 5/15/23 (b) 6,125,000 6,232,188 
4.625% 7/15/24 (b) 2,255,000 2,353,656 
5% 8/1/27 (b) 5,281,000 5,571,455 
5.375% 4/15/25 (b) 4,109,000 4,263,088 
Time Warner Cable, Inc.:   
4% 9/1/21 12,918,000 13,246,893 
4.5% 9/15/42 20,648,000 20,726,875 
5.5% 9/1/41 8,265,000 8,988,560 
5.875% 11/15/40 10,540,000 11,998,556 
6.55% 5/1/37 29,622,000 35,864,392 
7.3% 7/1/38 24,672,000 31,648,925 
TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) 5,551,000 5,413,960 
Virgin Media Secured Finance PLC 5.5% 8/15/26 (b) 2,762,000 2,889,743 
VTR Finance BV 6.875% 1/15/24 (b) 3,094,000 3,197,456 
Ziggo Bond Finance BV:   
5.875% 1/15/25 (b) 4,982,000 5,150,143 
6% 1/15/27 (b) 3,571,000 3,722,768 
Ziggo Secured Finance BV 5.5% 1/15/27 (b) 8,495,000 8,961,800 
  447,254,243 
Wireless Telecommunication Services - 0.3%   
America Movil S.A.B. de CV 3.125% 7/16/22 5,873,000 6,042,436 
Citizens Utilities Co. 7.05% 10/1/46 6,489,000 3,098,498 
Comcel Trust 6.875% 2/6/24 (b) 2,464,000 2,544,850 
Digicel Group Ltd. 6.75% 3/1/23 (b) 806,000 342,550 
Intelsat Jackson Holdings SA 8.5% 10/15/24 (b) 4,545,000 4,510,913 
Millicom International Cellular SA:   
6% 3/15/25 (b) 1,398,000 1,451,299 
6.625% 10/15/26 (b) 10,781,000 11,795,088 
6.625% 10/15/26 (Reg. S) 350,000 382,922 
MTN (Mauritius) Investments Ltd.:   
5.373% 2/13/22 (b) 525,000 542,063 
6.5% 10/13/26 (b) 424,000 465,340 
MTS International Funding Ltd. 5% 5/30/23 (b) 859,000 903,024 
Neptune Finco Corp. 6.625% 10/15/25 (b) 2,105,000 2,253,571 
Sprint Communications, Inc. 6% 11/15/22 8,846,000 9,415,417 
Sprint Corp. 7.875% 9/15/23 18,768,000 21,114,000 
T-Mobile U.S.A., Inc.:   
4.5% 2/1/26 2,583,000 2,679,863 
6.375% 3/1/25 3,096,000 3,205,908 
TBG Global Pte. Ltd. 5.25% 2/10/22 (Reg. S) 1,258,000 1,270,291 
  72,018,033 
TOTAL COMMUNICATION SERVICES  840,643,175 
CONSUMER DISCRETIONARY - 1.1%   
Auto Components - 0.0%   
Metalsa SA de CV 4.9% 4/24/23 (b) 2,563,000 2,591,834 
Samvardhana Motherson Automotive Systems Group BV 1.8% 7/6/24 (Reg. S) EUR5,063,000 5,119,331 
  7,711,165 
Automobiles - 0.4%   
General Motors Financial Co., Inc.:   
3.15% 1/15/20 17,361,000 17,393,033 
3.2% 7/13/20 12,869,000 12,941,231 
4% 1/15/25 11,521,000 11,858,739 
4.2% 3/1/21 16,735,000 17,130,443 
4.25% 5/15/23 3,453,000 3,615,484 
4.375% 9/25/21 30,556,000 31,646,121 
  94,585,051 
Diversified Consumer Services - 0.1%   
Bonitron Designated Activity Co. 8.75% 10/30/22 (b) 1,815,000 1,929,005 
Frontdoor, Inc. 6.75% 8/15/26 (b) 2,244,000 2,434,740 
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 5,393,000 5,768,850 
Laureate Education, Inc. 8.25% 5/1/25 (b) 6,345,000 6,908,119 
Service Corp. International 5.125% 6/1/29 2,220,000 2,375,400 
  19,416,114 
Hotels, Restaurants & Leisure - 0.5%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
4.25% 5/15/24 (b) 1,870,000 1,930,326 
5% 10/15/25 (b) 3,361,000 3,470,233 
Aramark Services, Inc.:   
4.75% 6/1/26 4,603,000 4,718,075 
5.125% 1/15/24 1,605,000 1,654,851 
Eldorado Resorts, Inc.:   
6% 4/1/25 4,324,000 4,583,440 
6% 9/15/26 615,000 672,656 
ESH Hospitality, Inc. 5.25% 5/1/25 (b) 1,169,000 1,208,454 
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 3,243,000 3,565,614 
Golden Entertainment, Inc. 7.625% 4/15/26 (b) 7,810,000 8,123,181 
Golden Nugget, Inc. 6.75% 10/15/24 (b) 8,330,000 8,517,425 
Hilton Escrow Issuer LLC 4.25% 9/1/24 4,638,000 4,730,760 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 1,644,000 1,697,430 
4.875% 4/1/27 975,000 1,026,188 
MCE Finance Ltd. 4.875% 6/6/25 (b) 7,973,000 7,908,678 
MGM Growth Properties Operating Partnership LP:   
4.5% 9/1/26 10,728,000 11,237,580 
4.5% 1/15/28 3,959,000 4,048,078 
5.75% 2/1/27 (b) 1,410,000 1,556,570 
Penn National Gaming, Inc. 5.625% 1/15/27 (b) 4,000,000 4,105,400 
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 597,000 611,925 
Scientific Games Corp.:   
5% 10/15/25 (b) 3,249,000 3,356,997 
10% 12/1/22 2,618,000 2,716,175 
Stars Group Holdings BV 7% 7/15/26 (b) 13,265,000 14,077,481 
Station Casinos LLC 5% 10/1/25 (b) 2,733,000 2,787,933 
Studio City Co. Ltd.:   
5.875% 11/30/19 (b) 663,000 663,829 
7.25% 11/30/21 (b) 956,000 977,809 
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (b) 618,000 611,820 
Times Square Hotel Trust 8.528% 8/1/26 (b) 1,207,764 1,429,986 
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (b) 3,284,000 3,439,990 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) 3,013,000 3,122,221 
Wynn Macau Ltd.:   
4.875% 10/1/24 (b) 5,990,000 5,913,253 
5.5% 10/1/27 (b) 7,900,000 7,791,375 
  122,255,733 
Household Durables - 0.0%   
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
3 month U.S. LIBOR + 3.500% 5.8034% 7/15/21 (b)(c)(d) 898,000 896,878 
5.125% 7/15/23 (b) 2,774,000 2,851,811 
7% 7/15/24 (b) 2,995,000 3,096,081 
  6,844,770 
Internet & Direct Marketing Retail - 0.1%   
Zayo Group LLC/Zayo Capital, Inc.:   
5.75% 1/15/27 (b) 3,806,000 3,882,120 
6.375% 5/15/25 7,170,000 7,376,138 
  11,258,258 
Leisure Products - 0.0%   
Mattel, Inc. 6.75% 12/31/25 (b) 3,727,000 3,829,493 
Multiline Retail - 0.0%   
John Lewis PLC 6.125% 1/21/25 GBP1,955,000 2,711,406 
Marks & Spencer PLC 3.25% 7/10/27 (Reg. S) GBP3,650,000 4,431,993 
  7,143,399 
Specialty Retail - 0.0%   
Staples, Inc. 10.75% 4/15/27 (b) 750,000 757,500 
Textiles, Apparel & Luxury Goods - 0.0%   
Delta Merlin Dunia Tekstil PT 8.625% 3/12/24 (b) 425,000 131,086 
The William Carter Co. 5.625% 3/15/27 (b) 2,460,000 2,619,851 
  2,750,937 
TOTAL CONSUMER DISCRETIONARY  276,552,420 
CONSUMER STAPLES - 2.2%   
Beverages - 0.8%   
Anheuser-Busch InBev Finance, Inc.:   
4.7% 2/1/36 23,011,000 26,785,618 
4.9% 2/1/46 28,689,000 34,123,118 
Anheuser-Busch InBev Worldwide, Inc.:   
4.75% 4/15/58 17,929,000 20,989,487 
5.45% 1/23/39 18,170,000 23,186,722 
5.55% 1/23/49 34,229,000 45,090,137 
5.8% 1/23/59 (Reg. S) 36,395,000 49,662,805 
Central American Bottling Corp. 5.75% 1/31/27 (b) 188,000 198,634 
Constellation Brands, Inc. 4.25% 5/1/23 3,316,000 3,558,034 
  203,594,555 
Food & Staples Retailing - 0.1%   
C&S Group Enterprises LLC 5.375% 7/15/22 (b) 3,010,000 3,017,525 
Casino Guichard Perrachon SA 5.244% 3/9/20 (c) EUR1,400,000 1,563,458 
ESAL GmbH 6.25% 2/5/23 (b) 268,000 273,628 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 5,398,000 5,399,896 
3.3% 11/18/21 6,403,000 6,554,840 
  16,809,347 
Food Products - 0.3%   
CF Industries Holdings, Inc. 5.15% 3/15/34 178,000 182,450 
Conagra Brands, Inc. 3.8% 10/22/21 3,969,000 4,083,462 
Gruma S.A.B. de CV 4.875% 12/1/24 (Reg. S) 1,207,000 1,296,016 
JBS Investments II GmbH:   
5.75% 1/15/28 (b) 575,000 603,750 
7% 1/15/26 (b) 1,192,000 1,288,850 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (b) 9,555,000 9,937,296 
5.875% 7/15/24 (b) 23,400,000 24,014,250 
6.75% 2/15/28 (b) 1,480,000 1,650,200 
JBS U.S.A. Lux SA / JBS Food Co.:   
5.5% 1/15/30 (b) 4,445,000 4,711,700 
6.5% 4/15/29 (b) 3,995,000 4,424,463 
Lamb Weston Holdings, Inc.:   
4.625% 11/1/24 (b) 1,367,000 1,429,075 
4.875% 11/1/26 (b) 991,000 1,034,356 
Post Holdings, Inc.:   
5% 8/15/26 (b) 5,564,000 5,800,470 
5.75% 3/1/27 (b) 1,714,000 1,821,125 
  62,277,463 
Personal Products - 0.0%   
Prestige Brands, Inc. 6.375% 3/1/24 (b) 1,223,000 1,281,093 
Tobacco - 1.0%   
Altria Group, Inc.:   
2.85% 8/9/22 6,099,000 6,224,776 
3.875% 9/16/46 28,850,000 28,337,562 
4% 1/31/24 4,082,000 4,359,792 
4.25% 8/9/42 17,795,000 18,343,745 
4.5% 5/2/43 11,887,000 12,643,794 
4.8% 2/14/29 17,974,000 20,352,930 
5.375% 1/31/44 21,453,000 25,379,000 
5.95% 2/14/49 14,275,000 18,327,420 
BAT International Finance PLC 3.95% 6/15/25 (b) 3,070,000 3,254,135 
Imperial Tobacco Finance PLC:   
2.95% 7/21/20 (b) 12,741,000 12,808,057 
3.5% 7/26/26 (b) 9,560,000 9,718,773 
3.75% 7/21/22 (b) 12,933,000 13,377,491 
4.25% 7/21/25 (b) 11,765,000 12,545,159 
Reynolds American, Inc.:   
3.25% 6/12/20 2,086,000 2,101,825 
4% 6/12/22 7,254,000 7,581,414 
4.45% 6/12/25 19,449,000 21,060,683 
5.7% 8/15/35 2,699,000 3,140,746 
5.85% 8/15/45 22,737,000 25,649,743 
6.15% 9/15/43 2,874,000 3,404,810 
7.25% 6/15/37 3,221,000 4,198,037 
Vector Group Ltd. 6.125% 2/1/25 (b) 9,591,000 9,399,180 
  262,209,072 
TOTAL CONSUMER STAPLES  546,171,530 
ENERGY - 6.5%   
Energy Equipment & Services - 0.3%   
Archrock Partners LP / Archrock Partners Finance Corp. 6.875% 4/1/27 (b) 2,165,000 2,267,838 
Borets Finance DAC 6.5% 4/7/22 (b) 1,236,000 1,260,334 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 12,030,000 12,589,103 
6.5% 4/1/20 470,000 481,227 
Halliburton Co.:   
3.8% 11/15/25 6,237,000 6,607,017 
4.85% 11/15/35 5,447,000 6,147,496 
Jonah Energy LLC 7.25% 10/15/25 (b) 4,725,000 1,512,000 
Nabors Industries, Inc.:   
5.5% 1/15/23 2,116,000 1,885,885 
5.75% 2/1/25 1,880,000 1,504,000 
Noble Holding International Ltd.:   
5.25% 3/15/42 1,204,000 529,760 
7.875% 2/1/26 (b) 1,230,000 993,225 
7.95% 4/1/25 (c) 4,823,000 3,062,605 
8.95% 4/1/45 (c) 4,655,000 2,583,525 
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) 781,000 922,556 
Summit Midstream Holdings LLC:   
5.5% 8/15/22 1,790,000 1,682,600 
5.75% 4/15/25 7,252,000 6,220,040 
The Oil and Gas Holding Co.:   
7.5% 10/25/27 (b) 1,182,000 1,324,579 
7.625% 11/7/24 (b) 415,000 474,786 
Valaris PLC:   
4.5% 10/1/24 4,029,000 2,497,980 
5.2% 3/15/25 8,288,000 4,993,520 
5.75% 10/1/44 4,970,000 2,485,000 
Weatherford International Ltd.:   
5.95% 4/15/42 (e) 822,000 345,240 
6.5% 8/1/36 (e) 1,134,000 476,280 
7% 3/15/38 (e) 322,000 135,240 
9.875% 2/15/24 (e) 3,825,000 1,616,063 
Weatherford International, Inc. 9.875% 3/1/25 (e) 9,685,000 4,067,700 
  68,665,599 
Oil, Gas & Consumable Fuels - 6.2%   
Amerada Hess Corp.:   
7.125% 3/15/33 3,656,000 4,591,291 
7.3% 8/15/31 4,354,000 5,425,090 
Anadarko Finance Co. 7.5% 5/1/31 21,425,000 28,540,467 
Anadarko Petroleum Corp.:   
4.5% 7/15/44 30,708,000 31,622,986 
4.85% 3/15/21 4,287,000 4,431,846 
5.55% 3/15/26 14,762,000 16,720,771 
6.45% 9/15/36 16,266,000 20,376,047 
6.6% 3/15/46 18,160,000 24,214,313 
California Resources Corp. 8% 12/15/22 (b) 13,185,000 7,581,375 
Canadian Natural Resources Ltd.:   
3.9% 2/1/25 15,925,000 16,785,143 
5.85% 2/1/35 6,942,000 8,389,391 
Cenovus Energy, Inc. 4.25% 4/15/27 19,799,000 20,675,189 
Cheniere Corpus Christi Holdings LLC:   
5.125% 6/30/27 3,504,000 3,867,540 
5.875% 3/31/25 3,373,000 3,760,895 
7% 6/30/24 7,430,000 8,572,363 
Cheniere Energy Partners LP:   
5.25% 10/1/25 19,337,000 19,989,624 
5.625% 10/1/26 1,507,000 1,589,885 
Chesapeake Energy Corp.:   
8% 1/15/25 5,431,000 4,113,983 
8% 6/15/27 2,994,000 2,163,195 
Citgo Holding, Inc. 9.25% 8/1/24 (b) 2,750,000 2,915,000 
Citgo Petroleum Corp. 6.25% 8/15/22 (b) 6,935,000 6,969,675 
Columbia Pipeline Group, Inc.:   
3.3% 6/1/20 9,868,000 9,933,231 
4.5% 6/1/25 2,999,000 3,254,036 
Comstock Escrow Corp. 9.75% 8/15/26 6,349,000 4,777,623 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 6.1603% 6/15/22 (b)(c)(d) 11,927,000 11,867,119 
6.5% 5/15/26 (b) 2,695,000 2,688,263 
6.875% 6/15/25 (b) 2,994,000 3,053,880 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.75% 4/1/25 3,855,000 3,941,738 
6.25% 4/1/23 4,235,000 4,309,113 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 5,549,000 5,625,299 
DCP Midstream LLC:   
4.75% 9/30/21 (b) 7,220,000 7,400,500 
5.85% 5/21/43 (b)(c) 16,107,000 14,294,963 
DCP Midstream Operating LP:   
3.875% 3/15/23 3,524,000 3,568,050 
5.125% 5/15/29 5,000,000 5,125,250 
5.375% 7/15/25 5,606,000 5,928,345 
Denbury Resources, Inc.:   
7.75% 2/15/24 (b) 5,405,000 3,757,556 
9% 5/15/21 (b) 4,001,000 3,640,910 
9.25% 3/31/22 (b) 7,229,000 6,072,360 
DTEK Finance PLC 10.75% 12/31/24 pay-in-kind (c) 5,887,087 5,931,240 
Duke Energy Field Services 6.45% 11/3/36 (b) 8,754,000 9,169,815 
El Paso Corp. 6.5% 9/15/20 10,282,000 10,710,630 
Empresa Nacional de Petroleo 4.375% 10/30/24 (b) 5,762,000 6,170,742 
Enable Midstream Partners LP 3.9% 5/15/24 (c) 2,707,000 2,783,523 
Enbridge Energy Partners LP:   
4.2% 9/15/21 8,493,000 8,771,374 
4.375% 10/15/20 7,211,000 7,362,917 
Enbridge, Inc.:   
4% 10/1/23 9,942,000 10,524,282 
4.25% 12/1/26 4,925,000 5,458,911 
Endeavor Energy Resources LP/EER Finance, Inc.:   
5.5% 1/30/26 (b) 548,000 569,235 
5.75% 1/30/28 (b) 551,000 577,173 
Energy Transfer Partners LP:   
4.2% 9/15/23 3,683,000 3,894,097 
4.25% 3/15/23 3,594,000 3,774,735 
4.5% 4/15/24 4,042,000 4,333,492 
4.95% 6/15/28 12,566,000 14,056,982 
5.25% 4/15/29 6,576,000 7,532,826 
5.8% 6/15/38 7,006,000 8,159,871 
6% 6/15/48 4,563,000 5,442,243 
6.25% 4/15/49 4,516,000 5,588,035 
Enterprise Products Operating LP:   
2.55% 10/15/19 1,893,000 1,892,856 
3.75% 2/15/25 6,359,000 6,817,984 
EP Energy LLC/Everest Acquisition Finance, Inc.:   
7.75% 5/15/26 (b) 3,211,000 2,681,185 
8% 11/29/24 (b) 6,676,000 2,870,680 
Frontera Energy Corp. 9.7% 6/25/23 (b) 1,163,000 1,233,507 
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) 1,614,000 1,678,558 
Global Partners LP/GLP Finance Corp.:   
7% 6/15/23 6,352,000 6,415,520 
7% 8/1/27 (b) 3,700,000 3,746,250 
Gran Tierra Energy International Holdings Ltd. 6.25% 2/15/25 (b) 414,000 380,880 
Hess Infrastructure Partners LP 5.625% 2/15/26 (b) 8,157,000 8,442,495 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (b) 4,784,000 4,413,240 
5.75% 10/1/25 (b) 1,345,000 1,254,213 
Indigo Natural Resources LLC 6.875% 2/15/26 (b) 3,064,000 2,527,800 
Indika Energy Capital II Pte. Ltd. 6.875% 4/10/22 (b) 2,961,000 3,034,100 
KazMunaiGaz Finance Sub BV 4.75% 4/24/25 (b) 538,000 585,882 
Kinder Morgan Energy Partners LP:   
3.45% 2/15/23 6,689,000 6,931,966 
3.5% 3/1/21 7,224,000 7,335,508 
5.5% 3/1/44 27,364,000 32,305,593 
6.55% 9/15/40 1,203,000 1,529,281 
Kinder Morgan, Inc.:   
5% 2/15/21 (b) 6,757,000 6,995,461 
5.05% 2/15/46 3,092,000 3,487,685 
5.55% 6/1/45 7,786,000 9,343,492 
Kosmos Energy Ltd. 7.125% 4/4/26 (b) 2,940,000 2,888,550 
Magnolia Oil & Gas Operating LLC 6% 8/1/26 (b) 3,023,000 3,007,885 
Marathon Petroleum Corp. 5.125% 3/1/21 6,484,000 6,746,545 
Medco Strait Services Pte. Ltd. 8.5% 8/17/22 (b) 845,000 893,852 
MEG Energy Corp.:   
6.375% 1/30/23 (b) 4,785,000 4,521,825 
7% 3/31/24 (b) 4,645,000 4,418,556 
MPLX LP:   
4.5% 7/15/23 6,299,000 6,721,552 
4.8% 2/15/29 3,672,000 4,084,576 
4.875% 12/1/24 8,532,000 9,358,296 
5.5% 2/15/49 11,018,000 12,629,178 
Nakilat, Inc. 6.067% 12/31/33 (b) 1,258,000 1,541,050 
Nostrum Oil & Gas Finance BV 8% 7/25/22 (b) 6,591,000 3,536,483 
Occidental Petroleum Corp.:   
2.6% 8/13/21 5,678,000 5,715,738 
2.7% 8/15/22 5,018,000 5,067,391 
2.9% 8/15/24 16,582,000 16,737,072 
3.2% 8/15/26 2,231,000 2,254,080 
3.5% 8/15/29 7,032,000 7,164,383 
4.3% 8/15/39 1,024,000 1,071,521 
4.4% 8/15/49 1,024,000 1,068,058 
Pan American Energy LLC 7.875% 5/7/21 (b) 310,000 294,500 
Parsley Energy LLC/Parsley:   
5.25% 8/15/25 (b) 456,000 462,840 
5.375% 1/15/25 (b) 7,010,000 7,150,200 
PBF Holding Co. LLC/PBF Finance Corp. 7% 11/15/23 637,000 654,518 
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 4,743,000 4,873,433 
Pemex Project Funding Master Trust:   
6.625% 6/15/35 4,853,000 4,731,675 
8.625% 2/1/22 650,000 712,563 
Petrobras Energia SA 7.375% 7/21/23 (b) 798,000 542,241 
Petrobras Global Finance BV:   
5.299% 1/27/25 12,800,000 13,855,360 
5.75% 2/1/29 25,591,000 27,719,053 
5.999% 1/27/28 37,982,000 41,599,786 
6.25% 3/17/24 12,741,000 14,170,381 
7.25% 3/17/44 28,700,000 33,946,719 
7.375% 1/17/27 26,190,000 31,090,411 
8.75% 5/23/26 41,947,000 52,412,777 
Petrobras International Finance Co. Ltd. 6.875% 1/20/40 1,800,000 2,054,813 
Petroleos de Venezuela SA:   
5.375% 4/12/27 (e) 621,100 77,638 
6% 5/16/24 (b)(e) 3,207,669 400,959 
6% 11/15/26 (b)(e) 2,790,167 348,771 
12.75% 2/17/22 (b)(e) 172,000 21,500 
Petroleos Mexicanos:   
2.5% 11/24/22 (Reg. S) EUR454,000 497,721 
2.75% 4/21/27 (Reg. S) EUR2,345,000 2,335,653 
3.5% 7/23/20 605,000 604,433 
3.5% 1/30/23 8,625,000 8,379,188 
3.625% 11/24/25 (Reg. S) EUR1,421,000 1,522,218 
3.75% 2/21/24 (Reg. S) EUR8,001,000 8,886,930 
4.5% 1/23/26 29,333,000 27,749,018 
4.625% 9/21/23 50,278,000 50,395,842 
4.875% 1/24/22 12,707,000 12,913,489 
4.875% 1/18/24 11,589,000 11,635,356 
5.375% 3/13/22 200,000 204,500 
5.5% 1/21/21 7,147,000 7,296,873 
5.5% 6/27/44 6,885,000 5,877,725 
5.625% 1/23/46 22,750,000 19,512,448 
6% 3/5/20 2,491,000 2,526,808 
6.35% 2/12/48 55,632,000 51,139,716 
6.375% 1/23/45 17,610,000 16,231,468 
6.5% 3/13/27 58,538,000 59,787,423 
6.5% 6/2/41 21,955,000 20,424,737 
6.75% 9/21/47 34,958,000 33,210,100 
6.875% 8/4/26 26,215,000 27,486,428 
Phillips 66 Partners LP 2.646% 2/15/20 838,000 838,350 
Plains All American Pipeline LP/PAA Finance Corp.:   
3.6% 11/1/24 4,912,000 5,046,590 
3.65% 6/1/22 4,550,000 4,676,378 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 7,228,000 7,759,741 
Rose Rock Midstream LP/Rose Rock Finance Corp.:   
5.625% 7/15/22 2,055,000 1,980,013 
5.625% 11/15/23 7,846,000 7,414,470 
Sanchez Energy Corp. 7.25% 2/15/23 (b)(e) 8,790,000 6,153,000 
Saudi Arabian Oil Co.:   
2.875% 4/16/24 (b) 600,000 615,000 
3.5% 4/16/29 (b) 3,890,000 4,150,630 
4.25% 4/16/39 (b) 3,310,000 3,748,575 
4.375% 4/16/49 (b) 1,480,000 1,686,092 
SemGroup Corp.:   
6.375% 3/15/25 6,253,000 5,909,085 
7.25% 3/15/26 6,586,000 6,289,630 
Sinopec Group Overseas Development 2012 Ltd. 4.875% 5/17/42 (b) 265,000 336,873 
Sinopec Group Overseas Development Ltd. 3.68% 8/8/49 (b) 1,200,000 1,315,250 
Southwestern Energy Co.:   
6.2% 1/23/25 (c) 21,859,000 19,126,625 
7.75% 10/1/27 2,395,000 2,083,650 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 32,027,000 35,722,067 
Sunoco LP/Sunoco Finance Corp.:   
4.875% 1/15/23 3,130,000 3,200,425 
5.5% 2/15/26 2,245,000 2,329,188 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
4.25% 11/15/23 5,050,000 5,043,688 
5.125% 2/1/25 6,329,000 6,487,225 
5.25% 5/1/23 1,340,000 1,363,035 
5.875% 4/15/26 3,705,000 3,880,988 
6.75% 3/15/24 2,816,000 2,925,120 
The Williams Companies, Inc.:   
4.55% 6/24/24 21,661,000 23,460,485 
5.75% 6/24/44 12,223,000 14,647,352 
Transportadora de Gas del Sur SA 6.75% 5/2/25 (b) 1,363,000 1,015,435 
Tullow Oil PLC:   
6.25% 4/15/22 (b) 990,000 988,144 
7% 3/1/25 (b) 513,000 508,832 
Western Gas Partners LP:   
4.65% 7/1/26 3,106,000 3,163,212 
4.75% 8/15/28 3,701,000 3,748,655 
5.375% 6/1/21 28,072,000 29,026,608 
Williams Partners LP:   
3.6% 3/15/22 6,891,000 7,094,891 
3.9% 1/15/25 16,989,000 17,863,589 
4% 11/15/21 6,456,000 6,648,933 
4% 9/15/25 1,911,000 2,031,307 
4.125% 11/15/20 1,528,000 1,553,569 
4.3% 3/4/24 26,077,000 27,833,932 
4.5% 11/15/23 4,667,000 5,024,691 
YPF SA:   
8.5% 3/23/21 (b) 1,265,000 967,725 
8.5% 3/23/21 (Reg. S) 4,650,000 3,557,250 
8.5% 6/27/29 (b) 625,000 393,750 
8.75% 4/4/24 (b) 5,189,000 3,502,575 
  1,577,527,990 
TOTAL ENERGY  1,646,193,589 
FINANCIALS - 12.8%   
Banks - 4.4%   
ABN AMRO Bank NV 4.4% 3/27/28 (Reg. S) (c) 600,000 624,703 
Akbank TAS 7.2% 3/16/27 (b)(c) 1,282,000 1,120,148 
Allied Irish Banks PLC 4.125% 11/26/25 (Reg. S) (c) EUR5,819,000 6,659,181 
Banco de Bogota SA 6.25% 5/12/26 (b) 440,000 495,275 
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) 582,000 605,462 
Banco Do Brasil SA:   
4.625% 1/15/25 (b) 503,000 525,082 
4.875% 4/19/23 (b) 298,000 310,758 
Banco Espirito Santo SA 4% 12/31/49 (Reg. S) (e) EUR1,300,000 300,041 
Banco Hipotecario SA 9.75% 11/30/20 (b) 1,657,000 1,226,180 
Banco Macro SA 6.75% 11/4/26 (b)(c) 3,035,000 1,805,673 
Bank Ireland Group PLC 3.125% 9/19/27 (Reg. S) (c) GBP2,600,000 3,112,903 
Bank of America Corp.:   
3.004% 12/20/23 (c) 32,898,000 33,761,455 
3.3% 1/11/23 574,000 596,739 
3.419% 12/20/28 (c) 14,844,000 15,665,259 
3.5% 4/19/26 13,098,000 14,033,990 
3.705% 4/24/28 (c) 20,736,000 22,373,295 
3.864% 7/23/24 (c) 43,427,000 46,111,247 
3.95% 4/21/25 10,930,000 11,670,020 
4.1% 7/24/23 7,314,000 7,858,600 
4.2% 8/26/24 25,822,000 27,868,394 
4.25% 10/22/26 9,380,000 10,239,995 
4.45% 3/3/26 4,916,000 5,413,379 
Banque Centrale de Tunisie 5.75% 1/30/25 (b) 1,325,000 1,212,375 
Barclays PLC:   
2% 2/7/28 (Reg. S) (c) EUR2,350,000 2,542,528 
2.625% 11/11/25 (Reg. S) (c) EUR4,350,000 4,845,495 
2.75% 11/8/19 7,803,000 7,806,848 
3.25% 1/12/21 13,452,000 13,561,625 
3.932% 5/7/25 (c) 5,127,000 5,270,913 
4.375% 1/12/26 15,982,000 16,866,939 
5.088% 6/20/30 (c) 26,155,000 27,168,843 
BBVA Bancomer SA 7.25% 4/22/20 (b) 595,000 610,619 
Biz Finance PLC 9.625% 4/27/22 (b) 1,741,500 1,818,126 
BTA Bank JSC 5.5% 12/21/22 (b) 669,689 673,247 
CBOM Finance PLC 5.55% 2/14/23 (b) 883,000 876,929 
Citigroup, Inc.:   
2.4% 2/18/20 22,872,000 22,892,769 
2.75% 4/25/22 15,927,000 16,212,355 
3.142% 1/24/23 (c) 14,530,000 14,857,779 
3.352% 4/24/25 (c) 17,534,000 18,319,348 
4.05% 7/30/22 3,378,000 3,542,660 
4.3% 11/20/26 7,797,000 8,509,140 
4.4% 6/10/25 31,901,000 34,617,398 
4.45% 9/29/27 11,404,000 12,550,031 
5.5% 9/13/25 14,874,000 17,047,396 
Citizens Bank NA 2.55% 5/13/21 4,182,000 4,211,328 
Citizens Financial Group, Inc. 4.15% 9/28/22 (b) 10,185,000 10,631,385 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 12,394,000 12,427,792 
3.75% 3/26/25 12,391,000 13,097,393 
3.8% 9/15/22 19,558,000 20,411,008 
3.8% 6/9/23 23,347,000 24,510,921 
CYBG PLC 3.125% 6/22/25 (Reg. S) (c) GBP1,489,000 1,761,077 
Danske Bank A/S:   
0.5% 8/27/25 (Reg. S) (c) EUR4,290,000 4,702,949 
1.375% 5/24/22 (Reg. S) EUR2,150,000 2,444,555 
5% 1/12/22 (b) 5,210,000 5,494,787 
5.375% 1/12/24 (Reg. S) 6,050,000 6,691,702 
Development Bank of Mongolia 7.25% 10/23/23 (b) 436,000 444,860 
Development Bank of the Republic of Belarus 6.75% 5/2/24 (b) 300,000 313,800 
Discover Bank:   
4.2% 8/8/23 11,373,000 12,211,976 
7% 4/15/20 1,293,000 1,329,134 
Ecobank Transnational, Inc. 9.5% 4/18/24 (b) 830,000 915,345 
Fidelity Bank PLC 10.5% 10/16/22 (b) 766,000 854,808 
Fifth Third Bancorp 8.25% 3/1/38 2,973,000 4,617,121 
HAT Holdings I LLC/HAT Holdings II LLC 5.25% 7/15/24 (b) 670,000 705,845 
HSBC Holdings PLC 4.25% 3/14/24 3,945,000 4,162,902 
Huntington Bancshares, Inc. 7% 12/15/20 1,816,000 1,924,350 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (b) 4,094,000 4,196,385 
5.71% 1/15/26 (b) 27,047,000 28,536,912 
Itau Unibanco Holding SA:   
5.125% 5/13/23 (Reg. S) 1,290,000 1,343,858 
6.2% 12/21/21 (Reg. S) 624,000 655,785 
JPMorgan Chase & Co.:   
2.95% 10/1/26 11,773,000 12,212,817 
3.25% 9/23/22 11,737,000 12,164,303 
3.797% 7/23/24 (c) 44,260,000 47,015,473 
3.875% 9/10/24 22,801,000 24,376,776 
4.125% 12/15/26 20,651,000 22,748,404 
4.25% 10/15/20 4,456,000 4,564,978 
4.35% 8/15/21 12,911,000 13,472,243 
4.452% 12/5/29 (c) 40,200,000 46,226,724 
4.5% 1/24/22 14,045,000 14,864,251 
4.625% 5/10/21 4,382,000 4,566,673 
JSC BGEO Group 6% 7/26/23 (b) 2,003,000 2,038,053 
Luminor Bank A/S Estonia 1.375% 10/21/22 (Reg. S) EUR1,250,000 1,392,249 
Nykredit Realkredit A/S 4% 6/3/36 (Reg. S) (c) EUR9,184,000 10,686,275 
Oschadbank Via SSB #1 PLC 9.375% 3/10/23 (b) 782,000 817,923 
Rabobank Nederland 4.375% 8/4/25 16,524,000 17,862,156 
Regions Bank 6.45% 6/26/37 15,683,000 20,997,693 
Regions Financial Corp. 3.2% 2/8/21 7,591,000 7,693,916 
Royal Bank of Scotland Group PLC:   
4.8% 4/5/26 32,141,000 35,093,051 
5.125% 5/28/24 44,276,000 46,857,281 
6% 12/19/23 32,724,000 35,639,268 
6.1% 6/10/23 26,301,000 28,524,242 
6.125% 12/15/22 27,112,000 29,329,506 
T.C. Ziraat Bankasi A/S 5.125% 5/3/22 (b) 1,290,000 1,216,148 
TBC Bank JSC 5.75% 6/19/24 (b) 340,000 337,450 
Trade and Development Bank of Mongolia LLC 9.375% 5/19/20 (b) 1,411,000 1,452,448 
Turkiye Garanti Bankasi A/S:   
4.75% 10/17/19 (b) 424,000 421,880 
6.125% 5/24/27 (b)(c) 1,355,000 1,138,200 
6.25% 4/20/21 (Reg. S) 2,600,000 2,631,688 
Turkiye Is Bankasi A/S:   
5% 4/30/20 (b) 945,000 945,000 
5.5% 4/21/22 (b) 901,000 868,339 
Turkiye Vakiflar Bankasi TAO:   
5.75% 1/30/23 (b) 3,912,000 3,623,882 
6.875% 2/3/25 (b)(c) 265,000 242,475 
6.875% 2/3/25 (Reg. S) (c) 1,213,000 1,109,895 
UniCredit SpA:   
4.375% 1/3/27 (Reg. S) (c) EUR1,950,000 2,304,003 
6.572% 1/14/22 (b) 23,534,000 25,305,802 
Westpac Banking Corp. 4.11% 7/24/34 (c) 13,519,000 14,231,966 
Zenith Bank PLC 7.375% 5/30/22 (b) 1,974,000 2,067,765 
  1,109,820,316 
Capital Markets - 3.5%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 13,384,000 13,953,417 
4.25% 2/15/24 9,340,000 10,042,143 
Ares Capital Corp. 4.2% 6/10/24 31,505,000 32,703,368 
Banco BTG Pactual SA 7.75% 2/15/29 (b)(c) 625,000 642,188 
Blackstone Property Partners Europe LP:   
1.4% 7/6/22 (Reg. S) EUR4,721,000 5,355,170 
2% 2/15/24 (Reg. S) EUR1,900,000 2,219,871 
2.2% 7/24/25 (Reg. S) EUR5,216,000 6,184,584 
Credit Suisse Group AG:   
3.869% 1/12/29 (b)(c) 11,793,000 12,562,399 
4.207% 6/12/24 (b)(c) 18,061,000 19,124,820 
5.75% 9/18/25 (Reg. S) (c) EUR3,925,000 4,565,204 
6.5% 8/8/23 (Reg. S) 10,235,000 11,403,346 
Deutsche Bank AG:   
1.625% 2/12/21 (Reg. S) EUR14,900,000 16,580,838 
4.5% 4/1/25 51,329,000 48,493,556 
5% 6/24/20 EUR1,250,000 1,413,334 
Deutsche Bank AG New York Branch:   
3.15% 1/22/21 18,290,000 18,225,899 
3.3% 11/16/22 30,321,000 30,137,329 
5% 2/14/22 29,755,000 30,841,279 
EG Global Finance PLC 6.75% 2/7/25 (b) 625,000 603,125 
Goldman Sachs Group, Inc.:   
2.876% 10/31/22 (c) 64,328,000 65,214,256 
3.2% 2/23/23 10,830,000 11,189,403 
3.691% 6/5/28 (c) 128,004,000 136,123,447 
3.75% 5/22/25 12,741,000 13,586,065 
4.25% 10/21/25 5,020,000 5,414,844 
6.75% 10/1/37 6,976,000 9,557,775 
IntercontinentalExchange, Inc. 2.75% 12/1/20 4,134,000 4,169,110 
Merrill Lynch & Co., Inc. 5.5% 11/22/21 GBP780,000 1,033,233 
Moody's Corp.:   
3.25% 1/15/28 7,339,000 7,738,936 
4.875% 2/15/24 6,892,000 7,635,838 
Morgan Stanley:   
3.125% 1/23/23 8,282,000 8,539,486 
3.125% 7/27/26 69,344,000 72,036,723 
3.7% 10/23/24 23,877,000 25,505,547 
3.737% 4/24/24 (c) 79,634,000 83,781,339 
3.95% 4/23/27 2,007,000 2,148,150 
4.431% 1/23/30 (c) 14,132,000 16,127,969 
4.875% 11/1/22 16,717,000 17,983,241 
5% 11/24/25 27,517,000 31,047,507 
5.5% 1/26/20 56,062,000 56,767,108 
5.625% 9/23/19 8,100,000 8,113,956 
5.75% 1/25/21 12,664,000 13,286,546 
MSCI, Inc.:   
4.75% 8/1/26 (b) 2,641,000 2,763,146 
5.25% 11/15/24 (b) 2,816,000 2,923,571 
UBS AG 4.75% 2/12/26 (Reg. S) (c) EUR13,533,000 15,795,597 
UBS Group Funding Ltd. 4.125% 9/24/25 (b) 12,029,000 13,091,291 
  896,625,954 
Consumer Finance - 1.7%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.875% 8/14/24 22,114,000 22,186,524 
3.5% 5/26/22 4,764,000 4,894,024 
4.125% 7/3/23 13,016,000 13,807,551 
4.45% 12/16/21 9,385,000 9,752,020 
4.45% 4/3/26 10,546,000 11,323,568 
4.875% 1/16/24 16,603,000 18,008,678 
Ally Financial, Inc.:   
3.875% 5/21/24 2,530,000 2,665,988 
4.625% 3/30/25 2,128,000 2,324,840 
5.75% 11/20/25 25,796,000 29,536,420 
8% 11/1/31 4,533,000 6,334,868 
Capital One Financial Corp. 3.8% 1/31/28 14,203,000 15,142,254 
Credito Real S.A.B. de CV 9.5% 2/7/26 (b) 855,000 962,142 
Discover Financial Services:   
3.85% 11/21/22 22,201,000 23,286,936 
3.95% 11/6/24 9,389,000 10,008,925 
4.1% 2/9/27 15,432,000 16,615,337 
4.5% 1/30/26 15,184,000 16,769,574 
5.2% 4/27/22 7,992,000 8,594,228 
Ford Motor Credit Co. LLC:   
1.514% 2/17/23 EUR6,400,000 7,153,609 
2.597% 11/4/19 33,261,000 33,252,685 
5.085% 1/7/21 9,629,000 9,920,249 
5.584% 3/18/24 20,831,000 22,402,108 
5.596% 1/7/22 19,922,000 21,067,193 
Navient Corp.:   
5.5% 1/25/23 5,602,000 5,883,781 
5.875% 10/25/24 475,000 499,695 
6.125% 3/25/24 1,297,000 1,376,441 
6.5% 6/15/22 7,023,000 7,602,398 
6.625% 7/26/21 4,025,000 4,306,750 
6.75% 6/25/25 4,000,000 4,300,000 
6.75% 6/15/26 3,350,000 3,584,500 
7.25% 1/25/22 2,491,000 2,730,759 
7.25% 9/25/23 3,210,000 3,563,100 
Springleaf Finance Corp.:   
6.875% 3/15/25 5,415,000 6,139,256 
7.125% 3/15/26 1,390,000 1,585,295 
Synchrony Financial:   
2.85% 7/25/22 5,574,000 5,649,213 
3.75% 8/15/21 4,720,000 4,826,445 
3.95% 12/1/27 24,512,000 25,411,236 
4.25% 8/15/24 4,751,000 5,058,494 
4.375% 3/19/24 7,611,000 8,129,803 
5.15% 3/19/29 29,391,000 33,099,327 
  429,756,214 
Diversified Financial Services - 1.6%   
1MDB Global Investments Ltd. 4.4% 3/9/23 5,800,000 5,553,500 
ADES International Holding Ltd. 8.625% 4/24/24 (b) 1,275,000 1,257,070 
Avolon Holdings Funding Ltd.:   
3.625% 5/1/22 (b) 5,364,000 5,440,705 
3.95% 7/1/24 (b) 7,125,000 7,333,050 
4.375% 5/1/26 (b) 8,768,000 9,103,814 
5.125% 10/1/23 (b) 17,344,000 18,414,125 
5.25% 5/15/24 (b) 13,457,000 14,435,324 
5.5% 1/15/23 (b) 3,615,000 3,851,421 
AXA Equitable Holdings, Inc. 3.9% 4/20/23 3,251,000 3,414,494 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 16,257,000 16,736,698 
3.85% 2/1/25 9,126,000 9,592,361 
3.875% 8/15/22 13,396,000 13,978,696 
4.125% 6/15/26 15,162,000 16,162,148 
4.125% 5/15/29 18,497,000 20,010,544 
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (b) 1,647,000 1,519,358 
Cigna Corp.:   
3.75% 7/15/23 15,701,000 16,505,805 
4.125% 11/15/25 12,150,000 13,218,799 
4.375% 10/15/28 19,595,000 21,911,150 
4.8% 8/15/38 12,201,000 14,106,117 
4.9% 12/15/48 12,189,000 14,424,349 
Cimpor Financial Operations BV 5.75% 7/17/24 (b) 2,317,000 1,807,955 
Cloverie PLC 4.5% 9/11/44 (Reg. S) (c) 3,598,000 3,718,044 
CRC Escrow Issuer LLC/CRC Finance LLC 5.25% 10/15/25 (b) 10,264,000 10,443,620 
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 2,332,000 2,448,600 
Eagle Intermediate Global Holding BV 7.5% 5/1/25 (b) 363,000 337,136 
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) 1,225,000 1,248,275 
HTA Group Ltd. 9.125% 3/8/22 (b) 1,605,000 1,662,429 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
5.875% 2/1/22 15,778,000 16,034,393 
6.25% 2/1/22 4,737,000 4,879,110 
6.25% 5/15/26 (b) 3,650,000 3,809,870 
6.375% 12/15/25 4,491,000 4,754,846 
6.75% 2/1/24 1,274,000 1,332,923 
Logicor Financing SARL 1.625% 7/15/27 (Reg. S) EUR6,250,000 7,052,942 
Park Aerospace Holdings Ltd.:   
4.5% 3/15/23 (b) 2,210,000 2,286,466 
5.25% 8/15/22 (b) 3,250,000 3,432,813 
5.5% 2/15/24 (b) 23,962,000 25,912,507 
Pine Street Trust I:   
4.572% 2/15/29 (b) 19,248,000 20,778,019 
5.568% 2/15/49 (b) 19,200,000 21,965,951 
PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (b) 2,778,000 2,802,308 
Radiate Holdco LLC/Radiate Financial Service Ltd.:   
6.625% 2/15/25 (b) 10,565,000 10,485,763 
6.875% 2/15/23 (b) 1,509,000 1,539,180 
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) 14,974,000 15,872,440 
Sparc Em Spc 0% 12/5/22 (b) 175,103 167,276 
Tempo Acquisition LLC 6.75% 6/1/25 (b) 4,698,000 4,826,255 
Transocean Poseidon Ltd. 6.875% 2/1/27 (b) 645,000 673,219 
Trivium Packaging Finance BV:   
5.5% 8/15/26 (b) 1,615,000 1,707,863 
8.5% 8/15/27 (b) 945,000 1,015,875 
Valvoline, Inc. 5.5% 7/15/24 1,790,000 1,861,600 
Vedanta Resources Finance II PLC 9.25% 4/23/26 (b) 1,090,000 1,057,300 
Voya Financial, Inc. 3.125% 7/15/24 8,794,000 9,086,757 
WPC Eurobond BV 2.25% 4/9/26 EUR1,380,000 1,661,632 
  413,632,895 
Insurance - 1.5%   
American International Group, Inc.:   
3.3% 3/1/21 6,125,000 6,226,369 
3.875% 1/15/35 12,130,000 12,875,403 
4.875% 6/1/22 11,590,000 12,413,731 
AmWINS Group, Inc. 7.75% 7/1/26 (b) 3,905,000 4,100,250 
Aon Corp. 5% 9/30/20 2,455,000 2,528,931 
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (c) 1,324,000 1,323,206 
Demeter Investments BV 5.75% 8/15/50 (Reg. S) (c) 2,324,000 2,544,780 
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) 8,055,000 9,167,668 
Marsh & McLennan Companies, Inc.:   
4.375% 3/15/29 12,747,000 14,643,528 
4.75% 3/15/39 5,849,000 7,322,556 
4.8% 7/15/21 4,517,000 4,706,367 
4.9% 3/15/49 11,640,000 15,112,118 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (b) 19,445,000 23,750,064 
MetLife, Inc. 3.048% 12/15/22 (c) 7,921,000 8,182,145 
Metropolitan Life Global Funding I:   
U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 2.62% 5/28/21 (b)(c)(d) 97,491,000 97,564,282 
3% 1/10/23 (b) 5,030,000 5,187,795 
Pacific LifeCorp 5.125% 1/30/43 (b) 21,516,000 25,936,524 
Pricoa Global Funding I 5.375% 5/15/45 (c) 11,144,000 11,890,202 
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) 7,600,000 8,379,000 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) 11,520,000 14,498,541 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) 3,853,000 4,191,045 
Unum Group:   
3.875% 11/5/25 13,752,000 14,517,738 
4% 3/15/24 12,741,000 13,527,757 
4% 6/15/29 15,636,000 16,427,196 
5.625% 9/15/20 5,342,000 5,522,343 
5.75% 8/15/42 16,274,000 20,206,810 
USIS Merger Sub, Inc. 6.875% 5/1/25 (b) 3,985,000 3,965,075 
  366,711,424 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc. 4.75% 3/15/25 1,226,000 1,256,650 
Thrifts & Mortgage Finance - 0.1%   
Nationwide Building Society 3.622% 4/26/23 (b)(c) 5,100,000 5,211,120 
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (b) 1,657,000 1,742,501 
Quicken Loans, Inc. 5.25% 1/15/28 (b) 6,365,000 6,603,688 
  13,557,309 
TOTAL FINANCIALS  3,231,360,762 
HEALTH CARE - 2.0%   
Health Care Equipment & Supplies - 0.0%   
Hologic, Inc.:   
4.375% 10/15/25 (b) 2,379,000 2,432,528 
4.625% 2/1/28 (b) 443,000 457,951 
Teleflex, Inc. 4.875% 6/1/26 4,444,000 4,681,576 
  7,572,055 
Health Care Providers & Services - 1.3%   
Aetna, Inc. 2.75% 11/15/22 1,281,000 1,298,232 
Community Health Systems, Inc.:   
5.125% 8/1/21 3,220,000 3,220,000 
6.25% 3/31/23 14,608,000 14,134,701 
8% 3/15/26 (b) 2,685,000 2,577,600 
8.625% 1/15/24 (b) 8,598,000 8,598,000 
CVS Health Corp.:   
2.625% 8/15/24 2,838,000 2,854,263 
3% 8/15/26 2,303,000 2,331,169 
3.25% 8/15/29 5,292,000 5,363,598 
3.7% 3/9/23 5,734,000 5,996,030 
4% 12/5/23 5,431,000 5,772,941 
4.1% 3/25/25 45,449,000 48,622,815 
4.3% 3/25/28 41,514,000 45,314,238 
4.78% 3/25/38 18,481,000 20,723,897 
5.05% 3/25/48 27,172,000 31,659,758 
Elanco Animal Health, Inc.:   
3.912% 8/27/21 3,218,000 3,280,053 
4.272% 8/28/23 10,157,000 10,638,489 
4.9% 8/28/28 4,279,000 4,666,776 
HCA Holdings, Inc.:   
4.5% 2/15/27 3,357,000 3,639,593 
4.75% 5/1/23 379,000 407,423 
5% 3/15/24 4,061,000 4,435,844 
5.25% 6/15/26 7,307,000 8,247,865 
5.875% 2/15/26 2,434,000 2,776,586 
Medco Health Solutions, Inc. 4.125% 9/15/20 4,769,000 4,850,299 
MPH Acquisition Holdings LLC 7.125% 6/1/24 (b) 3,150,000 2,815,502 
Rede D Oregon Finance Sarl 4.95% 1/17/28 (b) 525,000 525,492 
Sabra Health Care LP/Sabra Capital Corp. 5.375% 6/1/23 649,000 657,924 
Tenet Healthcare Corp.:   
4.375% 10/1/21 2,437,000 2,541,791 
4.625% 7/15/24 3,529,000 3,630,459 
5.125% 5/1/25 2,803,000 2,810,008 
6.25% 2/1/27 (b) 2,480,000 2,573,000 
6.75% 6/15/23 6,838,000 7,026,045 
8.125% 4/1/22 19,870,000 21,407,938 
THC Escrow Corp. III 7% 8/1/25 4,453,000 4,497,530 
Toledo Hospital:   
5.325% 11/15/28 6,970,000 7,875,088 
6.015% 11/15/48 22,807,000 28,767,160 
Vizient, Inc. 6.25% 5/15/27 (b) 375,000 403,125 
Wellcare Health Plans, Inc.:   
5.25% 4/1/25 2,125,000 2,224,981 
5.375% 8/15/26 (b) 6,204,000 6,615,015 
WellPoint, Inc. 3.3% 1/15/23 4,104,000 4,238,832 
  340,020,060 
Health Care Technology - 0.0%   
IMS Health, Inc. 5% 5/15/27 (b) 4,290,000 4,531,313 
Life Sciences Tools & Services - 0.0%   
Charles River Laboratories International, Inc. 5.5% 4/1/26 (b) 1,805,000 1,931,170 
Pharmaceuticals - 0.7%   
Actavis Funding SCS 3.45% 3/15/22 30,800,000 31,629,705 
Bayer AG:   
2.375% 4/2/75 (Reg. S) (c) EUR12,310,000 13,733,598 
3% 7/1/75 (Reg S.) (c) EUR2,200,000 2,454,179 
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) 22,606,000 24,364,745 
Catalent Pharma Solutions 4.875% 1/15/26 (b) 3,265,000 3,313,975 
Mylan NV:   
3.15% 6/15/21 13,528,000 13,687,757 
3.95% 6/15/26 7,088,000 7,375,500 
4.55% 4/15/28 13,507,000 14,541,222 
Perrigo Finance PLC 3.5% 12/15/21 982,000 986,429 
Teva Pharmaceutical Finance Co. BV:   
2.95% 12/18/22 669,000 583,703 
3.65% 11/10/21 481,000 457,551 
Teva Pharmaceutical Finance IV BV 3.65% 11/10/21 431,000 409,989 
Teva Pharmaceutical Finance Netherlands III BV:   
0.375% 7/25/20 (Reg. S) EUR7,071,000 7,615,613 
2.2% 7/21/21 9,555,000 8,945,869 
2.8% 7/21/23 13,994,000 11,789,945 
4.5% 3/1/25 EUR2,072,000 2,020,405 
Valeant Pharmaceuticals International, Inc.:   
5.5% 11/1/25 (b) 2,322,000 2,435,151 
5.875% 5/15/23 (b) 1,173,000 1,187,663 
6.5% 3/15/22 (b) 1,593,000 1,649,233 
7% 3/15/24 (b) 7,310,000 7,720,530 
9% 12/15/25 (b) 618,000 692,933 
Zoetis, Inc.:   
3.25% 2/1/23 3,117,000 3,223,856 
3.45% 11/13/20 3,299,000 3,343,465 
  164,163,016 
TOTAL HEALTH CARE  518,217,614 
INDUSTRIALS - 0.9%   
Aerospace & Defense - 0.3%   
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) 5,811,000 6,168,673 
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (b) 6,329,000 6,613,805 
Bombardier, Inc.:   
6.125% 1/15/23 (b) 8,365,000 8,323,175 
7.5% 12/1/24 (b) 6,813,000 6,788,133 
7.5% 3/15/25 (b) 1,914,000 1,863,758 
7.875% 4/15/27 (b) 4,565,000 4,422,344 
BWX Technologies, Inc. 5.375% 7/15/26 (b) 6,413,000 6,781,748 
Rolls-Royce PLC 3.375% 6/18/26 GBP260,000 350,463 
TransDigm, Inc.:   
6% 7/15/22 2,555,000 2,596,519 
6.25% 3/15/26 (b) 9,375,000 10,113,094 
6.375% 6/15/26 3,615,000 3,793,906 
6.5% 7/15/24 6,860,000 7,082,950 
6.5% 5/15/25 5,288,000 5,512,740 
  70,411,308 
Air Freight & Logistics - 0.0%   
Aercap Global Aviation Trust 6.5% 6/15/45 (b)(c) 9,097,000 9,699,676 
Rumo Luxembourg Sarl 7.375% 2/9/24 (b) 2,103,000 2,263,354 
  11,963,030 
Airlines - 0.0%   
Azul Investments LLP 5.875% 10/26/24 (b) 1,518,000 1,507,564 
Building Products - 0.0%   
Elementia S.A.B. de CV 5.5% 1/15/25 (b) 975,000 939,047 
Commercial Services & Supplies - 0.1%   
APX Group, Inc.:   
7.625% 9/1/23 4,231,000 3,152,095 
7.875% 12/1/22 3,230,000 3,072,538 
8.75% 12/1/20 2,842,000 2,699,900 
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (b) 3,087,000 2,720,419 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) 3,899,000 3,937,990 
Prime Security One MS, Inc. 4.875% 7/15/32 (b) 2,657,000 2,314,911 
Tervita Escrow Corp. 7.625% 12/1/21 (b) 963,000 977,445 
  18,875,298 
Construction & Engineering - 0.1%   
AECOM:   
5.125% 3/15/27 7,722,000 8,065,783 
5.875% 10/15/24 4,702,000 5,078,160 
Cementos Progreso Trust 7.125% 11/6/23 (b) 1,211,000 1,252,250 
Odebrecht Finance Ltd.:   
4.375% 4/25/25 (b)(e) 1,640,000 121,770 
7.125% 6/26/42 (b)(e) 2,456,000 221,040 
  14,739,003 
Electrical Equipment - 0.0%   
Sensata Technologies BV 5% 10/1/25 (b) 2,730,000 2,893,800 
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) EUR1,994,000 2,324,136 
  5,217,936 
Industrial Conglomerates - 0.0%   
General Electric Co.:   
0.375% 5/17/22 EUR300,000 324,707 
1.25% 5/26/23 EUR600,000 664,765 
Turk Sise ve Cam Fabrikalari A/S 6.95% 3/14/26 (b) 625,000 623,828 
  1,613,300 
Machinery - 0.0%   
U.S.A. Compression Partners LP:   
6.875% 4/1/26 3,685,000 3,777,125 
6.875% 9/1/27 (b) 1,210,000 1,244,582 
  5,021,707 
Professional Services - 0.0%   
Thomson Reuters Corp. 3.85% 9/29/24 2,221,000 2,339,640 
Road & Rail - 0.0%   
Alpha Trains Finance SA 2.064% 6/30/25 EUR4,151,000 4,840,129 
JSC Georgian Railway 7.75% 7/11/22 (b) 347,000 380,312 
Lima Metro Line 2 Finance Ltd. 4.35% 4/5/36 (b) 655,000 690,411 
Uber Technologies, Inc. 7.5% 11/1/23 (b) 956,000 999,020 
Ukraine Railways via Shortline PLC 9.875% 9/15/21 (b) 1,711,500 1,739,312 
  8,649,184 
Trading Companies & Distributors - 0.4%   
Air Lease Corp.:   
3% 9/15/23 2,041,000 2,077,328 
3.375% 6/1/21 6,685,000 6,795,474 
3.75% 2/1/22 16,816,000 17,324,441 
3.875% 4/1/21 7,396,000 7,567,027 
4.25% 2/1/24 18,355,000 19,593,303 
4.25% 9/15/24 7,664,000 8,239,040 
4.75% 3/1/20 7,515,000 7,599,347 
Avantor, Inc. 6% 10/1/24 (b) 1,863,000 1,998,068 
FLY Leasing Ltd.:   
5.25% 10/15/24 10,223,000 10,504,133 
6.375% 10/15/21 3,822,000 3,893,663 
Travis Perkins PLC:   
4.375% 9/15/21 (Reg. S) GBP1,121,000 1,411,774 
4.5% 9/7/23 (Reg. S) GBP1,536,000 1,959,315 
  88,962,913 
Transportation Infrastructure - 0.0%   
Aeropuertos Argentina 2000 SA 6.875% 2/1/27 (b) 3,518,438 3,113,817 
DP World Ltd. 5.625% 9/25/48 (b) 550,000 654,500 
Heathrow Funding Ltd. 7.125% 2/14/24 GBP3,200,000 4,772,301 
  8,540,618 
TOTAL INDUSTRIALS  238,780,548 
INFORMATION TECHNOLOGY - 0.4%   
Communications Equipment - 0.0%   
CommScope Finance LLC:   
5.5% 3/1/24 (b) 600,000 608,250 
6% 3/1/26 (b) 600,000 611,100 
  1,219,350 
Electronic Equipment & Components - 0.1%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
4.42% 6/15/21 (b) 1,529,000 1,577,615 
5.45% 6/15/23 (b) 14,700,000 15,977,211 
6.02% 6/15/26 (b) 5,064,000 5,715,221 
TTM Technologies, Inc. 5.625% 10/1/25 (b) 12,935,000 12,611,625 
  35,881,672 
IT Services - 0.0%   
Banff Merger Sub, Inc. 9.75% 9/1/26 (b) 2,880,000 2,620,800 
Gartner, Inc. 5.125% 4/1/25 (b) 850,000 891,429 
Indra Sistemas SA 3% 4/19/24 (Reg. S) EUR1,900,000 2,192,605 
  5,704,834 
Semiconductors & Semiconductor Equipment - 0.1%   
Micron Technology, Inc. 5.5% 2/1/25 4,545,000 4,640,055 
NXP BV/NXP Funding LLC 4.125% 6/1/21 (b) 1,347,000 1,382,325 
Qorvo, Inc. 5.5% 7/15/26 2,714,000 2,897,249 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) 1,927,000 2,046,879 
  10,966,508 
Software - 0.2%   
Ascend Learning LLC:   
6.875% 8/1/25 (b) 6,245,000 6,471,381 
6.875% 8/1/25 (b) 345,000 357,506 
CDK Global, Inc.:   
4.875% 6/1/27 1,159,000 1,197,525 
5.25% 5/15/29 (b) 730,000 753,725 
5.875% 6/15/26 2,418,000 2,568,158 
Ensemble S Merger Sub, Inc. 9% 9/30/23 (b) 6,506,000 6,684,915 
Fair Isaac Corp. 5.25% 5/15/26 (b) 5,794,000 6,170,610 
Nuance Communications, Inc. 5.625% 12/15/26 2,663,000 2,806,136 
Open Text Corp. 5.875% 6/1/26 (b) 7,059,000 7,543,953 
SS&C Technologies, Inc. 5.5% 9/30/27 (b) 3,225,000 3,386,250 
Symantec Corp. 5% 4/15/25 (b) 11,289,000 11,364,299 
  49,304,458 
TOTAL INFORMATION TECHNOLOGY  103,076,822 
MATERIALS - 0.7%   
Chemicals - 0.2%   
Braskem Finance Ltd. 5.375% 5/2/22 (b) 771,000 803,768 
Element Solutions, Inc. 5.875% 12/1/25 (b) 5,514,000 5,762,130 
International Flavors & Fragrances, Inc. 1.8% 9/25/26 EUR4,273,000 5,053,013 
Nufarm Australia Ltd. 5.75% 4/30/26 (b) 4,026,000 3,794,505 
Nutrien Ltd.:   
4.2% 4/1/29 2,050,000 2,291,172 
5% 4/1/49 3,569,000 4,260,499 
OCI NV 6.625% 4/15/23 (b) 6,832,000 7,207,760 
OCP SA:   
5.625% 4/25/24 (b) 567,000 625,118 
6.875% 4/25/44 (b) 275,000 341,945 
Olin Corp. 5.125% 9/15/27 3,663,000 3,763,733 
Petkim Petrokimya Holding A/S 5.875% 1/26/23 (b) 2,638,000 2,539,075 
SABIC Capital II BV 4% 10/10/23 (b) 1,483,000 1,582,806 
Sasol Financing U.S.A. LLC 5.875% 3/27/24 704,000 759,220 
The Chemours Co. LLC:   
5.375% 5/15/27 3,380,000 2,999,750 
7% 5/15/25 2,595,000 2,562,563 
The Dow Chemical Co. 4.125% 11/15/21 6,936,000 7,197,065 
TPC Group, Inc. 10.5% 8/1/24 (b) 1,740,000 1,827,000 
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.375% 9/1/25 (b) 2,962,000 2,784,280 
Valvoline, Inc. 4.375% 8/15/25 2,450,000 2,474,500 
  58,629,902 
Construction Materials - 0.0%   
CEMEX Finance LLC:   
4.625% 6/15/24 EUR3,086,000 3,561,339 
6% 4/1/24 (b) 589,000 603,107 
CEMEX S.A.B. de CV:   
3.125% 3/19/26 (Reg. S) EUR2,750,000 3,122,429 
7.75% 4/16/26 (b) 604,000 650,810 
  7,937,685 
Containers & Packaging - 0.2%   
Ard Securities Finance SARL 8.75% 1/31/23 pay-in-kind (b)(c) 4,376,249 4,529,418 
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 6% 2/15/25 (b) 14,798,000 15,454,661 
Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 3,408,000 3,535,800 
Flex Acquisition Co., Inc.:   
6.875% 1/15/25 (b) 8,850,000 7,965,000 
7.875% 7/15/26 (b) 860,000 778,300 
OI European Group BV 4% 3/15/23 (b) 3,440,000 3,465,800 
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (b) 2,504,000 2,591,640 
Silgan Holdings, Inc. 4.75% 3/15/25 1,876,000 1,925,433 
  40,246,052 
Metals & Mining - 0.3%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (b)(c) 4,471,000 4,647,426 
6.75% 10/19/75 (b)(c) 11,105,000 13,006,176 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (b) 5,273,000 5,647,053 
4.5% 8/1/47 (b) 4,170,000 4,898,447 
CSN Resources SA:   
6.5% 7/21/20 (b) 726,000 736,663 
7.625% 2/13/23 (b) 4,055,000 4,143,703 
First Quantum Minerals Ltd.:   
6.5% 3/1/24 (b) 2,201,000 1,971,958 
7.25% 5/15/22 (b) 1,414,000 1,372,464 
7.25% 4/1/23 (b) 10,762,000 10,008,660 
Freeport-McMoRan, Inc.:   
3.55% 3/1/22 3,294,000 3,302,235 
3.875% 3/15/23 1,962,000 1,982,405 
Gold Fields Orogen Holding BVI Ltd.:   
4.875% 10/7/20 (b) 767,000 780,183 
5.125% 5/15/24 (b) 280,000 298,200 
Metinvest BV 7.75% 4/23/23 (b) 3,919,000 4,036,570 
Polyus Finance PLC 5.25% 2/7/23 (b) 1,178,000 1,239,845 
POSCO 4% 8/1/23 (b) 615,000 649,907 
Stillwater Mining Co. 6.125% 6/27/22 (b) 3,402,000 3,423,263 
Usiminas International SARL 5.875% 7/18/26 (b) 690,000 694,140 
Vale Overseas Ltd. 4.375% 1/11/22 230,000 237,691 
Vedanta Resources PLC:   
6.375% 7/30/22 (b) 3,790,000 3,636,031 
8.25% 6/7/21 (b) 1,430,000 1,482,284 
  68,195,304 
Paper & Forest Products - 0.0%   
Berry Global Escrow Corp. 4.875% 7/15/26 (b) 3,335,000 3,501,750 
TOTAL MATERIALS  178,510,693 
REAL ESTATE - 2.5%   
Equity Real Estate Investment Trusts (REITs) - 1.6%   
alstria office REIT-AG 1.5% 11/15/27 (Reg. S) EUR2,200,000 2,553,710 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 2,224,000 2,331,110 
American Homes 4 Rent 4.25% 2/15/28 896,000 973,365 
AvalonBay Communities, Inc. 3.625% 10/1/20 3,189,000 3,230,334 
Boston Properties, Inc.:   
3.85% 2/1/23 3,713,000 3,919,364 
4.5% 12/1/28 12,665,000 14,633,730 
Camden Property Trust:   
2.95% 12/15/22 4,218,000 4,325,152 
4.25% 1/15/24 5,855,000 6,337,306 
Care Capital Properties LP 5.125% 8/15/26 4,710,000 5,085,525 
Corporate Office Properties LP 5% 7/1/25 7,885,000 8,581,148 
Corrections Corp. of America:   
4.125% 4/1/20 1,640,000 1,635,900 
4.625% 5/1/23 3,895,000 3,758,675 
5% 10/15/22 3,180,000 3,148,200 
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 3,260,000 3,358,387 
DDR Corp.:   
3.625% 2/1/25 5,451,000 5,624,488 
4.25% 2/1/26 18,338,000 19,552,963 
4.625% 7/15/22 4,060,000 4,256,882 
4.7% 6/1/27 904,000 999,445 
Duke Realty LP:   
3.625% 4/15/23 4,005,000 4,193,460 
3.75% 12/1/24 3,445,000 3,685,095 
3.875% 10/15/22 11,077,000 11,611,128 
Equity One, Inc. 3.75% 11/15/22 11,531,000 12,017,985 
ERP Operating LP 4.75% 7/15/20 4,905,000 4,983,490 
HCP, Inc.:   
3.25% 7/15/26 2,056,000 2,126,174 
3.5% 7/15/29 2,351,000 2,482,652 
Hudson Pacific Properties LP 4.65% 4/1/29 27,154,000 30,520,665 
iStar Financial, Inc. 6% 4/1/22 832,000 853,840 
Lexington Corporate Properties Trust 4.4% 6/15/24 2,936,000 3,071,849 
MPT Operating Partnership LP/MPT Finance Corp.:   
5% 10/15/27 3,424,000 3,655,120 
5.25% 8/1/26 3,615,000 3,819,428 
6.375% 3/1/24 1,433,000 1,501,068 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 26,812,000 28,257,013 
4.5% 1/15/25 6,808,000 7,197,642 
4.5% 4/1/27 32,478,000 34,776,877 
4.75% 1/15/28 18,782,000 20,453,448 
4.95% 4/1/24 11,179,000 12,036,222 
5.25% 1/15/26 18,623,000 20,608,539 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 2,151,000 2,200,659 
5% 12/15/23 1,293,000 1,370,533 
Samhallsbyggnadsbolaget I Norden AB:   
1.125% 9/4/26 (Reg. S) EUR2,810,000 3,067,948 
1.75% 1/14/25 (Reg. S) EUR5,290,000 6,050,115 
Senior Housing Properties Trust 6.75% 4/15/20 159,000 159,695 
Store Capital Corp. 4.625% 3/15/29 5,948,000 6,608,144 
Ventas Realty LP:   
3% 1/15/30 16,209,000 16,317,399 
3.125% 6/15/23 3,477,000 3,588,515 
3.5% 2/1/25 3,798,000 3,996,684 
3.75% 5/1/24 15,927,000 16,898,348 
4% 3/1/28 6,996,000 7,600,835 
4.125% 1/15/26 3,540,000 3,836,783 
Weingarten Realty Investors 3.375% 10/15/22 1,739,000 1,781,282 
WP Carey, Inc.:   
3.85% 7/15/29 4,522,000 4,801,329 
4% 2/1/25 21,671,000 22,863,755 
  403,299,403 
Real Estate Management & Development - 0.9%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 18,541,000 19,394,984 
3.95% 11/15/27 14,429,000 15,212,510 
4.1% 10/1/24 10,117,000 10,719,050 
4.55% 10/1/29 10,929,000 11,951,338 
CPI Property Group SA 1.45% 4/14/22 (Reg. S) EUR7,475,000 8,413,082 
Deutsche Annington Finance BV 5% 10/2/23 (b) 3,695,000 3,917,117 
Digital Realty Trust LP:   
3.625% 10/1/22 5,865,000 6,094,729 
3.95% 7/1/22 7,543,000 7,899,894 
4.75% 10/1/25 19,502,000 21,637,819 
Essex Portfolio LP 3.875% 5/1/24 5,607,000 5,983,609 
Greystar Real Estate Partners 5.75% 12/1/25 (b) 459,000 470,636 
Heimstaden Bostad AB 1.75% 12/7/21 (Reg. S) EUR7,530,000 8,567,405 
Host Hotels & Resorts LP 4.75% 3/1/23 96,000 102,827 
Howard Hughes Corp. 5.375% 3/15/25 (b) 7,035,000 7,246,050 
Inversiones y Representaciones SA 11.5% 7/20/20 (Reg. S) 5,000 4,450 
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (b) 313,000 217,535 
Kennedy-Wilson, Inc. 5.875% 4/1/24 516,000 528,255 
Liberty Property LP:   
3.375% 6/15/23 5,207,000 5,404,428 
4.125% 6/15/22 9,480,000 9,931,403 
4.4% 2/15/24 8,293,000 8,991,178 
4.75% 10/1/20 7,187,000 7,340,963 
Mack-Cali Realty LP:   
3.15% 5/15/23 9,387,000 8,925,472 
4.5% 4/18/22 11,063,000 11,112,437 
Post Apartment Homes LP 3.375% 12/1/22 1,637,000 1,691,089 
SELP Finance SARL 1.5% 12/20/26 (Reg. S) EUR2,560,000 2,953,442 
Shimao Property Holdings Ltd. 4.75% 7/3/22 1,475,000 1,489,289 
Tanger Properties LP:   
3.125% 9/1/26 8,723,000 8,643,261 
3.75% 12/1/24 15,395,000 15,836,144 
3.875% 12/1/23 3,066,000 3,176,990 
Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (b) 3,470,000 3,656,513 
  217,513,899 
TOTAL REAL ESTATE  620,813,302 
UTILITIES - 1.7%   
Electric Utilities - 0.9%   
American Electric Power Co., Inc. 2.95% 12/15/22 3,144,000 3,211,356 
Clearway Energy Operating LLC 5.75% 10/15/25 (b) 2,198,000 2,291,459 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (b) 18,694,000 19,949,502 
6.4% 9/15/20 (b) 16,498,000 17,117,505 
Eskom Holdings SOC Ltd.:   
5.75% 1/26/21 (b) 5,110,000 5,122,775 
5.75% 1/26/21 (Reg. S) 1,685,000 1,689,213 
7.125% 2/11/25 (b) 1,020,000 1,048,050 
Eversource Energy 2.8% 5/1/23 9,622,000 9,800,231 
Exelon Corp. 2.85% 6/15/20 3,114,000 3,127,868 
FirstEnergy Corp.:   
4.25% 3/15/23 19,904,000 21,151,527 
7.375% 11/15/31 40,851,000 58,576,592 
InterGen NV 7% 6/30/23 (b) 7,075,000 6,473,625 
IPALCO Enterprises, Inc.:   
3.45% 7/15/20 17,516,000 17,621,449 
3.7% 9/1/24 6,665,000 6,973,075 
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) 600,000 796,998 
LG&E and KU Energy LLC 3.75% 11/15/20 924,000 937,899 
Monongahela Power Co. 4.1% 4/15/24 (b) 2,537,000 2,741,769 
NRG Yield Operating LLC 5% 9/15/26 2,513,000 2,544,413 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) 5,204,895 5,582,250 
NV Energy, Inc. 6.25% 11/15/20 2,230,000 2,331,856 
ORSTED A/S 2.125% 5/17/27 (Reg. S) GBP2,500,000 3,227,562 
Pampa Holding SA 7.5% 1/24/27 (b) 564,000 338,400 
PPL Capital Funding, Inc. 3.4% 6/1/23 4,577,000 4,730,065 
TECO Finance, Inc. 5.15% 3/15/20 2,396,000 2,430,439 
Vattenfall AB 0.5% 6/24/26 (Reg. S) EUR1,970,000 2,243,181 
Vistra Operations Co. LLC:   
5% 7/31/27 (b) 3,095,000 3,195,588 
5.5% 9/1/26 (b) 11,371,000 11,939,550 
  217,194,197 
Gas Utilities - 0.0%   
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 2,323,000 2,390,006 
Independent Power and Renewable Electricity Producers - 0.3%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 31,275,000 33,542,438 
Emera U.S. Finance LP:   
2.7% 6/15/21 3,220,000 3,243,231 
3.55% 6/15/26 5,152,000 5,437,428 
NextEra Energy Partners LP:   
4.25% 9/15/24 (b) 3,341,000 3,464,617 
4.5% 9/15/27 (b) 596,000 612,390 
NRG Energy, Inc.:   
5.25% 6/15/29 (b) 3,295,000 3,515,996 
5.75% 1/15/28 2,250,000 2,424,375 
6.625% 1/15/27 1,080,000 1,166,400 
Talen Energy Supply LLC:   
6.5% 6/1/25 538,000 408,880 
10.5% 1/15/26 (b) 6,735,000 6,122,115 
TerraForm Power Operating LLC:   
4.25% 1/31/23 (b) 1,293,000 1,324,872 
5% 1/31/28 (b) 1,443,000 1,502,553 
6.625% 6/15/25 (b)(c) 3,430,000 3,618,650 
The AES Corp.:   
4.5% 3/15/23 1,851,000 1,902,643 
4.875% 5/15/23 6,062,000 6,145,353 
5.125% 9/1/27 4,638,000 4,972,075 
6% 5/15/26 984,000 1,055,084 
  80,459,100 
Multi-Utilities - 0.5%   
Dominion Energy, Inc.:   
3 month U.S. LIBOR + 2.300% 4.6299% 9/30/66 (c)(d) 22,443,000 20,984,205 
3 month U.S. LIBOR + 2.825% 5.1549% 6/30/66 (c)(d) 6,590,000 6,227,550 
NiSource Finance Corp.:   
5.25% 2/15/43 8,116,000 10,037,018 
5.8% 2/1/42 4,036,000 5,296,478 
5.95% 6/15/41 7,538,000 10,072,621 
NiSource, Inc. 2.95% 9/1/29 31,524,000 32,228,791 
Puget Energy, Inc.:   
6% 9/1/21 9,916,000 10,583,103 
6.5% 12/15/20 3,265,000 3,432,661 
Sempra Energy:   
2.875% 10/1/22 3,670,000 3,728,706 
6% 10/15/39 9,562,000 12,520,558 
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 4.2706% 5/15/67 (c)(d) 2,459,000 2,079,601 
  117,191,292 
TOTAL UTILITIES  417,234,595 
TOTAL NONCONVERTIBLE BONDS  8,617,555,050 
TOTAL CORPORATE BONDS   
(Cost $8,171,222,735)  8,622,493,493 
U.S. Government and Government Agency Obligations - 33.3%   
U.S. Treasury Inflation-Protected Obligations - 3.6%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $98,980,750 $108,105,107 
1% 2/15/46 48,612,730 56,297,905 
1% 2/15/49 33,835,328 39,943,129 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 7/15/24 33,905,985 34,178,058 
0.375% 7/15/25 174,491,874 178,796,427 
0.375% 1/15/27 146,196,181 150,114,001 
0.625% 1/15/26 129,644,467 134,618,286 
0.75% 7/15/28 101,893,427 108,999,454 
0.875% 1/15/29 94,919,279 102,769,773 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  913,822,140 
U.S. Treasury Obligations - 29.7%   
U.S. Treasury Bonds:   
2.25% 8/15/46 (f)(g) 261,200 276,637 
2.75% 11/15/47 182,698,900 213,693,483 
3% 5/15/45 42,618,500 51,678,261 
3% 2/15/48 14,982,100 18,365,362 
3% 2/15/49 617,560,000 760,804,886 
5% 5/15/37 (g) 16,600 24,992 
U.S. Treasury Notes:   
1.25% 10/31/21 (f)(g) 3,057,900 3,040,938 
1.375% 8/31/26 697,846,000 694,165,951 
1.625% 8/15/29 553,500,000 559,791,740 
1.75% 6/30/24 284,750,000 289,332,695 
1.875% 7/31/22 501,545,600 507,677,777 
2% 4/30/24 15,926,700 16,344,776 
2% 11/15/26 23,503,000 24,383,444 
2.125% 12/31/22 275,186,800 281,432,250 
2.125% 3/31/24 253,410,000 261,338,961 
2.125% 7/31/24 222,547,000 230,049,269 
2.125% 11/30/24 (g)(h) 51,867,300 53,702,916 
2.125% 5/15/25 (f)(g) 1,465,300 1,520,592 
2.125% 5/31/26 498,913,000 520,350,668 
2.25% 4/30/24 676,960,000 702,425,333 
2.25% 12/31/24 394,208,100 410,931,149 
2.25% 11/15/27 200,057,200 211,974,669 
2.375% 4/30/26 89,077,000 94,268,519 
2.375% 5/15/29 4,750,000 5,121,094 
2.5% 3/31/23 416,562,200 432,183,283 
2.5% 2/28/26 546,304,000 581,728,400 
2.75% 11/30/20 (f) 1,228,000 1,243,686 
2.75% 2/15/28 96,082,900 105,732,476 
2.875% 9/30/23 46,915,700 49,606,022 
3.125% 11/15/28 373,000,000 424,826,601 
TOTAL U.S. TREASURY OBLIGATIONS  7,508,016,830 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $7,941,609,958)  8,421,838,970 
U.S. Government Agency - Mortgage Securities - 21.2%   
Fannie Mae - 5.7%   
12 month U.S. LIBOR + 1.445% 4.497% 4/1/37 (c)(d) 33,703 35,024 
12 month U.S. LIBOR + 1.480% 4.242% 7/1/34 (c)(d) 11,829 12,312 
12 month U.S. LIBOR + 1.495% 4.509% 1/1/35 (c)(d) 37,029 38,360 
12 month U.S. LIBOR + 1.553% 4.337% 6/1/36 (c)(d) 29,715 30,980 
12 month U.S. LIBOR + 1.565% 4.69% 3/1/37 (c)(d) 15,052 15,682 
12 month U.S. LIBOR + 1.594% 4.485% 5/1/36 (c)(d) 71,061 74,088 
12 month U.S. LIBOR + 1.617% 4.583% 3/1/33 (c)(d) 26,927 27,951 
12 month U.S. LIBOR + 1.641% 4.38% 9/1/36 (c)(d) 19,298 20,112 
12 month U.S. LIBOR + 1.645% 4.693% 6/1/47 (c)(d) 31,154 32,669 
12 month U.S. LIBOR + 1.666% 4.538% 11/1/36 (c)(d) 19,169 19,990 
12 month U.S. LIBOR + 1.711% 4.595% 6/1/42 (c)(d) 52,292 54,418 
12 month U.S. LIBOR + 1.718% 4.399% 5/1/35 (c)(d) 57,885 60,313 
12 month U.S. LIBOR + 1.745% 4.755% 7/1/35 (c)(d) 25,681 26,769 
12 month U.S. LIBOR + 1.750% 4.479% 8/1/41 (c)(d) 76,166 79,210 
12 month U.S. LIBOR + 1.752% 4.734% 3/1/40 (c)(d) 81,661 85,325 
12 month U.S. LIBOR + 1.788% 4.913% 2/1/36 (c)(d) 68,507 71,535 
12 month U.S. LIBOR + 1.800% 4.492% 7/1/41 (c)(d) 69,174 72,381 
12 month U.S. LIBOR + 1.800% 4.786% 1/1/42 (c)(d) 181,761 188,405 
12 month U.S. LIBOR + 1.810% 4.81% 12/1/39 (c)(d) 30,105 31,375 
12 month U.S. LIBOR + 1.812% 4.596% 12/1/40 (c)(d) 2,072,802 2,160,490 
12 month U.S. LIBOR + 1.818% 4.535% 7/1/41 (c)(d) 36,931 38,554 
12 month U.S. LIBOR + 1.818% 4.568% 9/1/41 (c)(d) 21,106 21,968 
12 month U.S. LIBOR + 1.818% 4.932% 2/1/42 (c)(d) 168,297 175,129 
12 month U.S. LIBOR + 1.820% 4.82% 12/1/35 (c)(d) 74,731 78,160 
12 month U.S. LIBOR + 1.830% 4.657% 10/1/41 (c)(d) 25,200 26,296 
12 month U.S. LIBOR + 1.851% 4.58% 5/1/36 (c)(d) 24,501 25,634 
12 month U.S. LIBOR + 1.900% 4.776% 7/1/37 (c)(d) 21,808 22,944 
6 month U.S. LIBOR + 1.475% 4.178% 10/1/33 (c)(d) 612 631 
6 month U.S. LIBOR + 1.505% 4.103% 1/1/35 (c)(d) 62,989 65,099 
6 month U.S. LIBOR + 1.510% 4.144% 2/1/33 (c)(d)(i) 640 660 
6 month U.S. LIBOR + 1.535% 4.178% 3/1/35 (c)(d) 9,022 9,334 
6 month U.S. LIBOR + 1.535% 4.315% 12/1/34 (c)(d) 14,211 14,665 
6 month U.S. LIBOR + 1.556% 4.278% 10/1/33 (c)(d) 4,783 4,933 
6 month U.S. LIBOR + 1.565% 4.085% 7/1/35 (c)(d) 5,709 5,914 
6 month U.S. LIBOR + 1.740% 4.365% 12/1/34 (c)(d) 846 880 
6 month U.S. LIBOR + 1.960% 4.725% 9/1/35 (c)(d) 10,370 10,823 
U.S. TREASURY 1 YEAR INDEX + 1.945% 4.27% 10/1/33 (c)(d) 107,330 112,336 
U.S. TREASURY 1 YEAR INDEX + 2.208% 4.833% 3/1/35 (c)(d) 8,947 9,379 
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.676% 6/1/36 (c)(d) 68,259 71,291 
U.S. TREASURY 1 YEAR INDEX + 2.295% 4.678% 10/1/33 (c)(d) 31,894 33,292 
U.S. TREASURY 1 YEAR INDEX + 2.447% 4.946% 7/1/34 (c)(d) 75,799 79,354 
2.5% 10/1/32 to 8/1/43 (h) 72,749,125 73,746,471 
3% 7/1/27 to 9/1/48 445,701,876 459,748,555 
3.5% 7/1/32 to 1/1/48 319,737,854 335,411,386 
4% 5/1/29 to 9/1/48 302,952,456 320,035,626 
4.5% 6/1/33 to 12/1/48 146,396,783 157,408,798 
5% 12/1/19 to 3/1/45 55,644,540 60,651,739 
5.251% 8/1/41 (c) 1,126,353 1,227,810 
5.5% 9/1/21 to 5/1/44 13,584,252 15,011,301 
6% 2/1/20 to 1/1/42 5,284,090 5,974,909 
6.5% 8/1/20 to 4/1/37 2,289,133 2,579,026 
6.531% 2/1/39 (c) 1,254,310 1,355,752 
7% 9/1/21 to 7/1/37 502,144 565,084 
7.5% 6/1/25 to 2/1/32 223,494 252,020 
8% 8/1/29 to 3/1/37 7,190 8,570 
9.5% 9/1/21 113 114 
TOTAL FANNIE MAE  1,437,921,826 
Freddie Mac - 4.4%   
12 month U.S. LIBOR + 1.325% 4.237% 1/1/36 (c)(d) 18,642 19,223 
12 month U.S. LIBOR + 1.375% 4.28% 3/1/36 (c)(d) 62,412 64,455 
12 month U.S. LIBOR + 1.500% 4.53% 3/1/36 (c)(d) 54,906 56,966 
12 month U.S. LIBOR + 1.515% 4.39% 11/1/35 (c)(d) 16,214 16,766 
12 month U.S. LIBOR + 1.750% 4.406% 7/1/41 (c)(d) 198,191 206,210 
12 month U.S. LIBOR + 1.750% 4.644% 12/1/40 (c)(d) 1,080,026 1,120,101 
12 month U.S. LIBOR + 1.754% 4.498% 9/1/41 (c)(d) 374,427 387,563 
12 month U.S. LIBOR + 1.793% 4.695% 4/1/37 (c)(d) 21,399 22,334 
12 month U.S. LIBOR + 1.864% 4.739% 4/1/36 (c)(d) 21,281 22,364 
12 month U.S. LIBOR + 1.877% 4.787% 4/1/41 (c)(d) 28,827 30,010 
12 month U.S. LIBOR + 1.880% 4.63% 9/1/41 (c)(d) 27,462 28,614 
12 month U.S. LIBOR + 1.884% 4.628% 10/1/42 (c)(d) 313,225 326,014 
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (c)(d) 26,054 27,204 
12 month U.S. LIBOR + 1.910% 4.73% 6/1/41 (c)(d) 54,667 57,104 
12 month U.S. LIBOR + 1.910% 4.785% 5/1/41 (c)(d) 46,360 48,706 
12 month U.S. LIBOR + 1.910% 4.807% 5/1/41 (c)(d) 55,670 58,028 
12 month U.S. LIBOR + 1.920% 4.67% 6/1/36 (c)(d) 12,156 12,781 
12 month U.S. LIBOR + 1.998% 4.913% 4/1/38 (c)(d) 61,383 64,470 
12 month U.S. LIBOR + 2.045% 4.785% 7/1/36 (c)(d) 33,945 35,606 
12 month U.S. LIBOR + 2.070% 4.998% 3/1/33 (c)(d) 940 981 
12 month U.S. LIBOR + 2.200% 5.075% 12/1/36 (c)(d) 52,414 54,866 
6 month U.S. LIBOR + 1.125% 3.849% 8/1/37 (c)(d) 20,163 20,567 
6 month U.S. LIBOR + 1.445% 4.195% 3/1/35 (c)(d) 22,019 22,672 
6 month U.S. LIBOR + 1.608% 4.205% 12/1/35 (c)(d) 5,854 6,059 
6 month U.S. LIBOR + 1.647% 4.289% 2/1/37 (c)(d) 81,357 84,242 
6 month U.S. LIBOR + 1.720% 4.247% 8/1/37 (c)(d) 31,206 32,442 
6 month U.S. LIBOR + 1.746% 4.58% 5/1/37 (c)(d) 8,084 8,411 
6 month U.S. LIBOR + 1.843% 4.534% 10/1/36 (c)(d) 90,197 93,817 
6 month U.S. LIBOR + 1.912% 4.623% 10/1/35 (c)(d) 54,671 56,858 
6 month U.S. LIBOR + 2.020% 4.65% 6/1/37 (c)(d) 15,839 16,513 
6 month U.S. LIBOR + 2.040% 4.665% 6/1/37 (c)(d) 23,897 24,944 
6 month U.S. LIBOR + 2.276% 4.955% 10/1/35 (c)(d) 24,944 25,891 
U.S. TREASURY 1 YEAR INDEX + 2.035% 4.58% 6/1/33 (c)(d) 75,775 79,305 
U.S. TREASURY 1 YEAR INDEX + 2.286% 4.828% 6/1/33 (c)(d) 146,278 152,766 
U.S. TREASURY 1 YEAR INDEX + 2.412% 4.902% 3/1/35 (c)(d) 291,845 304,655 
2.5% 8/1/32 to 5/1/33 23,105,513 23,453,222 
3% 6/1/31 to 2/1/47 248,288,206 256,002,774 
3.5% 1/1/32 to 3/1/48 (f)(g) 404,568,023 423,955,146 
3.5% 8/1/47 109,408 114,652 
4% 7/1/31 to 9/1/48 311,676,712 330,023,961 
4% 4/1/48 847,469 885,756 
4.5% 6/1/25 to 12/1/48 65,912,069 70,909,082 
5% 6/1/20 to 7/1/41 10,069,168 11,127,042 
5.5% 10/1/19 to 3/1/41 3,504,134 3,866,864 
6% 10/1/21 to 12/1/37 1,003,976 1,125,577 
6.5% 7/1/21 to 9/1/39 1,304,587 1,481,479 
7% 6/1/21 to 9/1/36 456,104 519,063 
7.5% 1/1/27 to 4/1/32 10,024 11,436 
8% 7/1/24 to 4/1/32 13,294 15,172 
8.5% 6/1/22 to 1/1/28 11,113 12,362 
9% 10/1/20 
TOTAL FREDDIE MAC  1,127,093,097 
Freddie Mac Multi-family Structured pass-thru certificates - 0.0%   
3% 10/1/31 946,175 977,470 
Ginnie Mae - 8.4%   
3.5% 9/20/40 to 7/20/47 388,667,053 407,705,248 
4% 5/20/33 to 5/20/49 235,976,858 250,734,450 
4.5% 6/20/33 to 6/20/48 119,178,939 126,676,494 
5% 12/15/32 to 9/15/41 10,782,434 11,894,706 
5.5% 7/15/33 to 9/15/39 797,889 893,548 
6% 10/15/30 to 11/15/39 270,051 303,648 
7% 10/15/22 to 3/15/33 536,345 607,779 
7.5% 2/15/22 to 9/15/31 204,734 225,428 
8% 11/15/21 to 11/15/29 53,792 58,351 
8.5% 10/15/21 to 1/15/31 10,594 11,990 
9% 10/15/19 to 1/15/23 94 100 
9.5% 12/15/20 to 3/15/23 42 44 
3% 5/20/42 to 9/20/48 210,993,631 218,207,086 
3% 9/1/49 (j) 51,500,000 53,107,397 
3% 9/1/49 (j) 12,725,000 13,122,168 
3% 9/1/49 (j) 28,750,000 29,647,334 
3% 9/1/49 (j) 57,800,000 59,604,030 
3% 9/1/49 (j) 54,200,000 55,891,669 
3% 9/1/49 (j) 3,000,000 3,093,635 
3% 9/1/49 (j) 20,500,000 21,139,838 
3% 9/1/49 (j) 19,300,000 19,902,384 
3% 9/1/49 (j) 18,750,000 19,335,218 
3% 9/1/49 (j) 15,750,000 16,241,583 
3% 9/1/49 (j) 1,100,000 1,134,333 
3% 9/1/49 (j) 16,500,000 17,014,991 
3% 9/1/49 (j) 46,100,000 47,538,855 
3% 9/1/49 (j) 8,100,000 8,352,814 
3% 9/1/49 (j) 4,400,000 4,537,331 
3% 9/1/49 (j) 6,600,000 6,805,997 
3% 9/1/49 (j) 6,600,000 6,805,997 
3% 10/1/49 (j) 91,900,000 94,646,284 
3.5% 9/1/49 (j) 120,200,000 124,876,537 
3.5% 9/1/49 (j) 98,100,000 101,916,708 
3.5% 9/1/49 (j) 78,300,000 81,346,363 
3.5% 9/1/49 (j) 64,575,000 67,087,374 
3.5% 9/1/49 (j) 50,300,000 52,256,987 
3.5% 9/1/49 (j) 13,600,000 14,129,126 
3.5% 9/1/49 (j) 41,800,000 43,426,283 
3.5% 9/1/49 (j) 31,700,000 32,933,330 
3.5% 9/1/49 (j) 31,600,000 32,829,439 
3.5% 9/1/49 (j) 65,700,000 68,256,144 
6.5% 3/20/31 to 6/15/37 154,126 176,174 
TOTAL GINNIE MAE  2,114,475,195 
Uniform Mortgage Backed Securities - 2.7%   
2.5% 9/1/34 (j) 71,575,000 72,553,566 
3% 9/1/34 (j) 81,300,000 83,364,256 
3% 9/1/49 (j) 18,400,000 18,755,063 
3% 9/1/49 (j) 98,700,000 100,604,604 
3% 9/1/49 (j) 29,800,000 30,375,048 
3% 9/1/49 (j) 34,500,000 35,165,743 
3% 9/1/49 (j) 11,400,000 11,619,985 
3% 9/1/49 (j) 10,600,000 10,804,547 
3% 9/1/49 (j) 10,600,000 10,804,547 
3.5% 9/1/49 (j) 36,050,000 37,044,191 
3.5% 9/1/49 (j) 26,100,000 26,819,788 
3.5% 9/1/49 (j) 22,600,000 23,223,265 
3.5% 9/1/49 (j) 17,600,000 18,085,375 
3.5% 9/1/49 (j) 12,400,000 12,741,968 
3.5% 9/1/49 (j) 27,100,000 27,847,367 
3.5% 9/1/49 (j) 27,100,000 27,847,367 
4% 9/1/49 (j) 20,850,000 21,643,776 
4% 9/1/49 (j) 27,150,000 28,183,622 
4% 9/1/49 (j) 26,100,000 27,093,648 
4% 9/1/49 (j) 21,900,000 22,733,751 
4% 9/1/49 (j) 12,800,000 13,287,306 
4.5% 9/1/49 (j) 15,100,000 15,893,950 
4.5% 9/1/49 (j) 7,300,000 7,683,830 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  684,176,563 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $5,284,857,232)  5,364,644,151 
Asset-Backed Securities - 2.4%   
AASET Trust:   
Series 2018-1A Class A, 3.844% 1/16/38 (b) $11,977,156 $12,107,611 
Series 2019-1 Class A, 3.844% 5/15/39 (b) 14,913,598 15,012,363 
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 3.6184% 7/22/32 (b)(c)(d) 22,128,000 22,128,000 
American Homes 4 Rent:   
Series 2014-SFR2 Class E, 6.231% 10/17/36 (b) 221,000 248,747 
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) 478,000 544,099 
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b) 662,438 731,476 
Series 2015-SFR2:   
Class E, 6.07% 10/17/52 (b) 1,118,000 1,270,182 
Class XS, 0% 10/17/52 (b)(c)(i)(k) 776,966 
Ares Xli Clo Ltd. / Ares Xli Cl Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 3.5034% 1/15/29 (b)(c)(d) 25,124,000 25,115,684 
Argent Securities, Inc. pass-thru certificates Series 2004-W9 Class M7, 1 month U.S. LIBOR + 4.200% 4.2168% 6/26/34 (b)(c)(d) 6,797 14,568 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (b) 24,645,578 25,574,926 
Class AA, 2.487% 12/16/41 (b) 4,785,625 4,781,153 
CAM Mortgage Trust Series 2018-1 Class A1, 3.96% 12/1/65 (b) 630,636 630,309 
Capital Trust RE CDO Ltd. Series 2005-1A Class E, 1 month U.S. LIBOR + 2.100% 4.2721% 3/20/50 (b)(c)(d)(k) 330,000 33 
Castlelake Aircraft Securitization Trust Series 2019-1A:   
Class A, 3.967% 4/15/39 (b) 21,511,711 21,955,922 
Class B, 5.095% 4/15/39 (b) 7,379,796 7,538,731 
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) 19,904,302 20,401,862 
Cedar Funding Ltd.:   
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 0% 10/20/32 (b)(c)(d)(j) 16,659,000 16,659,000 
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 3.8749% 5/29/32 (b)(c)(d) 11,001,000 10,994,432 
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 3.4953% 10/25/37 (b)(c)(d) 8,429,897 8,518,807 
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (b) 6,165,879 6,199,637 
Consumer Loan Underlying Bond Credit Trust Series 2019-P1 Class A, 2.94% 7/15/26 (b) 11,438,198 11,476,573 
Countrywide Home Loans, Inc.:   
Series 2003-BC1 Class B1, 1 month U.S. LIBOR + 5.250% 7.3953% 3/25/32 (c)(d) 2,025 2,141 
Series 2004-7 Class AF5, 4.706% 1/25/35 (c) 77,015 76,805 
Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 5.9458% 1/28/40 (b)(c)(d)(k) 360,121 36 
DB Master Finance LLC Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (b) 10,871,363 11,099,335 
Class A2II, 4.03% 11/20/47 (b) 18,416,963 19,211,470 
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 34,892 35,351 
Dryden Senior Loan Fund:   
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 3.5834% 4/15/29 (b)(c)(d) 25,370,000 25,435,455 
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 3.7622% 5/15/32 (b)(c)(d) 17,982,000 17,952,042 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.9703% 3/25/34 (c)(d) 1,373 1,292 
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 11,770,000 13,207,016 
Home Partners of America Credit Trust Series 2017-1:   
Class E, 1 month U.S. LIBOR + 2.650% 4.832% 7/17/34 (b)(c)(d) 231,000 231,417 
Class F, 1 month U.S. LIBOR + 3.539% 5.721% 7/17/34 (b)(c)(d) 360,000 360,497 
Home Partners of America Trust Series 2018-1 Class F, 1 month U.S. LIBOR + 2.350% 4.532% 7/17/37 (b)(c)(d) 708,000 698,644 
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) 9,318,255 9,740,262 
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) 10,390,961 10,504,326 
Invitation Homes Trust:   
Series 2017-SFR2 Class E, 1 month U.S. LIBOR + 2.250% 4.432% 12/17/36 (b)(c)(d) 240,338 240,337 
Series 2018-SFR2 Class F, 1 month U.S. LIBOR + 2.250% 4.4451% 6/17/37 (b)(c)(d) 1,275,000 1,268,294 
Madison Park Funding Ltd.:   
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 3.4976% 1/20/29 (b)(c)(d) 8,925,000 8,920,368 
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 3.603% 7/15/32 (b)(c)(d) 22,042,000 22,029,105 
Magnetite CLO Ltd. Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 3.9086% 4/20/30 (b)(c)(d) 18,545,000 18,541,699 
Merit Securities Corp. Series 13 Class M1, 7.5966% 12/28/33 (c) 145,644 152,455 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) 10,287,362 10,722,401 
Nationstar HECM Loan Trust:   
Series 2018-2A Class A, 3.1877% 7/25/28 (b) 6,395,455 6,427,486 
Series 2018-3A Class A 3.5545% 11/25/28 (b) 6,517,962 6,502,521 
Series 2019-1A Class A, 2.6513% 6/25/29 (b) 9,946,631 9,971,578 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 2.6553% 9/25/35 (c)(d) 466,769 466,434 
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 3.6939% 7/17/32 (b)(c)(d) 22,017,000 22,005,353 
North Carolina State Ed Assistance Auth. Student Loan Rev. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.800% 3.0755% 7/25/25 (c)(d) 2,940,318 2,941,318 
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 3.3903% 1/25/36 (c)(d) 939,804 943,758 
Progress Residential Trust:   
Series 2015-SFR3 Class F, 6.643% 11/12/32 (b) 168,000 169,025 
Series 2017-SFR1 Class F, 5.35% 8/17/34 (b) 160,000 165,946 
Series 2017-SFR2 Class F, 1 month U.S. LIBOR + 2.750% 4.836% 12/17/34 (b) 160,000 163,963 
Series 2018-SFR1 Class F, 4.778% 3/17/35 (b) 472,000 483,904 
Series 2018-SFR2 Class F, 4.953% 8/17/35 (b) 292,000 303,396 
Series 2018-SFR3 Class F, 5.368% 10/17/35 (b) 689,000 725,226 
Series 2019-SFR1 Class F, 5.061% 8/17/35 (b) 600,000 628,210 
Series 2019-SFR2 Class F, 4.837% 5/17/36 (b) 208,000 217,068 
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) 18,895,096 19,297,225 
Residential Asset Securities Corp. Series 2003-KS10 Class MI3, 5.5562% 12/25/33 (c) 25,698 16,841 
Starwood Waypoint Homes Trust Series 2017-1:   
Class E, 1 month U.S. LIBOR + 2.600% 4.7951% 1/17/35 (b)(c)(d) 954,000 953,996 
Class F, 1 month U.S. LIBOR + 3.400% 5.5951% 1/17/35 (b)(c)(d) 963,000 963,601 
Taberna Preferred Funding III Ltd. Series 2005-3A Class D, 3 month U.S. LIBOR + 2.650% 4.9368% 2/5/36 (b)(c)(d)(k) 334,788 25 
Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, 3 month U.S. LIBOR + 4.500% 6.7868% 12/5/36 (b)(c)(d)(k) 647,946 49 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 3.0053% 9/25/34 (c)(d) 15,831 15,407 
Thunderbolt Aircraft Lease Ltd.:   
Series 2017-A Class A, 4.212% 5/17/32 (b) 13,818,175 14,176,468 
Series 2018-A Class A, 4.147% 9/15/38 (b) 21,044,542 21,681,615 
Towd Point Mortgage Trust:   
Series 2018-3 Class A1, 3.75% 5/25/58 (b) 17,894,604 18,676,543 
Series 2018-6 Class A1A, 3.75% 3/25/58 (b) 23,627,487 24,383,462 
Series 2019-1 Class A1, 3.75% 3/25/58 (b) 8,622,701 9,042,779 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 2.8626% 4/6/42 (b)(c)(d)(k) 1,639,000 1,223,186 
Tricon American Homes:   
Series 2016-SFR1:   
Class B, 2.989% 11/17/33 (b) 329,000 330,126 
Class F, 5.769% 11/17/33 (b) 807,000 833,929 
Series 2017-SFR1 Class F, 5.151% 9/17/34 (b) 1,681,000 1,747,758 
Series 2017-SFR2 Class F, 5.104% 1/17/36 (b) 280,000 293,828 
Series 2018-SFR1 Class F, 4.96% 5/17/37 (b) 1,331,000 1,395,417 
Upgrade Receivables Trust Series 2019-1A Class A, 3.48% 3/15/25 (b) 5,769,682 5,789,910 
VB-S1 Issuer LLC Series 2018-1A Class F, 5.25% 2/15/48 (b) 734,000 733,766 
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 3.9137% 4/15/32 (b)(c)(d) 21,084,000 21,072,214 
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 3.5229% 7/20/32 (b)(c)(d) 23,497,000 23,484,194 
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 3 month U.S. LIBOR + 0.850% 3.0015% 11/21/40 (b)(c)(d) 305,000 302,404 
TOTAL ASSET-BACKED SECURITIES   
(Cost $589,287,980)  600,864,800 
Collateralized Mortgage Obligations - 1.7%   
Private Sponsor - 0.7%   
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 2.406% 6/27/36 (b)(c)(d) 2,585,682 2,542,982 
BCAP LLC Trust sequential payer Series 2012-RR5 Class 8A5, 2.4715% 7/26/36 (b)(c) 445,794 438,992 
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 2.7053% 1/25/35 (c)(d) 45,670 45,567 
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(c) 2,724,225 2,764,633 
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 4.8126% 1/25/37 (b)(c) 509,539 517,908 
Countrywide Home Loans, Inc. Series 2003-R1:   
Class 2B4, 3.3614% 2/25/43(b)(c)(k) 4,755 988 
Class 2B5, 3.3614% 2/25/43 (b)(c) 2,563 118 
Credit Suisse Mortgage Trust Series 2010-9R Class 2A5, 4% 2/27/38 (b) 2,273,639 2,297,533 
CSMC:   
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 2.4664% 5/27/37 (b)(c)(d) 3,229,245 3,122,393 
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 2.966% 5/27/37 (b)(c)(d) 265,768 255,694 
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (b)(c) 6,267,590 6,267,090 
FREMF Mortgage Trust:   
Series 2010-K6 Class B, 5.5393% 12/25/46 (b)(c) 580,000 584,358 
Series 2010-K7 Class B, 5.6874% 4/25/20 (b)(c) 637,070 646,210 
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 2.5823% 8/25/60 (b)(c)(d) 14,511,541 14,483,533 
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 4.2778% 3/25/37 (c) 70,534 70,047 
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 2.7234% 10/15/54 (b)(c)(d) 19,033,677 19,014,034 
JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 2.4711% 6/21/36 (b)(c)(d) 914,548 910,314 
Lanark Master Issuer PLC:   
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.9023% 12/22/69 (b)(c)(d) 11,262,534 11,294,159 
Series 2019-2A Class 1A, 2.71% 12/22/69 (b) 42,614,000 42,916,048 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 2.436% 2/25/37 (c)(d) 226,885 227,990 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 2.4353% 7/25/35 (c)(d) 50,984 51,007 
Permanent Master Issuer PLC floater Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 2.6834% 7/15/58 (b)(c)(d) 38,785,000 38,777,088 
RBSSP Resecuritization Trust sequential payer Series 2010-1 Class 2A1, 4.1275% 7/26/45 (b)(c) 2,407,042 2,436,671 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.178% 7/20/34 (c)(d) 6,813 6,629 
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 2.8476% 1/21/70 (b)(c)(d) 22,400,000 22,405,174 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 2.7853% 9/25/43 (c)(d) 3,162,928 3,184,081 
Wells Fargo Mortgage Backed Securities Trust:   
Series 2004-BB Class A2, 4.9504% 1/25/35 (c) 528,382 540,027 
Series 2005-AR10 Class 2A15, 4.9834% 6/25/35 (c) 3,123,444 3,199,353 
Series 2005-AR2 Class 1A2, 5.0775% 3/25/35 (c) 411,154 417,078 
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (b) 2,337,701 2,334,586 
TOTAL PRIVATE SPONSOR  181,752,285 
U.S. Government Agency - 1.0%   
Fannie Mae:   
floater:   
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 2.9453% 2/25/32 (c)(d) 9,735 9,847 
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 3.182% 3/18/32 (c)(d) 17,868 18,231 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 3.1453% 4/25/32 (c)(d) 20,762 21,100 
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 3.1453% 10/25/32 (c)(d) 26,799 27,239 
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 2.8953% 1/25/32 (c)(d) 10,099 10,201 
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 5.9548% 12/25/33 (c)(i)(l) 326,412 83,805 
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 4.5348% 11/25/36 (c)(i)(l) 238,345 46,576 
planned amortization class:   
Series 1992-168 Class KB, 7% 10/25/22 7,739 8,152 
Series 1993-207 Class H, 6.5% 11/25/23 114,480 122,062 
Series 1996-28 Class PK, 6.5% 7/25/25 39,463 42,218 
Series 1999-17 Class PG, 6% 4/25/29 144,043 156,603 
Series 1999-32 Class PL, 6% 7/25/29 135,897 150,152 
Series 1999-33 Class PK, 6% 7/25/29 101,283 110,472 
Series 2001-52 Class YZ, 6.5% 10/25/31 12,809 14,775 
Series 2003-28 Class KG, 5.5% 4/25/23 65,827 68,444 
Series 2005-102 Class CO 11/25/35 (m) 72,280 66,418 
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 11.9724% 8/25/35 (c)(l) 21,601 27,814 
Series 2005-81 Class PC, 5.5% 9/25/35 192,261 211,981 
Series 2006-12 Class BO 10/25/35 (m) 327,855 301,325 
Series 2006-37 Class OW 5/25/36 (m) 32,159 29,381 
Series 2006-45 Class OP 6/25/36 (m) 108,859 99,064 
Series 2006-62 Class KP 4/25/36 (m) 185,456 170,063 
Series 2012-149:   
Class DA, 1.75% 1/25/43 3,743,607 3,724,384 
Class GA, 1.75% 6/25/42 3,890,205 3,841,064 
sequential payer:   
Series 1997-41 Class J, 7.5% 6/18/27 30,420 34,503 
Series 1999-25 Class Z, 6% 6/25/29 112,257 125,676 
Series 2001-20 Class Z, 6% 5/25/31 150,981 165,698 
Series 2001-31 Class ZC, 6.5% 7/25/31 84,323 95,831 
Series 2002-16 Class ZD, 6.5% 4/25/32 47,047 54,398 
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 5.4048% 11/25/32 (c)(i)(l) 189,673 27,878 
Series 2012-67 Class AI, 4.5% 7/25/27 (i) 807,748 66,893 
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 4.4948% 12/25/36 (c)(i)(l) 165,832 39,706 
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 4.2948% 5/25/37 (c)(i)(l) 93,826 19,401 
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 13.7319% 9/25/23 (c)(l) 5,388 6,411 
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 5.9548% 3/25/33 (c)(i)(l) 23,970 5,169 
Series 2005-72 Class ZC, 5.5% 8/25/35 1,291,592 1,406,526 
Series 2005-79 Class ZC, 5.9% 9/25/35 877,092 1,009,869 
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 27.7485% 6/25/37 (c)(l) 78,292 162,343 
Series 2007-66:   
Class SA, 39.600% - 1 month U.S. LIBOR 26.7285% 7/25/37 (c)(l) 119,567 246,627 
Class SB, 39.600% - 1 month U.S. LIBOR 26.7285% 7/25/37 (c)(l) 43,809 79,120 
Series 2007-75 Class JI, 6.545% - 1 month U.S. LIBOR 4.3998% 8/25/37 (c)(i)(l) 3,543,563 724,559 
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 4.2048% 3/25/38 (c)(i)(l) 629,358 119,374 
Series 2009-85 Class IB, 4.5% 8/25/24 (i) 3,641 
Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 4.2148% 6/25/21 (c)(i)(l) 1,211 14 
Series 2010-135:   
Class LS, 6.050% - 1 month U.S. LIBOR 3.9048% 12/25/40 (c)(i)(l) 588,034 105,767 
Class ZA, 4.5% 12/25/40 2,588,235 2,884,714 
Series 2010-139 Class NI, 4.5% 2/25/40 (i) 447,063 33,284 
Series 2010-150 Class ZC, 4.75% 1/25/41 3,065,001 3,474,533 
Series 2010-17 Class DI, 4.5% 6/25/21 (i) 1,497 12 
Series 2010-95 Class ZC, 5% 9/25/40 6,426,006 7,329,905 
Series 2010-97 Class CI, 4.5% 8/25/25 (i) 51,850 872 
Series 2011-39 Class ZA, 6% 11/25/32 417,956 478,322 
Series 2011-4 Class PZ, 5% 2/25/41 1,351,341 1,566,951 
Series 2011-67 Class AI, 4% 7/25/26 (i) 139,970 10,164 
Series 2011-83 Class DI, 6% 9/25/26 (i) 131,772 7,792 
Series 2012-100 Class WI, 3% 9/25/27 (i) 2,591,174 203,378 
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 4.5048% 12/25/30 (c)(i)(l) 825,607 76,861 
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 4.4048% 6/25/41 (c)(i)(l) 1,068,293 122,038 
Series 2013-133 Class IB, 3% 4/25/32 (i) 1,632,936 103,479 
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 3.9048% 1/25/44 (c)(i)(l) 874,701 143,145 
Series 2013-51 Class GI, 3% 10/25/32 (i) 2,462,387 205,990 
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 4.5748% 6/25/35 (c)(i)(l) 490,321 100,420 
Series 2015-42 Class IL, 6% 6/25/45 (i) 3,651,281 746,337 
Series 2015-70 Class JC, 3% 10/25/45 3,076,994 3,197,374 
Series 2017-30 Class AI, 5.5% 5/25/47 (i) 1,960,140 394,511 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339 Class 5, 5.5% 7/25/33 (i) 92,937 18,738 
Series 343 Class 16, 5.5% 5/25/34 (i) 79,338 14,546 
Series 348 Class 14, 6.5% 8/25/34 (c)(i) 54,042 11,912 
Series 351:   
Class 12, 5.5% 4/25/34 (c)(i) 35,746 6,346 
Class 13, 6% 3/25/34 (i) 48,760 9,839 
Series 359 Class 19, 6% 7/25/35 (c)(i) 30,249 6,325 
Series 384 Class 6, 5% 7/25/37 (i) 384,758 65,589 
Freddie Mac:   
floater:   
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 2.9951% 1/15/32 (c)(d) 7,980 8,072 
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 3.0951% 3/15/32 (c)(d) 11,284 11,443 
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 3.1951% 3/15/32 (c)(d) 10,959 11,138 
Series 2432:   
Class FE, 1 month U.S. LIBOR + 0.900% 3.0951% 6/15/31 (c)(d) 20,245 20,520 
Class FG, 1 month U.S. LIBOR + 0.900% 3.0951% 3/15/32 (c)(d) 6,240 6,328 
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 2.4451% 5/15/37 (c)(d) 463,377 460,365 
planned amortization class:   
Series 2006-15 Class OP 3/25/36 (m) 327,185 300,703 
Series 2095 Class PE, 6% 11/15/28 166,973 182,230 
Series 2101 Class PD, 6% 11/15/28 13,285 14,466 
Series 2121 Class MG, 6% 2/15/29 66,148 72,464 
Series 2131 Class BG, 6% 3/15/29 462,029 505,464 
Series 2137 Class PG, 6% 3/15/29 68,584 75,375 
Series 2154 Class PT, 6% 5/15/29 116,364 129,229 
Series 2162 Class PH, 6% 6/15/29 25,348 27,558 
Series 2520 Class BE, 6% 11/15/32 165,016 184,852 
Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 5.4049% 3/15/23 (c)(i)(l) 3,593 118 
Series 2693 Class MD, 5.5% 10/15/33 1,702,716 1,917,574 
Series 2802 Class OB, 6% 5/15/34 222,110 239,858 
Series 2962 Class BE, 4.5% 4/15/20 30,150 30,261 
Series 3002 Class NE, 5% 7/15/35 447,778 481,476 
Series 3110 Class OP 9/15/35 (m) 190,169 180,254 
Series 3119 Class PO 2/15/36 (m) 394,427 360,403 
Series 3121 Class KO 3/15/36 (m) 65,986 60,626 
Series 3123 Class LO 3/15/36 (m) 219,570 200,886 
Series 3145 Class GO 4/15/36 (m) 213,105 195,652 
Series 3189 Class PD, 6% 7/15/36 374,777 436,704 
Series 3225 Class EO 10/15/36 (m) 117,481 107,340 
Series 3258 Class PM, 5.5% 12/15/36 190,690 206,929 
Series 3415 Class PC, 5% 12/15/37 146,521 160,975 
Series 3786 Class HI, 4% 3/15/38 (i) 363,059 16,049 
Series 3806 Class UP, 4.5% 2/15/41 1,220,742 1,303,808 
Series 3832 Class PE, 5% 3/15/41 1,513,210 1,654,265 
Series 4135 Class AB, 1.75% 6/15/42 2,920,380 2,904,103 
sequential payer:   
Series 2135 Class JE, 6% 3/15/29 30,582 33,914 
Series 2274 Class ZM, 6.5% 1/15/31 39,724 45,025 
Series 2281 Class ZB, 6% 3/15/30 84,939 89,104 
Series 2303 Class ZV, 6% 4/15/31 39,235 43,081 
Series 2357 Class ZB, 6.5% 9/15/31 306,380 353,226 
Series 2502 Class ZC, 6% 9/15/32 74,415 83,226 
Series 2519 Class ZD, 5.5% 11/15/32 118,324 129,900 
Series 2546 Class MJ, 5.5% 3/15/23 40,004 41,626 
Series 2601 Class TB, 5.5% 4/15/23 19,316 20,215 
Series 2998 Class LY, 5.5% 7/15/25 66,620 70,170 
Series 3871 Class KB, 5.5% 6/15/41 2,500,266 2,913,252 
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 4.4049% 2/15/36 (c)(i)(l) 125,370 27,956 
Series 2013-4281 Class AI, 4% 12/15/28 (i) 1,311,179 87,435 
Series 2017-4683 Class LM, 3% 5/15/47 4,428,537 4,498,190 
Series 2844:   
Class SC, 46.800% - 1 month U.S. LIBOR 32.5317% 8/15/24 (c)(l) 1,675 2,113 
Class SD, 86.400% - 1 month U.S. LIBOR 57.9133% 8/15/24 (c)(l) 2,462 3,681 
Series 2933 Class ZM, 5.75% 2/15/35 1,724,882 2,026,566 
Series 2935 Class ZK, 5.5% 2/15/35 1,666,481 1,845,399 
Series 2947 Class XZ, 6% 3/15/35 586,087 661,317 
Series 2996 Class ZD, 5.5% 6/15/35 1,254,253 1,460,050 
Series 3237 Class C, 5.5% 11/15/36 1,784,694 2,036,613 
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 4.4649% 11/15/36 (c)(i)(l) 496,126 108,030 
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 4.5549% 3/15/37 (c)(i)(l) 721,650 164,975 
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 4.5649% 4/15/37 (c)(i)(l) 1,037,786 243,582 
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 4.3849% 6/15/37 (c)(i)(l) 376,609 74,103 
Series 3949 Class MK, 4.5% 10/15/34 320,364 339,348 
Series 3955 Class YI, 3% 11/15/21 (i) 351,857 8,201 
Series 4055 Class BI, 3.5% 5/15/31 (i) 1,453,564 100,736 
Series 4149 Class IO, 3% 1/15/33 (i) 1,146,381 127,530 
Series 4314 Class AI, 5% 3/15/34 (i) 434,986 36,578 
Series 4427 Class LI, 3.5% 2/15/34 (i) 2,836,371 244,718 
Series 4471 Class PA 4% 12/15/40 2,987,868 3,071,505 
target amortization class Series 2156 Class TC, 6.25% 5/15/29 83,057 88,432 
Freddie Mac Manufactured Housing participation certificates guaranteed:   
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 3.225% 2/15/24 (c)(d) 28,086 28,274 
sequential payer:   
Series 2043 Class ZH, 6% 4/15/28 62,321 67,998 
Series 2056 Class Z, 6% 5/15/28 119,519 130,483 
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 3,824,390 4,120,864 
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 8,710,615 9,382,874 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 4.4926% 6/16/37 (c)(i)(l) 217,290 48,194 
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 2.7911% 3/20/60 (c)(d)(n) 2,779,620 2,784,363 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 2.5711% 7/20/60 (c)(d)(n) 334,556 333,169 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 2.6795% 9/20/60 (c)(d)(n) 403,474 401,667 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 2.6795% 8/20/60 (c)(d)(n) 468,578 466,521 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.7595% 12/20/60 (c)(d)(n) 849,564 847,380 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 2.8795% 12/20/60 (c)(d)(n) 1,228,493 1,229,308 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 2.8795% 2/20/61 (c)(d)(n) 2,460,591 2,462,055 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 2.8695% 2/20/61 (c)(d)(n) 3,178,354 3,179,736 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 2.8795% 4/20/61 (c)(d)(n) 1,072,835 1,073,552 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 2.8795% 5/20/61 (c)(d)(n) 1,307,726 1,308,672 
Class FC, 1 month U.S. LIBOR + 0.500% 2.8795% 5/20/61 (c)(d)(n) 1,205,338 1,206,163 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 2.9095% 6/20/61 (c)(d)(n) 1,465,488 1,467,447 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 2.9795% 10/20/61 (c)(d)(n) 2,939,273 2,948,062 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 3.0795% 11/20/61 (c)(d)(n) 1,516,269 1,524,358 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 3.0795% 1/20/62 (c)(d)(n) 974,424 979,477 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 3.0095% 1/20/62 (c)(d)(n) 1,420,922 1,426,250 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 3.0095% 3/20/62 (c)(d)(n) 888,313 889,458 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.0295% 5/20/61 (c)(d)(n) 90,410 90,666 
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 2.8995% 10/20/62 (c)(d)(n) 808,493 809,389 
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 2.9095% 7/20/60 (c)(d)(n) 238,873 238,949 
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 2.7395% 3/20/63 (c)(d)(n) 1,355,574 1,351,848 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 2.9795% 1/20/64 (c)(d)(n) 1,439,086 1,442,982 
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 2.9795% 12/20/63 (c)(d)(n) 4,392,343 4,406,308 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 2.8795% 6/20/64 (c)(d)(n) 5,830,883 5,834,947 
Series 2014-H20 Class BF, 1 month U.S. LIBOR + 0.500% 2.8795% 9/20/64 (c)(d)(n) 18,695,568 18,708,721 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 2.7795% 12/20/62 (c)(d)(n) 678,782 678,566 
planned amortization class:   
Series 1997-8 Class PE, 7.5% 5/16/27 77,680 88,796 
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 5.6557% 12/20/40 (c)(l) 3,619,000 4,365,019 
Series 2011-136 Class WI, 4.5% 5/20/40 (i) 304,737 24,174 
Series 2016-69 Class WA, 3% 2/20/46 3,557,330 3,629,046 
Series 2017-134 Class BA, 2.5% 11/20/46 3,822,089 3,880,256 
sequential payer:   
Series 2004-24 Class ZM, 5% 4/20/34 664,397 734,087 
Series 2010-160 Class DY, 4% 12/20/40 8,023,123 8,816,926 
Series 2010-170 Class B, 4% 12/20/40 1,806,948 1,985,814 
Series 2017-139 Class BA, 3% 9/20/47 16,553,539 16,798,120 
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 4.3026% 5/16/34 (c)(i)(l) 119,202 22,829 
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 5.0026% 8/17/34 (c)(i)(l) 140,025 31,931 
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 27.0157% 6/16/37 (c)(l) 12,563 23,147 
Series 2010-116 Class QB, 4% 9/16/40 17,122,851 17,836,063 
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 2.5711% 5/20/60 (c)(d)(n) 1,077,358 1,073,081 
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 3.9279% 7/20/41 (c)(i)(l) 690,142 125,672 
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 4.5026% 6/16/42 (c)(i)(l) 447,319 91,786 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 5.7705% 4/20/39 (c)(l) 619,642 637,893 
Class ST, 8.800% - 1 month U.S. LIBOR 5.9038% 8/20/39 (c)(l) 2,154,685 2,231,846 
Series 2013-149 Class MA, 2.5% 5/20/40 9,364,666 9,560,388 
Series 2014-2 Class BA, 3% 1/20/44 7,865,493 8,246,366 
Series 2014-21 Class HA, 3% 2/20/44 3,607,680 3,788,770 
Series 2014-25 Class HC, 3% 2/20/44 5,470,454 5,772,932 
Series 2014-5 Class A, 3% 1/20/44 4,801,445 5,033,330 
Series 2015-H13 Class HA, 2.5% 8/20/64 (n) 4,671,432 4,667,769 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (n) 476,471 475,900 
Class JA, 2.5% 6/20/65 (n) 3,971,576 3,968,776 
Series 2017-186 Class HK, 3% 11/16/45 7,808,611 7,928,499 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.28% 8/20/66 (c)(d)(n) 11,997,561 11,966,664 
TOTAL U.S. GOVERNMENT AGENCY  264,292,384 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $441,707,650)  446,044,669 
Commercial Mortgage Securities - 3.1%   
280 Park Avenue Mortgage Trust floater Series 2017-280P Class F, 1 month U.S. LIBOR + 2.827% 5.0221% 9/15/34 (b)(c)(d) 1,278,000 1,283,191 
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (b) 352,000 368,938 
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.8322% 2/14/43 (c)(i) 5,781 16 
BAMLL Trust Series 2015-200P Class F, 3.7157% 4/14/33 (b)(c) 831,000 845,537 
Banc of America Merrill Lynch Large Loan, Inc. floater:   
Series 2019-AHT Class E, 1 month U.S. LIBOR + 3.200% 5.3951% 3/15/34 (b)(c)(d) 987,000 994,438 
Series 2019-RLJ Class D, 1 month U.S. LIBOR + 1.950% 4.1451% 4/15/36 (b)(c)(d) 1,365,000 1,363,817 
BANK:   
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b) 1,426,000 1,321,664 
Series 2017-BNK6 Class D, 3.1% 7/15/60 (b) 830,000 772,071 
Series 2017-BNK8 Class D, 2.6% 11/15/50 (b) 1,024,000 915,536 
Series 2018-BN12 Class D, 3% 5/15/61 (b) 866,000 789,535 
Bank Series 2018-BN15:   
Class D, 3% 11/15/61 (b) 735,000 695,972 
Class E, 3% 11/15/61 (b) 735,000 643,532 
BANK Series 2019-BN18:   
Class D, 3% 5/15/62 (b) 336,000 311,385 
Class E, 3% 5/15/62 (b) 588,000 510,827 
Bank Series 2019-BN19:   
Class D, 3% 8/15/61 (b) 672,000 621,895 
Class E, 3% 8/15/61 (b) 483,000 414,509 
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3:   
Class C, 4.352% 2/15/50 (c) 610,000 655,597 
Class D, 3.25% 2/15/50 (b) 1,222,000 1,134,389 
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class XA, 2.1313% 7/15/49 (c)(i) 28,682,409 2,409,715 
Barclays Commercial Mortgage Securities LLC:   
Series 2015-STP Class E, 4.4272% 9/10/28 (b)(c) 2,007,000 1,985,860 
Series 2018-C2 Class A5, 4.314% 12/15/51 5,000,000 5,804,431 
Bayview Commercial Asset Trust Series 2006-3A, Class IO, 0% 10/25/36 (b)(c)(i)(k) 1,749,087 
BBCMS Mortgage Trust Series 2016-ETC:   
Class D, 3.7292% 8/14/36 (b)(c) 868,000 889,935 
Class E, 3.7292% 8/14/36 (b)(c) 637,000 608,294 
Benchmark Mortgage Trust:   
Series 2018-B7:   
Class D, 3% 5/15/53 (b)(c) 614,000 575,474 
Class E, 3% 5/15/53 (b)(c) 614,000 527,245 
Class F, 3.7676% 5/15/53 (b)(c) 1,365,000 1,078,511 
Series 2018-B8 Class A5, 4.2317% 1/15/52 13,427,000 15,558,648 
Series 2019-B12 Class D, 3% 8/15/52 (b) 952,000 887,267 
Braemar Hotels & Resorts Trust floater Series 2018-PRME Class E, 1 month U.S. LIBOR + 2.400% 4.5951% 6/15/35 (b)(c)(d) 294,000 295,287 
BWAY Mortgage Trust Series 2015-1740 Class E, 4.8058% 1/10/35 (b)(c) 637,000 666,978 
BX Commercial Mortgage Trust floater Series 2018-BIOA Class F, 1 month U.S. LIBOR + 2.471% 4.6662% 3/15/37 (b)(c)(d) 613,000 616,068 
BX Trust:   
floater:   
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.625% 4.8201% 9/15/37 (b)(c)(d) 6,299,990 6,300,559 
Series 2018-IND:   
Class F, 1 month U.S. LIBOR + 1.800% 3.9951% 11/15/35 (b)(c)(d) 7,845,927 7,868,039 
Class G, 1 month U.S. LIBOR + 2.050% 4.2451% 11/15/35 (b)(c)(d) 1,104,488 1,107,949 
Class H, 1 month U.S. LIBOR + 3.000% 5.1951% 11/15/35 (b)(c)(d) 416,619 417,534 
Series 2019-IMC:   
Class B, 1 month U.S. LIBOR + 1.300% 3.4951% 4/15/34 (b)(c)(d) 11,328,000 11,327,974 
Class C, 1 month U.S. LIBOR + 1.600% 3.7951% 4/15/34 (b)(c)(d) 7,490,000 7,490,013 
Class D, 1 month U.S. LIBOR + 1.900% 4.0951% 4/15/34 (b)(c)(d) 7,862,000 7,886,608 
Class G, 1 month U.S. LIBOR + 3.600% 5.7951% 4/15/34 (b)(c)(d) 1,533,000 1,542,602 
floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 3.1951% 4/15/34 (b)(c)(d) 19,667,000 19,666,963 
BXMT Ltd. floater Series 2017-FL1 Class D, 1 month U.S. LIBOR + 2.700% 4.8974% 6/15/35 (b)(c)(d) 533,000 534,832 
CALI Mortgage Trust Series 2019-101C Class F, 4.4686% 3/10/39 (b)(c) 1,344,000 1,419,589 
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class G, 1 month U.S. LIBOR + 3.250% 5.4451% 12/15/37 (b)(c)(d) 1,264,000 1,274,272 
CCRESG Commercial Mortgage Trust Series 2016-HEAT Class E, 5.6712% 4/10/29 (b)(c) 769,000 780,859 
CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50 906,000 961,789 
CD Mortgage Trust Series 2017-CD3:   
Class C, 4.7128% 2/10/50 (c) 1,482,000 1,634,642 
Class D, 3.25% 2/10/50 (b) 1,340,000 1,250,279 
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.9394% 12/15/47 (b)(c) 478,000 508,374 
CGBAM Commercial Mortgage Trust Series 2015-SMRT:   
Class E, 3.9121% 4/10/28 (b)(c) 237,000 238,229 
Class F, 3.9121% 4/10/28 (b)(c) 1,161,000 1,167,021 
CHC Commercial Mortgage Trust floater Series 2019-CHC:   
Class A, 1 month U.S. LIBOR + 1.120% 3.3151% 6/15/34 (b)(c)(d) 28,667,000 28,666,943 
Class B, 1 month U.S. LIBOR + 1.500% 3.6951% 6/15/34 (b)(c)(d) 5,643,000 5,643,011 
Class C, 1 month U.S. LIBOR + 1.750% 3.9451% 6/15/34 (b)(c)(d) 6,376,000 6,376,010 
Class E, 1 month U.S. LIBOR + 2.350% 4.5451% 6/15/34 (b)(c)(d) 2,730,000 2,730,002 
Class F, 1 month U.S. LIBOR + 2.608% 4.8033% 6/15/34 (b)(c)(d) 3,822,000 3,793,240 
Citigroup Commercial Mortgage Trust:   
Series 19-SMRT Class E, 4.9031% 1/10/24 (b)(c) 791,000 828,605 
Series 2013-375P Class E, 3.6348% 5/10/35 (b)(c) 1,306,000 1,310,050 
Series 2013-GC15 Class D, 5.3888% 9/10/46 (b)(c) 2,196,000 2,331,932 
Series 2015-GC29 Class XA, 1.2411% 4/10/48 (c)(i) 41,604,445 1,816,180 
Series 2015-GC33 Class XA, 1.0759% 9/10/58 (c)(i) 57,669,033 2,518,130 
Series 2015-SHP2 Class E, 1 month U.S. LIBOR + 4.350% 6.5451% 7/15/27 (b)(c)(d) 834,000 835,484 
Series 2016-C3 Class D, 3% 11/15/49 (b) 1,507,000 1,287,670 
Series 2016-P6 Class XA, 0.9461% 12/10/49 (c)(i) 52,185,190 1,912,232 
Series 2018-C6 Class A4, 4.412% 11/10/51 3,448,000 4,038,368 
Series 2019-GC41:   
Class D, 3% 8/10/56 (b) 378,000 352,420 
Class E, 3% 8/10/56 (b) 834,000 717,127 
COMM Mortgage Trust:   
floater:   
Series 2018-HCLV:   
Class F, 1 month U.S. LIBOR + 3.050% 5.2451% 9/15/33 (b)(c)(d) 468,000 468,101 
Class G, 1 month U.S. LIBOR + 5.056% 7.2514% 9/15/33 (b)(c)(d) 544,000 523,607 
Series 2019-521F Class F, 1 month U.S. LIBOR + 2.394% 4.5891% 6/15/34 (b)(c)(d) 1,260,000 1,251,171 
sequential payer:   
Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) 5,924,751 6,140,436 
Series 2013-LC6 Class E, 3.5% 1/10/46 (b) 1,476,000 1,275,307 
Series 2012-CR1:   
Class C, 5.4976% 5/15/45 (c) 769,000 809,576 
Class D, 5.4976% 5/15/45 (b)(c) 2,108,000 2,159,323 
Class G, 2.462% 5/15/45 (b) 774,000 631,089 
Series 2012-LC4:   
Class C, 5.7223% 12/10/44 (c) 166,000 174,102 
Class D, 5.7223% 12/10/44 (b)(c) 1,199,470 1,058,754 
Series 2013-CR10:   
Class C, 4.9489% 8/10/46 (b)(c) 314,000 336,437 
Class D, 4.9489% 8/10/46 (b)(c) 1,490,000 1,541,301 
Series 2013-CR12 Class D, 5.2308% 10/10/46 (b)(c) 1,205,000 1,059,189 
Series 2013-CR9 Class C, 4.3971% 7/10/45 (b)(c) 334,462 333,995 
Series 2013-LC6 Class D, 4.404% 1/10/46 (b)(c) 1,664,000 1,717,212 
Series 2014-CR15 Class D, 4.8983% 2/10/47 (b)(c) 298,000 320,593 
Series 2014-CR17 Class E, 5.0118% 5/10/47 (b)(c) 255,000 246,934 
Series 2014-CR19 Class XA, 1.2328% 8/10/47 (c)(i) 75,768,856 3,216,047 
Series 2014-CR20 Class XA, 1.2084% 11/10/47 (c)(i) 70,006,586 3,166,853 
Series 2014-LC17 Class XA, 0.9977% 10/10/47 (c)(i) 52,681,923 1,598,944 
Series 2014-UBS2 Class D, 5.1691% 3/10/47 (b)(c) 994,000 947,565 
Series 2014-UBS4 Class XA, 1.2659% 8/10/47 (c)(i) 60,370,711 2,713,857 
Series 2014-UBS6 Class XA, 1.0841% 12/10/47 (c)(i) 89,956,456 3,287,288 
Series 2015-3BP Class F, 3.3463% 2/10/35 (b)(c) 1,538,000 1,533,665 
Series 2015-CR23 Class CME, 3.8073% 5/10/48 (b)(c) 308,000 307,704 
Series 2015-DC1 Class XA, 1.2533% 2/10/48 (c)(i) 94,679,195 3,725,636 
Series 2016-CD1 Class D, 2.9014% 8/10/49 (b)(c) 947,000 859,960 
Series 2017-CD4 Class D, 3.3% 5/10/50 (b) 1,079,000 1,007,916 
COMM Mortgage Trust pass-thru certificates Series 2005-LP5 Class F, 4.6619% 5/10/43 (b)(c) 426,986 423,294 
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b) 368,000 348,095 
Commercial Mortgage Trust Series 2016-CD2:   
Class C, 4.1629% 11/10/49 (c) 619,000 658,409 
Class D, 2.9129% 11/10/49 (c) 546,000 495,083 
Commercial Mortgage Trust pass-thru certificates:   
Series 2012-CR2:   
Class D, 4.992% 8/15/45 (b)(c) 105,000 107,819 
Class E, 4.992% 8/15/45 (b)(c) 1,801,000 1,778,662 
Class F, 4.25% 8/15/45 (b) 2,033,000 1,825,965 
Series 2014-CR2 Class G, 4.25% 8/15/45 (b) 522,000 369,155 
Core Industrial Trust:   
floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 3.0751% 12/15/31 (b)(c)(d) 10,250,000 10,249,983 
Series 2015-CALW Class G, 3.9787% 2/10/34 (b)(c) 740,000 768,928 
Series 2015-TEXW Class F, 3.977% 2/10/34 (b)(c) 1,347,000 1,383,521 
Series 2015-WEST Class F, 4.3677% 2/10/37 (b)(c) 1,711,000 1,850,826 
Credit Suisse First Boston Mortgage Securities Corp. Series 1998-C1 Class H, 6% 5/17/40 (b) 194,188 158,537 
Credit Suisse Mortgage Trust:   
floater:   
Series 2019-ICE4:   
Class A, 1 month U.S. LIBOR + 0.980% 3.1751% 5/15/36 (b)(c)(d) 46,000,000 46,028,865 
Class F, 1 month U.S. LIBOR + 2.650% 4.8451% 5/15/36 (b)(c)(d) 693,000 696,470 
Series 2019-SKLZ Class D, 1 month U.S. LIBOR + 3.600% 5.7951% 1/15/34 (b)(c)(d) 647,000 652,606 
Series 2018-SITE:   
Class A, 4.284% 4/15/36 (b) 11,930,000 12,793,573 
Class B, 4.5349% 4/15/36 (b) 3,730,000 3,992,040 
Class C, 4.9414% 4/15/36 (b)(c) 2,462,000 2,623,717 
Class D, 4.9414% 4/15/36 (b)(c) 4,923,000 5,163,047 
CSAIL Commercial Mortgage Trust:   
Series 2017-C8 Class D, 4.4701% 6/15/50 (b) 1,278,000 1,256,978 
Series 2017-CX10 Class UESD, 4.3778% 10/15/32 (b)(c) 1,055,000 1,073,142 
Series 2017-CX9 Class D, 4.2934% 9/15/50 (b)(c) 518,000 507,756 
Series 2018-CX11 Class C, 4.9521% 4/15/51 (c) 495,000 552,336 
CSAIL Commercial Mtg Trust Series 2018-C14 Class A4 4.4216% 11/15/51 8,986,000 10,487,761 
CSMC Trust Series 2017-MOON Class E, 3.303% 7/10/34 (b)(c) 1,363,000 1,353,991 
DBCCRE Mortgage Trust Series 2014-ARCP:   
Class D, 5.099% 1/10/34 (b)(c) 458,000 478,646 
Class E, 5.099% 1/10/34 (b)(c) 1,487,000 1,519,036 
DBGS Mortgage Trust:   
Series 2018-C1 Class D, 3.0354% 10/15/51 (b)(c) 504,000 467,675 
Series 2019-1735 Class F, 4.3344% 4/10/37 (b)(c) 1,188,000 1,182,221 
DBUBS Mortgage Trust:   
Series 2011-LC1A:   
Class E, 5.8847% 11/10/46 (b)(c) 2,136,000 2,215,471 
Class F, 5.8847% 11/10/46 (b)(c) 2,129,000 2,199,471 
Class G, 4.652% 11/10/46 (b) 2,273,000 2,165,225 
Class XB, 0.385% 11/10/46 (b)(c)(i) 13,328,000 59,731 
Series 2011-LC3A Class D, 5.5117% 8/10/44 (b)(c) 969,000 1,010,372 
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.6332% 8/10/49 (c) 382,000 392,944 
Freddie Mac:   
pass-thru certificates:   
Series K011 Class X3, 2.6604% 12/25/43 (c)(i) 1,045,000 33,411 
Series K012 Class X3, 2.329% 1/25/41 (c)(i) 1,128,055 33,219 
Series K013 Class X3, 2.91% 1/25/43 (c)(i) 1,113,000 41,763 
Series KAIV Class X2, 3.6147% 6/25/41 (c)(i) 574,000 34,289 
FREMF Mortgage Trust:   
Series 2010-K9 Class B, 5.3756% 9/25/45 (b)(c) 1,156,000 1,182,172 
Series 2011-K10 Class B, 4.7809% 11/25/49 (b)(c) 319,000 326,323 
Series 2011-K11 Class B, 4.567% 12/25/48 (b)(c) 478,000 489,319 
GMAC Commercial Mortgage Securities, Inc.:   
Series 1997-C2 Class H, 6.75% 4/15/29 (c) 510,532 436,395 
Series 1999-C2I Class K, 6.481% 9/15/33 (o) 1,020,402 1,043,350 
GPMT Ltd. floater Series 2018-FL1 Class D, 1 month U.S. LIBOR + 2.950% 5.1186% 11/21/35 (b)(c)(d) 424,000 426,120 
Grace Mortgage Trust Series 2014-GRCE Class F, 3.7098% 6/10/28 (b)(c) 1,219,000 1,230,610 
GS Mortgage Securities Corp. II Series 2010-C1 Class X, 1.4731% 8/10/43 (b)(c)(i) 2,908,687 23,976 
GS Mortgage Securities Corp. Trust floater Series 2019-SOHO Class E, 1 month U.S. LIBOR + 1.875% 4.0698% 6/15/36 (b)(c)(d) 900,000 897,310 
GS Mortgage Securities Trust:   
floater:   
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 3.6451% 9/15/31 (b)(c)(d) 38,854,000 38,759,985 
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 3.2851% 10/15/31 (b)(c)(d) 10,027,000 10,020,004 
sequential payer Series 2018-GS10 Class A5, 4.155% 7/10/51 2,990,000 3,427,211 
Series 2010-C2:   
Class D, 5.3529% 12/10/43 (b)(c) 910,000 937,440 
Class XA, 0.2371% 12/10/43 (b)(c)(i) 1,941,851 2,378 
Series 2011-GC3 Class D, 5.8246% 3/10/44 (b)(c) 323,000 336,865 
Series 2011-GC5:   
Class C, 5.5565% 8/10/44 (b)(c) 908,923 946,078 
Class D, 5.5565% 8/10/44 (b)(c) 2,158,688 2,135,786 
Class E, 5.5565% 8/10/44 (b)(c) 773,957 707,701 
Class F, 4.5% 8/10/44 (b) 1,339,218 945,101 
Series 2012-GC6:   
Class D, 5.8397% 1/10/45 (b)(c) 1,837,000 1,897,929 
Class E, 5% 1/10/45 (b)(c) 1,117,000 1,037,884 
Series 2012-GC6I Class F, 5% 1/10/45 (c) 447,457 358,310 
Series 2012-GCJ7:   
Class C, 5.8754% 5/10/45 (c) 1,043,000 1,104,700 
Class D, 5.8754% 5/10/45 (b)(c) 2,561,000 2,568,593 
Class E, 5% 5/10/45 (b) 845,140 636,295 
Class F, 5% 5/10/45 (b) 2,253,469 885,259 
Series 2012-GCJ9:   
Class D, 4.9021% 11/10/45 (b)(c) 1,910,000 1,964,010 
Class E, 4.9021% 11/10/45 (b)(c) 896,000 857,722 
Series 2013-GC10 Class D, 4.5414% 2/10/46 (b)(c) 586,000 593,178 
Series 2013-GC12:   
Class D, 4.5878% 6/10/46 (b)(c) 254,518 253,738 
Class XA, 1.5598% 6/10/46 (c)(i) 16,468,886 715,889 
Series 2013-GC13 Class D, 4.2187% 7/10/46 (b)(c) 1,907,000 1,882,820 
Series 2013-GC16:   
Class C, 5.4877% 11/10/46 (c) 421,844 466,516 
Class D, 5.4877% 11/10/46 (b)(c) 1,161,000 1,262,998 
Class F, 3.5% 11/10/46 (b) 970,000 780,879 
Series 2014-GC20 Class XA, 1.2265% 4/10/47 (c)(i) 88,770,318 3,000,383 
Series 2015-GC34 Class XA, 1.4773% 10/10/48 (c)(i) 18,241,108 1,137,331 
Series 2016-GS2:   
Class C, 4.6784% 5/10/49 (c) 771,000 850,716 
Class D, 2.753% 5/10/49 (b) 703,000 638,562 
Series 2016-GS3 Class D, 2.62% 10/10/49 (b) 1,935,000 1,744,010 
Series 2016-GS4 Class C, 3.9215% 11/10/49 (c) 464,000 481,822 
Series 2016-REMZ Class MZB, 7.727% 2/10/21 (b) 1,224,000 1,245,596 
Series 2016-RENT:   
Class E, 4.2022% 2/10/29 (b)(c) 3,220,000 3,245,787 
Class F, 4.2022% 2/10/29 (b)(c) 3,434,000 3,439,589 
Series 2017-GS6 Class D, 3.243% 5/10/50 (b) 1,720,000 1,586,437 
Series 2018-GS9 Class D, 3% 3/10/51 (b) 835,000 721,913 
Series 2019-GC38 Class D, 3% 2/10/52 (b) 446,000 421,827 
Series 2019-GC39 Class D, 3% 5/10/52 (b) 1,176,000 1,098,557 
Series 2019-GC40:   
Class D, 3% 7/10/52 (b) 924,000 862,592 
Class DBF, 3.668% 7/10/52 (b)(c) 1,107,500 1,079,680 
Class E, 3% 7/10/52 (b) 546,000 466,278 
Hilton U.S.A. Trust:   
Series 2016-HHV Class F, 4.3333% 11/5/38 (b)(c) 1,817,000 1,867,426 
Series 2016-SFP Class F, 6.1552% 11/5/35 (b) 2,130,000 2,151,522 
Home Partners of America Trust Series 2019-1:   
Class E, 3.604% 9/17/39 (b) 713,000 717,011 
Class F, 4.101% 9/17/39 (b) 116,000 115,311 
Hudson Yards Mortgage Trust Series 2019-30HY Class E, 3.5579% 7/10/39 (b)(c) 861,000 870,233 
IMT Trust Series 2017-APTS:   
Class EFL, 1 month U.S. LIBOR + 2.150% 4.3451% 6/15/34 (b)(c)(d) 608,000 608,191 
Class FFL, 1 month U.S. LIBOR + 2.850% 5.0451% 6/15/34 (b)(c)(d) 228,000 228,215 
Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (b) 1,064,000 1,139,626 
Invitation Homes Trust floater:   
Series 2018-SFR3 Class F, 1 month U.S. LIBOR + 2.250% 4.432% 7/17/37 (b)(c)(d) 1,184,000 1,182,101 
Series 2018-SFR4 Class F, 1 month U.S. LIBOR + 2.200% 4.382% 1/17/38 (b)(c)(d) 744,000 741,007 
JP Morgan Chase Commercial Mortgage Securities Trust floater:   
Series 2018-LAQ Class E, 1 month U.S. LIBOR + 3.000% 5.1951% 6/15/35 (b)(c)(d) 65,703 65,949 
Series 2019-MFP:   
Class E, 4.3551% 7/15/36 (b) 1,029,000 1,032,868 
Class F, 1 month U.S. LIBOR + 3.000% 5.1951% 7/15/36 (b)(c)(d) 336,000 337,262 
JPMBB Commercial Mortgage Securities Trust:   
Series 2014-C19 Class XA, 0.9299% 4/15/47 (c)(i) 8,012,007 183,570 
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b) 194,000 163,219 
Series 2014-C26 Class D, 4.0272% 1/15/48 (b)(c) 758,000 743,568 
Series 2015-C30 Class XA, 0.6742% 7/15/48 (c)(i) 47,635,284 1,276,954 
Series 2015-C32 Class C, 4.816% 11/15/48 (c) 1,942,000 2,098,640 
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.5772% 12/15/49 (b)(c) 1,251,000 1,151,147 
JPMDB Commercial Mortgage Securities Trust:   
Series 2016-C4:   
Class C, 3.2198% 12/15/49 (c) 603,000 605,475 
Class D, 3.2198% 12/15/49 (b)(c) 1,242,000 1,146,370 
Series 2017-C7:   
Class C, 4.3241% 10/15/50 (c) 347,000 376,493 
Class D, 3% 10/15/50 (b) 602,000 546,068 
Series 2018-C8 Class D, 3.403% 6/15/51 (b)(c) 406,000 377,818 
JPMorgan Chase Commercial Mortgage Securities Corp.:   
Series 2009-IWST:   
Class C, 7.6935% 12/5/27 (b)(c) 242,000 242,845 
Class D, 7.6935% 12/5/27 (b)(c) 1,201,000 1,205,195 
Series 2012-CBX:   
Class C, 5.3027% 6/15/45 (c) 159,000 166,436 
Class D, 5.3027% 6/15/45 (b)(c) 886,000 905,793 
Class E, 5.3027% 6/15/45 (b)(c) 1,135,000 1,109,223 
Class F, 4% 6/15/45 (b) 1,124,000 958,901 
Class G 4% 6/15/45 (b) 1,233,000 758,716 
JPMorgan Chase Commercial Mortgage Securities Trust:   
Series 2004-CBX Class D, 5.097% 1/12/37 (c) 71,977 71,976 
Series 2011-C3:   
Class E, 5.8526% 2/15/46 (b)(c) 1,156,000 1,093,531 
Class G, 4.409% 2/15/46 (b)(c) 368,000 314,574 
Class H, 4.409% 2/15/46 (b)(c) 828,000 619,783 
Class J, 4.409% 2/15/46 (b)(c)(k) 106,000 60,742 
Series 2011-C4:   
Class E, 5.7196% 7/15/46 (b)(c) 1,398,000 1,461,643 
Class F, 3.873% 7/15/46 (b) 166,000 167,066 
Class H, 3.873% 7/15/46 (b) 784,250 751,197 
Class NR, 3.873% 7/15/46 (b) 420,000 335,473 
Series 2011-C5:   
Class B. 5.554% 8/15/46 (b)(c) 726,000 763,624 
Class C, 5.554% 8/15/46 (b)(c) 414,648 434,090 
Series 2013-LC11:   
Class C, 3.9582% 4/15/46 (c) 1,025,000 1,052,449 
Class D, 4.3069% 4/15/46 (c) 1,638,000 1,475,439 
Class F, 3.25% 4/15/46 (b)(c) 1,851,000 786,975 
Series 2014-DSTY:   
Class D, 3.9314% 6/10/27 (b)(c) 945,000 613,227 
Class E, 3.9314% 6/10/27 (b)(c) 1,519,000 509,947 
Series 2015-UES Class F, 3.7417% 9/5/32 (b)(c) 1,253,000 1,250,059 
Series 2018-AON Class F, 4.767% 7/5/31 (b)(c) 743,000 764,653 
Series 2018-WPT:   
Class CFX, 4.9498% 7/5/33 (b) 2,322,000 2,507,748 
Class DFX, 5.3503% 7/5/33 (b) 3,571,000 3,861,673 
Class EFX, 5.5422% 7/5/33 (b) 4,886,000 5,233,844 
Class XAFX, 1.2948% 7/5/33 (b)(c)(i) 35,039,000 1,430,520 
Series 2019-OSB Class E, 3.9089% 6/5/39 (b) 1,071,000 1,124,621 
KNDL 2019-KNSQ Mortgage Trust floater Series 2019-KNSQ Class F, 1 month U.S. LIBOR + 2.000% 4.1951% 5/15/36 (b)(c)(d) 1,113,000 1,113,038 
Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 4.0278% 5/15/31 (b)(c) 1,339,000 1,345,135 
Liberty Street Trust Series 2016-225L:   
Class D, 4.8035% 2/10/36 (b)(c) 375,000 414,390 
Class E, 4.8035% 2/10/36 (b)(c) 942,000 1,014,216 
Mach One Trust LLC Series 2004-1A Class M, 5.45% 5/28/40 (b)(c) 53,475 53,179 
Merrill Lynch Mortgage Trust Series 2006-C1 Class AJ, 5.7794% 5/12/39 (c) 275,328 277,223 
Morgan Stanley BAML Trust:   
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 698,000 717,748 
Series 2012-C5 Class E, 4.8343% 8/15/45 (b)(c) 288,000 299,247 
Series 2012-C6 Class D, 4.7618% 11/15/45 (b)(c) 1,469,000 1,532,190 
Series 2013-C12 Class D, 4.9245% 10/15/46 (b)(c) 1,299,000 1,347,060 
Series 2013-C13:   
Class D, 5.0714% 11/15/46 (b)(c) 1,579,000 1,667,385 
Class E, 5.0714% 11/15/46 (b)(c) 785,081 737,186 
Series 2013-C7:   
Class C, 4.2611% 2/15/46 (c) 308,000 319,490 
Class D, 4.3771% 2/15/46 (b)(c) 1,341,000 1,320,722 
Class E, 4.3771% 2/15/46 (b)(c) 391,000 343,058 
Series 2013-C8 Class D, 4.1935% 12/15/48 (b)(c) 504,000 513,486 
Series 2013-C9:   
Class C, 4.1734% 5/15/46 (c) 920,000 949,263 
Class D, 4.2614% 5/15/46 (b)(c) 1,700,000 1,729,570 
Class E, 4.2614% 5/15/46 (b)(c) 722,000 717,257 
Series 2014-C17 Class XA, 1.2738% 8/15/47 (c)(i) 82,847,670 3,414,260 
Series 2015-C25 Class XA, 1.2557% 10/15/48 (c)(i) 29,661,136 1,506,379 
Series 2016-C30:   
Class C, 4.2629% 9/15/49 (c) 266,000 285,396 
Class D, 3% 9/15/49 (b) 495,000 427,256 
Series 2016-C31:   
Class C, 4.4587% 11/15/49 (c) 603,000 631,288 
Class D, 3% 11/15/49 (b)(c) 772,000 656,679 
Series 2016-C32:   
Class C, 4.4356% 12/15/49 (c) 415,000 436,220 
Class D, 3.396% 12/15/49 (b) 997,000 836,839 
Series 2017-C33 Class D, 3.356% 5/15/50 (b) 947,000 878,686 
Morgan Stanley Capital I Trust:   
floater Series 2019-AGLN:   
Class A, 1 month U.S. LIBOR + 0.950% 3.1451% 3/15/34 (b)(c)(d) 13,540,000 13,548,421 
Class F, 1 month U.S. LIBOR + 2.600% 4.7951% 3/15/34 (b)(c)(d) 1,890,000 1,899,461 
Class G, 1 month U.S. LIBOR + 3.150% 5.3451% 3/15/34 (b)(c)(d) 420,000 422,629 
sequential payer Series 2018-L1 Class A4, 4.407% 10/15/51 8,710,000 10,176,712 
Series 1998-CF1 Class G, 7.2476% 7/15/32 (b)(c) 39,000 34,592 
Series 2011-C1:   
Class D, 5.5539% 9/15/47 (b)(c) 2,059,000 2,138,148 
Class E, 5.5539% 9/15/47 (b)(c) 530,100 550,356 
Series 2011-C2:   
Class D, 5.6705% 6/15/44 (b)(c) 1,788,000 1,806,164 
Class E, 5.6705% 6/15/44 (b)(c) 921,000 913,442 
Class F, 5.6705% 6/15/44 (b)(c) 748,000 690,659 
Class XB, 0.3873% 6/15/44 (b)(c)(i) 5,005,948 27,954 
Series 2011-C3:   
Class AJ, 5.2925% 7/15/49 (b)(c) 7,800,000 8,182,342 
Class D, 5.2925% 7/15/49 (b)(c) 2,163,000 2,196,031 
Class E, 5.2925% 7/15/49 (b)(c) 1,210,000 1,202,304 
Class F, 5.2925% 7/15/49 (b)(c) 332,000 320,612 
Class G, 5.2925% 7/15/49 (b)(c) 1,123,200 1,021,495 
Series 2012-C4 Class D, 5.6002% 3/15/45 (b)(c) 425,000 422,440 
Series 2014-150E:   
Class C, 4.4382% 9/9/32 (b)(c) 418,000 451,663 
Class F, 4.4382% 9/9/32 (b)(c) 734,000 763,842 
Series 2014-CPT Class F, 3.5604% 7/13/29 (b)(c) 915,000 923,606 
Series 2015-MS1:   
Class C, 4.1652% 5/15/48 (c) 468,000 489,934 
Class D, 4.1652% 5/15/48 (b)(c) 1,371,000 1,324,620 
Series 2015-UBS8 Class D, 3.18% 12/15/48 (b) 883,000 801,824 
Series 2016-BNK2:   
Class C, 3% 11/15/49 (b) 1,456,000 1,346,725 
Class D, 4.0367% 11/15/49 (c) 603,000 639,203 
Series 2017-CLS Class F, 1 month U.S. LIBOR + 2.600% 4.7951% 11/15/34 (b)(c)(d) 822,000 822,516 
Series 2018-H4 Class A4, 4.31% 12/15/51 29,962,000 34,896,454 
Series 2018-MP Class E, 4.4185% 7/11/40 (b)(c) 1,318,000 1,352,280 
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.8881% 7/15/33 (b)(c) 85,809 89,900 
Motel 6 Trust floater:   
Series 2017-M6MZ, Class M, 1 month U.S. LIBOR + 6.927% 9.1216% 8/15/24 (b)(c)(d) 576,536 581,490 
Series 2017-MTL6, Class F, 1 month U.S. LIBOR + 4.250% 6.4451% 8/15/34 (b)(c)(d) 2,971,648 2,983,724 
MSCCG Trust floater Series 2018-SELF Class E, 1 month U.S. LIBOR + 2.150% 4.3451% 10/15/37 (b)(c)(d) 679,000 681,970 
MSCG Trust Series 2016-SNR:   
Class A, 3.4596% 11/15/34 (b)(c) 10,800,811 10,877,380 
Class B, 4.181% 11/15/34 (b) 4,567,900 4,642,385 
Class C, 5.205% 11/15/34 (b) 3,195,150 3,273,826 
Class D, 6.55% 11/15/34 (b) 2,313,700 2,381,541 
Class E, 6.8087% 11/15/34 (b) 561,000 554,902 
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 5.0127% 9/5/47 (b)(c) 311,000 340,569 
MTRO Commercial Mortgage Trust floater Series 2019-TECH Class E, 1 month U.S. LIBOR + 2.050% 4.2451% 12/15/33(b)(c)(d) 742,000 742,001 
NationsLink Funding Corp. Series 1999-LTL1 Class D, 6.45% 1/22/26 (b) 6,108 6,113 
Natixis Commercial Mortgage Securities Series 2019-10K Class F, 4.2724% 5/15/39 (b)(c) 1,374,000 1,300,539 
Natixis Commercial Mortgage Securities Trust:   
floater Series 2018-FL1:   
Class WAN1, 1 month U.S. LIBOR + 2.750% 5.075% 6/15/35 (b)(c)(d) 132,000 132,421 
Class WAN2, 1 month U.S. LIBOR + 3.750% 6.075% 6/15/35 (b)(c)(d) 128,000 127,531 
Series 2018-285M Class F, 3.9167% 11/15/32 (b)(c) 307,000 303,162 
Series 2018-TECH Class F, 1 month U.S. LIBOR + 3.000% 5.1951% 11/15/34 (b)(c)(d) 245,000 241,009 
NYT Mortgage Trust floater Series 2019-NYT Class F, 1 month U.S. LIBOR + 3.000% 5.1951% 11/15/35 (b)(c)(d) 1,385,000 1,395,389 
Progress Residential Series 2019-SFR3 Class F, 3.867% 9/17/36 (b) 546,000 547,964 
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) 1,121,217 1,404,703 
RETL floater Series 2019-RVP:   
Class A, 1 month U.S. LIBOR + 1.150% 3.3451% 3/15/36 (b)(c)(d) 9,884,487 9,899,913 
Class B, 1 month U.S. LIBOR + 1.550% 3.7451% 3/15/36 (b)(c)(d) 12,500,000 12,546,890 
Class C, 1 month U.S. LIBOR + 2.100% 4.2951% 3/15/36 (b)(c)(d) 20,234,000 20,316,223 
TIAA Seasoned Commercial Mortgage Trust:   
sequential payer Series 2007-C4 Class AJ, 5.4832% 8/15/39 (c) 16,773 16,818 
Series 2007-C4 Class F, 5.4832% 8/15/39 (c) 1,110,000 1,087,424 
UBS Commercial Mortgage Trust:   
Series 2012-C1:   
Class D, 5.7279% 5/10/45 (b)(c) 1,367,000 1,390,950 
Class E, 5% 5/10/45 (b)(c) 595,000 555,147 
Class F, 5% 5/10/45 (b)(c) 762,700 607,939 
Series 2017-C7 Class XA, 1.2152% 12/15/50 (c)(i) 53,828,460 3,600,177 
UBS-BAMLL Trust:   
Series 12-WRM Class D, 4.3793% 6/10/30 (b)(c) 746,000 732,845 
Series 2012-WRM:   
Class C, 4.3793% 6/10/30 (b)(c) 110,000 111,502 
Class E, 4.3793% 6/10/30 (b)(c) 849,000 820,706 
VNO Mortgage Trust Series 2012-6AVE Class D, 3.4484% 11/15/30 (b)(c) 828,000 842,692 
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (b) 180,000 184,222 
Wells Fargo Commercial Mortgage Trust:   
Series 2010-C1 Class XB, 0.6613% 11/15/43 (b)(c)(i) 15,792,866 96,449 
Series 2012-LC5:   
Class C, 4.693% 10/15/45 (c) 362,000 383,300 
Class D, 4.9182% 10/15/45 (b)(c) 1,939,000 2,017,781 
Class E, 4.9182% 10/15/45 (b)(c) 869,082 873,495 
Class F, 4.9182% 10/15/45 (b)(c) 252,000 236,070 
Series 2015-C31 Class XA, 1.1774% 11/15/48 (c)(i) 23,403,818 1,217,338 
Series 2015-NXS4 Class E, 3.7509% 12/15/48 (b)(c) 645,000 577,991 
Series 2016-BNK1:   
Class C, 3.071% 8/15/49 446,000 443,229 
Class D, 3% 8/15/49 (b) 487,000 418,226 
Series 2016-C34 Class XA, 2.3089% 6/15/49 (c)(i) 21,354,461 2,064,041 
Series 2016-C35 Class D, 3.142% 7/15/48 (b) 1,739,000 1,500,074 
Series 2016-LC25 Class C, 4.5664% 12/15/59 (c) 575,000 610,450 
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b) 1,337,000 1,204,973 
Series 2017-C38 Class D, 3% 7/15/50 (b)(c) 1,478,000 1,308,253 
Series 2017-RB1 Class D, 3.401% 3/15/50 (b) 595,000 557,172 
Series 2018-C43 Class C, 4.514% 3/15/51 401,000 438,129 
Series 2018-C46 Class XA, 1.1126% 8/15/51 (c)(i) 47,119,495 2,840,500 
Series 2018-C48 Class A5, 4.302% 1/15/52 15,999,000 18,537,825 
WF-RBS Commercial Mortgage Trust:   
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 2.9174% 6/15/46 (b)(c)(d) 19,522,519 19,539,107 
sequential payer Series 2011-C4I Class G, 5% 6/15/44 372,000 263,928 
Series 2011-C3:   
Class C, 5.335% 3/15/44 (b) 229,000 237,195 
Class D, 5.8555% 3/15/44 (b)(c) 949,000 817,981 
Class E, 5% 3/15/44 (b) 733,000 379,367 
Class F, 5% 3/15/44 (b) 761,000 165,469 
Series 2011-C4:   
Class D, 5.3966% 6/15/44 (b)(c) 474,000 484,318 
Class E, 5.3966% 6/15/44 (b)(c) 335,432 335,680 
Series 2011-C5:   
Class C, 5.858% 11/15/44 (b)(c) 160,000 169,460 
Class D, 5.858% 11/15/44 (b)(c) 1,195,000 1,252,173 
Class E, 5.858% 11/15/44 (b)(c) 1,670,000 1,719,876 
Class F, 5.25% 11/15/44 (b)(c) 1,099,000 1,032,860 
Class G, 5.25% 11/15/44 (b)(c) 376,000 336,928 
Class XA, 1.8834% 11/15/44 (b)(c)(i) 2,339,522 63,118 
Series 2012-C6 Class D, 5.7677% 4/15/45 (b)(c) 702,000 738,833 
Series 2012-C7:   
Class C, 4.9689% 6/15/45 (c) 1,226,000 1,262,730 
Class E, 4.9689% 6/15/45 (b)(c) 2,074,312 1,728,115 
Class F, 4.5% 6/15/45 (b) 421,434 256,173 
Class G, 4.5% 6/15/45 (b) 1,242,487 509,908 
Series 2012-C8:   
Class D, 5.0487% 8/15/45 (b)(c) 524,000 536,948 
Class E, 5.0487% 8/15/45 (b)(c) 367,000 376,069 
Series 2013-C11:   
Class D, 4.4035% 3/15/45 (b)(c) 801,251 820,907 
Class E, 4.4035% 3/15/45 (b)(c) 1,774,872 1,793,251 
Series 2013-C13 Class D, 4.2763% 5/15/45 (b)(c) 580,000 593,191 
Series 2013-C16 Class D, 5.1935% 9/15/46 (b)(c) 211,000 209,162 
Series 2013-UBS1 Class D, 4.8976% 3/15/46 (b)(c) 830,625 851,366 
Series 2014-C21 Class XA, 1.1954% 8/15/47 (c)(i) 56,594,069 2,407,512 
Series 2014-C24 Class XA, 1.0046% 11/15/47 (c)(i) 20,360,145 670,472 
Series 2014-LC14 Class XA, 1.397% 3/15/47 (c)(i) 35,498,753 1,498,977 
Worldwide Plaza Trust Series 2017-WWP:   
Class E, 3.7154% 11/10/36 (b)(c) 348,000 347,513 
Class F, 3.7154% 11/10/36 (b)(c) 1,960,000 1,882,539 
WP Glimcher Mall Trust Series 2015-WPG:   
Class PR1, 3.6332% 6/5/35 (b)(c) 528,000 457,311 
Class PR2, 3.6332% 6/5/35 (b)(c) 1,378,000 1,140,547 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $758,125,663)  781,625,141 
Municipal Securities - 0.7%   
California Gen. Oblig.:   
Series 2009: 
7.35% 11/1/39 1,690,000 2,701,076 
7.5% 4/1/34 5,800,000 9,137,436 
7.55% 4/1/39 11,940,000 20,020,156 
Series 2010, 7.625% 3/1/40 6,440,000 10,743,337 
7.3% 10/1/39 17,580,000 27,926,182 
Chicago Gen. Oblig. (Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,040,000 1,063,910 
Series 2010 C1, 7.781% 1/1/35 8,885,000 11,324,110 
Series 2012 B, 5.432% 1/1/42 2,095,000 2,177,061 
Illinois Gen. Oblig.:   
Series 2003:   
4.95% 6/1/23 13,479,273 14,189,496 
5.1% 6/1/33 40,165,000 43,709,160 
Series 2010-1, 6.63% 2/1/35 7,610,000 9,064,423 
Series 2010-3:   
6.725% 4/1/35 11,345,000 13,468,557 
7.35% 7/1/35 5,200,000 6,330,532 
Series 2010-5, 6.2% 7/1/21 2,080,000 2,180,776 
TOTAL MUNICIPAL SECURITIES   
(Cost $154,113,502)  174,036,212 
Foreign Government and Government Agency Obligations - 1.2%   
Angola Republic 9.5% 11/12/25 (b) $435,000 $492,638 
Arab Republic of Egypt:   
5.577% 2/21/23 (b) 587,000 604,317 
5.75% 4/29/20 (b) 150,000 151,500 
6.125% 1/31/22 (b) 3,647,000 3,794,020 
6.2004% 3/1/24 (b) 720,000 755,100 
7.5% 1/31/27 (b) 7,192,000 7,803,320 
7.6003% 3/1/29 (b) 3,340,000 3,609,288 
7.903% 2/21/48 (b) 806,000 829,676 
8.5% 1/31/47 (b) 1,586,000 1,716,349 
8.7002% 3/1/49 (b) 270,000 294,975 
Argentine Republic:   
5.625% 1/26/22 7,550,000 2,982,250 
6.875% 4/22/21 11,786,000 4,920,655 
7.5% 4/22/26 13,852,000 5,242,982 
8.75% 5/7/24 533,376 137,895 
Azerbaijan Republic 4.75% 3/18/24 (b) 610,000 654,225 
Bahamian Republic 6% 11/21/28 (b) 373,000 416,128 
Bahrain Kingdom 5.5% 3/31/20 (b) 495,000 500,569 
Belarus Republic:   
6.875% 2/28/23 (b) 2,586,000 2,771,869 
7.625% 6/29/27 (b) 268,000 304,180 
Bermuda Government:   
3.717% 1/25/27 (b) 755,000 807,142 
4.75% 2/15/29 (b) 1,565,000 1,791,925 
Brazilian Federative Republic:   
4.25% 1/7/25 6,374,000 6,794,286 
5.625% 1/7/41 7,946,000 9,095,687 
5.625% 2/21/47 809,000 928,075 
8.25% 1/20/34 3,654,000 5,093,904 
Buenos Aires Province:   
9.95% 6/9/21 (b) 1,039,379 374,176 
10.875% 1/26/21 (b) 1,603,333 673,400 
10.875% 1/26/21 (Reg. S) 6,160,000 2,587,200 
Cameroon Republic 9.5% 11/19/25 (b) 3,211,000 3,485,942 
City of Buenos Aires:   
7.5% 6/1/27 (Reg. S) 450,000 285,750 
8.95% 2/19/21 (b) 1,231,460 1,015,955 
Costa Rican Republic 4.25% 1/26/23 (b) 625,000 614,063 
Democratic Socialist Republic of Sri Lanka:   
5.75% 4/18/23 (b) 516,000 511,485 
6.25% 10/4/20 (b) 559,000 566,686 
6.25% 7/27/21 (b) 360,000 364,950 
6.85% 3/14/24 (b) 685,000 696,988 
Dominican Republic:   
5.95% 1/25/27 (b) 551,000 604,723 
6% 7/19/28 (b) 666,000 736,138 
6.4% 6/5/49 (b) 575,000 631,602 
6.85% 1/27/45 (b) 788,000 904,230 
6.875% 1/29/26 (b) 942,000 1,078,001 
7.45% 4/30/44 (b) 1,389,000 1,682,426 
El Salvador Republic:   
5.875% 1/30/25 (Reg.S) 2,050,000 2,087,797 
6.375% 1/18/27 (b) 1,815,000 1,859,808 
7.1246% 1/20/50 (b) 1,030,000 1,051,244 
7.375% 12/1/19 (b) 3,177,000 3,195,863 
7.625% 9/21/34 (b) 450,000 474,047 
7.65% 6/15/35 (Reg. S) 300,000 321,563 
Export Credit Bank of Turkey 5.375% 2/8/21 (b) 1,070,000 1,055,288 
German Federal Republic 0.25% 2/15/29 EUR950,000 1,145,521 
Ghana Republic:   
7.875% 8/7/23 (b) 835,594 910,797 
7.875% 8/7/23 (Reg.S) 275,000 299,750 
7.875% 3/26/27 (b) 600,000 615,000 
8.125% 1/18/26 (b) 540,000 571,388 
Greek Government 1.875% 7/23/26 (b) EUR5,460,000 6,198,900 
Guatemalan Republic 4.9% 6/1/30 (b) 995,000 1,070,558 
Indonesian Republic:   
2.625% 6/14/23 EUR5,863,000 7,039,775 
4.35% 1/11/48 1,225,000 1,393,438 
5.125% 1/15/45 (b) 730,000 896,988 
5.25% 1/17/42 (b) 660,000 817,369 
5.95% 1/8/46 (b) 745,000 1,013,666 
6.75% 1/15/44 (b) 450,000 660,375 
7.75% 1/17/38 (b) 1,803,000 2,767,637 
8.5% 10/12/35 (b) 380,000 608,151 
8.5% 10/12/35 (Reg. S) 1,900,000 3,040,756 
Islamic Republic of Pakistan:   
6.75% 12/3/19 (b) 1,298,000 1,305,301 
8.25% 4/15/24 (b) 286,000 311,293 
Italian Republic 3.75% 5/1/21 (b) EUR13,000,000 15,210,632 
Ivory Coast 5.75% 12/31/32 3,240,160 3,211,809 
Jamaican Government 6.75% 4/28/28 200,000 234,000 
Kazakhstan Republic 6.5% 7/21/45 (b) 185,000 269,638 
Kingdom of Saudi Arabia:   
3.625% 3/4/28 (b) 918,000 993,506 
4.5% 4/17/30 (b) 875,000 1,022,438 
4.5% 10/26/46 (b) 1,580,000 1,835,960 
4.625% 10/4/47 (b) 1,140,000 1,346,340 
5.25% 1/16/50 (b) 3,025,000 3,909,813 
Lebanese Republic:   
5.8% 4/14/20 2,009,000 1,850,791 
6.15% 6/19/20 770,000 701,422 
6.375% 3/9/20 3,996,000 3,747,499 
8.25% 4/12/21 (Reg.S) 300,000 253,594 
Mendoza Province 8.375% 5/19/24 (b) 220,000 110,000 
Ministry of Finance of the Russian Federation:   
5.1% 3/28/35 (b) 8,000,000 9,040,000 
5.1% 3/28/35(Reg. S) 800,000 904,000 
5.25% 6/23/47 (b) 6,400,000 7,626,000 
5.25% 6/23/47(Reg. S) 400,000 475,804 
5.625% 4/4/42 (b) 1,250,000 1,544,350 
5.875% 9/16/43 (b) 540,000 690,863 
Mongolian People's Republic 8.75% 3/9/24 (b) 547,000 609,905 
Moroccan Kingdom:   
4.25% 12/11/22 (b) 2,030,000 2,129,597 
5.5% 12/11/42 (b) 200,000 243,438 
Papua New Guinea 8.375% 10/4/28 (b) 860,000 903,000 
Peruvian Republic 4% 3/7/27 (k)(p) 866,000 871,209 
Plurinational State of Bolivia 5.95% 8/22/23 (b) 275,000 297,773 
Province of Santa Fe 7% 3/23/23 (b) 3,739,000 2,056,450 
Provincia de Cordoba:   
7.125% 6/10/21 (b) 7,652,000 3,596,440 
7.45% 9/1/24 (b) 1,893,000 851,850 
Republic of Iraq 5.8% 1/15/28 (Reg. S) 7,251,000 7,094,650 
Republic of Kenya 6.875% 6/24/24 (b) 205,000 219,350 
Republic of Nigeria:   
6.375% 7/12/23 (b) 1,665,000 1,749,811 
6.5% 11/28/27 (b) 930,000 925,931 
6.75% 1/28/21 (b) 240,000 248,100 
7.625% 11/21/25 (b) 1,630,000 1,785,869 
Republic of Paraguay 5.4% 3/30/50 (b) 170,000 197,944 
Republic of Serbia 7.25% 9/28/21 (b) 332,000 362,876 
Romanian Republic 5.125% 6/15/48 (b) 1,325,000 1,543,625 
Rwanda Republic 6.625% 5/2/23 (b) 573,000 605,946 
State of Qatar:   
4% 3/14/29 (b) 3,785,000 4,323,180 
4.5% 4/23/28 (b) 1,274,000 1,493,765 
4.817% 3/14/49 (b) 3,195,000 4,113,563 
5.103% 4/23/48 (b) 2,610,000 3,481,903 
9.75% 6/15/30 (b) 917,000 1,552,596 
Sultanate of Oman:   
3.875% 3/8/22 (b) 1,245,000 1,236,908 
4.125% 1/17/23 (b) 325,000 323,375 
6.75% 1/17/48 (b) 694,000 652,577 
Turkish Republic:   
3.25% 3/23/23 700,000 639,406 
5.125% 3/25/22 6,785,000 6,723,511 
5.625% 3/30/21 3,893,000 3,935,580 
5.75% 5/11/47 803,000 657,958 
6.25% 9/26/22 10,240,000 10,342,400 
6.35% 8/10/24 755,000 751,225 
7.25% 12/23/23 1,744,000 1,806,130 
7.375% 2/5/25 932,000 963,455 
Ukraine Government:   
7.375% 9/25/32 (b) 600,000 617,100 
7.75% 9/1/19 (b) 3,108,000 3,089,352 
7.75% 9/1/20 (b) 8,225,000 8,453,758 
7.75% 9/1/21 (b) 12,030,000 12,535,260 
7.75% 9/1/22 (b) 4,434,000 4,693,389 
7.75% 9/1/23 (b) 875,000 930,125 
7.75% 9/1/24 (b) 2,495,000 2,669,650 
7.75% 9/1/26 (b) 915,000 969,900 
7.75% 9/1/27 (b) 595,000 629,956 
9.75% 11/1/28 (b) 300,000 353,625 
United Kingdom, Great Britain and Northern Ireland:   
1.75% 9/7/37 (f)(g) GBP1,470,991 2,051,228 
4.25% 6/7/32 GBP350,000 616,622 
4.25% 3/7/36 (f)(g) GBP697,592 1,304,473 
4.25% 12/7/49 (g) GBP2,585,717 5,809,682 
United Mexican States:   
5.75% 10/12/10 2,015,000 2,383,367 
6.05% 1/11/40 4,735,000 6,056,065 
Venezuelan Republic:   
9.25% 9/15/27 (e) 7,846,000 1,137,670 
11.95% 8/5/31 (Reg. S) (e) 1,641,700 238,047 
12.75% 8/23/22 (e) 350,400 50,808 
Vietnamese Socialist Republic:   
6 month U.S. LIBOR + 0.813% 3.5% 3/13/28 (c)(d) 124,000 123,412 
5.5% 3/12/28 4,070,983 4,088,794 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $323,174,787)  303,090,981 
 Shares Value 
Common Stocks - 0.0%   
COMMUNICATION SERVICES - 0.0%   
Media - 0.0%   
Clear Channel Outdoor Holdings, Inc. (q) 32,596 84,750 
iHeartMedia, Inc. (q) 13,857 191,227 
iHeartMedia, Inc. warrants 5/1/39 (q) 69 
  276,046 
Wireless Telecommunication Services - 0.0%   
CUI Acquisition Corp. Class E (k)(q) 34,600 
TOTAL COMMUNICATION SERVICES  310,646 
CONSUMER DISCRETIONARY - 0.0%   
Specialty Retail - 0.0%   
David's Bridal, Inc. (k) 3,431 6,793 
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Expro Holdings U.S., Inc. (k)(q) 179,923 3,238,614 
Expro Holdings U.S., Inc. (b)(k)(q) 66,030 1,188,540 
Forbes Energy Services Ltd. (q) 78,493 87,912 
  4,515,066 
INDUSTRIALS - 0.0%   
Commercial Services & Supplies - 0.0%   
Cenveo Corp. (k) 2,500 72,900 
MATERIALS - 0.0%   
Chemicals - 0.0%   
LyondellBasell Industries NV Class A 10,500 812,490 
UTILITIES - 0.0%   
Electric Utilities - 0.0%   
TexGen Power LLC (k)(q) 88,700 3,095,630 
TOTAL COMMON STOCKS   
(Cost $14,981,510)  8,813,525 
Preferred Stocks - 0.0%   
Convertible Preferred Stocks - 0.0%   
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Alexandria Real Estate Equities, Inc. Series D, 7.00% 12,775 499,115 
RLJ Lodging Trust Series A, 1.95% 20,725 561,026 
  1,060,141 
Nonconvertible Preferred Stocks - 0.0%   
FINANCIALS - 0.0%   
Mortgage Real Estate Investment Trusts - 0.0%   
MFA Financial, Inc. Series B, 7.50% 24,975 635,946 
Thrifts & Mortgage Finance - 0.0%   
Nationwide Building Society 10.25% 9,106 1,703,578 
TOTAL FINANCIALS  2,339,524 
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
American Homes 4 Rent Series D, 6.50% 26,975 749,096 
Boston Properties, Inc. 5.25% 11,150 284,102 
Cedar Realty Trust, Inc.:   
Series B, 7.25% 1,766 44,450 
Series C, 6.50% 26,075 578,604 
DDR Corp. Series K, 6.25% 21,323 548,641 
National Storage Affiliates Trust Series A, 6.00% 12,600 330,750 
PS Business Parks, Inc. Series W, 5.20% 14,075 361,165 
Public Storage Series F, 5.15% 39,800 1,043,954 
Rexford Industrial Realty, Inc. Series B, 5.875% 30,100 812,098 
Spirit Realty Capital, Inc. Series A, 6.00% 18,100 461,007 
Taubman Centers, Inc. Series J, 6.50% 14,513 371,910 
UMH Properties, Inc. Series C, 6.75% 14,184 369,351 
  5,955,128 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  8,294,652 
TOTAL PREFERRED STOCKS   
(Cost $8,922,152)  9,354,793 
 Principal Amount(a) Value 
Bank Loan Obligations - 4.4%   
COMMUNICATION SERVICES - 0.6%   
Diversified Telecommunication Services - 0.2%   
Frontier Communications Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.87% 6/15/24 (c)(d) 21,088,233 20,830,535 
Level 3 Financing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.362% 2/22/24 (c)(d) 7,521,000 7,524,159 
Sable International Finance Ltd. Tranche B 4LN, term loan 3 month U.S. LIBOR + 3.250% 5.362% 2/2/26 (c)(d) 4,179,157 4,188,728 
Securus Technologies, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 4.500% 6.8299% 11/1/24 (c)(d) 2,509,889 2,233,801 
3 month U.S. LIBOR + 8.250% 10.5799% 11/1/25 (c)(d) 956,000 844,865 
SFR Group SA:   
Tranche B 11LN, term loan 3 month U.S. LIBOR + 2.750% 4.862% 7/31/25 (c)(d) 4,904,482 4,727,577 
Tranche B 12LN, term loan 3 month U.S. LIBOR + 3.688% 5.8849% 1/31/26 (c)(d) 992,424 973,816 
Tranche B 13LN, term loan 3 month U.S. LIBOR + 4.000% 6.1974% 8/14/26 (c)(d) 2,528,890 2,504,663 
Windstream Services LLC 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.62% 2/26/21 (c)(d) 1,500,000 1,503,750 
  45,331,894 
Entertainment - 0.0%   
AMC Entertainment Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.23% 4/22/26 (c)(d) 2,493,750 2,500,508 
CDS U.S. Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.0799% 7/8/22 (c)(d) 2,225,694 2,125,538 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.5799% 7/8/23 (c)(d) 296,000 267,880 
  4,893,926 
Media - 0.3%   
Acosta, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.362% 9/26/21 (c)(d) 1,095,193 372,365 
Altice Financing SA Tranche B, term loan:   
3 month U.S. LIBOR + 2.750% 4.9451% 7/15/25 (c)(d) 934,331 904,741 
3 month U.S. LIBOR + 2.750% 4.9474% 1/31/26 (c)(d) 2,491,977 2,403,512 
Cable One, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.87% 5/1/24 (c)(d) 636,380 637,175 
CBS Radio, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.8895% 11/18/24 (c)(d) 2,075,773 2,071,891 
Cengage Learning, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.362% 6/7/23 (c)(d) 3,840,530 3,673,813 
Charter Communication Operating LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.33% 4/30/25 (c)(d) 14,831,682 14,862,087 
CSC Holdings LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.6951% 1/25/26 (c)(d) 2,809,338 2,804,647 
Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.4451% 1/15/26 (c)(d) 1,267,630 1,260,240 
Tranche B4 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.1951% 4/15/27 (c)(d) 997,500 1,000,493 
Diamond Sports Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 8/24/26 (d)(r) 7,880,000 7,880,000 
Getty Images, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.625% 2/19/26 (c)(d) 1,368,125 1,359,574 
ION Media Networks, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.125% 12/18/24 (c)(d) 2,402,413 2,397,008 
Lamar Media Corp. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.125% 3/16/25 (c)(d) 1,340,171 1,341,016 
McGraw-Hill Global Education Holdings, LLC term loan 3 month U.S. LIBOR + 4.000% 6.112% 5/4/22 (c)(d) 511,331 483,019 
NEP/NCP Holdco, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.362% 10/19/25 (c)(d) 567,150 552,404 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.112% 10/19/26 (c)(d) 478,000 468,440 
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 6/19/26 (d)(r) 4,545,000 4,545,000 
Nielsen Finance LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 4.2113% 10/4/23 (c)(d) 1,741,094 1,731,657 
Proquest LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.362% 10/24/21 (c)(d) 1,020,242 1,019,609 
Sinclair Television Group, Inc. Tranche B 1LN, term loan:   
3 month U.S. LIBOR + 2.500% 7/18/26 (d)(r) 1,187,308 1,185,824 
3 month U.S. LIBOR + 2.500% 4.7% 7/18/26 (c)(d) 1,017,692 1,016,420 
Springer Science+Business Media Deutschland GmbH Tranche B 13LN, term loan 3 month U.S. LIBOR + 3.500% 5.612% 8/24/22 (c)(d) 4,383,472 4,382,946 
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.3953% 8/19/23 (c)(d) 9,639,126 9,245,561 
  67,599,442 
Wireless Telecommunication Services - 0.1%   
iHeartMedia Capital I LLC 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.2298% 5/1/26 (c)(d) 1,421,549 1,424,748 
Intelsat Jackson Holdings SA:   
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.8953% 11/27/23 (c)(d) 18,395,000 18,375,317 
Tranche B-4, term loan 3 month U.S. LIBOR + 4.500% 6.6453% 1/2/24 (c)(d) 2,230,000 2,239,767 
Tranche B-5, term loan 6.625% 1/2/24 3,017,000 3,044,666 
SBA Senior Finance II, LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.12% 4/11/25 (c)(d) 1,990,893 1,978,250 
Sprint Communications, Inc.:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.000% 5.125% 2/2/24 (c)(d) 1,741,250 1,736,357 
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.625% 2/3/24 (c)(d) 850,779 844,662 
Syniverse Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.1951% 3/9/23 (c)(d) 2,830,999 2,638,491 
  32,282,258 
TOTAL COMMUNICATION SERVICES  150,107,520 
CONSUMER DISCRETIONARY - 1.0%   
Auto Components - 0.0%   
North American Lifting Holdings, Inc.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.8299% 11/27/20 (c)(d) 2,833,262 2,626,094 
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.000% 11.3299% 11/27/21 (c)(d) 1,015,000 719,381 
  3,345,475 
Automobiles - 0.0%   
UOS LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.8299% 4/18/23 (c)(d) 1,540,504 1,552,058 
Distributors - 0.0%   
BCPE Empire Holdings, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 4.000% 6.112% 6/11/26 (c)(d) 1,044,304 1,026,028 
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 4.000% 6/11/26 (d)(r)(s) 205,696 202,097 
Owens & Minor Distribution, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.7297% 4/30/25 (c)(d) 1,891,890 1,600,539 
  2,828,664 
Diversified Consumer Services - 0.1%   
Alpine Finance Merger Sub LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.112% 7/12/24 (c)(d) 2,562,051 2,536,430 
Bright Horizons Family Solutions Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.862% 11/7/23 (c)(d) 939,332 938,750 
CSM Bakery Supplies Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.29% 7/3/20 (c)(d) 1,547,725 1,473,249 
GEMS MENASA Cayman Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7/30/26 (d)(r) 2,375,000 2,366,094 
KUEHG Corp.:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.5799% 8/22/25 (c)(d) 637,000 632,223 
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.0799% 2/21/25 (c)(d) 4,649,431 4,609,911 
Learning Care Group (U.S.) No 2 Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.4761% 3/13/25 (c)(d) 1,653,193 1,630,974 
SMG U.S. Midco 2, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.112% 1/23/25 (c)(d) 877,361 870,237 
Spin Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.5723% 11/14/22 (c)(d) 7,541,713 7,368,253 
SSH Group Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.508% 7/30/25 (c)(d) 1,492,481 1,477,556 
WASH Multifamily Acquisition, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.000% 9.112% 5/15/23 (c)(d) 34,131 33,107 
Tranche B 1LN, term loan:   
3 month U.S. LIBOR + 3.250% 5.362% 5/14/22 (c)(d) 2,645,143 2,592,240 
3 month U.S. LIBOR + 3.250% 5.362% 5/14/22 (c)(d) 461,064 451,843 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.112% 5/14/23 (c)(d) 194,870 189,023 
Weight Watchers International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7.0455% 11/29/24 (c)(d) 4,548,438 4,541,343 
  31,711,233 
Hotels, Restaurants & Leisure - 0.6%   
Affinity Gaming LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.362% 7/1/23 (c)(d) 1,187,997 1,145,978 
Aimbridge Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.9941% 2/1/26 (c)(d) 1,132,163 1,134,993 
Alterra Mountain Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.112% 7/31/24 (c)(d) 2,143,070 2,132,354 
AP Gaming I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.612% 2/15/24 (c)(d) 1,121,794 1,101,109 
Aramark Services, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 4.0799% 3/11/25 (c)(d) 3,416,809 3,412,538 
Aristocrat Technologies, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 4.0276% 10/19/24 (c)(d) 2,323,988 2,323,988 
Boyd Gaming Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.3871% 9/15/23 (c)(d) 1,205,564 1,204,962 
Burger King Worldwide, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.362% 2/17/24 (c)(d) 7,649,337 7,634,344 
Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.862% 12/22/24 (c)(d) 16,117,590 15,866,639 
CCM Merger, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.362% 8/8/21 (c)(d) 671,642 671,642 
CEC Entertainment, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.500% 8.612% 8/14/26 (c)(d) 1,625,000 1,572,188 
CityCenter Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.362% 4/18/24 (c)(d) 2,111,935 2,110,288 
Delta 2 SARL Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.612% 2/1/24 (c)(d) 9,115,709 8,916,348 
Eldorado Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4185% 4/17/24 (c)(d) 1,925,331 1,918,708 
Equinox Holdings, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.112% 9/8/24 (c)(d) 599,000 599,377 
Tranche B-1, term loan 3 month U.S. LIBOR + 3.000% 5.112% 3/8/24 (c)(d) 3,647,054 3,623,348 
ESH Hospitality, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.112% 8/30/23 (c)(d) 1,883,321 1,883,622 
Four Seasons Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.112% 11/30/23 (c)(d) 4,529,543 4,533,303 
Gaming VC Holdings SA Tranche B2 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.4462% 3/15/24 (c)(d) 1,896,521 1,894,150 
Gateway Casinos & Entertainment Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.3299% 3/13/25 (c)(d) 1,841,747 1,816,423 
Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.14% 10/20/24 (c)(d) 6,516,788 6,507,274 
Golden Nugget, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.8932% 10/4/23 (c)(d) 9,270,169 9,263,402 
Hilton Worldwide Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.8952% 6/21/26 (c)(d) 2,928,862 2,934,485 
KFC Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.932% 4/3/25 (c)(d) 1,859,253 1,854,215 
LTF Merger Sub, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.8741% 6/10/22 (c)(d) 3,285,754 3,267,945 
Marriott Ownership Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.362% 8/31/25 (c)(d) 2,063,630 2,067,922 
Mohegan Tribal Gaming Authority Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.112% 10/14/23 (c)(d) 862,885 798,169 
PCI Gaming Authority 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.112% 5/29/26 (c)(d) 1,670,000 1,677,565 
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.362% 10/15/25 (c)(d) 1,541,445 1,544,913 
PFC Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.500% 8.7001% 3/1/26 (c)(d) 2,119,688 2,011,054 
Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.86% 4/27/24 (c)(d) 305,416 291,672 
PlayPower, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.758% 5/10/26 (c)(d)(k) 750,000 749,063 
Red Lobster Hospitality LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 7.362% 7/28/21 (c)(d) 1,493,813 1,480,743 
Restaurant Technologies, Inc. 2LN, term loan 3 month U.S. LIBOR + 6.500% 8.612% 10/1/26 (c)(d)(k) 319,000 317,405 
Ryman Hospitality Properties, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.33% 5/11/24 (c)(d) 731,864 732,325 
Scientific Games Corp. Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.750% 4.889% 8/14/24 (c)(d) 8,962,567 8,848,025 
SeaWorld Parks & Entertainment, Inc. Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.000% 5.112% 3/31/24 (c)(d) 1,257,353 1,255,781 
Seminole Tribe of Florida Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.862% 7/6/24 (c)(d) 2,440,053 2,444,836 
Stars Group Holdings BV Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.8299% 7/10/25 (c)(d) 7,094,526 7,111,837 
Station Casinos LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.62% 6/8/23 (c)(d) 3,757,873 3,761,556 
Travelport Finance Luxembourg SARL:   
1LN, term loan 3 month U.S. LIBOR + 5.000% 7.5412% 5/29/26 (c)(d) 3,390,000 3,113,715 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 9.000% 11.5412% 5/28/27 (c)(d) 1,250,000 1,087,500 
United PF Holdings LLC:   
1LN, term loan 3 month U.S. LIBOR + 4.500% 6.6877% 6/10/26 (c)(d) 1,196,296 1,184,333 
2LN, term loan 3 month U.S. LIBOR + 8.500% 10.6876% 6/10/27 (c)(d) 265,000 262,350 
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 4.500% 6/10/26 (d)(r)(s) 163,704 162,067 
Wyndham Hotels & Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.862% 5/30/25 (c)(d) 2,497,130 2,503,373 
Wynn America LLC Tranche A 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.87% 12/31/21 (c)(d) 1,618,000 1,615,978 
Wynn Resorts Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.37% 10/30/24 (c)(d) 1,470,610 1,470,301 
  135,816,106 
Internet & Direct Marketing Retail - 0.1%   
Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.112% 9/25/24 (c)(d) 29,273,762 27,791,924 
Harbor Freight Tools U.S.A., Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.612% 8/19/23 (c)(d) 2,431,417 2,336,446 
NASCAR Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.750% 7/26/26 (d)(r) 2,375,000 2,386,376 
Red Ventures LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.112% 11/8/24 (c)(d) 1,880,000 1,876,484 
  34,391,230 
Leisure Products - 0.0%   
Callaway Golf Co. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.7128% 1/4/26 (c)(d) 1,290,300 1,305,887 
SP PF Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.8299% 12/21/25 (c)(d) 1,620,938 1,466,948 
Varsity Brands Holding Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.612% 12/15/24 (c)(d) 3,137,645 3,050,231 
  5,823,066 
Media - 0.1%   
AppLovin Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.612% 8/15/25 (c)(d) 3,113,400 3,106,924 
Crown Finance U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.362% 2/28/25 (c)(d) 5,360,786 5,317,792 
MCC Iowa LLC Tranche M, term loan 3 month U.S. LIBOR + 2.000% 4.14% 1/15/25 (c)(d) 519,733 520,221 
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.4451% 7/17/25 (c)(d) 4,772,137 4,746,272 
Virgin Media Bristol LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.6951% 1/15/26 (c)(d) 3,185,000 3,182,548 
  16,873,757 
Specialty Retail - 0.1%   
ABB Optical Group LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.1678% 6/15/23 (c)(d) 833,671 771,145 
Academy Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.2347% 7/2/22 (c)(d) 3,207,240 2,134,162 
ACProducts, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.612% 2/15/24 (c)(d)(k) 1,614,844 1,534,102 
Burlington Coat Factory Warehouse Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.2% 11/17/24 (c)(d) 2,340,664 2,345,790 
David's Bridal, Inc. term loan:   
3 month U.S. LIBOR + 7.500% 9.62% 7/18/23 (c)(d) 44,674 44,674 
3 month U.S. LIBOR + 8.000% 10.12% 1/18/24 (c)(d) 178,696 128,215 
IAA Spinco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.625% 6/29/26 (c)(d) 1,500,000 1,505,625 
Party City Holdings, Inc. term loan 3 month U.S. LIBOR + 2.500% 4.62% 8/19/22 (c)(d) 1,790,179 1,766,960 
PETCO Animal Supplies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.5055% 1/26/23 (c)(d) 2,312,716 1,649,730 
Sports Authority, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 11/16/17 (c)(d)(e)(k) 1,812,470 
Staples, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.1974% 4/16/26 (c)(d) 2,992,500 2,872,800 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 4.500% 6.6974% 9/12/24 (c)(d) 498,750 482,541 
  15,235,744 
TOTAL CONSUMER DISCRETIONARY  247,577,333 
CONSUMER STAPLES - 0.2%   
Beverages - 0.0%   
Arterra Wines Canada, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.1685% 12/16/23 (c)(d) 1,242,443 1,235,460 
Food & Staples Retailing - 0.1%   
8th Avenue Food & Provisions, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.750% 9.9628% 10/1/26 (c)(d) 172,000 169,420 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.9628% 10/1/25 (c)(d) 503,470 503,787 
Agro Merchants Intermediate Ho Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.0799% 12/6/24 (c)(d) 1,403,319 1,392,794 
Albertson's LLC:   
Tranche B7 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.862% 11/17/25 (c)(d) 1,196,250 1,199,994 
Tranche B8, term loan 3 month U.S. LIBOR + 2.750% 4.862% 8/17/26 (c)(d) 1,982,614 1,990,049 
BI-LO LLC Tranche B, term loan 3 month U.S. LIBOR + 8.000% 10.3308% 5/31/24 (c)(d) 6,049,612 5,783,429 
BJ's Wholesale Club, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.9443% 2/3/24 (c)(d) 6,784,218 6,785,643 
Eg Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.3299% 2/6/25 (c)(d) 1,700,037 1,673,482 
GOBP Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.7594% 10/22/25 (c)(d) 1,025,094 1,027,339 
JP Intermediate B LLC Tranche B, term loan 3 month U.S. LIBOR + 5.500% 7.7555% 11/20/25 (c)(d) 1,653,575 1,409,673 
Saffron Borrowco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.750% 9.1269% 6/20/25 (c)(d) 1,000,000 910,000 
Sage Borrowco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 7.1269% 6/20/26 (c)(d) 2,500,000 2,503,125 
Shearer's Foods, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.862% 6/30/22 (c)(d) 1,823,004 1,802,496 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.362% 6/30/21 (c)(d) 2,010,130 2,002,592 
U.S. Foods, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 2.000% 8/15/26 (d)(r) 3,000,000 3,005,010 
Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.112% 6/27/23 (c)(d) 2,162,529 2,163,892 
U.S. Salt LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6.862% 1/16/26 (c)(d)(k) 753,113 754,054 
Whatabrands LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.5156% 7/19/26 (c)(d) 2,495,000 2,503,583 
  37,580,362 
Food Products - 0.1%   
Chobani LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.612% 10/7/23 (c)(d) 6,192,406 6,084,038 
Hostess Brands LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.4481% 8/3/22 (c)(d) 661,071 659,419 
JBS U.S.A. Lux SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.612% 5/1/26 (c)(d) 5,162,063 5,168,515 
Post Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.15% 5/24/24 (c)(d) 2,068,965 2,068,675 
  13,980,647 
Personal Products - 0.0%   
Coty, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.4628% 4/5/25 (c)(d) 1,138,376 1,099,956 
Prestige Brands, Inc. term loan 3 month U.S. LIBOR + 2.000% 4.112% 1/26/24 (c)(d) 790,458 789,186 
Rodan & Fields LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.1951% 6/15/25 (c)(d) 760,228 655,317 
  2,544,459 
TOTAL CONSUMER STAPLES  55,340,928 
ENERGY - 0.3%   
Energy Equipment & Services - 0.0%   
BCP Raptor II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.862% 11/3/25 (c)(d) 2,230,000 1,969,826 
Brazos Delaware II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.1686% 5/21/25 (c)(d) 1,097,337 983,027 
FTS International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.862% 4/16/21 (c)(d) 228,657 226,370 
  3,179,223 
Oil, Gas & Consumable Fuels - 0.3%   
Arctic LNG Carriers Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.8299% 5/18/23 (c)(d) 3,951,409 3,874,040 
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.362% 6/22/24 (c)(d) 3,268,824 2,973,453 
California Resources Corp.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 12.4909% 12/31/21 (c)(d) 5,326,000 4,713,510 
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.8659% 12/31/22 (c)(d) 9,202,000 8,366,182 
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 9.2441% 7/23/23 (c)(d) 1,420,000 1,437,750 
Citgo Petroleum Corp.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.3189% 3/28/24 (c)(d) 4,738,125 4,747,980 
Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.8189% 7/29/21 (c)(d) 4,653,443 4,652,000 
Consolidated Energy Finance SA Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.6951% 5/7/25 (c)(d) 3,153,609 3,011,697 
Delek U.S. Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.5799% 3/31/25 (c)(d) 1,909,072 1,897,942 
EG America LLC:   
2LN, term loan 3 month U.S. LIBOR + 8.000% 10.3299% 3/23/26 (c)(d) 427,910 419,886 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.3299% 2/6/25 (c)(d) 293,770 289,181 
Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.04% 3/1/26 (c)(d) 3,000,000 2,883,750 
Equitrans Midstream Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.612% 1/31/24 (c)(d) 1,218,875 1,214,609 
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 8.112% 3/1/24 (c)(d) 6,668,674 2,834,186 
GIP III Stetson I LP Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.432% 7/18/25 (c)(d) 5,611,564 5,350,289 
Houston Fuel Oil Terminal Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.87% 6/26/25 (c)(d) 3,468,970 3,449,474 
Limetree Bay Terminals LLC term loan 3 month U.S. LIBOR + 4.000% 6.112% 2/15/24 (c)(d) 1,784,341 1,703,154 
Lower Cadence Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.1452% 5/22/26 (c)(d) 2,750,000 2,676,108 
Matador Bidco SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6/13/26 (d)(r) 500,000 500,625 
Medallion Midland Acquisition Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.362% 10/30/24 (c)(d) 2,039,389 1,947,616 
Moxie Patriot LLC Tranche B, term loan 3 month U.S. LIBOR + 5.750% 8.0799% 12/19/20 (c)(d) 3,466,496 3,230,358 
Natgasoline LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.8125% 11/14/25 (c)(d) 1,795,975 1,791,485 
Sanchez Energy Corp. 1LN, term loan 3 month U.S. LIBOR + 8.000% 2.8571% 5/11/20 (c)(d)(k)(s) 3,866,861 3,673,518 
WaterBridge Operating LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 8.1361% 6/21/26 (c)(d) 1,750,000 1,671,250 
  69,310,043 
TOTAL ENERGY  72,489,266 
FINANCIALS - 0.4%   
Capital Markets - 0.0%   
AssuredPartners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.612% 10/22/24 (c)(d) 2,967,876 2,949,326 
Blackstone CQP Holdco LP Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.8866% 9/30/24 (c)(d) 4,080,000 4,078,735 
Citadel Securities LP Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.612% 2/27/26 (c)(d) 3,117,188 3,117,188 
Cypress Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.87% 4/27/24 (c)(d) 1,901,386 1,884,749 
HarbourVest Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.4451% 3/1/25 (c)(d) 3,416,957 3,407,355 
Recess Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.0799% 9/29/24 (c)(d) 461,203 450,540 
  15,887,893 
Diversified Financial Services - 0.2%   
Avolon TLB Borrower 1 (U.S.) LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.9221% 1/15/25 (c)(d) 6,152,417 6,161,399 
BCP Renaissance Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.7555% 10/31/24 (c)(d) 2,154,143 2,054,514 
Deerfield Dakota Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.112% 2/13/25 (c)(d) 493,763 492,118 
Delos Finance SARL Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.0799% 10/6/23 (c)(d) 2,185,833 2,188,172 
Extell Boston 5.154% 8/31/21 (c)(k) 626,138 635,531 
Financial & Risk U.S. Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.862% 10/1/25 (c)(d) 8,323,751 8,360,709 
Finco I LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.112% 12/27/22 (c)(d) 1,561,707 1,564,143 
Flying Fortress Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.0799% 10/30/22 (c)(d) 2,274,000 2,275,433 
Focus Financial Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.612% 7/3/24 (c)(d) 880,531 882,256 
Greensky Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.375% 3/29/25 (c)(d) 877,361 862,008 
Kingpin Intermediate Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.61% 7/3/24 (c)(d) 626,268 624,702 
Lions Gate Capital Holdings Ll Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.362% 3/24/25 (c)(d) 1,125,908 1,121,685 
NAB Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.3299% 6/30/24 (c)(d) 1,098,153 1,089,236 
Onvoy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.8299% 2/10/24 (c)(d) 1,712,610 1,404,340 
RegionalCare Hospital Partners Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.6452% 11/16/25 (c)(d) 4,726,250 4,708,527 
TransUnion LLC:   
Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 4.112% 6/19/25 (c)(d) 1,261,444 1,262,125 
Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.112% 4/9/23 (c)(d) 2,608,358 2,609,767 
Veritas-B Junior Mezz C LLC 10.48% 2/6/21 (c)(k) 2,878,000 2,974,413 
Victory Capital Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.5689% 7/1/26 (c)(d) 1,799,545 1,796,738 
  43,067,816 
Insurance - 0.2%   
Acrisure LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.362% 11/22/23 (c)(d) 2,731,003 2,706,424 
Alliant Holdings Intermediate LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.1452% 5/10/25 (c)(d) 3,406,947 3,307,158 
Tranche B-2 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.4509% 5/10/25 (c)(d) 1,000,000 985,630 
AmWINS Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.8844% 1/25/24 (c)(d) 3,127,501 3,121,371 
Asurion LLC:   
Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.000% 5.112% 11/3/23 (c)(d) 4,629,907 4,630,741 
Tranche B 7LN, term loan 3 month U.S. LIBOR + 3.000% 5.112% 11/3/24 (c)(d) 3,773,414 3,773,414 
Tranche B, term loan:   
3 month U.S. LIBOR + 3.000% 5.112% 8/4/22 (c)(d) 8,796,930 8,798,514 
3 month U.S. LIBOR + 6.500% 8.612% 8/4/25 (c)(d) 8,606,000 8,724,849 
HUB International Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.2663% 4/25/25 (c)(d) 11,705,334 11,461,044 
USI, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.3299% 5/16/24 (c)(d) 3,530,648 3,443,865 
  50,953,010 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.7805% 7/10/26 (c)(d) 1,250,000 1,253,125 
Real Estate Management & Development - 0.0%   
MGM Growth Properties Operating Partner LP Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.112% 3/23/25 (c)(d) 3,002,221 3,001,290 
Thrifts & Mortgage Finance - 0.0%   
Ocwen Loan Servicing LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.112% 12/5/20 (c)(d) 1,505,668 1,481,200 
TOTAL FINANCIALS  115,644,334 
HEALTH CARE - 0.2%   
Health Care Equipment & Supplies - 0.0%   
American Renal Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 7.612% 6/22/24 (c)(d) 3,532,079 3,470,268 
NVA Holdings, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 3.500% 5.612% 2/2/25 (c)(d) 375,000 374,063 
Tranche B 3LN, term loan 3 month U.S. LIBOR + 2.750% 4.862% 2/2/25 (c)(d) 1,321,584 1,319,959 
Ortho-Clinical Diagnostics, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.563% 6/30/25 (c)(d) 5,508,480 5,184,857 
VVC Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.681% 2/11/26 (c)(d) 7,980,000 7,935,152 
  18,284,299 
Health Care Providers & Services - 0.1%   
HCA Holdings, Inc.:   
Tranche B 10LN, term loan 3 month U.S. LIBOR + 2.000% 4.3299% 3/13/25 (c)(d) 1,887,663 1,892,685 
Tranche B 11LN, term loan 3 month U.S. LIBOR + 1.750% 4.0799% 3/18/23 (c)(d) 4,138,063 4,142,077 
MED ParentCo LP:   
1LN, term loan 3 month U.S. LIBOR + 4.250% 7/31/26 (d)(r) 1,040,246 1,028,107 
2LN, term loan 3 month U.S. LIBOR + 8.250% 7/31/27 (d)(r) 810,000 810,000 
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 4.250% 7/31/26 (d)(r) 259,754 256,722 
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.0799% 6/7/23 (c)(d) 1,243,606 1,154,999 
Surgery Center Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.37% 8/31/24 (c)(d) 2,437,595 2,315,715 
Tivity Health, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 7.362% 3/8/26 (c)(d) 954,819 945,328 
U.S. Anesthesia Partners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.112% 6/23/24 (c)(d) 2,806,252 2,685,583 
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.112% 6/13/26 (c)(d) 5,125,000 4,887,969 
Vizient, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.612% 5/6/26 (c)(d) 872,813 875,719 
Wink Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.112% 12/1/24 (c)(d) 1,568,309 1,524,208 
  22,519,112 
Life Sciences Tools & Services - 0.0%   
PAREXEL International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.862% 9/27/24 (c)(d) 2,287,608 2,146,668 
Pharmaceuticals - 0.1%   
Catalent Pharma Solutions Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.362% 5/9/26 (c)(d) 1,496,250 1,500,619 
Innoviva, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.6515% 8/18/22 (c)(d)(k) 88,700 86,926 
Lannett Co., Inc.:   
Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.112% 11/25/20 (c)(d) 128,151 125,268 
Tranche B, term loan 3 month U.S. LIBOR + 5.375% 7.487% 11/25/22 (c)(d) 7,136,528 6,803,466 
RPI Finance Trust Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.000% 4.112% 3/27/23 (c)(d) 3,613,367 3,618,390 
Valeant Pharmaceuticals International, Inc.:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 4.9509% 11/27/25 (c)(d) 1,387,500 1,386,113 
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.2009% 6/1/25 (c)(d) 5,781,224 5,787,757 
  19,308,539 
TOTAL HEALTH CARE  62,258,618 
INDUSTRIALS - 0.4%   
Aerospace & Defense - 0.1%   
Jazz Acquisition, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.58% 6/19/26 (c)(d) 625,000 620,575 
TransDigm, Inc.:   
Tranche E, term loan 3 month U.S. LIBOR + 2.500% 4.8299% 5/30/25 (c)(d) 1,871,870 1,851,541 
Tranche F, term loan 3 month U.S. LIBOR + 2.500% 4.8299% 6/9/23 (c)(d) 7,405,680 7,347,397 
Tranche G, term loan 3 month U.S. LIBOR + 2.500% 4.8299% 8/22/24 (c)(d) 2,497,136 2,470,916 
Wesco Aircraft Hardware Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.62% 2/28/21 (c)(d) 1,274,000 1,272,802 
WP CPP Holdings LLC:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.0096% 4/30/25 (c)(d) 2,331,053 2,326,693 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.750% 10.01% 4/30/26 (c)(d) 319,000 316,608 
  16,206,532 
Air Freight & Logistics - 0.0%   
Dynasty Acquisition Co., Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.3299% 4/4/26 (c)(d) 2,237,203 2,235,212 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 4.000% 6.3299% 4/4/26 (c)(d) 1,202,797 1,201,727 
Hanjin International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.6453% 10/18/20 (c)(d) 678,000 676,305 
Transplace Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.8953% 10/5/24 (c)(d) 1,177,022 1,152,010 
XPO Logistics, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.112% 2/23/25 (c)(d) 940,000 940,649 
  6,205,903 
Airlines - 0.0%   
Kestrel Bidco, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.750% 8/7/26 (d)(r) 2,855,000 2,861,252 
Building Products - 0.0%   
GYP Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.862% 6/1/25 (c)(d) 2,376,226 2,327,229 
HD Supply, Inc. Tranche B 5LN, term loan 3 month U.S. LIBOR + 1.750% 3.862% 10/17/23 (c)(d) 632,223 634,328 
The Hillman Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.112% 5/31/25 (c)(d) 1,607,323 1,555,889 
  4,517,446 
Commercial Services & Supplies - 0.1%   
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.5149% 6/21/24 (c)(d) 7,541,630 7,145,695 
Ensemble RCM LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.0031% 8/1/26 (c)(d) 1,750,000 1,746,728 
Environmental Resources Management I Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.1005% 7/10/26 (c)(d) 1,000,000 993,330 
Filtration Group Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.112% 3/29/25 (c)(d) 2,597,211 2,595,600 
Harland Clarke Holdings Corp. Tranche B 7LN, term loan 3 month U.S. LIBOR + 4.750% 7.0799% 11/3/23 (c)(d) 2,830,857 2,193,914 
Lineage Logistics Holdings, LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.112% 2/27/25 (c)(d) 10,506,614 10,473,834 
Merrill Communications LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 7.5055% 6/1/22 (c)(d) 465,766 466,931 
SuperMoose Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.862% 8/29/25 (c)(d) 1,521,355 1,419,926 
The Brickman Group, Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.6591% 8/15/25 (c)(d) 2,256,418 2,254,546 
Thomson Reuters IP&S Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.362% 10/3/23 (c)(d) 1,327,066 1,330,384 
TMK Hawk Parent Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.6307% 9/26/24 (c)(d) 813,926 684,374 
Tunnel Hill Partners LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.612% 2/8/26 (c)(d) 552,615 548,470 
WTG Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.112% 12/20/24 (c)(d) 2,130,925 2,128,261 
  33,981,993 
Construction & Engineering - 0.1%   
AECOM Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.862% 3/13/25 (c)(d) 1,149,386 1,149,673 
Hamilton Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.33% 7/2/25 (c)(d) 1,418,628 1,418,628 
JMC Steel Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.4844% 6/14/21 (c)(d) 1,771,156 1,768,942 
Pike Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.4% 7/19/26 (c)(d) 2,262,441 2,261,491 
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.26% 9/27/24 (c)(d) 1,704,123 1,604,721 
Ventia Deco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.8422% 5/21/26 (c)(d) 2,001,438 1,996,434 
  10,199,889 
Electrical Equipment - 0.0%   
Vertiv Group Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.3299% 11/30/23 (c)(d) 3,735,499 3,508,269 
Machinery - 0.0%   
Altra Industrial Motion Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.112% 10/1/25 (c)(d) 1,597,194 1,589,879 
CPM Holdings, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 8.250% 10.362% 11/15/26 (c)(d) 280,000 276,032 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.862% 11/15/25 (c)(d) 1,174,723 1,158,571 
Sundyne U.S. Purchaser, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.112% 5/15/26 (c)(d) 962,222 942,978 
The Gates Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.862% 3/31/24 (c)(d) 1,986,366 1,934,939 
  5,902,399 
Marine - 0.0%   
International Seaways Operating Corp. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 8.24% 6/22/22 (c)(d) 2,816,670 2,802,586 
Navios Maritime Partners LP Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.44% 9/14/20 (c)(d) 1,057,734 1,051,124 
  3,853,710 
Professional Services - 0.0%   
AlixPartners LLP Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.862% 4/4/24 (c)(d) 2,101,253 2,102,388 
Cast & Crew Payroll LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.12% 2/7/26 (c)(d) 1,197,000 1,200,364 
  3,302,752 
Road & Rail - 0.1%   
Hertz Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.87% 6/30/23 (c)(d) 2,081,922 2,072,824 
IBC Capital Ltd.:   
2LN, term loan 3 month U.S. LIBOR + 7.000% 9.402% 9/11/24 (c)(d) 280,000 275,800 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.152% 9/11/23 (c)(d) 782,663 777,286 
Uber Technologies, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 3.500% 5.6453% 7/13/23 (c)(d) 3,680,390 3,665,926 
3 month U.S. LIBOR + 4.000% 6.1951% 4/4/25 (c)(d) 2,838,248 2,838,248 
  9,630,084 
Trading Companies & Distributors - 0.0%   
Fly Funding II SARL Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.18% 2/9/23 (c)(d) 2,070,966 2,068,377 
TOTAL INDUSTRIALS  102,238,606 
INFORMATION TECHNOLOGY - 0.8%   
Communications Equipment - 0.1%   
Anastasia Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.862% 8/10/25 (c)(d) 2,568,346 1,977,626 
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.362% 4/4/26 (c)(d) 6,035,000 5,999,816 
Radiate Holdco LLC:   
1LN, term loan 3 month U.S. LIBOR + 3.500% 5.612% 2/1/24 (c)(d) 500,000 498,595 
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.112% 2/1/24 (c)(d) 8,069,357 7,988,663 
Sabre Industries, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.682% 4/15/26 (c)(d) 1,745,625 1,746,725 
  18,211,425 
Electronic Equipment & Components - 0.1%   
ATS Consolidated, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.862% 2/28/25 (c)(d) 3,798,720 3,808,217 
DG Investment Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.112% 2/1/25 (c)(d) 727,182 711,729 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.862% 2/1/26 (c)(d)(k) 277,000 265,920 
Electro Rent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.2828% 1/31/24 (c)(d) 488,564 489,482 
EPV Merger Sub, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.362% 3/8/26 (c)(d) 226,000 218,090 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.362% 3/8/25 (c)(d) 776,046 745,004 
EXC Holdings III Corp. Tranche B, term loan:   
3 month U.S. LIBOR + 3.500% 5.8299% 12/2/24 (c)(d) 1,232,655 1,224,433 
3 month U.S. LIBOR + 7.500% 9.8319% 12/1/25 (c)(d) 478,000 476,805 
Go Daddy Operating Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.112% 2/15/24 (c)(d) 3,724,663 3,730,250 
II-VI, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 0% 6/28/26 (c)(d)(r) 1,000,000 995,000 
Infor U.S., Inc. Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.750% 5.0799% 2/1/22 (c)(d) 1,373,837 1,372,409 
LMBE-MC HoldCo II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.33% 12/3/25 (c)(d) 1,185,252 1,185,252 
TTM Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.7298% 9/28/24 (c)(d) 4,168,034 4,155,863 
  19,378,454 
Internet Software & Services - 0.0%   
Ancestry.Com Operations, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.49% 10/19/23 (c)(d) 3,097,574 3,078,214 
McAfee LLC Tranche B, term loan:   
3 month U.S. LIBOR + 3.750% 5.8659% 9/29/24 (c)(d) 5,845,882 5,847,344 
3 month U.S. LIBOR + 8.500% 10.6159% 9/29/25 (c)(d) 1,668,386 1,681,950 
Severin Acquisition LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.459% 8/1/25 (c)(d) 1,454,690 1,426,804 
  12,034,312 
IT Services - 0.1%   
Brave Parent Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.2555% 4/19/25 (c)(d) 632,211 599,810 
Datto, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.5799% 4/2/26 (c)(d) 1,250,000 1,253,125 
EIG Investors Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.8823% 2/9/23 (c)(d) 1,773,760 1,741,460 
Global Payments, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 3.862% 4/22/23 (c)(d) 774,995 773,833 
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.86% 5/31/25 (c)(d) 4,359,703 3,493,692 
Tempo Acquisition LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.112% 5/1/24 (c)(d) 3,602,220 3,599,230 
Verscend Holding Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.612% 8/27/25 (c)(d) 3,401,298 3,406,604 
VFH Parent LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 6.0438% 3/1/26 (c)(d) 3,832,833 3,838,314 
Web.com Group, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.750% 9.9451% 10/11/26 (c)(d) 699,610 682,119 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.9451% 10/11/25 (c)(d) 2,232,219 2,201,057 
WEX, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.362% 5/17/26 (c)(d) 2,003,754 2,007,681 
  23,596,925 
Semiconductors & Semiconductor Equipment - 0.0%   
Cabot Microelectronics Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.375% 11/15/25 (c)(d) 1,761,657 1,762,767 
Software - 0.5%   
Almonde, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.4463% 6/13/25 (c)(d) 4,012,000 3,913,385 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.6963% 6/13/24 (c)(d) 8,462,784 8,154,823 
Aptean, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.5799% 4/23/26 (c)(d) 997,500 990,019 
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.5799% 10/2/25 (c)(d) 3,735,117 3,522,440 
Bracket Intermediate Holding Corp. 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.473% 9/5/25 (c)(d) 1,389,131 1,382,185 
Ceridian HCM Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.112% 4/30/25 (c)(d) 2,213,275 2,212,345 
Compuware Corp. 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.112% 8/23/25 (c)(d) 2,329,205 2,334,050 
Cvent, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.862% 11/29/24 (c)(d) 1,572,557 1,546,515 
DCert Buyer, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 8/8/26 (d)(r) 4,500,000 4,481,235 
Digicert Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.112% 10/31/24 (c)(d) 4,505,421 4,505,421 
Dynatrace LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.862% 8/23/25 (c)(d) 1,060,094 1,059,829 
EagleView Technology Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.6452% 8/14/25 (c)(d) 1,223,850 1,129,002 
Emerald TopCo, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.612% 7/22/26 (c)(d) 1,875,000 1,864,069 
Epicor Software Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.37% 6/1/22 (c)(d) 3,048,839 3,044,388 
Evo Payments International LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.37% 12/22/23 (c)(d) 1,929,912 1,928,098 
Flexera Software LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.62% 2/26/25 (c)(d) 748,106 747,874 
Hyland Software, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.112% 7/7/25 (c)(d) 221,000 221,415 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.362% 7/1/24 (c)(d) 1,620,435 1,613,354 
Ion Trading Finance Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.6507% 11/21/24 (c)(d) 2,818,062 2,703,001 
Kronos, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 8.250% 10.5031% 11/1/24 (c)(d) 4,746,000 4,850,412 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.2531% 11/1/23 (c)(d) 8,299,630 8,290,169 
Landesk Group, Inc. term loan:   
3 month U.S. LIBOR + 4.250% 6.47% 1/20/24 (c)(d) 3,264,384 3,252,142 
3 month U.S. LIBOR + 9.000% 11.22% 1/20/25 (c)(d) 637,000 627,445 
MA FinanceCo. LLC:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 4.362% 11/20/21 (c)(d) 285,335 282,736 
Tranche B 3LN, term loan:   
3 month U.S. LIBOR + 2.500% 4.612% 6/21/24 (c)(d) 9,876,639 9,580,340 
3 month U.S. LIBOR + 2.500% 4.612% 6/21/24 (c)(d) 1,470,446 1,426,332 
MH Sub I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.862% 9/15/24 (c)(d) 1,251,447 1,239,971 
NAVEX TopCo, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.000% 9.13% 9/4/26 (c)(d) 175,000 173,250 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.38% 9/4/25 (c)(d) 1,277,578 1,250,110 
Project Alpha Intermediate Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.56% 4/26/24 (c)(d) 1,000,000 996,880 
Project Boost Purchaser LLC 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.612% 5/30/26 (c)(d) 625,000 618,363 
Renaissance Holding Corp.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.362% 5/31/25 (c)(d) 1,557,619 1,522,962 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.112% 5/31/26 (c)(d) 899,000 857,044 
S2P Acquisition Borrower, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.1952% 8/9/26 (c)(d) 1,125,000 1,123,121 
Solera LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.862% 3/3/23 (c)(d) 3,068,722 3,051,476 
Sophia L.P. term loan 3 month U.S. LIBOR + 3.250% 5.5799% 9/30/22 (c)(d) 4,592,575 4,585,870 
SS&C Technologies, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.362% 7/8/22 (c)(d) 368,697 368,985 
Tranche B 3LN, term loan 3 month U.S. LIBOR + 2.250% 4.362% 4/16/25 (c)(d) 4,370,542 4,374,913 
Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.250% 4.362% 4/16/25 (c)(d) 2,953,484 2,956,438 
Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.250% 4.362% 4/16/25 (c)(d) 5,771,445 5,770,637 
Sybil Software LLC. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.5799% 9/30/23 (c)(d) 867,564 869,464 
TIBCO Software, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.25% 6/30/26 (c)(d) 2,699,074 2,696,537 
Ultimate Software Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.0799% 5/4/26 (c)(d) 3,900,000 3,906,981 
Veritas U.S., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.6481% 1/27/23 (c)(d) 1,999,962 1,895,964 
Vertafore, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.362% 7/2/25 (c)(d) 5,367,162 5,177,648 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.362% 7/2/26 (c)(d) 1,433,000 1,406,733 
  120,506,371 
Technology Hardware, Storage & Peripherals - 0.0%   
Dell International LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.12% 9/7/23 (c)(d) 1,006,891 1,008,874 
TOTAL INFORMATION TECHNOLOGY  196,499,128 
MATERIALS - 0.3%   
Chemicals - 0.1%   
American Rock Salt Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.862% 3/21/25 (c)(d) 1,848,293 1,841,362 
ASP Chromaflo Dutch I BV Tranche B-2 1LN, term loan:   
3 month U.S. LIBOR + 3.500% 5.612% 11/18/23 (c)(d) 639,021 613,460 
3 month U.S. LIBOR + 4.250% 6.362% 11/18/23 (c)(d) 211,449 208,277 
ASP Chromaflo Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.612% 11/18/23 (c)(d) 491,434 471,776 
Tranche B3/B4 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.362% 11/18/23 (c)(d)(k) 162,613 160,174 
Hexion, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.82% 7/1/26 (c)(d) 1,180,000 1,177,050 
MacDermid, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.362% 1/31/26 (c)(d) 1,273,600 1,272,008 
Messer Industries U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.8299% 3/1/26 (c)(d) 3,177,038 3,154,353 
OCI Partners LP Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.3299% 3/13/25 (c)(d) 2,219,282 2,210,960 
Oxea Corp. Tranche B2, term loan 3 month U.S. LIBOR + 3.500% 5.75% 10/11/24 (c)(d) 2,389,560 2,371,638 
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.4628% 10/1/25 (c)(d) 6,964,545 6,717,861 
The Chemours Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.87% 4/3/25 (c)(d) 2,105,004 2,030,024 
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. term loan 3 month U.S. LIBOR + 2.000% 4.112% 9/6/24 (c)(d) 1,251,447 1,230,485 
Tronox Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.947% 9/22/24 (c)(d) 3,134,153 3,108,203 
Univar, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.362% 7/1/24 (c)(d) 561,577 561,273 
W. R. Grace & Co.-Conn.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 4.0799% 4/3/25 (c)(d) 470,654 469,595 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 1.750% 4.0799% 4/3/25 (c)(d) 806,694 804,879 
  28,403,378 
Containers & Packaging - 0.2%   
Berlin Packaging, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.2151% 11/7/25 (c)(d) 5,255,491 5,130,673 
Berry Global, Inc.:   
Tranche Q, term loan 3 month U.S. LIBOR + 2.250% 4.4509% 10/1/22 (c)(d) 5,090,205 5,091,376 
Tranche T, term loan 3 month U.S. LIBOR + 2.000% 4.2009% 1/6/21 (c)(d) 206,675 206,675 
Tranche U, term loan 3 month U.S. LIBOR + 2.500% 4.7009% 7/1/26 (c)(d) 4,500,000 4,497,525 
BWAY Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.5895% 4/3/24 (c)(d) 624,719 606,658 
Charter Nex U.S., Inc.:   
1LN, term loan 3 month U.S. LIBOR + 3.500% 5.612% 5/16/24 (c)(d) 770,000 768,560 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.112% 5/16/24 (c)(d) 770,665 756,793 
Consolidated Container Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.862% 5/22/24 (c)(d) 1,433,230 1,410,542 
Flex Acquisition Co., Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.3189% 12/29/23 (c)(d) 4,056,507 3,856,845 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.5689% 6/29/25 (c)(d) 3,899,094 3,710,105 
Pregis TopCo Corp. 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.2531% 7/31/26 (c)(d) 1,250,000 1,243,225 
Reynolds Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.862% 2/5/23 (c)(d) 10,625,040 10,613,671 
  37,892,648 
Metals & Mining - 0.0%   
Gulf Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 7.5173% 8/25/23 (c)(d) 2,921,843 2,288,767 
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.362% 10/17/22 (c)(d) 4,881,946 2,353,782 
Tank Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.5309% 3/26/26 (c)(d) 1,045,000 1,037,486 
  5,680,035 
Paper & Forest Products - 0.0%   
Clearwater Paper Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.4375% 7/26/26 (c)(d) 750,000 750,000 
TOTAL MATERIALS  72,726,061 
REAL ESTATE - 0.1%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Invitation Homes Operating Par Tranche B, term loan 3 month U.S. LIBOR + 1.700% 3.8666% 2/6/22 (c)(d)(k) 1,367,000 1,332,825 
iStar Financial, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.9483% 6/28/23 (c)(d) 1,120,759 1,120,759 
The GEO Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.12% 3/23/24 (c)(d) 615,377 572,609 
  3,026,193 
Real Estate Management & Development - 0.1%   
Capital Automotive LP:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 8.12% 3/24/25 (c)(d) 721,401 721,856 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.62% 3/24/24 (c)(d) 911,227 908,949 
DTZ U.S. Borrower LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.362% 8/21/25 (c)(d) 4,960,515 4,955,604 
Forest City Enterprises LP Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.112% 12/7/25 (c)(d) 1,174,100 1,181,438 
Realogy Group LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.42% 2/8/25 (c)(d) 1,990,659 1,917,661 
VICI Properties, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.17% 12/22/24 (c)(d) 6,732,909 6,742,537 
  16,428,045 
TOTAL REAL ESTATE  19,454,238 
UTILITIES - 0.1%   
Electric Utilities - 0.1%   
Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.612% 8/1/25 (c)(d) 5,946,515 5,948,656 
ExGen Renewables IV, LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.13% 11/28/24 (c)(d) 1,789,924 1,722,802 
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.8299% 11/13/21 (c)(d) 1,904,045 1,827,883 
Invenergy Thermal Operating I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.612% 8/28/25 (c)(d) 1,528,296 1,534,027 
Lightstone Holdco LLC:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.862% 1/30/24 (c)(d) 2,910,188 2,801,056 
Tranche C 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.862% 1/30/24 (c)(d) 164,139 157,984 
Tex Operations Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.112% 8/4/23 (c)(d) 3,544,300 3,546,284 
Vistra Operations Co. LLC Tranche B 3LN, term loan 3 month U.S. LIBOR + 2.000% 4.1473% 12/31/25 (c)(d) 4,533,676 4,537,439 
  22,076,131 
Gas Utilities - 0.0%   
UGI Energy Services LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.862% 8/1/26 (c)(d) 1,125,000 1,125,000 
Independent Power and Renewable Electricity Producers - 0.0%   
Oregon Clean Energy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.862% 3/1/26 (c)(d) 872,813 871,721 
Talen Energy Supply LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.9628% 6/28/26 (c)(d) 375,000 368,438 
Terra-Gen Finance Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.37% 12/9/21 (c)(d) 1,533,827 1,380,444 
TerraForm Power Operating LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.112% 11/8/22 (c)(d) 508,057 507,421 
  3,128,024 
TOTAL UTILITIES  26,329,155 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $1,139,692,446)  1,120,665,187 
Bank Notes - 0.3%   
Capital One NA 2.95% 7/23/21 11,994,000 12,145,271 
Discover Bank:   
(Delaware) 3.2% 8/9/21 $16,424,000 $16,730,506 
3.1% 6/4/20 14,388,000 14,463,765 
4.682% 8/9/28 (c) 8,844,000 9,278,240 
8.7% 11/18/19 1,884,000 1,906,649 
KeyBank NA 6.95% 2/1/28 1,259,000 1,613,000 
Synchrony Bank 3.65% 5/24/21 14,890,000 15,193,688 
TOTAL BANK NOTES   
(Cost $69,666,000)  71,331,119 
Preferred Securities - 0.7%   
COMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
Colombia Telecomunicaciones SA 8.5% (b)(c)(t) $930,000 $991,486 
Telefonica Europe BV 2.625% (Reg. S) (c)(t) EUR2,400,000 2,700,458 
  3,691,944 
CONSUMER DISCRETIONARY - 0.1%   
Automobiles - 0.1%   
Volkswagen International Finance NV:   
2.5%(Reg. S) (c)(t) EUR7,214,000 8,225,966 
2.7%(Reg. S) (c)(t) EUR4,700,000 5,425,139 
3.75% (c)(t) EUR4,600,000 5,374,342 
  19,025,447 
CONSUMER STAPLES - 0.0%   
Food Products - 0.0%   
Cosan Overseas Ltd. 8.25% (t) 4,983,000 5,170,444 
Danone SA 1.75% (Reg. S) (c)(t) EUR3,200,000 3,625,539 
  8,795,983 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
MPLX LP 6.875% (c)(t) 4,950,000 4,975,621 
FINANCIALS - 0.5%   
Banks - 0.4%   
Alfa Bond Issuance PLC 8% (Reg. S) (c)(t) 2,756,000 2,832,801 
Allied Irish Banks PLC 7.375% (Reg. S) (c)(t) EUR2,037,000 2,422,207 
Banco Bilbao Vizcaya Argentaria SA:   
5.875% (Reg. S) (c)(t) EUR3,400,000 3,930,722 
6.75% (Reg. S) (c)(t) EUR4,200,000 4,736,843 
Banco Do Brasil SA:   
6.25% (b)(c)(t) 1,320,000 1,300,801 
9% (b)(c)(t) 815,000 909,086 
Banco Mercantil del Norte SA 7.625% (b)(c)(t) 608,000 615,363 
Bank of America Corp.:   
5.875% (c)(t) 2,335,000 2,601,984 
6.1% (c)(t) 5,186,000 5,797,159 
6.25% (c)(t) 3,392,000 3,800,976 
6.5% (c)(t) 1,911,000 2,184,779 
Bank of Nova Scotia 4.65% (c)(t) 4,078,000 4,088,852 
Barclays Bank PLC 7.625% 11/21/22 16,943,000 19,041,273 
Barclays PLC:   
7.125% (c)(t) GBP1,960,000 2,501,366 
7.875% (Reg. S) (c)(t) 4,922,000 5,200,347 
CYBG PLC 9.25% (Reg. S) (c)(t) GBP1,400,000 1,769,165 
Danske Bank A/S 5.875% (Reg. S) (c)(t) EUR1,270,000 1,514,709 
Georgia Bank Joint Stock Co. 11.125% (Reg. S) (c)(t) 300,000 322,541 
HSBC Holdings PLC 5.25% (c)(t) EUR2,497,000 2,985,988 
Itau Unibanco Holding SA:   
5.5% 8/6/22 (b) 736,000 773,130 
6.125% (b)(c)(t) 325,000 331,813 
Royal Bank of Scotland Group PLC 7.5% (c)(t) 5,287,000 5,438,947 
Stichting AK Rabobank Certificaten 6.5% (Reg. S) (t) EUR3,246,800 4,472,523 
Tinkoff Credit Systems 9.25% (Reg. S) (c)(t) 2,092,000 2,237,626 
Wells Fargo & Co. 5.9% (c)(t) 12,000,000 12,960,885 
  94,771,886 
Capital Markets - 0.0%   
Deutsche Bank AG 6% (Reg. S) (c)(t) EUR2,000,000 1,942,429 
Insurance - 0.1%   
Assicurazioni Generali SpA 6.416% (c)(t) GBP2,650,000 3,528,883 
Aviva PLC:   
5.9021% (c)(t) GBP3,450,000 4,327,439 
6.125% (c)(t) GBP8,560,000 11,786,075 
Credit Agricole Assurances SA 4.25% (Reg. S) (c)(t) EUR2,700,000 3,410,726 
Generali Finance BV 4.596% (Reg. S) (c)(t) EUR2,200,000 2,745,466 
QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(t) 3,897,000 3,986,466 
  29,785,055 
TOTAL FINANCIALS  126,499,370 
INDUSTRIALS - 0.0%   
Construction & Engineering - 0.0%   
Odebrecht Finance Ltd.:   
7.5% (b)(e)(t) 4,237,000 424,759 
7.5% (Reg. S) (e)(t) 100,000 10,025 
  434,784 
REAL ESTATE - 0.1%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Samhallsbyggnadsbolaget I Norden AB 4.625% (Reg. S) (c)(t) EUR3,130,000 3,662,556 
Real Estate Management & Development - 0.1%   
CPI Property Group SA 4.375% (Reg. S) (c)(t) EUR2,300,000 2,616,024 
Deutsche Annington Finance BV 4% (Reg. S) (c)(t) EUR1,400,000 1,699,498 
Grand City Properties SA 3.75% (c)(t) EUR4,400,000 5,247,030 
  9,562,552 
TOTAL REAL ESTATE  13,225,108 
UTILITIES - 0.0%   
Water Utilities - 0.0%   
Pennon Group PLC 2.875% (Reg. S) (c)(t) GBP1,226,000 1,509,385 
TOTAL PREFERRED SECURITIES   
(Cost $177,878,943)  178,157,642 
 Shares Value 
Money Market Funds - 6.0%   
Fidelity Cash Central Fund 2.13% (u)   
(Cost $1,528,701,411) 1,528,451,676 1,528,757,366 

Purchased Swaptions - 0.1%    
 Expiration Date Notional Amount Value 
Put Options - 0.0%    
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 1.476% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/27/24 30,000,000 $859,439 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.3275% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/11/24 25,600,000 345,686 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.61% and receive quarterly a floating rate based on 3-month LIBOR, expiring May 2029 4/29/22 48,600,000 325,559 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.5675% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/4/22 12,000,000 81,619 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.645% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 14,000,000 87,500 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.313% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 81,400,000 1,116,229 
Option with an exercise rate of 2.875% on a credit default swap with Citibank N.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 31 Index expiring June 2024, paying 5% quarterly. 11/20/19 EUR 10,718,000 80,943 
Option with an exercise rate of 2.875% on a credit default swap with JPMorgan Chase Bank N.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 31 Index expiring June 2024, paying 5% quarterly. 10/16/19 EUR 62,729,000 256,476 
TOTAL PUT OPTIONS   3,153,451 
Call Options - 0.1%    
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 1.476% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/27/24 30,000,000 894,119 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.3275% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/11/24 25,600,000 1,394,625 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.61% and pay quarterly a floating rate based on 3-month LIBOR, expiring May 2029 4/29/22 48,600,000 4,290,029 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.5675% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/4/22 12,000,000 1,031,594 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.645% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 14,000,000 1,264,148 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.313% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 81,400,000 4,401,140 
TOTAL CALL OPTIONS   13,275,655 
TOTAL PURCHASED SWAPTIONS    
(Cost $12,639,573)   16,429,106 
TOTAL INVESTMENT IN SECURITIES - 109.2%    
(Cost $26,616,581,542)   27,648,147,155 
NET OTHER ASSETS (LIABILITIES) - (9.2)%   (2,339,379,976) 
NET ASSETS - 100%   $25,308,767,179 

TBA Sale Commitments   
 Principal Amount Value 
Ginnie Mae   
3% 9/1/49 $(91,900,000) $(94,768,346) 
3.5% 9/1/49 (62,600,000) (65,035,534) 
3.5% 9/1/49 (31,900,000) (33,141,111) 
3.5% 9/1/49 (34,100,000) (35,426,705) 
3.5% 9/1/49 (20,300,000) (21,089,798) 
3.5% 9/1/49 (9,900,000) (10,285,172) 
3.5% 9/1/49 (9,900,000) (10,285,172) 
TOTAL GINNIE MAE  (270,031,838) 
Uniform Mortgage Backed Securities   
3.5% 9/1/49 (58,300,000) (59,907,803) 
4% 9/1/49 (38,900,000) (40,380,954) 
4% 9/1/49 (21,900,000) (22,733,751) 
4% 9/1/49 (26,100,000) (27,093,648) 
4% 9/1/49 (21,900,000) (22,733,751) 
4.5% 9/1/49 (16,050,000) (16,893,901) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (189,743,808) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $458,938,688)  $(459,775,646) 

Written Swaptions    
 Expiration Date Notional Amount Value 
Put Swaptions    
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 1.507% and receive quarterly a floating rate based on 3-month LIBOR, expiring November 2029 11/8/19 5,000,000 $(39,179) 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 1.97% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 20,000,000 (378,237) 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 1.92% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/25/19 2,700,000 (288) 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring May 2029 5/13/22 11,000,000 (92,131) 
TOTAL PUT SWAPTIONS   (509,835) 
Call Swaptions    
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 1.507% and pay quarterly a floating rate based on 3-month LIBOR, expiring November 2029 11/8/19 5,000,000 (102,694) 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 1.97% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 20,000,000 (858,861) 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 1.92% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/25/19 2,700,000 (137,792) 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring May 2029 5/13/22 11,000,000 (872,757) 
TOTAL CALL SWAPTIONS   (1,972,104) 
TOTAL WRITTEN SWAPTIONS   $(2,481,939) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Bond Index Contracts      
ASX 10 Year Treasury Bond Index Contracts (Australia) 40 Sept. 2019 $4,008,061 $186,429 $186,429 
Eurex Euro-Bobl Contracts (Germany) 46 Sept. 2019 6,887,285 42,904 42,904 
ICE Long Gilt Contracts (United Kingdom) 13 Dec. 2019 2,124,095 9,329 9,329 
TME 10 Year Canadian Note Contracts (Canada) 173 Dec. 2019 18,851,465 21,130 21,130 
TOTAL BOND INDEX CONTRACTS     259,792 
Treasury Contracts      
CBOT 2-Year U.S. Treasury Note Contracts (United States) 38 Dec. 2019 8,212,453 4,082 4,082 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 46 Dec. 2019 5,518,922 1,182 1,182 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 38 Dec. 2019 6,279,500 35,425 35,425 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 188 Dec. 2019 27,154,250 73,022 73,022 
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 99 Dec. 2019 19,546,313 (43,531) (43,531) 
TOTAL TREASURY CONTRACTS     70,180 
TOTAL PURCHASED     329,972 
Sold      
Bond Index Contracts      
Eurex Euro-Bund Contracts (Germany) 19 Sept. 2019 3,739,957 (84,384) (84,384) 
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 1,056 Dec. 2019 139,095,000 72,081 72,081 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 1,534 Dec. 2019 331,523,766 (176,008) (176,008) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 924 Dec. 2019 110,858,344 (45,554) (45,554) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 238 Dec. 2019 39,329,500 (223,639) (223,639) 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 637 Dec. 2019 92,006,688 (255,033) (255,033) 
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 53 Dec. 2019 10,464,188 36,767 36,767 
TOTAL TREASURY CONTRACTS     (591,386) 
TOTAL SOLD     (675,770) 
TOTAL FUTURES CONTRACTS     $(345,798) 

The notional amount of futures purchased as a percentage of Net Assets is 0.4%

The notional amount of futures sold as a percentage of Net Assets is 2.9%

Forward Foreign Currency Contracts       
Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation/(Depreciation) 
GBP 255,000 USD 310,182 Goldman Sachs Bank USA 9/3/19 $102 
USD 231,592 CAD 308,000 Goldman Sachs Bank USA 11/27/19 
USD 2,294,460 EUR 2,075,000 BNP Paribas SA 11/27/19 (822) 
USD 329,826,262 EUR 295,440,000 Goldman Sachs Bank USA 11/27/19 3,022,351 
USD 352,576 EUR 316,000 Goldman Sachs Bank USA 11/27/19 3,030 
USD 1,030,041 GBP 844,000 Goldman Sachs Bank USA 11/27/19 (385) 
USD 62,419,594 GBP 50,771,000 JPMorgan Chase Bank, N.A. 11/27/19 434,092 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS      $3,458,368 
     Unrealized Appreciation 3,459,575 
     Unrealized Depreciation (1,207) 

Swaps

Underlying Reference Rating(1) Maturity Date Clearinghouse / Counterparty(2) Fixed Payment Received/(Paid) Payment Frequency Notional Amount(3) Value(1) Upfront Premium Received/(Paid)(4) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps          
Buy Protection          
5-Year iTraxx Europe Series 25 Index  Jun. 2021 ICE (1%) Quarterly EUR 8,300,000 $(59,714) $0 $(59,714) 
Akzo Nobel NV  Jun. 2024 Citibank, N.A. (1%) Quarterly EUR 9,400,000 (327,067) 300,334 (26,733) 
BNP Paribas  Jun. 2024 JPMorgan Chase Bank, N.A. (1%) Quarterly EUR 4,850,000 (33,553) 28,458 (5,095) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 23,900,000 (76,346) (27,161) (103,507) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 23,150,000 (73,950) 45,823 (28,127) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 20,100,000 (64,207) 41,632 (22,575) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 27,500,000 (87,846) (62,775) (150,621) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 16,200,000 (51,749) (83,935) (135,684) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 26,046,000 (83,201) (185,586) (268,787) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Credit Suisse International (0.5%) Monthly 17,000,000 (54,305) (59,594) (113,899) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Credit Suisse International (0.5%) Monthly 11,620,000 (37,119) (1,826) (38,945) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Credit Suisse International (0.5%) Monthly 12,754,000 (40,741) (90,876) (131,617) 
CMBX N.A. AAA Index Series 11  Nov. 2054 J.P. Morgan Securities LLC (0.5%) Monthly 13,470,000 (43,029) (91,173) (134,202) 
Commerzbank AG  Jun. 2024 JPMorgan Chase Bank, N.A. (1%) Quarterly EUR 6,050,000 (115,128) 99,952 (15,176) 
Gas Natural Capital Markets SA  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,200,000 (118,926) 68,439 (50,487) 
Leonardo Spa  Jun. 2024 Citibank, N.A. (5%) Quarterly EUR 1,900,000 (445,382) 413,502 (31,880) 
Leonardo Spa  Jun. 2024 Citibank, N.A. (5%) Quarterly EUR 1,250,000 (293,015) 270,826 (22,189) 
Leonardo Spa  Jun. 2024 Citibank, N.A. (5%) Quarterly EUR 850,000 (199,250) 184,162 (15,088) 
Standard Chartered PLC  Jun. 2021 Goldman Sachs Bank USA (1%) Quarterly EUR 1,550,000 (25,360) (56,119) (81,479) 
Volvo Treas Ab  Jun. 2024 Citibank, N.A. (1%) Quarterly EUR 1,550,000 (49,557) 37,556 (12,001) 
TOTAL BUY PROTECTION       (2,279,445) 831,639 (1,447,806) 
Sell Protection          
5-Year iTraxx Europe Senior Financial Series 25 Index NR Jun. 2021 ICE 1% Quarterly EUR 8,300,000 197,377 197,377 
TOTAL CREDIT DEFAULT SWAPS       $(2,082,068) $831,639 $(1,250,429) 

 (1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

 (2) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.

 (3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

 (4) 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).

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount Value Upfront Premium Received/(Paid)(4) Unrealized Appreciation/(Depreciation) 
Interest Rate Swaps          
1.5% Semi - annual 3-month LIBOR(3) Quarterly LCH Dec. 2021 $60,620,000 $(33,719) $0 $(33,719) 
3-month LIBOR(3) Quarterly 1.5% Semi - annual LCH Dec. 2029 42,245,000 64,282 64,282 
0.75% Annual 6-month EURIBOR(3) Semi - annual LCH Dec. 2029 EUR 10,490,000 706,590 706,590 
1.25% Annual 6-month EURIBOR(3) Semi - annual LCH Dec. 2034 EUR 20,770,000 3,014,491 3,014,491 
1.25% Annual 6-month EURIBOR(3) Semi - annual LCH Dec. 2039 EUR 4,030,000 509,252 509,252 
0.25% Annual 6-month EURIBOR(3) Semi - annual LCH Dec. 2039 EUR 440,000 (4,091) (4,091) 
TOTAL INTEREST RATE SWAPS       $4,256,805 $0 $4,256,805 

 (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.

Currency Abbreviations

CAD – Canadian dollar

EUR – European Monetary Unit

GBP – British pound

USD – U.S. dollar

Legend

 (a) Amount is stated in United States dollars unless otherwise noted.

 (b) 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 $3,318,518,965 or 13.1% of net assets.

 (c) 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) Non-income producing - Security is in default.

 (f) 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 $7,055,620.

 (g) 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 $4,779,211.

 (h) Security or a portion of the security has been segregated as collateral for open options and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $1,676,544.

 (i) 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.

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

 (k) Level 3 security

 (l) 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.

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

 (n) 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.

 (o) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,043,350 or 0.0% of net assets.

 (p) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

 (q) Non-income producing

 (r) The coupon rate will be determined upon settlement of the loan after period end.

 (s) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $3,131,443 and $2,988,104, respectively.

 (t) Security is perpetual in nature with no stated maturity date.

 (u) 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.

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33 3/23/07 - 11/28/18 $998,303 

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 $16,515,587 
Total $16,515,587 

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.

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.

Fund Value, beginning of period Purchases Sales Proceeds(a) Dividend Income Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period 
Fidelity Real Estate High Income Fund $-- $100,000,000 $100,000,000 $-- $-- $-- $-- 
Total $-- $100,000,000 $100,000,000 $-- $-- $-- $-- 

 (a) Includes the value of shares redeemed through in-kind transactions, if applicable.

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.

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2019, 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:     
Equities:     
Communication Services $310,646 $275,977 $69 $34,600 
Consumer Discretionary 6,793 -- -- 6,793 
Energy 4,515,066 87,912 -- 4,427,154 
Financials 2,339,524 635,946 1,703,578 -- 
Industrials 72,900 -- -- 72,900 
Materials 812,490 812,490 -- -- 
Real Estate 7,015,269 5,955,128 1,060,141 -- 
Utilities 3,095,630 -- -- 3,095,630 
Corporate Bonds 8,622,493,493 -- 8,622,493,493 -- 
U.S. Government and Government Agency Obligations 8,421,838,970 -- 8,421,838,970 -- 
U.S. Government Agency - Mortgage Securities 5,364,644,151 -- 5,364,644,151 -- 
Asset-Backed Securities 600,864,800 -- 599,641,463 1,223,337 
Collateralized Mortgage Obligations 446,044,669 -- 446,043,681 988 
Commercial Mortgage Securities 781,625,141 -- 781,564,399 60,742 
Municipal Securities 174,036,212 -- 174,036,212 -- 
Foreign Government and Government Agency Obligations 303,090,981 -- 302,219,772 871,209 
Bank Loan Obligations 1,120,665,187 -- 1,108,181,256 12,483,931 
Bank Notes 71,331,119 -- 71,331,119 -- 
Preferred Securities 178,157,642 -- 178,157,642 -- 
Money Market Funds 1,528,757,366 1,528,757,366 -- -- 
Purchased Swaptions 16,429,106 -- 16,429,106 -- 
Total Investments in Securities: $27,648,147,155 $1,536,524,819 $26,089,345,052 $22,277,284 
Derivative Instruments:     
Assets     
Futures Contracts $482,351 $482,351 $-- $-- 
Forward Foreign Currency Contracts 3,459,575 -- 3,459,575 -- 
Swaps 4,491,992 -- 4,491,992 -- 
Total Assets $8,433,918 $482,351 $7,951,567 $-- 
Liabilities     
Futures Contracts $(828,149) $(828,149) $-- $-- 
Forward Foreign Currency Contracts (1,207) -- (1,207) -- 
Swaps (2,317,255) -- (2,317,255) -- 
Written Swaptions (2,481,939) -- (2,481,939) -- 
Total Liabilities $(5,628,550) $(828,149) $(4,800,401) $-- 
Total Derivative Instruments: $2,805,368 $(345,798) $3,151,166 $-- 
Other Financial Instruments:     
TBA Sale Commitments $(459,775,646) $-- $(459,775,646) $-- 
Total Other Financial Instruments: $(459,775,646) $-- $(459,775,646) $-- 

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, 2019. 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 
Credit Risk   
Purchased Swaptions(a) $337,419 $0 
Swaps(b) 197,377 (2,279,445) 
Total Credit Risk 534,796 (2,279,445) 
Foreign Exchange Risk   
Forward Foreign Currency Contracts(c) 3,459,575 (1,207) 
Total Foreign Exchange Risk 3,459,575 (1,207) 
Interest Rate Risk   
Futures Contracts(d) 482,351 (828,149) 
Purchased Swaptions(a) 16,091,687 
Swaps(b) 4,294,615 (37,810) 
Written Swaptions(e) (2,481,939) 
Total Interest Rate Risk 20,868,653 (3,347,898) 
Total Value of Derivatives $24,863,024 $(5,628,550) 

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

 (b) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. For centrally cleared 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 distributable earnings.

 (c) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.

 (d) 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 distributable earnings.

 (e) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

Other Information

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America 86.9% 
United Kingdom 2.1% 
Netherlands 2.0% 
Mexico 1.8% 
Cayman Islands 1.5% 
Others (Individually Less Than 1%) 5.7% 
 100.0% 

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


Financial Statements

Statement of Assets and Liabilities

  August 31, 2019 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $25,087,880,131) 
$26,119,389,789  
Fidelity Central Funds (cost $1,528,701,411) 1,528,757,366  
Total Investment in Securities (cost $26,616,581,542)  $27,648,147,155 
Cash  1,787,988 
Foreign currency held at value (cost $11,370,830)  11,280,538 
Receivable for investments sold  85,338,807 
Receivable for premium on written options  1,948,350 
Receivable for TBA sale commitments  458,938,688 
Unrealized appreciation on forward foreign currency contracts  3,459,575 
Receivable for fund shares sold  35,208,129 
Dividends receivable  183,799 
Interest receivable  173,450,099 
Distributions receivable from Fidelity Central Funds  1,181,263 
Receivable from investment adviser for expense reductions  102,230 
Other receivables  209,992 
Total assets  28,421,236,613 
Liabilities   
Payable for investments purchased   
Regular delivery $796,464,818  
Delayed delivery 1,791,753,363  
TBA sale commitments, at value 459,775,646  
Unrealized depreciation on forward foreign currency contracts 1,207  
Payable for fund shares redeemed 43,657,742  
Distributions payable 5,301,318  
Bi-lateral OTC swaps, at value 2,219,731  
Accrued management fee 6,298,593  
Distribution and service plan fees payable 321,864  
Payable for daily variation margin on futures contracts 395,559  
Payable for daily variation margin on centrally cleared OTC swaps 414,572  
Written options, at value (premium receivable $1,948,350) 2,481,939  
Other affiliated payables 3,173,368  
Other payables and accrued expenses 209,714  
Total liabilities  3,112,469,434 
Net Assets  $25,308,767,179 
Net Assets consist of:   
Paid in capital  $24,430,743,516 
Total distributable earnings (loss)  878,023,663 
Net Assets  $25,308,767,179 
Net Asset Value and Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($614,155,712 ÷ 55,821,942 shares)(a)  $11.00 
Maximum offering price per share (100/96.00 of $11.00)  $11.46 
Class M:   
Net Asset Value and redemption price per share ($343,190,533 ÷ 31,247,797 shares)(a)  $10.98 
Maximum offering price per share (100/96.00 of $10.98)  $11.44 
Class C:   
Net Asset Value and offering price per share ($153,943,878 ÷ 13,987,187 shares)(a)  $11.01 
Total Bond:   
Net Asset Value, offering price and redemption price per share ($14,074,693,588 ÷ 1,279,786,082 shares)  $11.00 
Class I:   
Net Asset Value, offering price and redemption price per share ($6,348,237,319 ÷ 578,148,557 shares)  $10.98 
Class Z:   
Net Asset Value, offering price and redemption price per share ($3,774,546,149 ÷ 343,733,953 shares)  $10.98 

 (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

  Year ended August 31, 2019 
Investment Income   
Dividends  $10,753,464 
Interest (including $546,203 from security lending)  827,091,309 
Income from Fidelity Central Funds  16,515,587 
Total income  854,360,360 
Expenses   
Management fee $71,743,413  
Transfer agent fees 25,127,771  
Distribution and service plan fees 3,611,619  
Fund wide operations fee 10,638,380  
Independent trustees' fees and expenses 115,220  
Legal 299  
Miscellaneous 67,693  
Total expenses before reductions 111,304,395  
Expense reductions (1,154,311)  
Total expenses after reductions  110,150,084 
Net investment income (loss)  744,210,276 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (28,156,844)  
Redemptions in-kind with affiliated entities (214,083,908)  
Fidelity Central Funds 20,537  
Forward foreign currency contracts 19,260,316  
Foreign currency transactions 2,059,376  
Futures contracts (28,498,689)  
Swaps (696,341)  
Written options (688,586)  
Total net realized gain (loss)  (250,784,139) 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 1,476,618,225  
Fidelity Central Funds (20,536)  
Forward foreign currency contracts 8,242,639  
Assets and liabilities in foreign currencies (347,682)  
Futures contracts (20,493)  
Swaps 2,902,210  
Written options (808,982)  
Delayed delivery commitments (864,867)  
Total change in net unrealized appreciation (depreciation)  1,485,700,514 
Net gain (loss)  1,234,916,375 
Net increase (decrease) in net assets resulting from operations  $1,979,126,651 

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


Statement of Changes in Net Assets

 Year ended August 31, 2019 Year ended August 31, 2018 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $744,210,276 $914,701,571 
Net realized gain (loss) (250,784,139) (90,126,250) 
Change in net unrealized appreciation (depreciation) 1,485,700,514 (1,022,272,603) 
Net increase (decrease) in net assets resulting from operations 1,979,126,651 (197,697,282) 
Distributions to shareholders (786,724,462) – 
Distributions to shareholders from net investment income – (885,486,323) 
Distributions to shareholders from net realized gain – (72,496,897) 
Total distributions (786,724,462) (957,983,220) 
Share transactions - net increase (decrease) (8,154,120,356) 2,739,351,141 
Total increase (decrease) in net assets (6,961,718,167) 1,583,670,639 
Net Assets   
Beginning of period 32,270,485,346 30,686,814,707 
End of period $25,308,767,179 $32,270,485,346 
Other Information   
Undistributed net investment income end of period  $94,000,586 

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


Financial Highlights

Fidelity Total Bond Fund Class A

Years ended August 31, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $10.38 $10.77 $10.87 $10.53 $10.77 
Income from Investment Operations      
Net investment income (loss)A .300 .273 .272 .312 .287 
Net realized and unrealized gain (loss) .646 (.375) (.086) .377 (.224) 
Total from investment operations .946 (.102) .186 .689 .063 
Distributions from net investment income (.326) (.263) (.258) (.290) (.270) 
Distributions from net realized gain – (.025) (.028) (.059) (.033) 
Total distributions (.326) (.288) (.286) (.349) (.303) 
Net asset value, end of period $11.00 $10.38 $10.77 $10.87 $10.53 
Total ReturnB,C 9.32% (.95)% 1.77% 6.71% .58% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .75% .75% .75% .75% .75% 
Expenses net of fee waivers, if any .75% .75% .75% .75% .75% 
Expenses net of all reductions .75% .75% .75% .75% .75% 
Net investment income (loss) 2.87% 2.60% 2.53% 2.95% 2.69% 
Supplemental Data      
Net assets, end of period (000 omitted) $614,156 $475,569 $521,557 $1,233,806 $852,243 
Portfolio turnover rateF 170%G 109% 137% 134% 140%G 

 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.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other 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 brokerage service arrangements or other 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.

 G Portfolio turnover rate excludes securities received or delivered in-kind.

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


Fidelity Total Bond Fund Class M

Years ended August 31, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $10.36 $10.75 $10.85 $10.51 $10.76 
Income from Investment Operations      
Net investment income (loss)A .300 .272 .267 .309 .285 
Net realized and unrealized gain (loss) .646 (.375) (.083) .378 (.234) 
Total from investment operations .946 (.103) .184 .687 .051 
Distributions from net investment income (.326) (.262) (.256) (.288) (.268) 
Distributions from net realized gain – (.025) (.028) (.059) (.033) 
Total distributions (.326) (.287) (.284) (.347) (.301) 
Net asset value, end of period $10.98 $10.36 $10.75 $10.85 $10.51 
Total ReturnB,C 9.33% (.96)% 1.76% 6.71% .47% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .75% .76% .76% .77% .77% 
Expenses net of fee waivers, if any .75% .76% .76% .77% .77% 
Expenses net of all reductions .75% .76% .76% .77% .77% 
Net investment income (loss) 2.86% 2.60% 2.53% 2.94% 2.67% 
Supplemental Data      
Net assets, end of period (000 omitted) $343,191 $307,837 $287,111 $155,518 $101,673 
Portfolio turnover rateF 170%G 109% 137% 134% 140%G 

 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.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other 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 brokerage service arrangements or other 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.

 G Portfolio turnover rate excludes securities received or delivered in-kind.

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


Fidelity Total Bond Fund Class C

Years ended August 31, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $10.39 $10.77 $10.87 $10.53 $10.77 
Income from Investment Operations      
Net investment income (loss)A .220 .193 .188 .231 .205 
Net realized and unrealized gain (loss) .646 (.365) (.084) .378 (.225) 
Total from investment operations .866 (.172) .104 .609 (.020) 
Distributions from net investment income (.246) (.183) (.176) (.210) (.187) 
Distributions from net realized gain – (.025) (.028) (.059) (.033) 
Total distributions (.246) (.208) (.204) (.269) (.220) 
Net asset value, end of period $11.01 $10.39 $10.77 $10.87 $10.53 
Total ReturnB,C 8.49% (1.60)% .99% 5.90% (.20)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions 1.52% 1.52% 1.52% 1.52% 1.53% 
Expenses net of fee waivers, if any 1.52% 1.52% 1.52% 1.52% 1.53% 
Expenses net of all reductions 1.52% 1.52% 1.52% 1.52% 1.53% 
Net investment income (loss) 2.10% 1.84% 1.77% 2.19% 1.92% 
Supplemental Data      
Net assets, end of period (000 omitted) $153,944 $168,366 $190,273 $186,380 $139,264 
Portfolio turnover rateF 170%G 109% 137% 134% 140%G 

 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.

 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.

 E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other 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 brokerage service arrangements or other 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.

 G Portfolio turnover rate excludes securities received or delivered in-kind.

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


Fidelity Total Bond Fund

Years ended August 31, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $10.38 $10.76 $10.86 $10.53 $10.77 
Income from Investment Operations      
Net investment income (loss)A .333 .305 .302 .343 .320 
Net realized and unrealized gain (loss) .645 (.365) (.085) .368 (.224) 
Total from investment operations .978 (.060) .217 .711 .096 
Distributions from net investment income (.358) (.295) (.289) (.322) (.303) 
Distributions from net realized gain – (.025) (.028) (.059) (.033) 
Total distributions (.358) (.320) (.317) (.381) (.336) 
Net asset value, end of period $11.00 $10.38 $10.76 $10.86 $10.53 
Total ReturnB 9.65% (.55)% 2.07% 6.94% .88% 
Ratios to Average Net AssetsC,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) 3.17% 2.90% 2.84% 3.25% 2.99% 
Supplemental Data      
Net assets, end of period (000 omitted) $14,074,694 $23,868,572 $23,732,156 $20,469,677 $17,359,294 
Portfolio turnover rateE 170%F 109% 137% 134% 140%F 

 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.

 D Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other 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 brokerage service arrangements or other 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.

 F Portfolio turnover rate excludes securities received or delivered in-kind.

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


Fidelity Total Bond Fund Class I

Years ended August 31, 2019 2018 2017 2016 2015 
Selected Per–Share Data      
Net asset value, beginning of period $10.36 $10.75 $10.85 $10.51 $10.76 
Income from Investment Operations      
Net investment income (loss)A .326 .299 .295 .337 .313 
Net realized and unrealized gain (loss) .646 (.374) (.083) .378 (.233) 
Total from investment operations .972 (.075) .212 .715 .080 
Distributions from net investment income (.352) (.290) (.284) (.316) (.297) 
Distributions from net realized gain – (.025) (.028) (.059) (.033) 
Total distributions (.352) (.315) (.312) (.375) (.330) 
Net asset value, end of period $10.98 $10.36 $10.75 $10.85 $10.51 
Total ReturnB 9.61% (.70)% 2.02% 6.99% .73% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .50% .50% .50% .50% .50% 
Expenses net of fee waivers, if any .50% .50% .50% .50% .50% 
Expenses net of all reductions .50% .50% .50% .50% .50% 
Net investment income (loss) 3.12% 2.85% 2.79% 3.20% 2.94% 
Supplemental Data      
Net assets, end of period (000 omitted) $6,348,237 $4,959,911 $4,481,725 $2,846,878 $1,266,870 
Portfolio turnover rateE 170%F 109% 137% 134% 140%F 

 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.

 D Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other 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 brokerage service arrangements or other 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.

 F Portfolio turnover rate excludes securities received or delivered in-kind.

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


Fidelity Total Bond Fund Class Z

Years ended August 31, 2019 2018 2017 2016 2015 A 
Selected Per–Share Data      
Net asset value, beginning of period $10.36 $10.75 $10.85 $10.51 $10.66 
Income from Investment Operations      
Net investment income (loss)B .340 .312 .310 .352 .234 
Net realized and unrealized gain (loss) .647 (.373) (.083) .378 (.167) 
Total from investment operations .987 (.061) .227 .730 .067 
Distributions from net investment income (.367) (.304) (.299) (.331) (.217) 
Distributions from net realized gain – (.025) (.028) (.059) – 
Total distributions (.367) (.329) (.327) (.390) (.217) 
Net asset value, end of period $10.98 $10.36 $10.75 $10.85 $10.51 
Total ReturnC,D 9.76% (.56)% 2.16% 7.14% .59% 
Ratios to Average Net AssetsE,F      
Expenses before reductions .40% .36% .36% .36% .36%G 
Expenses net of fee waivers, if any .36% .36% .36% .36% .36%G 
Expenses net of all reductions .36% .36% .36% .36% .36%G 
Net investment income (loss) 3.26% 2.99% 2.93% 3.34% 3.29%G 
Supplemental Data      
Net assets, end of period (000 omitted) $3,774,546 $2,490,230 $1,473,993 $811,440 $546,968 
Portfolio turnover rateH 170%I 109% 137% 134% 140%I 

 A For the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.

 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.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class 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 brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

 H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

 I Portfolio turnover rate excludes securities received or delivered in-kind.

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


Notes to Financial Statements

For the period ended August 31, 2019

1. Organization.

Fidelity Total Bond 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, Total Bond, Class I and Class Z 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. Effective March 1, 2019, Class C shares will automatically convert to Class A shares after a holding period of ten years from the initial date of purchase, with certain exceptions.

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.

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 ranged from less than .005% to .01%.

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 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, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred 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. 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. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. 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.

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, 2019 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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) for the Fund, 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 $209,714 are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, respectively.

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, 2019, 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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.

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 swaps, futures and options transactions, foreign currency transactions, market discount, redemptions in kind, deferred trustees compensation, certain conversion ratio adjustments, partnerships, capital loss carryforwards and losses deferred due to wash sales.

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 $1,263,028,344 
Gross unrealized depreciation (199,488,112) 
Net unrealized appreciation (depreciation) $1,063,540,232 
Tax Cost $26,583,917,516 

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

Undistributed ordinary income $21,619,687 
Capital loss carryforward $(182,512,567) 
Net unrealized appreciation (depreciation) on securities and other investments $1,039,126,260 

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  
Long-term $(182,512,567) 

The tax character of distributions paid was as follows:

 August 31, 2019 August 31, 2018 
Ordinary Income $786,724,462 $885,486,323 
Long-term Capital Gains – 72,496,897 
Total $786,724,462 $957,983,220 

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.

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.

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.

Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund also invests in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Fund's Schedule of Investments. At the end of the period, the Fund had unfunded loan commitments of $2,988,104.

New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.

Financial Statement Current Line-Item Presentation (As Applicable) Prior Line-Item Presentation (As Applicable) 
Statement of Assets and Liabilities Total distributable earnings (loss) Undistributed/Distributions in excess of/Accumulated net investment income (loss)
Accumulated/Undistributed net realized gain (loss)
Net unrealized appreciation (depreciation) 
Statement of Changes in Net Assets N/A - removed Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period 
Statement of Changes in Net Assets Distributions to shareholders Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain 
Distributions to Shareholders Note to Financial Statements Distributions to shareholders Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain 

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, forward foreign currency 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, to facilitate transactions in foreign-denominated securities 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 risks:

Credit Risk Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
 
Foreign Exchange Risk Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
 
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 forward foreign currency contracts, options and bi-lateral swaps, 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) 
Credit Risk   
Purchased Options $(1,209,610) $(302,565) 
Swaps (427,025) (1,173,711) 
Total Credit Risk (1,636,635) (1,476,276) 
Foreign Exchange Risk   
Forward Foreign Currency Contracts 19,260,316 8,242,639 
Interest Rate Risk   
Futures Contracts (28,498,689) (20,493) 
Purchased Options 4,176,033 4,400,940 
Swaps (269,316) 4,075,921 
Written Options (688,586) (808,982) 
Total Interest Rate Risk (25,750,558) 7,647,386 
Totals $(7,656,877) $14,413,749 

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.

Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end and is representative of volume of activity during the period.

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 and is representative of volume of activity during the period. 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 and potential credit events.

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, and are representative of volume of activity during the period.

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 bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. 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.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

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.

For both bi-lateral and centrally cleared OTC swaps, 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.

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

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, other than short-term securities, U.S. government securities and certain in-kind transactions, aggregated $5,525,949,393 and $2,863,631,264, respectively.

6. 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 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 .10% 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 .30% of the Fund's average net assets.

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% $1,293,535 $86,211 
Class M -% .25% 788,595 – 
Class C .75% .25% 1,529,489 200,614 
   $3,611,619 $286,825 

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 $111,051 
Class M 10,951 
Class C(a) 16,591 
 $138,593 

 (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 Total Bond and Class Z. FIIOC receives an asset-based fee of Total Bond's and Class Z's average net assets. Effective October 1, 2018, the transfer agent fees for Class Z changed to .05% of Class Z average net assets on an annual basis. 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 $786,195 .15 
Class M 484,332 .15 
Class C 255,693 .17 
Total Bond 14,269,299 .10 
Class I 7,932,243 .15 
Class Z 1,400,009 .05 
 $25,127,771  

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 .05% of average net assets.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $11 for the period.

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.

Affiliated Redemptions In-Kind. During the period, 1,163,589,914 shares of the Fund were redeemed in-kind for investments, including accrued interest, and cash with a value of $11,926,796,615. The net realized loss of ($214,083,908) on investments delivered through in-kind redemptions is included in the accompanying Statement of Operations. The amount of the in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets as well as the Notes to Financial Statements. The Fund recognized no gain or loss for federal income tax purposes.

Affiliated Exchanges In-Kind. During the period, the Fund redeemed 11,848,341 shares of Fidelity Real Estate High Income Fund in exchange for cash and investments, including accrued interest, with a value of $100,000,000. There was no net realized gains or losses on the Fund's redemptions of Fidelity Real Estate High Income Fund shares. The Fund recognized no gains or losses on the exchanges for federal income tax purposes.

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $1,672.

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 $66,409 and is reflected in Miscellaneous expenses 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. The Fund may lend securities to certain qualified borrowers. 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.

9. Expense Reductions.

Effective October 1, 2018, the investment adviser contractually agreed to reimburse Class Z to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through December 31, 2020. Some expenses, for example the compensation of the independent Trustees, and certain other expenses such as interest expense, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

 Expense Limitations Reimbursement 
Class Z .36% $1,083,684 

Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $70,229. During the period, transfer agent credits reduced each class' expenses as noted in the table below.

 Expense reduction 
Class C $398 

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2019 
Year ended
August 31, 2018 
Distributions to shareholders   
Class A $15,968,144 $– 
Class M 9,805,670 – 
Class C 3,614,324 – 
Total Bond 475,864,517 – 
Class I 178,636,008 – 
Class Z 102,835,799 – 
Total $786,724,462 $– 
From net investment income   
Class A $– $12,629,695 
Class M – 7,579,587 
Class C – 3,169,213 
Total Bond – 672,052,162 
Class I – 131,904,177 
Class Z – 58,151,489 
Total $– $885,486,323 
From net realized gain   
Class A $– $1,217,520 
Class M – 687,881 
Class C – 431,234 
Total Bond – 55,742,692 
Class I – 10,651,836 
Class Z – 3,765,734 
Total $– $72,496,897 

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, 2019 Year ended August 31, 2018 Year ended August 31, 2019 Year ended August 31, 2018 
Class A     
Shares sold 24,198,183 14,416,516 $254,513,928 $151,885,453 
Reinvestment of distributions 1,492,321 1,290,713 15,657,471 13,581,684 
Shares redeemed (15,674,180) (18,338,361) (163,799,356) (192,755,755) 
Net increase (decrease) 10,016,324 (2,631,132) $106,372,043 $(27,288,618) 
Class M     
Shares sold 8,946,514 8,921,941 $93,946,756 $93,879,005 
Reinvestment of distributions 933,995 784,090 9,770,428 8,230,681 
Shares redeemed (8,334,375) (6,715,253) (87,244,896) (70,463,007) 
Net increase (decrease) 1,546,134 2,990,778 $16,472,288 $31,646,679 
Class C     
Shares sold 5,850,080 4,002,793 $61,658,608 $42,271,985 
Reinvestment of distributions 331,495 332,075 3,464,378 3,497,759 
Shares redeemed (8,405,497) (5,788,530) (88,170,449) (60,858,546) 
Net increase (decrease) (2,223,922) (1,453,662) $(23,047,463) $(15,088,802) 
Total Bond     
Shares sold 445,657,685 590,632,444 $4,676,434,511 $6,213,066,982 
Reinvestment of distributions 41,056,785 66,567,518 429,605,803 699,805,077 
Shares redeemed (1,506,783,456)(a) (562,196,879) (15,501,131,380)(a) (5,894,522,419) 
Net increase (decrease) (1,020,068,986) 95,003,083 $(10,395,091,066) $1,018,349,640 
Class I     
Shares sold 233,921,906 172,616,804 $2,456,738,444 $1,811,192,584 
Reinvestment of distributions 16,229,107 12,976,469 169,991,345 136,135,652 
Shares redeemed (150,655,667) (123,960,373) (1,573,748,896) (1,297,111,589) 
Net increase (decrease) 99,495,346 61,632,900 $1,052,980,893 $650,216,647 
Class Z     
Shares sold 170,891,445 158,799,997 $1,792,543,734 $1,663,657,935 
Reinvestment of distributions 7,903,137 4,854,286 82,904,413 50,848,946 
Shares redeemed (75,375,423) (60,482,889) (787,255,198) (632,991,286) 
Net increase (decrease) 103,419,159 103,171,394 $1,088,192,949 $1,081,515,595 

 (a) Amount includes in-kind redemptions (see the Affiliated Redemptions In-Kind note for additional details).

12. 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.

13. Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

Report of Independent Registered Public Accounting Firm

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

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Total Bond Fund (one of the funds constituting Fidelity Income Fund, referred to hereafter as the “Fund”) as of August 31, 2019, the related statement of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (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, 2019, 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, 2019 and the financial highlights for each of the periods indicated therein 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, 2019 by correspondence with the custodian, issuers of privately offered securities, agent banks, 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 16, 2019



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 276 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 1-800-544-8544 if you’re an individual investing directly with Fidelity, call 1-800-835-5092 if you’re a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you’re an advisor or invest through one.

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. Arthur E. Johnson 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).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee 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 Advisory Board of certain Fidelity® funds (2018), 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).

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 interim president of Michigan State University (2018-2019), 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.

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). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and 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 Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

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.

 + 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. 

Advisory Board Members and Officers:

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

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.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).

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).

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). 

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as Secretary and CLO of other funds. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

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).

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 of Fixed Income (2014-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), 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), and President, Money Market and Short Duration Bond Group of Fidelity Management & Research Company (FMR) (investment adviser firm, 2013-2014).

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).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

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, 2019 to August 31, 2019).

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. 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. 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. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2019 
Ending
Account Value
August 31, 2019 
Expenses Paid
During Period-B
March 1, 2019
to August 31, 2019 
Class A .75%    
Actual  $1,000.00 $1,072.40 $3.92 
Hypothetical-C  $1,000.00 $1,021.42 $3.82 
Class M .75%    
Actual  $1,000.00 $1,072.50 $3.92 
Hypothetical-C  $1,000.00 $1,021.42 $3.82 
Class C 1.51%    
Actual  $1,000.00 $1,069.30 $7.88 
Hypothetical-C  $1,000.00 $1,017.59 $7.68 
Total Bond .45%    
Actual  $1,000.00 $1,075.10 $2.35 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 
Class I .49%    
Actual  $1,000.00 $1,073.90 $2.56 
Hypothetical-C  $1,000.00 $1,022.74 $2.50 
Class Z .36%    
Actual  $1,000.00 $1,074.60 $1.88 
Hypothetical-C  $1,000.00 $1,023.39 $1.84 

 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).

 C 5% return per year before expenses

Distributions (Unaudited)

The Board of Trustees of Fidelity Total Bond Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:

 Pay Date Record Date Capital Gains 
Fidelity Total Bond Fund    
Class A 10/14/19 10/11/19 $0.010 
Class M 10/14/19 10/11/19 $0.010 
Class C 10/14/19 10/11/19 $0.010 
Total Bond 10/14/19 10/11/19 $0.010 
Class I 10/14/19 10/11/19 $0.010 
Class Z 10/14/19 10/11/19 $0.010 

A total of 20.11% 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 $392,146,208 of distributions paid during the period January 1, 2019 to August 31, 2019 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.





Fidelity Investments

TBD-ANN-1019
1.789692.117




Fidelity Flex℠ Funds

Fidelity Flex℠ Core Bond Fund



Annual Report

August 31, 2019




Fidelity Investments


Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


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 1-800-544-3455 (for managed account clients) or 1-800-835-5092 (for retirement plan participants) 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.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.



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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT 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, 2019 Past 1 year Life of fundA 
Fidelity Flex℠ Core Bond Fund 10.11% 5.30% 

 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

$11,368Fidelity Flex℠ Core Bond Fund

$11,286Bloomberg Barclays U.S. Aggregate Bond Index

Management's Discussion of Fund Performance

Market Recap:  For the 12 months ending August 31, 2019, U.S. taxable investment-grade bonds posted their strongest trailing one-year return since 2009, driven by slower global economic growth, a maturing business cycle, trade uncertainty and, late in the period, the Fed’s dovish shift. The Bloomberg Barclays U.S. Aggregate Bond Index gained 10.17%. Market yields rose in the early fall of 2018, on expectations for higher inflation. Yields then declined and credit spreads widened in November and December, partly because of weaker U.S. manufacturing data. Yield spreads narrowed in January, as the U.S. Federal Reserve said it would be “patient” with policy rate hikes, and that future increases largely would depend on economic data. Yields continued to decline in the spring, amid international trade tension and attacks on oil tankers in the Middle East, and then tumbled further in July, when the Fed cut interest rates for the first time since 2008. The yield curve ended the period roughly flat, amid expectations for another rate cut of 25 basis points in September. Within the Bloomberg Barclays index, corporate bonds gained 13.33%, topping the 10.38% advance of U.S. Treasuries. Outside the index, U.S. corporate high-yield bonds lagged nominal U.S. Treasuries, while Treasury Inflation-Protected Securities (TIPS) gained 7.46%.

Comments from Lead Manager Ford O'Neil and Co-Manager Celso Munoz:  For the year, the fund returned 10.11%, about in line, net of fees, with the 10.17% gain of the benchmark Bloomberg Barclays U.S. Aggregate Bond Index. The fund's positioning in investment-grade corporate bonds contributed versus the Aggregate benchmark, as both industry allocation and security selection within this segment added value. In particular, an overweighting and our security choices in financials helped, led by good picks in the banking and real estate investment trust (REITs) categories. Security selection among industrials was also helpful. Elsewhere, underweighting U.S. Treasuries and mortgage securities worked to the fund's relative advantage, as did exposure to "plus" sectors, namely high-yield bonds and floating-rate loans. Conversely, the fund's modestly shorter duration hampered performance versus this benchmark, as did positioning along the yield curve – particularly the fund's underweighting in longer-term securities. Owning Treasury Inflation-Protected Securities (TIPS) also hurt the fund's relative performance.

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.

Note to shareholders:  On December 31, 2018, former Co-Manager Matthew Conti retired from Fidelity, leaving Co-Manager Mike Weaver with sole responsibility for the fund's high-income subportfolio.

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, 2019 
   U.S. Government and U.S. Government Agency Obligations 54.8% 
   AAA 3.4% 
   AA 0.7% 
   6.0% 
   BBB 19.9% 
   BB and Below 15.9% 
   Not Rated 1.6% 
 Short-Term Investments and Net Other Assets* (2.3)% 


 * 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, 2019 *,**,*** 
   Corporate Bonds 34.9% 
   U.S. Government and U.S. Government Agency Obligations 54.8% 
   Asset-Backed Securities 2.2% 
   CMOs and Other Mortgage Related Securities 2.6% 
   Municipal Bonds 0.5% 
   Other Investments 7.3% 
 Short-Term Investments and Net Other Assets (Liabilities) (2.3)% 


 * Foreign investments - 13.0%

 ** Futures and Swaps - 1.7%

 *** Written options - (1.2)%

 † Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

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.

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Schedule of Investments August 31, 2019

Showing Percentage of Net Assets

Nonconvertible Bonds - 27.1%   
 Principal Amount Value 
COMMUNICATION SERVICES - 2.1%   
Diversified Telecommunication Services - 0.9%   
AT&T, Inc.:   
3.6% 2/17/23 $95,000 $99,309 
4.45% 4/1/24 3,000 3,265 
4.5% 3/9/48 100,000 109,153 
5.15% 11/15/46 50,000 58,820 
6.2% 3/15/40 40,000 51,429 
6.3% 1/15/38 50,000 64,740 
Verizon Communications, Inc.:   
4.862% 8/21/46 16,000 19,924 
5.012% 4/15/49 37,000 47,298 
5.5% 3/16/47 11,000 14,765 
  468,703 
Entertainment - 0.1%   
NBCUniversal, Inc.:   
4.45% 1/15/43 11,000 12,948 
5.95% 4/1/41 8,000 11,132 
The Walt Disney Co. 7.75% 12/1/45 (a) 17,000 29,951 
  54,031 
Media - 1.1%   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.908% 7/23/25 45,000 49,733 
5.375% 5/1/47 55,000 61,082 
Comcast Corp.:   
3.9% 3/1/38 6,000 6,728 
4.6% 8/15/45 15,000 18,138 
4.65% 7/15/42 14,000 17,084 
6.45% 3/15/37 15,000 21,510 
Fox Corp.:   
3.666% 1/25/22 (a) 4,000 4,146 
4.03% 1/25/24 (a) 6,000 6,426 
4.709% 1/25/29 (a) 9,000 10,425 
5.476% 1/25/39 (a) 9,000 11,246 
5.576% 1/25/49 (a) 6,000 7,807 
Time Warner Cable, Inc.:   
4% 9/1/21 80,000 82,037 
5.875% 11/15/40 100,000 113,838 
7.3% 7/1/38 120,000 153,934 
  564,134 
TOTAL COMMUNICATION SERVICES  1,086,868 
CONSUMER DISCRETIONARY - 0.4%   
Automobiles - 0.4%   
General Motors Financial Co., Inc. 4.375% 9/25/21 200,000 207,135 
CONSUMER STAPLES - 1.4%   
Beverages - 0.7%   
Anheuser-Busch InBev Finance, Inc. 4.7% 2/1/36 125,000 145,504 
Anheuser-Busch InBev Worldwide, Inc.:   
4.75% 4/15/58 27,000 31,609 
5.45% 1/23/39 20,000 25,522 
5.55% 1/23/49 104,000 137,000 
5.8% 1/23/59 (Reg. S) 34,000 46,395 
  386,030 
Food Products - 0.2%   
Conagra Brands, Inc. 3.8% 10/22/21 8,000 8,231 
JBS U.S.A. Lux SA / JBS Food Co. 6.5% 4/15/29 (a) 70,000 77,525 
  85,756 
Tobacco - 0.5%   
Altria Group, Inc.:   
3.875% 9/16/46 30,000 29,467 
4.25% 8/9/42 27,000 27,833 
4.5% 5/2/43 80,000 85,093 
4.8% 2/14/29 16,000 18,118 
Reynolds American, Inc. 7.25% 6/15/37 75,000 97,750 
  258,261 
TOTAL CONSUMER STAPLES  730,047 
ENERGY - 4.7%   
Oil, Gas & Consumable Fuels - 4.7%   
Alberta Energy Co. Ltd.:   
7.375% 11/1/31 28,000 35,749 
8.125% 9/15/30 26,000 35,298 
Anadarko Finance Co. 7.5% 5/1/31 40,000 53,284 
Anadarko Petroleum Corp.:   
5.55% 3/15/26 50,000 56,635 
6.2% 3/15/40 10,000 12,254 
6.6% 3/15/46 36,000 48,002 
Canadian Natural Resources Ltd.:   
3.9% 2/1/25 25,000 26,350 
5.85% 2/1/35 25,000 30,212 
Cenovus Energy, Inc.:   
4.25% 4/15/27 24,000 25,062 
6.75% 11/15/39 25,000 30,908 
Columbia Pipeline Group, Inc.:   
4.5% 6/1/25 25,000 27,126 
5.8% 6/1/45 10,000 12,624 
DCP Midstream LLC 5.85% 5/21/43 (a)(b) 105,000 93,188 
DCP Midstream Operating LP 3.875% 3/15/23 20,000 20,250 
Enbridge, Inc.:   
4% 10/1/23 20,000 21,171 
4.25% 12/1/26 25,000 27,710 
Encana Corp. 6.625% 8/15/37 15,000 18,758 
Energy Transfer Partners LP:   
4.2% 9/15/23 6,000 6,344 
4.25% 3/15/23 7,000 7,352 
4.95% 6/15/28 22,000 24,610 
5.8% 6/15/38 12,000 13,976 
6% 6/15/48 8,000 9,542 
Enterprise Products Operating LP 3.75% 2/15/25 20,000 21,444 
Kinder Morgan Energy Partners LP:   
3.45% 2/15/23 10,000 10,363 
6.55% 9/15/40 65,000 82,629 
Kinder Morgan, Inc. 5.55% 6/1/45 12,000 14,400 
Marathon Petroleum Corp. 5.125% 3/1/21 35,000 36,417 
MPLX LP:   
4.5% 7/15/23 10,000 10,671 
4.8% 2/15/29 6,000 6,674 
4.875% 12/1/24 14,000 15,356 
5.5% 2/15/49 17,000 19,486 
Occidental Petroleum Corp.:   
2.6% 8/13/21 12,000 12,080 
2.7% 8/15/22 11,000 11,108 
2.9% 8/15/24 35,000 35,327 
3.2% 8/15/26 5,000 5,052 
3.5% 8/15/29 14,000 14,264 
4.3% 8/15/39 2,000 2,093 
4.4% 8/15/49 2,000 2,086 
Petrobras Global Finance BV:   
6.9% 3/19/49 100,000 112,988 
7.25% 3/17/44 110,000 130,109 
7.375% 1/17/27 90,000 106,840 
Petroleos Mexicanos:   
4.625% 9/21/23 330,000 330,773 
5.625% 1/23/46 40,000 34,308 
6.35% 2/12/48 155,000 142,484 
6.5% 3/13/27 20,000 20,427 
6.75% 9/21/47 210,000 199,500 
Plains All American Pipeline LP/PAA Finance Corp. 3.6% 11/1/24 10,000 10,274 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 10,000 10,736 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 51,000 56,884 
The Williams Companies, Inc.:   
4.55% 6/24/24 70,000 75,815 
5.75% 6/24/44 35,000 41,942 
Western Gas Partners LP:   
4.65% 7/1/26 35,000 35,645 
4.75% 8/15/28 6,000 6,077 
5.375% 6/1/21 48,000 49,632 
Williams Partners LP 4.3% 3/4/24 100,000 106,737 
  2,407,026 
FINANCIALS - 13.5%   
Banks - 5.1%   
Bank of America Corp.:   
3.004% 12/20/23 (b) 114,000 116,992 
3.5% 4/19/26 160,000 171,434 
3.705% 4/24/28 (b) 29,000 31,290 
3.974% 2/7/30 (b) 175,000 193,983 
Barclays PLC 4.375% 1/12/26 200,000 211,074 
Citigroup, Inc.:   
2.4% 2/18/20 62,000 62,056 
3.142% 1/24/23 (b) 23,000 23,519 
3.352% 4/24/25 (b) 36,000 37,612 
4.3% 11/20/26 9,000 9,822 
4.4% 6/10/25 81,000 87,897 
4.45% 9/29/27 365,000 401,680 
Credit Suisse Group Funding Guernsey Ltd. 3.8% 6/9/23 250,000 262,463 
JPMorgan Chase & Co.:   
2.95% 10/1/26 135,000 140,043 
3.797% 7/23/24 (b) 35,000 37,179 
4.35% 8/15/21 125,000 130,434 
4.452% 12/5/29 (b) 200,000 229,984 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 165,000 174,619 
6% 12/19/23 175,000 190,590 
6.125% 12/15/22 80,000 86,543 
Westpac Banking Corp. 4.11% 7/24/34 (b) 27,000 28,424 
  2,627,638 
Capital Markets - 3.4%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 22,000 23,654 
Ares Capital Corp. 4.2% 6/10/24 63,000 65,396 
Deutsche Bank AG New York Branch:   
3.15% 1/22/21 100,000 99,650 
4.1% 1/13/26 100,000 99,950 
5% 2/14/22 48,000 49,752 
Goldman Sachs Group, Inc.:   
2.876% 10/31/22 (b) 170,000 172,342 
3.2% 2/23/23 35,000 36,162 
3.691% 6/5/28 (b) 170,000 180,783 
3.75% 5/22/25 50,000 53,316 
3.814% 4/23/29 (b) 75,000 80,713 
6.75% 10/1/37 13,000 17,811 
Moody's Corp.:   
3.25% 1/15/28 10,000 10,545 
4.875% 2/15/24 9,000 9,971 
Morgan Stanley:   
3.125% 7/27/26 171,000 177,640 
3.737% 4/24/24 (b) 115,000 120,989 
4.431% 1/23/30 (b) 197,000 224,824 
5% 11/24/25 35,000 39,491 
5.625% 9/23/19 100,000 100,172 
5.75% 1/25/21 150,000 157,374 
  1,720,535 
Consumer Finance - 2.3%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.875% 8/14/24 150,000 150,492 
4.45% 4/3/26 150,000 161,060 
Capital One Financial Corp.:   
2.5% 5/12/20 125,000 125,223 
3.8% 1/31/28 22,000 23,455 
Discover Financial Services:   
3.95% 11/6/24 80,000 85,282 
4.1% 2/9/27 76,000 81,828 
4.5% 1/30/26 24,000 26,506 
Ford Motor Credit Co. LLC 5.584% 3/18/24 200,000 215,084 
Synchrony Financial:   
2.85% 7/25/22 11,000 11,148 
3.95% 12/1/27 217,000 224,961 
4.375% 3/19/24 13,000 13,886 
5.15% 3/19/29 34,000 38,290 
  1,157,215 
Diversified Financial Services - 1.4%   
Avolon Holdings Funding Ltd.:   
3.625% 5/1/22 (a) 10,000 10,143 
3.95% 7/1/24 (a) 13,000 13,380 
4.375% 5/1/26 (a) 10,000 10,383 
AXA Equitable Holdings, Inc. 3.9% 4/20/23 6,000 6,302 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 35,000 36,033 
3.85% 2/1/25 85,000 89,344 
4.125% 5/15/29 37,000 40,028 
Cigna Corp.:   
3.75% 7/15/23 27,000 28,384 
4.125% 11/15/25 23,000 25,023 
4.375% 10/15/28 33,000 36,901 
4.8% 8/15/38 21,000 24,279 
4.9% 12/15/48 21,000 24,851 
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) 145,000 156,803 
Pine Street Trust I:   
4.572% 2/15/29 (a) 100,000 107,949 
5.568% 2/15/49 (a) 100,000 114,406 
Voya Financial, Inc. 3.125% 7/15/24 12,000 12,399 
  736,608 
Insurance - 1.3%   
Marsh & McLennan Companies, Inc.:   
4.375% 3/15/29 20,000 22,976 
4.9% 3/15/49 18,000 23,369 
Metropolitan Life Global Funding I U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 2.62% 5/28/21 (a)(b)(c) 195,000 195,147 
Pacific LifeCorp 5.125% 1/30/43 (a) 50,000 60,273 
Pricoa Global Funding I 5.375% 5/15/45 (b) 45,000 48,013 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) 80,000 87,019 
Unum Group:   
3.875% 11/5/25 175,000 184,744 
4% 6/15/29 31,000 32,569 
  654,110 
TOTAL FINANCIALS  6,896,106 
HEALTH CARE - 1.2%   
Health Care Providers & Services - 0.8%   
CVS Health Corp.:   
2.625% 8/15/24 6,000 6,034 
3% 8/15/26 5,000 5,061 
3.25% 8/15/29 11,000 11,149 
4.1% 3/25/25 55,000 58,841 
4.3% 3/25/28 64,000 69,859 
4.78% 3/25/38 29,000 32,520 
5.05% 3/25/48 82,000 95,543 
Elanco Animal Health, Inc.:   
3.912% 8/27/21 5,000 5,096 
4.272% 8/28/23 18,000 18,853 
4.9% 8/28/28 7,000 7,634 
Toledo Hospital:   
5.325% 11/15/28 12,000 13,558 
6.015% 11/15/48 52,000 65,589 
  389,737 
Pharmaceuticals - 0.4%   
Actavis Funding SCS 3.45% 3/15/22 40,000 41,078 
Mylan NV:   
3.15% 6/15/21 50,000 50,590 
3.95% 6/15/26 20,000 20,811 
4.55% 4/15/28 20,000 21,531 
Shire Acquisitions Investments Ireland DAC 2.4% 9/23/21 55,000 55,171 
Zoetis, Inc. 3.45% 11/13/20 15,000 15,202 
  204,383 
TOTAL HEALTH CARE  594,120 
INDUSTRIALS - 0.4%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) 40,000 42,462 
Trading Companies & Distributors - 0.3%   
Air Lease Corp.:   
3.875% 7/3/23 38,000 39,808 
4.25% 2/1/24 29,000 30,956 
International Lease Finance Corp. 5.875% 8/15/22 100,000 109,831 
  180,595 
TOTAL INDUSTRIALS  223,057 
INFORMATION TECHNOLOGY - 0.2%   
Electronic Equipment & Components - 0.2%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 5.45% 6/15/23 (a) 100,000 108,689 
MATERIALS - 0.0%   
Chemicals - 0.0%   
Nutrien Ltd.:   
4.2% 4/1/29 4,000 4,471 
5% 4/1/49 6,000 7,163 
  11,634 
REAL ESTATE - 2.4%   
Equity Real Estate Investment Trusts (REITs) - 1.6%   
Boston Properties, Inc. 4.5% 12/1/28 19,000 21,953 
Corporate Office Properties LP 5.25% 2/15/24 157,000 170,158 
DDR Corp. 4.625% 7/15/22 21,000 22,018 
Duke Realty LP 3.625% 4/15/23 50,000 52,353 
HCP, Inc.:   
3.25% 7/15/26 4,000 4,137 
3.5% 7/15/29 5,000 5,280 
Hudson Pacific Properties LP 4.65% 4/1/29 54,000 60,695 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 165,000 173,893 
4.5% 1/15/25 6,000 6,343 
4.75% 1/15/28 59,000 64,251 
Store Capital Corp. 4.625% 3/15/29 9,000 9,999 
Ventas Realty LP:   
3% 1/15/30 33,000 33,221 
3.5% 2/1/25 65,000 68,400 
4% 3/1/28 11,000 11,951 
WP Carey, Inc.:   
4% 2/1/25 28,000 29,541 
4.6% 4/1/24 50,000 53,779 
  787,972 
Real Estate Management & Development - 0.8%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 103,000 107,744 
3.95% 11/15/27 24,000 25,303 
Digital Realty Trust LP 4.75% 10/1/25 45,000 49,928 
Liberty Property LP 4.4% 2/15/24 40,000 43,368 
Mack-Cali Realty LP 3.15% 5/15/23 50,000 47,542 
Tanger Properties LP 3.875% 12/1/23 140,000 145,068 
  418,953 
TOTAL REAL ESTATE  1,206,925 
UTILITIES - 0.8%   
Electric Utilities - 0.6%   
Edison International 5.75% 6/15/27 100,000 113,467 
FirstEnergy Corp.:   
4.25% 3/15/23 45,000 47,820 
7.375% 11/15/31 85,000 121,882 
IPALCO Enterprises, Inc. 3.7% 9/1/24 10,000 10,462 
  293,631 
Independent Power and Renewable Electricity Producers - 0.1%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 53,000 56,843 
Multi-Utilities - 0.1%   
NiSource, Inc. 2.95% 9/1/29 65,000 66,453 
TOTAL UTILITIES  416,927 
TOTAL NONCONVERTIBLE BONDS   
(Cost $13,079,759)  13,888,534 
U.S. Government and Government Agency Obligations - 31.3%   
U.S. Treasury Inflation-Protected Obligations - 3.2%   
U.S. Treasury Inflation-Indexed Bonds:   
0.875% 2/15/47 $250,000 $300,113 
1% 2/15/49 98,228 115,960 
U.S. Treasury Inflation-Indexed Notes:   
0.375% 1/15/27 355,000 386,519 
0.375% 7/15/27 420,000 454,051 
0.875% 1/15/29 340,000 373,429 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  1,630,072 
U.S. Treasury Obligations - 28.1%   
U.S. Treasury Bonds:   
2.75% 11/15/47 228,000 266,680 
3% 2/15/49 1,547,000 1,905,831 
U.S. Treasury Notes:   
1.625% 8/15/29 380,000 384,320 
1.875% 3/31/22 275,000 277,836 
2.125% 3/31/24 1,156,000 1,192,170 
2.125% 11/30/24 2,211,000 2,289,247 
2.125% 5/31/26 1,190,000 1,241,133 
2.25% 4/30/24 1,310,000 1,359,279 
2.25% 12/31/24 595,000 620,241 
2.375% 4/30/26 608,000 643,435 
2.5% 3/31/23 1,172,000 1,215,950 
2.5% 2/28/26 731,000 778,401 
2.625% 2/15/29 1,200,000 1,318,172 
2.75% 2/28/25 582,000 622,558 
3.125% 11/15/28 244,000 277,903 
TOTAL U.S. TREASURY OBLIGATIONS  14,393,156 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $14,977,192)  16,023,228 
U.S. Government Agency - Mortgage Securities - 4.5%   
Fannie Mae - 0.1%   
3% 8/1/34 49,294 50,578 
4.5% 1/1/49 22,250 23,436 
TOTAL FANNIE MAE  74,014 
Freddie Mac - 0.3%   
2.5% 5/1/34 48,857 49,543 
4% 9/1/48 (d)(e) 88,494 92,298 
TOTAL FREDDIE MAC  141,841 
Ginnie Mae - 1.3%   
3% 9/1/49 (f) 25,000 25,780 
3.5% 9/1/49 (f) 200,000 207,781 
3.5% 9/1/49 (f) 100,000 103,891 
3.5% 9/1/49 (f) 100,000 103,891 
3.5% 9/1/49 (f) 100,000 103,891 
3.5% 9/1/49 (f) 100,000 103,891 
TOTAL GINNIE MAE  649,125 
Uniform Mortgage Backed Securities - 2.8%   
3% 9/1/34 (f) 100,000 102,539 
3% 9/1/49 (f) 100,000 101,930 
3% 9/1/49 (f) 150,000 152,895 
3.5% 9/1/49 (f) 800,000 822,062 
4% 9/1/49 (f) 100,000 103,807 
4% 9/1/49 (f) 125,000 129,759 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  1,412,992 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $2,267,347)  2,277,972 
Asset-Backed Securities - 2.2%   
AASET Trust Series 2019-1 Class A, 3.844% 5/15/39 (a) $29,319 $29,513 
Cedar Funding Ltd. Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 3.8749% 5/29/32 (a)(b)(c) 250,000 249,851 
Consumer Loan Underlying Bond Credit Trust Series 2019-P1 Class A, 2.94% 7/15/26 (a) 93,320 93,633 
DB Master Finance LLC Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (a) 49,125 50,155 
Class A2II, 4.03% 11/20/47 (a) 49,125 51,244 
Dryden Senior Loan Fund Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 3.7622% 5/15/32 (a)(b)(c) 250,000 249,584 
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 30,000 33,663 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) 94,155 98,137 
Nationstar HECM Loan Trust Series 2018-2A Class A, 3.1877% 7/25/28 (a) 27,732 27,870 
Prosper Marketplace Issuance Trust Series 2019-2A Class A, 3.2% 9/15/25 (a) 80,094 80,399 
Towd Point Mortgage Trust Series 2018-6 Class A1A, 3.75% 3/25/58 (a) 87,678 90,483 
Upgrade Receivables Trust Series 2018-1A Class A, 3.76% 11/15/24 (a) 44,099 44,256 
TOTAL ASSET-BACKED SECURITIES   
(Cost $1,085,964)  1,098,788 
Collateralized Mortgage Obligations - 0.5%   
Private Sponsor - 0.5%   
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 4.8126% 1/25/37 (a)(b) 13,050 13,264 
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) 20,500 20,499 
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (a) 200,000 201,418 
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (a) 10,856 10,842 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $244,727)  246,023 
Commercial Mortgage Securities - 2.1%   
Benchmark Mortgage Trust Series 2018-B8 Class A5, 4.2317% 1/15/52 21,000 24,334 
BX Trust:   
floater:   
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.625% 4.8201% 9/15/37 (a)(b)(c) 9,981 9,982 
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 3.9951% 11/15/35 (a)(b)(c) 81,212 81,441 
floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 3.1951% 4/15/34 (a)(b)(c) 100,000 100,000 
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 3.3151% 6/15/34 (a)(b)(c) 100,000 100,000 
COMM Mortgage Trust:   
Series 2014-CR17 Class XA, 1.1456% 5/10/47 (b)(g) 79,456 3,113 
Series 2015-DC1 Class XA, 1.2533% 2/10/48 (b)(g) 842,283 33,144 
Credit Suisse Mortgage Trust:   
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 3.1751% 5/15/36 (a)(b)(c) 100,000 100,063 
Series 2018-SITE Class D, 4.9414% 4/15/36 (a)(b) 100,000 104,876 
CSAIL Commercial Mtg Trust Series 2018-C14 Class A4 4.4216% 11/15/51 14,000 16,340 
CSMC Trust Series 2017-PFHP Class D, 1 month U.S. LIBOR + 2.250% 4.4451% 12/15/30 (a)(b)(c) 76,000 75,715 
GS Mortgage Securities Trust sequential payer Series 2018-GS10 Class A5, 4.155% 7/10/51 20,000 22,924 
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT:   
Class DFX, 5.3503% 7/5/33 (a) 10,000 10,814 
Class EFX, 5.5422% 7/5/33 (a) 10,000 10,712 
Morgan Stanley Capital I Trust:   
floater:   
Series 2018-BOP:   
Class B, 1 month U.S. LIBOR + 1.250% 3.4451% 8/15/33 (a)(b)(c) 23,000 23,000 
Class C, 1 month U.S. LIBOR + 1.500% 3.6951% 8/15/33 (a)(b)(c) 56,000 56,000 
Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 3.1451% 3/15/34 (a)(b)(c) 50,000 50,031 
Series 2018-H4 Class A4, 4.31% 12/15/51 43,000 50,082 
MSCG Trust Series 2016-SNR Class C, 5.205% 11/15/34 (a) 21,250 21,773 
RETL floater Series 2019-RVP:   
Class A, 1 month U.S. LIBOR + 1.150% 3.3451% 3/15/36 (a)(b)(c) 24,650 24,688 
Class C, 1 month U.S. LIBOR + 2.100% 4.2951% 3/15/36 (a)(b)(c) 50,000 50,203 
Wells Fargo Commercial Mortgage Trust Series 2018-C48 Class A5, 4.302% 1/15/52 30,000 34,761 
WF-RBS Commercial Mortgage Trust:   
Series 2014-C21 Class XA, 1.1954% 8/15/47 (b)(g) 810,792 34,491 
Series 2014-C25 Class A5, 3.631% 11/15/47 50,000 53,749 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $1,093,158)  1,092,236 
Municipal Securities - 0.5%   
California Gen. Oblig. Series 2009, 7.35% 11/1/39 90,000 143,844 
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 125,000 136,030 
TOTAL MUNICIPAL SECURITIES   
(Cost $239,543)  279,874 
Foreign Government and Government Agency Obligations - 0.3%   
Argentine Republic 5.875% 1/11/28 $100,000 $36,600 
Dominican Republic 5.95% 1/25/27 (a) 100,000 109,750 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $204,475)  146,350 
 Shares Value 
Fixed-Income Funds - 31.7%   
Fidelity Emerging Markets Debt Central Fund (h) 156,671 1,446,075 
Fidelity Floating Rate Central Fund (h) 25,877 2,616,405 
Fidelity Mortgage Backed Securities Central Fund (h) 78,018 8,573,408 
Fidelity Specialized High Income Central Fund (h) 35,187 3,598,954 
TOTAL FIXED-INCOME FUNDS   
(Cost $16,099,364)  16,234,842 
Money Market Funds - 3.2%   
Fidelity Cash Central Fund 2.13% (i)   
(Cost $1,642,178) 1,641,850 1,642,178 

Purchased Swaptions - 0.1%    
 Expiration Date Notional Amount Value 
Put Options - 0.0%    
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.2% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/18/24 300,000 $4,617 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.805% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2029 1/28/22 100,000 458 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.99% and receive quarterly a floating rate based on 3 month LIBOR, expiring December 2028. 12/6/21 70,000 231 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.313% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 200,000 2,743 
TOTAL PUT OPTIONS   8,049 
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 2.2% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2029 7/18/24 300,000 15,040 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.805% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2029 1/28/22 100,000 10,012 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.99% and pay quarterly a floating rate based on the 3 month LIBOR, expiring December 2028. 12/6/21 70,000 7,818 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.313% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 200,000 10,814 
TOTAL CALL OPTIONS   43,684 
TOTAL PURCHASED SWAPTIONS    
(Cost $38,682)   51,733 
TOTAL INVESTMENT IN SECURITIES - 103.5%    
(Cost $50,972,389)   52,981,758 
NET OTHER ASSETS (LIABILITIES) - (3.5)%   (1,807,232) 
NET ASSETS - 100%   $51,174,526 

Written Swaptions    
 Expiration Date Notional Amount Value 
Put Swaptions    
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.1675% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/20/24 100,000 $(1,563) 
Call Swaptions    
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.1675% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/20/24 100,000 (4,915) 
TOTAL WRITTEN SWAPTIONS   $(6,478) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Sold      
Treasury Contracts      
CBOT 2-Year U.S. Treasury Note Contracts (United States) Dec. 2019 $864,469 $(477) $(477) 

The notional amount of futures sold as a percentage of Net Assets is 1.7%

Swaps

Underlying Reference Maturity Date Clearinghouse / Counterparty Fixed Payment Received/(Paid) Payment Frequency Notional Amount Value Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps         
Buy Protection         
CMBX N.A. AAA Index Series 11 Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly $10,000 $(32) $(71) $(103) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 50,000 (160) (57) (217) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 80,000 (256) (182) (438) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 45,000 (144) (233) (377) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 50,000 (160) 99 (61) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Credit Suisse International (0.5%) Monthly 20,000 (63) (143) (206) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Credit Suisse International (0.5%) Monthly 55,000 (175) (9) (184) 
CMBX N.A. AAA Index Series 11 Nov. 2054 J.P. Morgan Securities LLC (0.5%) Monthly 20,000 (64) (135) (199) 
TOTAL CREDIT DEFAULT SWAPS      $(1,054) $(731) $(1,785) 

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount Value Upfront Premium Received/(Paid)(2) Unrealized Appreciation/(Depreciation) 
Interest Rate Swaps          
3-month LIBOR(3) Quarterly 1.5% Semi - annual LCH Dec. 2024 $40,000 $46 $0 $46 
3-month LIBOR(3) Quarterly 1.5% Semi - annual LCH Dec. 2029 30,000 59 59 
TOTAL INTEREST RATE SWAPS       $105 $0 $105 

 (1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 (2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

 (3) Represents floating rate.

Legend

 (a) Security 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 $3,387,564 or 6.6% of net assets.

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

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

 (d) 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 $8,852.

 (e) 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 $4,426.

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

 (g) 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.

 (h) 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-PORT 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.

 (i) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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 $28,631 
Fidelity Emerging Markets Debt Central Fund 8,442 
Fidelity Floating Rate Central Fund 126,280 
Fidelity Mortgage Backed Securities Central Fund 208,030 
Fidelity Specialized High Income Central Fund 198,482 
Total $569,865 

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 Emerging Markets Debt Central Fund $-- $1,508,441 $-- $-- $(62,366) $1,446,075 0.1% 
Fidelity Floating Rate Central Fund 1,879,588 776,274 -- -- (39,457) 2,616,405 0.1% 
Fidelity Mortgage Backed Securities Central Fund 6,034,862 3,063,024 835,000 (2,326) 312,848 8,573,408 0.1% 
Fidelity Specialized High Income Central Fund 2,920,771 1,673,480 1,100,000 (20,952) 125,655 3,598,954 0.6% 
Total $10,835,221 $7,021,219 $1,935,000 $(23,278) $336,680 $16,234,842  

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2019, 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 $13,888,534 $-- $13,888,534 $-- 
U.S. Government and Government Agency Obligations 16,023,228 -- 16,023,228 -- 
U.S. Government Agency - Mortgage Securities 2,277,972 -- 2,277,972 -- 
Asset-Backed Securities 1,098,788 -- 1,098,788 -- 
Collateralized Mortgage Obligations 246,023 -- 246,023 -- 
Commercial Mortgage Securities 1,092,236 -- 1,092,236 -- 
Municipal Securities 279,874 -- 279,874 -- 
Foreign Government and Government Agency Obligations 146,350 -- 146,350 -- 
Fixed-Income Funds 16,234,842 16,234,842 -- -- 
Money Market Funds 1,642,178 1,642,178 -- -- 
Purchased Swaptions 51,733 -- 51,733 -- 
Total Investments in Securities: $52,981,758 $17,877,020 $35,104,738 $-- 
Derivative Instruments:     
Assets     
Swaps $105 $-- $105 $-- 
Total Assets $105 $-- $105 $-- 
Liabilities     
Futures Contracts $(477) $(477) $-- $-- 
Swaps (1,054) -- (1,054) -- 
Written Swaptions (6,478) -- (6,478) -- 
Total Liabilities $(8,009) $(477) $(7,532) $-- 
Total Derivative Instruments: $(7,904) $(477) $(7,427) $-- 

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, 2019. 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 
Credit Risk   
Swaps(a) $0 $(1,054) 
Total Credit Risk (1,054) 
Interest Rate Risk   
Futures Contracts(b) (477) 
Purchased Swaptions(c) 51,733 
Swaps(d) 105 
Written Swaptions(e) (6,478) 
Total Interest Rate Risk 51,838 (6,955) 
Total Value of Derivatives $51,838 $(8,009) 

 (a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

 (b) 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 distributable earnings.

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

 (d) 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 distributable earnings.

 (e) Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

Other Information

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America 88.2% 
United Kingdom 1.8% 
Cayman Islands 1.8% 
Mexico 1.8% 
Netherlands 1.4% 
Canada 1.0% 
Others (Individually Less Than 1%) 4.0% 
 100.0% 

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


Financial Statements

Statement of Assets and Liabilities

  August 31, 2019 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $33,230,847) 
$35,104,738  
Fidelity Central Funds (cost $17,741,542) 17,877,020  
Total Investment in Securities (cost $50,972,389)  $52,981,758 
Cash  145,842 
Receivable for premium on written options  5,635 
Receivable for fund shares sold  32,680 
Interest receivable  247,416 
Distributions receivable from Fidelity Central Funds  3,369 
Total assets  53,416,700 
Liabilities   
Payable for investments purchased   
Regular delivery $176,289  
Delayed delivery 2,054,518  
Payable for fund shares redeemed 3,111  
Bi-lateral OTC swaps, at value 1,054  
Payable for daily variation margin on futures contracts 375  
Payable for daily variation margin on centrally cleared OTC swaps 349  
Written options, at value (premium receivable $5,635) 6,478  
Total liabilities  2,242,174 
Net Assets  $51,174,526 
Net Assets consist of:   
Paid in capital  $49,263,812 
Total distributable earnings (loss)  1,910,714 
Net Assets, for 4,906,669 shares outstanding  $51,174,526 
Net Asset Value, offering price and redemption price per share ($51,174,526 ÷ 4,906,669 shares)  $10.43 

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


Statement of Operations

  Year ended August 31, 2019 
Investment Income   
Interest  $829,527 
Income from Fidelity Central Funds  551,169 
Total income  1,380,696 
Expenses   
Independent trustees' fees and expenses $169  
Commitment fees 96  
Total expenses  265 
Net investment income (loss)  1,380,431 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 11,278  
Fidelity Central Funds (23,278)  
Futures contracts (13,503)  
Swaps (3,547)  
Capital gain distributions from Fidelity Central Funds 18,696  
Total net realized gain (loss)  (10,354) 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 2,297,777  
Fidelity Central Funds 336,680  
Futures contracts (477)  
Swaps (1,680)  
Written options (843)  
Total change in net unrealized appreciation (depreciation)  2,631,457 
Net gain (loss)  2,621,103 
Net increase (decrease) in net assets resulting from operations  $4,001,534 

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


Statement of Changes in Net Assets

 Year ended August 31, 2019 Year ended August 31, 2018 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $1,380,431 $1,070,320 
Net realized gain (loss) (10,354) (119,066) 
Change in net unrealized appreciation (depreciation) 2,631,457 (1,024,651) 
Net increase (decrease) in net assets resulting from operations 4,001,534 (73,397) 
Distributions to shareholders (1,376,622) – 
Distributions to shareholders from net investment income – (1,042,939) 
Distributions to shareholders from net realized gain – (160,473) 
Total distributions (1,376,622) (1,203,412) 
Share transactions   
Proceeds from sales of shares 30,723,941 48,985,193 
Reinvestment of distributions 1,376,622 1,203,412 
Cost of shares redeemed (17,824,194) (43,441,240) 
Net increase (decrease) in net assets resulting from share transactions 14,276,369 6,747,365 
Total increase (decrease) in net assets 16,901,281 5,470,556 
Net Assets   
Beginning of period 34,273,245 28,802,689 
End of period $51,174,526 $34,273,245 
Other Information   
Undistributed net investment income end of period  $53,209 
Shares   
Sold 3,078,850 4,932,002 
Issued in reinvestment of distributions 138,011 120,969 
Redeemed (1,800,399) (4,382,030) 
Net increase (decrease) 1,416,462 670,941 

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


Financial Highlights

Fidelity Flex Core Bond Fund

    
Years ended August 31, 2019 2018 2017 A 
Selected Per–Share Data    
Net asset value, beginning of period $9.82 $10.22 $10.00 
Income from Investment Operations    
Net investment income (loss)B .355 .323 .145 
Net realized and unrealized gain (loss) .614 (.355) .209 
Total from investment operations .969 (.032) .354 
Distributions from net investment income (.359) (.316) (.134) 
Distributions from net realized gain – (.052) – 
Total distributions (.359) (.368) (.134) 
Net asset value, end of period $10.43 $9.82 $10.22 
Total ReturnC,D 10.11% (.30)% 3.55% 
Ratios to Average Net AssetsE,F    
Expenses before reductionsG -% -% - %H 
Expenses net of fee waivers, if anyG -% -% - %H 
Expenses net of all reductionsG -% -% - %H 
Net investment income (loss) 3.59% 3.26% 2.94%H 
Supplemental Data    
Net assets, end of period (000 omitted) $51,175 $34,273 $28,803 
Portfolio turnover rateI 102% 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. 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, 2019

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 ranged from less than .005% to .01%. 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 Emerging Markets Debt Central Fund FMR Co., Inc. (FMRC) Seeks high total return by normally investing in debt securities of issuers in emerging markets and other debt investments that are tied economically to emerging markets. Foreign Securities
Restricted Securities
 
Less than
.005% 
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 Fidelity Investment Money Management, Inc. (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
Swap Agreements
 
Less than
.005% 
Fidelity Specialized High Income Central Fund FMR Co., Inc. (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. 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.

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, 2019 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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, 2019, 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.

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 Underlying Funds, swaps, futures and options transactions, market discount, capital loss carryforwards and losses deferred due to futures transactions, 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 $2,327,933 
Gross unrealized depreciation (293,758) 
Net unrealized appreciation (depreciation) $2,034,175 
Tax Cost $50,940,479 

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

Undistributed ordinary income $7,580 
Capital loss carryforward $(128,393) 
Net unrealized appreciation (depreciation) on securities and other investments $2,031,527 

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  
Long-term $(128,393) 

The tax character of distributions paid was as follows:

 August 31, 2019 August 31, 2018 
Ordinary Income $1,376,622 $ 1,184,350 
Long-term Capital Gains – 19,062 
Total $1,376,622 $ 1,203,412 

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.

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.

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 Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.

Financial Statement Current Line-Item Presentation (As Applicable) Prior Line-Item Presentation (As Applicable) 
Statement of Assets and Liabilities Total distributable earnings (loss) Undistributed/Distributions in excess of/Accumulated net investment income (loss)
Accumulated/Undistributed net realized gain (loss)
Net unrealized appreciation (depreciation) 
Statement of Changes in Net Assets N/A - removed Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period 
Statement of Changes in Net Assets Distributions to shareholders Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain 

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 risks:

Credit Risk Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
 
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 and bi-lateral swaps, 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) 
Credit Risk   
Swaps $(679) $(1,785) 
Total Credit Risk $(679) $(1,785) 
Interest Rate Risk   
Futures Contracts $(13,503) $(477) 
Purchased Options  13,051 
Swaps  (2,868)  105 
Written Options (843) 
Total Interest Rate Risk $(16,371) $11,836 
Totals $(17,050) $10,051 

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 and is representative of volume of activity during the period. 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, and are representative of volume of activity during the period.

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 bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. 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.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

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.

For both bi-lateral and centrally cleared OTC swaps, 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.

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

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 $14,809,001 and $4,017,276, respectively.

6. 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.

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 $96 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. 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, 2019, the related statement of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the two years in the period ended August 31, 2019 and for the period March 7, 2017 (commencement of operations) through August 31, 2017 (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, 2019, 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, 2019 and the financial highlights for each of the two years in the period ended August 31, 2019 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, 2019 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 17, 2019



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 276 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 1-800-544-3455 (for managed account clients) or 1-800-835-5092 (for retirement plan participants).

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. Arthur E. Johnson 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).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee 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 Advisory Board of certain Fidelity® funds (2018), 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).

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 interim president of Michigan State University (2018-2019), 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.

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). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and 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 Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

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.

 + 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. 

Advisory Board Members and Officers:

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

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.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).

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).

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). 

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as Secretary and CLO of other funds. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

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).

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 of Fixed Income (2014-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), 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), and President, Money Market and Short Duration Bond Group of Fidelity Management & Research Company (FMR) (investment adviser firm, 2013-2014).

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).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

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, 2019 to August 31, 2019).

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, 2019 
Ending
Account Value
August 31, 2019 
Expenses Paid
During Period-B
March 1, 2019
to August 31, 2019 
Actual - %C $1,000.00 $1,077.20 $-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 less than $.005.

 E 5% return per year before expenses

Distributions (Unaudited)

A total of 21.03% 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 $884,513 of distributions paid during the period January 1, 2019 to August 31, 2019 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.





Fidelity Investments

ZCD-ANN-1019
1.9881607.102


Fidelity® Total Bond K6 Fund



Annual Report

August 31, 2019




Fidelity Investments


Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


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.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.



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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT 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, 2019 Past 1 year Life of fundA 
Fidelity® Total Bond K6 Fund 9.72% 4.48% 

 A From May 25, 2017

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® Total Bond K6 Fund on May 25, 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

$11,046Fidelity® Total Bond K6 Fund

$11,070Bloomberg Barclays U.S. Aggregate Bond Index

Management's Discussion of Fund Performance

Market Recap:  For the 12 months ending August 31, 2019, U.S. taxable investment-grade bonds posted their strongest trailing one-year return since 2009, driven by slower global economic growth, a maturing business cycle, trade uncertainty and, late in the period, the Fed’s dovish shift. The Bloomberg Barclays U.S. Aggregate Bond Index gained 10.17%. Market yields rose in the early fall of 2018, on expectations for higher inflation. Yields then declined and credit spreads widened in November and December, partly because of weaker U.S. manufacturing data. Yield spreads narrowed in January, as the U.S. Federal Reserve said it would be “patient” with policy rate hikes, and that future increases largely would depend on economic data. Yields continued to decline in the spring, amid international trade tension and attacks on oil tankers in the Middle East, and then tumbled further in July, when the Fed cut interest rates for the first time since 2008. The yield curve ended the period roughly flat, amid expectations for another rate cut of 25 basis points in September. Within the Bloomberg Barclays index, corporate bonds gained 13.33%, topping the 10.38% advance of U.S. Treasuries. Outside the index, U.S. corporate high-yield bonds lagged nominal U.S. Treasuries, while Treasury Inflation-Protected Securities (TIPS) gained 7.46%.

Comments from Co-Managers Ford O'Neil, Celso Munoz and Michael Foggin:  For the year, the fund returned 9.72%, lagging, net of fees, the 10.17% gain of the benchmark Bloomberg Barclays U.S. Aggregate Bond Index. The fund's modestly shorter duration hampered performance versus this benchmark, as did positioning along the yield curve – particularly the fund's underweighting in longer-term securities. Owning Treasury Inflation-Protected Securities (TIPS) also hurt the fund's relative performance. Conversely, the fund's positioning in investment-grade corporate bonds contributed versus the Aggregate benchmark, as both industry allocation and security selection within this segment added value. In particular, an overweighting and our security choices in financials helped, led by good picks in the banking and real estate investment trust (REITs) categories. Elsewhere, underweighting mortgage securities worked to the fund's relative advantage, as did exposure to "plus" sectors, namely emerging markets, high-yield bonds and floating-rate loans.

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.

Note to shareholders:  On December 1, 2018, Timothy Gill assumed co-management responsibilities for the emerging-markets subportfolio, joining Jonathan Kelly.

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, 2019 
   U.S. Government and U.S. Government Agency Obligations 56.6% 
   AAA 3.0% 
   AA 0.9% 
   5.1% 
   BBB 17.4% 
   BB and Below 14.5% 
   Not Rated 0.9% 
   Equities 2.8% 
 Short-Term Investments and Net Other Assets* (1.2)% 


 * 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, 2019*,**,*** 
   Corporate Bonds 31.4% 
   U.S. Government and U.S. Government Agency Obligations 56.6% 
   Asset-Backed Securities 2.1% 
   CMOs and Other Mortgage Related Securities 2.6% 
   Municipal Bonds 0.3% 
   Other Investments 8.2% 
 Short-Term Investments and Net Other Assets (Liabilities) (1.2)% 


 * Foreign investments - 8.2%

 ** Futures and Swaps - 2.2%

 *** Written options - (1.9)%

 † Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

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.

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Schedule of Investments August 31, 2019

Showing Percentage of Net Assets

Nonconvertible Bonds - 24.9%   
 Principal Amount Value 
COMMUNICATION SERVICES - 2.0%   
Diversified Telecommunication Services - 0.9%   
AT&T, Inc.:   
3.6% 2/17/23 $1,890,000 $1,975,724 
4.3% 2/15/30 559,000 620,730 
4.45% 4/1/24 51,000 55,497 
4.5% 3/9/48 3,500,000 3,820,340 
5.15% 11/15/46 1,000,000 1,176,399 
6.2% 3/15/40 840,000 1,079,999 
6.3% 1/15/38 1,100,000 1,424,275 
Verizon Communications, Inc.:   
4.862% 8/21/46 419,000 521,747 
5.012% 4/15/49 160,000 204,534 
5.5% 3/16/47 461,000 618,798 
  11,498,043 
Entertainment - 0.1%   
NBCUniversal, Inc.:   
4.45% 1/15/43 245,000 288,393 
5.95% 4/1/41 172,000 239,342 
The Walt Disney Co. 7.75% 12/1/45 (a) 322,000 567,300 
  1,095,035 
Media - 0.9%   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.908% 7/23/25 945,000 1,044,399 
5.375% 5/1/47 2,000,000 2,221,175 
5.75% 4/1/48 861,000 1,004,529 
Comcast Corp.:   
3.9% 3/1/38 132,000 148,008 
4.6% 8/15/45 347,000 419,585 
4.65% 7/15/42 310,000 378,278 
6.45% 3/15/37 365,000 523,409 
Fox Corp.:   
3.666% 1/25/22 (a) 123,000 127,498 
4.03% 1/25/24 (a) 216,000 231,334 
4.709% 1/25/29 (a) 312,000 361,413 
5.476% 1/25/39 (a) 308,000 384,851 
5.576% 1/25/49 (a) 204,000 265,427 
Time Warner Cable, Inc.:   
4% 9/1/21 1,480,000 1,517,681 
7.3% 7/1/38 2,420,000 3,104,345 
  11,731,932 
Wireless Telecommunication Services - 0.1%   
Millicom International Cellular SA 6.25% 3/25/29 (a) 1,600,000 1,742,500 
TOTAL COMMUNICATION SERVICES  26,067,510 
CONSUMER DISCRETIONARY - 0.3%   
Automobiles - 0.3%   
General Motors Financial Co., Inc. 4.375% 9/25/21 3,950,000 4,090,921 
CONSUMER STAPLES - 2.4%   
Beverages - 1.3%   
Anheuser-Busch InBev Finance, Inc.:   
4.7% 2/1/36 2,133,000 2,482,887 
4.9% 2/1/46 4,500,000 5,352,366 
Anheuser-Busch InBev Worldwide, Inc.:   
4.75% 4/15/58 613,000 717,639 
5.45% 1/23/39 800,000 1,020,879 
5.55% 1/23/49 1,824,000 2,402,770 
5.8% 1/23/59 (Reg. S) 1,933,000 2,637,676 
Molson Coors Brewing Co. 5% 5/1/42 2,945,000 3,271,942 
  17,886,159 
Food Products - 0.2%   
Conagra Brands, Inc. 3.8% 10/22/21 216,000 222,229 
JBS U.S.A. Lux SA / JBS Food Co. 6.5% 4/15/29 (a) 1,800,000 1,993,500 
  2,215,729 
Tobacco - 0.9%   
Altria Group, Inc.:   
3.875% 9/16/46 1,521,000 1,493,984 
4.25% 8/9/42 932,000 960,740 
4.5% 5/2/43 632,000 672,237 
4.8% 2/14/29 936,000 1,059,883 
5.375% 1/31/44 1,137,000 1,345,076 
5.95% 2/14/49 600,000 770,329 
BAT Capital Corp. 4.54% 8/15/47 4,500,000 4,513,564 
Imperial Tobacco Finance PLC 4.25% 7/21/25 (a) 1,564,000 1,667,712 
Reynolds American, Inc. 7.25% 6/15/37 75,000 97,750 
  12,581,275 
TOTAL CONSUMER STAPLES  32,683,163 
ENERGY - 4.6%   
Oil, Gas & Consumable Fuels - 4.6%   
Alberta Energy Co. Ltd.:   
7.375% 11/1/31 435,000 555,388 
8.125% 9/15/30 1,083,000 1,470,308 
Amerada Hess Corp.:   
7.125% 3/15/33 201,000 252,421 
7.3% 8/15/31 231,000 287,826 
Anadarko Finance Co. 7.5% 5/1/31 927,000 1,234,866 
Anadarko Petroleum Corp.:   
4.5% 7/15/44 1,032,000 1,062,750 
5.55% 3/15/26 831,000 941,265 
6.2% 3/15/40 700,000 857,789 
6.45% 9/15/36 600,000 751,606 
6.6% 3/15/46 807,000 1,076,044 
Canadian Natural Resources Ltd.:   
3.9% 2/1/25 525,000 553,356 
5.85% 2/1/35 525,000 634,461 
Cenovus Energy, Inc.:   
4.25% 4/15/27 1,034,000 1,079,759 
6.75% 11/15/39 650,000 803,600 
Columbia Pipeline Group, Inc.:   
4.5% 6/1/25 25,000 27,126 
5.8% 6/1/45 10,000 12,624 
DCP Midstream LLC 5.85% 5/21/43 (a)(b) 2,820,000 2,502,750 
DCP Midstream Operating LP 3.875% 3/15/23 520,000 526,500 
Enbridge, Inc.:   
4% 10/1/23 539,000 570,568 
4.25% 12/1/26 525,000 581,914 
Encana Corp. 6.625% 8/15/37 350,000 437,679 
Energy Transfer Partners LP:   
4.2% 9/15/23 145,000 153,311 
4.25% 3/15/23 195,000 204,806 
4.5% 4/15/24 215,000 230,505 
4.95% 6/15/28 494,000 552,614 
5.25% 4/15/29 350,000 400,926 
5.8% 6/15/38 275,000 320,292 
6% 6/15/48 1,179,000 1,406,181 
6.25% 4/15/49 241,000 298,210 
Enterprise Products Operating LP 3.75% 2/15/25 20,000 21,444 
Kinder Morgan Energy Partners LP:   
3.45% 2/15/23 362,000 375,149 
6.55% 9/15/40 1,365,000 1,735,219 
Kinder Morgan, Inc. 5.55% 6/1/45 415,000 498,016 
Marathon Petroleum Corp. 5.125% 3/1/21 35,000 36,417 
MPLX LP:   
4.5% 7/15/23 274,000 292,381 
4.8% 2/15/29 175,000 194,663 
4.875% 12/1/24 272,000 298,342 
5.5% 2/15/49 525,000 601,772 
Occidental Petroleum Corp.:   
2.6% 8/13/21 308,000 310,047 
2.7% 8/15/22 272,000 274,677 
2.9% 8/15/24 899,000 907,407 
3.2% 8/15/26 121,000 122,252 
3.5% 8/15/29 382,000 389,191 
4.3% 8/15/39 56,000 58,599 
4.4% 8/15/49 56,000 58,409 
Petrobras Global Finance BV:   
5.75% 2/1/29 1,000,000 1,083,156 
6.9% 3/19/49 3,000,000 3,389,625 
7.25% 3/17/44 2,500,000 2,957,031 
7.375% 1/17/27 2,130,000 2,528,544 
Petroleos Mexicanos:   
4.625% 9/21/23 6,000,000 6,014,063 
6.35% 2/12/48 4,550,000 4,182,588 
6.375% 1/23/45 2,300,000 2,119,953 
6.5% 3/13/27 20,000 20,427 
6.75% 9/21/47 5,720,000 5,434,000 
Plains All American Pipeline LP/PAA Finance Corp. 3.6% 11/1/24 266,000 273,288 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 393,000 421,912 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 923,000 1,029,490 
The Williams Companies, Inc.:   
3.7% 1/15/23 2,000,000 2,074,826 
4.55% 6/24/24 70,000 75,815 
5.75% 6/24/44 35,000 41,942 
Western Gas Partners LP:   
4.5% 3/1/28 200,000 199,663 
4.65% 7/1/26 35,000 35,645 
4.75% 8/15/28 168,000 170,163 
5.375% 6/1/21 1,563,000 1,616,151 
Williams Partners LP 4.3% 3/4/24 2,000,000 2,134,750 
  61,764,462 
FINANCIALS - 11.1%   
Banks - 4.2%   
Bank of America Corp.:   
3.004% 12/20/23 (b) 3,302,000 3,388,666 
3.5% 4/19/26 2,630,000 2,817,941 
3.705% 4/24/28 (b) 528,000 569,690 
4.45% 3/3/26 245,000 269,788 
Barclays PLC:   
4.375% 1/12/26 900,000 949,834 
5.088% 6/20/30 (b) 1,421,000 1,476,082 
CIT Group, Inc. 6.125% 3/9/28 210,000 250,425 
Citigroup, Inc.:   
2.4% 2/18/20 1,142,000 1,143,037 
3.142% 1/24/23 (b) 443,000 452,994 
3.352% 4/24/25 (b) 953,000 995,685 
4.3% 11/20/26 6,314,000 6,890,690 
4.4% 6/10/25 2,266,000 2,458,952 
4.45% 9/29/27 3,872,000 4,261,112 
5.5% 9/13/25 566,000 648,704 
Credit Suisse Group Funding Guernsey Ltd.:   
3.75% 3/26/25 1,200,000 1,268,410 
3.8% 6/9/23 1,250,000 1,312,316 
4.55% 4/17/26 388,000 429,925 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (a) 200,000 205,002 
5.71% 1/15/26 (a) 1,649,000 1,739,837 
JPMorgan Chase & Co.:   
2.95% 10/1/26 3,085,000 3,200,250 
3.797% 7/23/24 (b) 35,000 37,179 
3.882% 7/24/38 (b) 1,000,000 1,121,063 
4.35% 8/15/21 2,425,000 2,530,415 
4.452% 12/5/29 (b) 5,500,000 6,324,552 
Rabobank Nederland 4.375% 8/4/25 500,000 540,491 
Regions Bank 6.45% 6/26/37 250,000 334,721 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 1,000,000 1,058,300 
6% 12/19/23 1,237,000 1,347,200 
6.125% 12/15/22 6,545,000 7,080,319 
UniCredit SpA 6.572% 1/14/22 (a) 948,000 1,019,372 
Westpac Banking Corp. 4.11% 7/24/34 (b) 744,000 783,237 
  56,906,189 
Capital Markets - 3.4%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 390,000 419,319 
Ares Capital Corp. 4.2% 6/10/24 1,716,000 1,781,272 
Credit Suisse Group AG:   
3.869% 1/12/29 (a)(b) 1,570,000 1,672,430 
4.207% 6/12/24 (a)(b) 500,000 529,451 
Deutsche Bank AG 4.5% 4/1/25 2,300,000 2,172,947 
Deutsche Bank AG New York Branch:   
3.15% 1/22/21 625,000 622,810 
4.1% 1/13/26 1,100,000 1,099,445 
5% 2/14/22 1,568,000 1,625,244 
Goldman Sachs Group, Inc.:   
2.876% 10/31/22 (b) 170,000 172,342 
3.2% 2/23/23 3,000,000 3,099,558 
3.691% 6/5/28 (b) 4,660,000 4,955,589 
3.75% 5/22/25 525,000 559,821 
3.814% 4/23/29 (b) 1,025,000 1,103,082 
4.017% 10/31/38 (b) 1,000,000 1,108,388 
4.223% 5/1/29 (b) 2,500,000 2,765,266 
6.75% 10/1/37 278,000 380,886 
Moody's Corp.:   
3.25% 1/15/28 10,000 10,545 
4.875% 2/15/24 9,000 9,971 
Morgan Stanley:   
3.125% 7/27/26 2,621,000 2,722,777 
3.737% 4/24/24 (b) 2,500,000 2,630,200 
4.431% 1/23/30 (b) 2,242,000 2,558,655 
5% 11/24/25 5,722,000 6,456,148 
5.625% 9/23/19 100,000 100,172 
5.75% 1/25/21 4,650,000 4,878,588 
UBS Group Funding AG 2.859% 8/15/23 (a)(b) 1,000,000 1,014,101 
UBS Group Funding Ltd. 4.125% 9/24/25 (a) 500,000 544,155 
  44,993,162 
Consumer Finance - 1.3%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.875% 8/14/24 1,196,000 1,199,922 
4.125% 7/3/23 512,000 543,137 
4.45% 12/16/21 500,000 519,554 
4.45% 4/3/26 561,000 602,363 
4.875% 1/16/24 843,000 914,372 
Capital One Financial Corp.:   
2.5% 5/12/20 625,000 626,117 
3.8% 1/31/28 437,000 465,899 
Discover Financial Services:   
3.95% 11/6/24 4,380,000 4,669,197 
4.1% 2/9/27 366,000 394,065 
4.5% 1/30/26 803,000 886,852 
Ford Motor Credit Co. LLC:   
5.085% 1/7/21 502,000 517,184 
5.584% 3/18/24 1,113,000 1,196,944 
5.596% 1/7/22 1,038,000 1,097,668 
Synchrony Financial:   
2.85% 7/25/22 302,000 306,075 
3.95% 12/1/27 1,065,000 1,104,070 
4.375% 3/19/24 406,000 433,675 
5.15% 3/19/29 1,581,000 1,780,478 
  17,257,572 
Diversified Financial Services - 1.4%   
Avolon Holdings Funding Ltd.:   
3.625% 5/1/22 (a) 286,000 290,090 
3.95% 7/1/24 (a) 380,000 391,096 
4.375% 5/1/26 (a) 472,000 490,078 
5.25% 5/15/24 (a) 730,000 783,071 
AXA Equitable Holdings, Inc. 3.9% 4/20/23 110,000 115,532 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 1,035,000 1,065,540 
3.85% 2/1/25 2,100,000 2,207,315 
3.875% 8/15/22 473,000 493,574 
4.125% 5/15/29 1,000,000 1,081,826 
Cigna Corp.:   
3.75% 7/15/23 708,000 744,291 
4.125% 11/15/25 588,000 639,725 
4.375% 10/15/28 884,000 988,490 
4.8% 8/15/38 550,000 635,879 
4.9% 12/15/48 550,000 650,865 
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) 5,175,000 5,596,245 
Pine Street Trust I:   
4.572% 2/15/29 (a) 1,030,000 1,111,874 
5.568% 2/15/49 (a) 1,000,000 1,144,060 
Voya Financial, Inc. 3.125% 7/15/24 812,000 839,032 
  19,268,583 
Insurance - 0.8%   
Marsh & McLennan Companies, Inc.:   
4.375% 3/15/29 678,000 778,874 
4.75% 3/15/39 311,000 389,351 
4.9% 3/15/49 619,000 803,643 
Metropolitan Life Global Funding I U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 2.62% 5/28/21 (a)(b)(c) 5,310,000 5,313,991 
Pacific LifeCorp 5.125% 1/30/43 (a) 950,000 1,145,180 
Pricoa Global Funding I 5.375% 5/15/45 (b) 1,045,000 1,114,973 
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) 400,000 441,000 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) 80,000 87,019 
Unum Group:   
3.875% 11/5/25 50,000 52,784 
4% 6/15/29 852,000 895,112 
  11,021,927 
TOTAL FINANCIALS  149,447,433 
HEALTH CARE - 1.2%   
Health Care Providers & Services - 0.9%   
CVS Health Corp.:   
2.625% 8/15/24 154,000 154,883 
3% 8/15/26 125,000 126,529 
3.25% 8/15/29 287,000 290,883 
4.1% 3/25/25 1,145,000 1,224,958 
4.3% 3/25/28 1,329,000 1,450,658 
4.78% 3/25/38 2,092,000 2,345,890 
5.05% 3/25/48 2,870,000 3,344,012 
Elanco Animal Health, Inc.:   
3.912% 8/27/21 146,000 148,815 
4.272% 8/28/23 459,000 480,759 
4.9% 8/28/28 194,000 211,581 
Toledo Hospital:   
5.325% 11/15/28 319,000 360,424 
6.015% 11/15/48 1,042,000 1,314,306 
  11,453,698 
Pharmaceuticals - 0.3%   
Actavis Funding SCS 3.45% 3/15/22 40,000 41,078 
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) 809,000 871,940 
Mylan NV:   
3.15% 6/15/21 50,000 50,590 
3.95% 6/15/26 1,370,000 1,425,569 
4.55% 4/15/28 450,000 484,456 
Shire Acquisitions Investments Ireland DAC 2.4% 9/23/21 1,162,000 1,165,602 
Teva Pharmaceutical Finance Netherlands III BV 2.8% 7/21/23 600,000 505,500 
Zoetis, Inc. 3.45% 11/13/20 15,000 15,202 
  4,559,937 
TOTAL HEALTH CARE  16,013,635 
INDUSTRIALS - 0.4%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) 1,040,000 1,104,013 
Trading Companies & Distributors - 0.3%   
Air Lease Corp.:   
3.875% 7/3/23 877,000 918,734 
4.25% 2/1/24 977,000 1,042,912 
International Lease Finance Corp. 5.875% 8/15/22 2,000,000 2,196,627 
  4,158,273 
TOTAL INDUSTRIALS  5,262,286 
INFORMATION TECHNOLOGY - 0.1%   
Electronic Equipment & Components - 0.1%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
5.45% 6/15/23 (a) 800,000 869,508 
6.02% 6/15/26 (a) 258,000 291,178 
  1,160,686 
MATERIALS - 0.1%   
Chemicals - 0.0%   
Nutrien Ltd.:   
4.2% 4/1/29 109,000 121,823 
5% 4/1/49 190,000 226,813 
  348,636 
Metals & Mining - 0.1%   
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (a) 500,000 535,469 
4.5% 8/1/47 (a) 500,000 587,344 
  1,122,813 
TOTAL MATERIALS  1,471,449 
REAL ESTATE - 2.0%   
Equity Real Estate Investment Trusts (REITs) - 1.5%   
Boston Properties, Inc. 4.5% 12/1/28 605,000 699,045 
Corporate Office Properties LP:   
5% 7/1/25 3,650,000 3,972,250 
5.25% 2/15/24 146,000 158,236 
Duke Realty LP 3.625% 4/15/23 50,000 52,353 
HCP, Inc.:   
3.25% 7/15/26 113,000 116,857 
3.5% 7/15/29 129,000 136,224 
Hudson Pacific Properties LP 4.65% 4/1/29 1,473,000 1,655,629 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 1,665,000 1,754,734 
4.75% 1/15/28 3,349,000 3,647,034 
4.95% 4/1/24 2,400,000 2,584,035 
Store Capital Corp. 4.625% 3/15/29 315,000 349,961 
Ventas Realty LP:   
3% 1/15/30 877,000 882,865 
3.5% 2/1/25 1,265,000 1,331,176 
4% 3/1/28 218,000 236,847 
WP Carey, Inc.:   
3.85% 7/15/29 246,000 261,196 
4% 2/1/25 489,000 515,914 
4.6% 4/1/24 1,250,000 1,344,481 
  19,698,837 
Real Estate Management & Development - 0.5%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 560,000 585,793 
3.95% 11/15/27 421,000 443,861 
4.1% 10/1/24 833,000 882,571 
Digital Realty Trust LP 4.75% 10/1/25 1,445,000 1,603,253 
Liberty Property LP 4.4% 2/15/24 40,000 43,368 
Tanger Properties LP:   
3.125% 9/1/26 2,075,000 2,056,032 
3.875% 12/1/23 1,290,000 1,336,698 
  6,951,576 
TOTAL REAL ESTATE  26,650,413 
UTILITIES - 0.7%   
Electric Utilities - 0.5%   
Edison International 5.75% 6/15/27 2,985,000 3,386,978 
FirstEnergy Corp.:   
4.25% 3/15/23 45,000 47,820 
7.375% 11/15/31 1,985,000 2,846,308 
IPALCO Enterprises, Inc. 3.7% 9/1/24 172,000 179,950 
  6,461,056 
Independent Power and Renewable Electricity Producers - 0.1%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 1,532,000 1,643,070 
Multi-Utilities - 0.1%   
NiSource, Inc. 2.95% 9/1/29 1,708,000 1,746,186 
TOTAL UTILITIES  9,850,312 
TOTAL NONCONVERTIBLE BONDS   
(Cost $313,105,245)  334,462,270 
U.S. Government and Government Agency Obligations - 35.7%   
U.S. Treasury Inflation-Protected Obligations - 3.1%   
U.S. Treasury Inflation-Indexed Bonds:   
0.875% 2/15/47 $7,582,798 $8,578,537 
1% 2/15/49 1,832,238 2,162,985 
U.S. Treasury Inflation-Indexed Notes:   
0.375% 7/15/27 1,223,757 1,263,451 
0.5% 1/15/28 18,221,156 18,969,014 
0.75% 7/15/28 5,204,142 5,567,078 
0.875% 1/15/29 5,143,109 5,568,481 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  42,109,546 
U.S. Treasury Obligations - 32.6%   
U.S. Treasury Bonds:   
2.75% 11/15/47 10,830,000 12,667,293 
3% 2/15/49 31,131,000 38,351,933 
U.S. Treasury Notes:   
1.375% 8/31/26 38,299,000 38,097,033 
1.625% 8/15/29 8,300,000 8,394,348 
1.875% 7/31/22 41,715,000 42,225,031 
2.125% 12/31/22 32,844,000 33,589,405 
2.125% 3/31/24 22,027,000 22,716,204 
2.125% 7/31/24 38,835,000 40,144,164 
2.125% 5/31/26 21,170,000 22,079,648 
2.25% 12/31/24 4,611,000 4,806,607 
2.5% 3/31/23 12,000,000 12,450,000 
2.5% 1/31/24 15,400,000 16,108,641 
2.5% 2/28/26 60,080,000 63,975,818 
2.625% 6/30/23 26,700,000 27,892,113 
2.875% 10/31/23 38,150,000 40,377,900 
3.125% 11/15/28 13,139,000 14,964,602 
TOTAL U.S. TREASURY OBLIGATIONS  438,840,740 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $452,700,833)  480,950,286 
U.S. Government Agency - Mortgage Securities - 3.2%   
Fannie Mae - 0.1%   
3% 8/1/34 838,000 859,825 
Ginnie Mae - 1.0%   
3% 9/1/49 (d) 850,000 876,530 
3% 9/1/49 (d) 850,000 876,530 
3% 9/1/49 (d) 700,000 721,848 
3% 10/1/49 (d) 800,000 823,907 
3.5% 9/1/49 (d) 600,000 623,344 
3.5% 9/1/49 (d) 500,000 519,453 
3.5% 9/1/49 (d) 400,000 415,563 
3.5% 9/1/49 (d) 300,000 311,672 
3.5% 9/1/49 (d) 3,600,000 3,740,063 
3.5% 9/1/49 (d) 4,600,000 4,778,969 
TOTAL GINNIE MAE  13,687,879 
Uniform Mortgage Backed Securities - 2.1%   
2.5% 9/1/34 (d) 800,000 810,938 
3% 9/1/34 (d) 4,250,000 4,357,910 
3% 9/1/49 (d) 600,000 611,578 
3% 9/1/49 (d) 2,250,000 2,293,418 
3.5% 9/1/49 (d) 15,175,000 15,593,498 
4% 9/1/49 (d) 2,150,000 2,231,852 
4% 9/1/49 (d) 2,750,000 2,854,695 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  28,753,889 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $43,158,188)  43,301,593 
Asset-Backed Securities - 2.1%   
AASET Trust:   
Series 2018-1A Class A, 3.844% 1/16/38 (a) $368,708 $372,724 
Series 2019-1 Class A, 3.844% 5/15/39 (a) 811,159 816,531 
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 3.6184% 7/22/32 (a)(b)(c) 1,181,000 1,181,000 
Ares Xli Clo Ltd. / Ares Xli Cl Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 3.5034% 1/15/29 (a)(b)(c) 1,359,000 1,358,550 
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 2.5053% 10/25/35 (b)(c) 429,873 428,360 
CAM Mortgage Trust Series 2018-1 Class A1, 3.96% 12/1/65 (a) 26,187 26,173 
Castlelake Aircraft Securitization Trust Series 2019-1A:   
Class A, 3.967% 4/15/39 (a) 1,146,696 1,170,375 
Class B, 5.095% 4/15/39 (a) 393,874 402,356 
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (a) 755,903 774,799 
Cedar Funding Ltd.:   
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 0% 10/20/32 (a)(b)(c)(d) 898,000 898,000 
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 3.8749% 5/29/32 (a)(b)(c) 599,000 598,642 
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (a) 338,785 340,639 
Consumer Loan Underlying Bond Credit Trust:   
Series 2018-P3 Class A, 3.82% 1/15/26 (a) 248,399 250,739 
Series 2019-P1 Class A, 2.94% 7/15/26 (a) 619,643 621,722 
DB Master Finance LLC Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (a) 273,135 278,863 
Class A2II, 4.03% 11/20/47 (a) 469,635 489,895 
Dryden Senior Loan Fund:   
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 3.5834% 4/15/29 (a)(b)(c) 1,349,000 1,352,480 
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 3.7622% 5/15/32 (a)(b)(c) 979,000 977,369 
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 990,000 1,110,870 
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) 444,709 464,849 
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) 570,320 576,543 
Madison Park Funding Ltd.:   
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 3.4976% 1/20/29 (a)(b)(c) 480,000 479,751 
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 3.603% 7/15/32 (a)(b)(c) 1,179,000 1,178,310 
Magnetite CLO Ltd. Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 3.9086% 4/20/30 (a)(b)(c) 975,000 974,826 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) 560,222 583,913 
Nationstar HECM Loan Trust:   
Series 2018-2A Class A, 3.1877% 7/25/28 (a) 277,316 278,705 
Series 2019-1A Class A, 2.6513% 6/25/29 (a) 514,481 515,771 
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 3.6939% 7/17/32 (a)(b)(c) 1,178,000 1,177,377 
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (a) 1,032,340 1,054,310 
Prosper Marketplace Issuance Trust:   
Series 2018-1A Class A, 3.11% 6/17/24 (a) 7,185 7,187 
Series 2018-2A Class A, 3.35% 10/15/24 (a) 353,728 354,810 
Series 2019-2A Class A, 3.2% 9/15/25 (a) 961,133 964,790 
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a) 937,327 965,703 
Towd Point Mortgage Trust:   
Series 2018-3 Class A1, 3.75% 5/25/58 (a) 711,764 742,866 
Series 2018-6 Class A1A, 3.75% 3/25/58 (a) 1,052,137 1,085,801 
Series 2019-1 Class A1, 3.75% 3/25/58 (a) 463,586 486,171 
Upgrade Receivables Trust Series 2019-1A Class A, 3.48% 3/15/25 (a) 302,795 303,857 
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 3.9137% 4/15/32 (a)(b)(c) 1,125,000 1,124,371 
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 3.5229% 7/20/32 (a)(b)(c) 1,290,000 1,289,297 
TOTAL ASSET-BACKED SECURITIES   
(Cost $27,657,938)  28,059,295 
Collateralized Mortgage Obligations - 0.6%   
Private Sponsor - 0.6%   
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 4.8126% 1/25/37 (a)(b) 213,042 216,541 
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) 254,205 254,185 
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 2.5823% 8/25/60 (a)(b)(c) 661,319 660,043 
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 2.7234% 10/15/54 (a)(b)(c) 864,599 863,707 
Lanark Master Issuer PLC:   
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.9023% 12/22/69 (a)(b)(c) 595,467 597,139 
Series 2019-2A Class 1A, 2.71% 12/22/69 (a) 2,275,000 2,291,125 
Permanent Master Issuer PLC floater Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 2.6834% 7/15/58 (a)(b)(c) 1,579,000 1,578,678 
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 2.8476% 1/21/70 (a)(b)(c) 1,200,000 1,200,277 
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (a) 75,995 75,893 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $7,723,832)  7,737,588 
Commercial Mortgage Securities - 2.0%   
Barclays Commercial Mortgage Securities LLC Series 2018-C2 Class A5, 4.314% 12/15/51 500,000 580,443 
Benchmark Mortgage Trust:   
Series 2018-B8 Class A5, 4.2317% 1/15/52 674,000 781,003 
Series 2019-B12 Class XA, 1.207% 8/15/52 (b)(e) 8,100,000 631,730 
BX Trust:   
floater:   
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.625% 4.8201% 9/15/37 (a)(b)(c) 261,328 261,351 
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 3.9951% 11/15/35 (a)(b)(c) 380,886 381,959 
Series 2019-IMC:   
Class B, 1 month U.S. LIBOR + 1.300% 3.4951% 4/15/34 (a)(b)(c) 614,000 613,999 
Class C, 1 month U.S. LIBOR + 1.600% 3.7951% 4/15/34 (a)(b)(c) 406,000 406,001 
Class D, 1 month U.S. LIBOR + 1.900% 4.0951% 4/15/34 (a)(b)(c) 426,000 427,333 
floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 3.1951% 4/15/34 (a)(b)(c) 1,066,000 1,065,998 
CHC Commercial Mortgage Trust floater Series 2019-CHC:   
Class A, 1 month U.S. LIBOR + 1.120% 3.3151% 6/15/34 (a)(b)(c) 1,568,000 1,567,997 
Class B, 1 month U.S. LIBOR + 1.500% 3.6951% 6/15/34 (a)(b)(c) 309,000 309,001 
Class C, 1 month U.S. LIBOR + 1.750% 3.9451% 6/15/34 (a)(b)(c) 349,000 349,001 
Citigroup Commercial Mortgage Trust:   
Series 2015-GC29 Class XA, 1.2411% 4/10/48 (b)(e) 3,513,969 153,397 
Series 2018-C6 Class A4, 4.412% 11/10/51 165,000 193,251 
COMM Mortgage Trust:   
sequential payer Series 2013-CR7 Class AM, 3.314% 3/10/46 (a) 273,000 282,938 
Series 2014-CR17 Class XA, 1.1456% 5/10/47 (b)(e) 1,550,552 60,754 
Series 2014-CR19 Class XA, 1.2328% 8/10/47 (b)(e) 3,876,424 164,537 
Series 2014-LC17 Class XA, 0.9977% 10/10/47 (b)(e) 3,179,510 96,501 
Series 2015-DC1 Class XA, 1.2533% 2/10/48 (b)(e) 1,137,082 44,744 
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 3.0751% 12/15/31 (a)(b)(c) 500,000 499,999 
Credit Suisse Mortgage Trust:   
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 3.1751% 5/15/36 (a)(b)(c) 2,000,000 2,001,255 
Series 2018-SITE:   
Class A, 4.284% 4/15/36 (a) 594,000 636,998 
Class B, 4.5349% 4/15/36 (a) 107,000 114,517 
Class C, 4.9414% 4/15/36 (a)(b) 123,000 131,079 
Class D, 4.9414% 4/15/36 (a)(b) 245,000 256,946 
CSAIL Commercial Mtg Trust Series 2018-C14 Class A4 4.4216% 11/15/51 429,000 500,695 
CSMC Trust Series 2017-PFHP Class D, 1 month U.S. LIBOR + 2.250% 4.4451% 12/15/30 (a)(b)(c) 1,296,000 1,291,142 
GS Mortgage Securities Trust:   
floater:   
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 3.6451% 9/15/31 (a)(b)(c) 1,875,000 1,870,463 
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 3.2851% 10/15/31 (a)(b)(c) 457,000 456,681 
sequential payer Series 2018-GS10 Class A5, 4.155% 7/10/51 250,000 286,556 
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT:   
Class CFX, 4.9498% 7/5/33 (a) 103,000 111,239 
Class DFX, 5.3503% 7/5/33 (a) 159,000 171,942 
Class EFX, 5.5422% 7/5/33 (a) 218,000 233,520 
Class XAFX, 1.2948% 7/5/33 (a)(b)(e) 2,000,000 81,653 
Morgan Stanley Capital I Trust:   
floater:   
Series 2018-BOP:   
Class B, 1 month U.S. LIBOR + 1.250% 3.4451% 8/15/33 (a)(b)(c) 627,000 627,001 
Class C, 1 month U.S. LIBOR + 1.500% 3.6951% 8/15/33 (a)(b)(c) 1,510,000 1,510,002 
Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 3.1451% 3/15/34 (a)(b)(c) 710,000 710,442 
sequential payer Series 2018-L1 Class A4, 4.407% 10/15/51 410,000 479,042 
Series 2018-H4 Class A4, 4.31% 12/15/51 1,497,000 1,743,542 
RETL floater Series 2019-RVP:   
Class A, 1 month U.S. LIBOR + 1.150% 3.3451% 3/15/36 (a)(b)(c) 492,992 493,761 
Class B, 1 month U.S. LIBOR + 1.550% 3.7451% 3/15/36 (a)(b)(c) 600,000 602,251 
Class C, 1 month U.S. LIBOR + 2.100% 4.2951% 3/15/36 (a)(b)(c) 1,094,000 1,098,446 
UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.2152% 12/15/50 (b)(e) 1,478,885 98,911 
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 2.9909% 4/10/46 (a)(b)(c) 888,853 899,454 
Wells Fargo Commercial Mortgage Trust:   
Series 2017-C42 Class XA, 1.039% 12/15/50 (b)(e) 3,673,691 228,753 
Series 2018-C46 Class XA, 1.1126% 8/15/51 (b)(e) 2,140,633 129,044 
Series 2018-C48 Class A5, 4.302% 1/15/52 803,000 930,425 
WF-RBS Commercial Mortgage Trust:   
Series 2014-C21 Class XA, 1.1954% 8/15/47 (b)(e) 1,054,029 44,838 
Series 2014-LC14 Class XA, 1.397% 3/15/47 (b)(e) 1,467,325 61,960 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $26,314,246)  26,674,495 
Municipal Securities - 0.3%   
California Gen. Oblig. Series 2009:   
7.35% 11/1/39 $90,000 $143,844 
7.5% 4/1/34 700,000 1,102,794 
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 2,525,000 2,747,806 
TOTAL MUNICIPAL SECURITIES   
(Cost $3,643,091)  3,994,444 
Foreign Government and Government Agency Obligations - 0.3%   
Argentine Republic 5.875% 1/11/28 $2,000,000 $732,000 
Dominican Republic:   
5.95% 1/25/27 (a) 2,850,000 3,127,875 
6% 7/19/28 (a) 550,000 607,922 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $5,510,498)  4,467,797 
Bank Notes - 0.1%   
Discover Bank 4.682% 8/9/28 (b) 401,000 420,689 
Synchrony Bank 3.65% 5/24/21 559,000 570,401 
TOTAL BANK NOTES   
(Cost $959,582)  991,090 
 Shares Value 
Fixed-Income Funds - 31.9%   
Fidelity Emerging Markets Debt Central Fund (f) 4,073,450 $37,597,948 
Fidelity Floating Rate Central Fund (f) 672,733 68,020,064 
Fidelity Mortgage Backed Securities Central Fund (f) 2,098,806 230,637,827 
Fidelity Specialized High Income Central Fund (f) 905,901 92,655,512 
TOTAL FIXED-INCOME FUNDS   
(Cost $422,005,596)  428,911,351 
 Principal Amount Value 
Preferred Securities - 0.1%   
FINANCIALS - 0.1%   
Banks - 0.1%   
Barclays Bank PLC 7.625% 11/21/22
(Cost $1,553,595) 
1,350,000 1,517,186 
 Shares Value 
Money Market Funds - 4.1%   
Fidelity Cash Central Fund 2.13% (g)   
(Cost $55,488,972) 55,478,622 55,489,717 

Purchased Swaptions - 0.1%    
 Expiration Date Notional Amount Value 
Put Options - 0.0%    
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 1.476% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/27/24 2,000,000 $57,296 
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.651% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 6,600,000 40,951 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 2.313% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 4,200,000 57,594 
TOTAL PUT OPTIONS   155,841 
Call Options - 0.1%    
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 1.476% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/27/24 2,000,000 59,608 
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.651% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 6,600,000 598,243 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 2.313% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/6/24 4,200,000 227,086 
TOTAL CALL OPTIONS   884,937 
TOTAL PURCHASED SWAPTIONS    
(Cost $711,778)   1,040,778 
TOTAL INVESTMENT IN SECURITIES - 105.4%    
(Cost $1,360,533,394)   1,417,597,890 
NET OTHER ASSETS (LIABILITIES) - (5.4)%   (72,904,130) 
NET ASSETS - 100%   $1,344,693,760 

TBA Sale Commitments   
 Principal Amount Value 
Ginnie Mae   
3% 9/1/49   
(Proceeds $821,781) $(800,000) $(824,969) 

Written Swaptions    
 Expiration Date Notional Amount Value 
Put Swaptions    
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 1.97% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 2,000,000 $(37,824) 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.1675% and receive quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/20/24 1,600,000 (25,011) 
Option on an interest rate swap with Bank of America, N.A. to pay semi-annually a fixed rate of 2.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring May 2029 5/13/22 3,000,000 (25,127) 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to pay semi-annually a fixed rate of 1.7825% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/5/24 700,000 (15,552) 
TOTAL PUT SWAPTIONS   (103,514) 
Call Swaptions    
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 1.97% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/1/24 2,000,000 (85,886) 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.1675% and pay quarterly a floating rate based on 3-month LIBOR, expiring June 2029 6/20/24 1,600,000 (78,635) 
Option on an interest rate swap with Bank of America, N.A. to receive semi-annually a fixed rate of 2.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring May 2029 5/13/22 3,000,000 (238,025) 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. to receive semi-annually a fixed rate of 1.7825% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2029 8/5/24 700,000 (26,321) 
TOTAL CALL SWAPTIONS   (428,867) 
TOTAL WRITTEN SWAPTIONS   $(532,381) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Treasury Contracts      
CBOT Long Term U.S. Treasury Bond Contracts (United States) Dec. 2019 $330,500 $1,865 $1,865 
Sold      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 13 Dec. 2019 1,712,344 887 887 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 54 Dec. 2019 11,670,328 (6,018) (6,018) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) Dec. 2019 479,906 (758) (758) 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) Dec. 2019 722,188 (2,002) (2,002) 
TOTAL SOLD     (7,891) 
TOTAL FUTURES CONTRACTS     $(6,026) 

The notional amount of futures purchased as a percentage of Net Assets is 0.0%

The notional amount of futures sold as a percentage of Net Assets is 1.1%

Swaps

Underlying Reference Maturity Date Clearinghouse / Counterparty Fixed Payment Received/(Paid) Payment Frequency Notional Amount Value Upfront Premium Received/(Paid) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps         
Buy Protection         
CMBX N.A. AAA Index Series 11 Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly $1,250,000 $(3,993) $(1,421) $(5,414) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 600,000 (1,917) (1,370) (3,287) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 50,000 (160) (259) (419) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 1,600,000 (5,111) 3,167 (1,944) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 1,534,000 (4,900) (10,930) (15,830) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Credit Suisse International (0.5%) Monthly 676,000 (2,159) (4,817) (6,976) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Credit Suisse International (0.5%) Monthly 1,100,000 (3,514) (3,856) (7,370) 
CMBX N.A. AAA Index Series 11 Nov. 2054 Credit Suisse International (0.5%) Monthly 1,200,000 (3,833) (189) (4,022) 
CMBX N.A. AAA Index Series 11 Nov. 2054 J.P. Morgan Securities LLC (0.5%) Monthly 650,000 (2,076) (4,400) (6,476) 
TOTAL CREDIT DEFAULT SWAPS      $(27,663) $(24,075) $(51,738) 

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount Value Upfront Premium Received/(Paid)(2) Unrealized Appreciation/(Depreciation) 
Interest Rate Swaps          
3-month LIBOR(3) Quarterly 1.5% Semi - annual LCH Dec. 2029 $1,795,000 $3,075 $0 $3,075 

 (1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 (2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

 (3) Represents floating rate.

Legend

 (a) Security 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 $95,079,608 or 7.1% of net assets.

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

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

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

 (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-PORT 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 $624,944 
Fidelity Emerging Markets Debt Central Fund 219,491 
Fidelity Floating Rate Central Fund 3,457,771 
Fidelity Mortgage Backed Securities Central Fund 5,986,874 
Fidelity Specialized High Income Central Fund 5,594,912 
Total $15,883,992 

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 Emerging Markets Debt Central Fund $-- $39,219,462 $-- $-- $(1,621,514) $37,597,948 1.3% 
Fidelity Floating Rate Central Fund 45,682,761 22,950,607 -- -- (613,304) 68,020,064 3.5% 
Fidelity Mortgage Backed Securities Central Fund 160,906,288 66,086,188 5,405,000 14,913 9,035,438 230,637,827 4.0% 
Fidelity Specialized High Income Central Fund 72,959,541 43,901,213 28,000,000 (913,028) 4,707,786 92,655,512 15.4% 
Total $279,548,590 $172,157,470 $33,405,000 $(898,115) $11,508,406 $428,911,351  

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2019, 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 $334,462,270 $-- $334,462,270 $-- 
U.S. Government and Government Agency Obligations 480,950,286 -- 480,950,286 -- 
U.S. Government Agency - Mortgage Securities 43,301,593 -- 43,301,593 -- 
Asset-Backed Securities 28,059,295 -- 28,059,295 -- 
Collateralized Mortgage Obligations 7,737,588 -- 7,737,588 -- 
Commercial Mortgage Securities 26,674,495 -- 26,674,495 -- 
Municipal Securities 3,994,444 -- 3,994,444 -- 
Foreign Government and Government Agency Obligations 4,467,797 -- 4,467,797 -- 
Bank Notes 991,090 -- 991,090 -- 
Fixed-Income Funds 428,911,351 428,911,351 -- -- 
Preferred Securities 1,517,186 -- 1,517,186 -- 
Money Market Funds 55,489,717 55,489,717 -- -- 
Purchased Swaptions 1,040,778 -- 1,040,778 -- 
Total Investments in Securities: $1,417,597,890 $484,401,068 $933,196,822 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $2,752 $2,752 $-- $-- 
Swaps 3,075 -- 3,075 -- 
Total Assets $5,827 $2,752 $3,075 $-- 
Liabilities     
Futures Contracts $(8,778) $(8,778) $-- $-- 
Swaps (27,663) -- (27,663) -- 
Written Swaptions (532,381) -- (532,381) -- 
Total Liabilities $(568,822) $(8,778) $(560,044) $-- 
Total Derivative Instruments: $(562,995) $(6,026) $(556,969) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(824,969) $-- $(824,969) $-- 
Total Other Financial Instruments: $(824,969) $-- $(824,969) $-- 

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, 2019. 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 
Credit Risk   
Swaps(a) $0 $(27,663) 
Total Credit Risk (27,663) 
Interest Rate Risk   
Futures Contracts(b) 2,752 (8,778) 
Purchased Swaptions(c) 1,040,778 
Swaps(d) 3,075 
Written Swaptions(e) (532,381) 
Total Interest Rate Risk 1,046,605 (541,159) 
Total Value of Derivatives $1,046,605 $(568,822) 

 (a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

 (b) 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 distributable earnings.

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

 (d) 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 distributable earnings.

 (e) 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

  August 31, 2019 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $883,038,826) 
$933,196,822  
Fidelity Central Funds (cost $477,494,568) 484,401,068  
Total Investment in Securities (cost $1,360,533,394)  $1,417,597,890 
Segregated cash with brokers for derivative instruments  204,819 
Cash  40,428 
Receivable for premium on written options  411,845 
Receivable for TBA sale commitments  821,781 
Receivable for fund shares sold  3,794,523 
Interest receivable  6,326,145 
Distributions receivable from Fidelity Central Funds  46,516 
Total assets  1,429,243,947 
Liabilities   
Payable for investments purchased   
Regular delivery $38,727,463  
Delayed delivery 43,199,627  
TBA sale commitments, at value 824,969  
Payable for fund shares redeemed 844,171  
Bi-lateral OTC swaps, at value 27,663  
Accrued management fee 333,143  
Payable for daily variation margin on futures contracts 7,281  
Payable for daily variation margin on centrally cleared OTC swaps 4,902  
Written options, at value (premium receivable $411,845) 532,381  
Other payables and accrued expenses 48,587  
Total liabilities  84,550,187 
Net Assets  $1,344,693,760 
Net Assets consist of:   
Paid in capital  $1,286,079,150 
Total distributable earnings (loss)  58,614,610 
Net Assets, for 130,090,401 shares outstanding  $1,344,693,760 
Net Asset Value, offering price and redemption price per share ($1,344,693,760 ÷ 130,090,401 shares)  $10.34 

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


Statement of Operations

  Year ended August 31, 2019 
Investment Income   
Dividends  $102,938 
Interest (including $29,842 from security lending)  23,074,735 
Income from Fidelity Central Funds  15,413,114 
Total income  38,590,787 
Expenses   
Management fee $3,304,432  
Independent trustees' fees and expenses 4,803  
Commitment fees 2,765  
Total expenses before reductions 3,312,000  
Expense reductions (918)  
Total expenses after reductions  3,311,082 
Net investment income (loss)  35,279,705 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 2,619,698  
Fidelity Central Funds (898,860)  
Futures contracts (366,713)  
Swaps (115,403)  
Written options 11,542  
Capital gain distributions from Fidelity Central Funds 470,878  
Total net realized gain (loss)  1,721,142 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 62,732,254  
Fidelity Central Funds 11,509,150  
Futures contracts (4,803)  
Swaps (48,663)  
Written options (120,536)  
Delayed delivery commitments (4,248)  
Total change in net unrealized appreciation (depreciation)  74,063,154 
Net gain (loss)  75,784,296 
Net increase (decrease) in net assets resulting from operations  $111,064,001 

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


Statement of Changes in Net Assets

 Year ended August 31, 2019 Year ended August 31, 2018 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $35,279,705 $19,153,359 
Net realized gain (loss) 1,721,142 (1,042,263) 
Change in net unrealized appreciation (depreciation) 74,063,154 (19,307,487) 
Net increase (decrease) in net assets resulting from operations 111,064,001 (1,196,391) 
Distributions to shareholders (35,140,109) – 
Distributions to shareholders from net investment income – (17,758,228) 
Distributions to shareholders from net realized gain – (646,200) 
Total distributions (35,140,109) (18,404,428) 
Share transactions   
Proceeds from sales of shares 617,290,307 628,502,092 
Reinvestment of distributions 35,140,104 18,404,421 
Cost of shares redeemed (296,815,641) (207,395,157) 
Net increase (decrease) in net assets resulting from share transactions 355,614,770 439,511,356 
Total increase (decrease) in net assets 431,538,662 419,910,537 
Net Assets   
Beginning of period 913,155,098 493,244,561 
End of period $1,344,693,760 $913,155,098 
Other Information   
Undistributed net investment income end of period  $1,375,029 
Shares   
Sold 62,846,985 64,085,404 
Issued in reinvestment of distributions 3,556,674 1,875,123 
Redeemed (30,153,202) (21,121,775) 
Net increase (decrease) 36,250,457 44,838,752 

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


Financial Highlights

Fidelity Total Bond K6 Fund

    
Years ended August 31, 2019 2018 2017 A 
Selected Per–Share Data    
Net asset value, beginning of period $9.73 $10.07 $10.00 
Income from Investment Operations    
Net investment income (loss)B .315 .280 .061 
Net realized and unrealized gain (loss) .610 (.347) .073 
Total from investment operations .925 (.067) .134 
Distributions from net investment income (.315) (.261) (.064) 
Distributions from net realized gain – (.012) – 
Total distributions (.315) (.273) (.064) 
Net asset value, end of period $10.34 $9.73 $10.07 
Total ReturnC,D 9.72% (.66)% 1.35% 
Ratios to Average Net AssetsE,F    
Expenses before reductions .30% .30% .30%G 
Expenses net of fee waivers, if any .30% .30% .30%G 
Expenses net of all reductions .30% .30% .30%G 
Net investment income (loss) 3.20% 2.87% 2.45%G 
Supplemental Data    
Net assets, end of period (000 omitted) $1,344,694 $913,155 $493,245 
Portfolio turnover rateH 83% 44% 51%I 

 A For the period May 25, 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 Annualized

 H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

 I 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, 2019

1. Organization.

Fidelity Total Bond K6 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. Shares generally are available only to employer-sponsored retirement plans that are recordkept by Fidelity, or to certain employer-sponsored retirement plans that are not recordkept 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 ranged from less than .005% to .01%. 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 Emerging Markets Debt Central Fund FMR Co., Inc. (FMRC) Seeks high total return by normally investing in debt securities of issuers in emerging markets and other debt investments that are tied economically to emerging markets. Foreign Securities
Restricted Securities 
Less than .005% 
Fidelity Floating Rate Central Fund 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
Swaps 
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, bank notes, foreign government and government agency obligations, municipal securities, preferred 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. 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. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. 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.

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, 2019 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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, 2019, 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.

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 Underlying Funds, futures contracts, market discount, swap agreements 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 $64,335,444 
Gross unrealized depreciation (6,896,432) 
Net unrealized appreciation (depreciation) $57,439,012 
Tax Cost $1,359,600,048 

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

Undistributed ordinary income $1,581,517 
Net unrealized appreciation (depreciation) on securities and other investments $57,033,092 

The tax character of distributions paid was as follows:

 August 31, 2019 August 31, 2018 
Ordinary Income $35,140,109 $18,073,943 
Long-term Capital Gains – 330,485 
Total $35,140,109 $18,404,428 

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.

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.

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 Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.

Financial Statement Current Line-Item Presentation (As Applicable) Prior Line-Item Presentation (As Applicable) 
Statement of Assets and Liabilities Total distributable earnings (loss) Undistributed/Distributions in excess of/Accumulated net investment income (loss)
Accumulated/Undistributed net realized gain (loss)
Net unrealized appreciation (depreciation) 
Statement of Changes in Net Assets N/A - removed Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period 
Statement of Changes in Net Assets Distributions to shareholders Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain 

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 risks:

Credit Risk Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
 
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 and bi-lateral swaps, 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) 
Credit Risk   
Swaps $(27,124) $(51,738) 
Total Credit Risk (27,124) (51,738) 
Interest Rate Risk   
Futures Contracts (366,713) (4,803) 
Purchased Options (54,227) 329,000 
Swaps (88,279) 3,075 
Written Options 11,542 (120,536) 
Total Interest Rate Risk (497,677) 206,736 
Totals $(524,801) $(154,998) 

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 and is representative of volume of activity during the period. Cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

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, and are representative of volume of activity during the period.

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 bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. 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.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

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. Cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. 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.

For both bi-lateral and centrally cleared OTC swaps, 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.

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

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 $364,021,089 and $74,196,883, respectively.

6. 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 for which the Fund pays a monthly management fee that is based on an annual rate of .30% of average net assets. 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.

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $11,484.

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 $2,765 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. The Fund may lend securities to certain qualified borrowers. 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.

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 management fee. During the period, these credits reduced the Fund's management fee by $918.

10. 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 Trustees of Fidelity Income Fund and Shareholders of Fidelity Total Bond K6 Fund:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of Fidelity Total Bond K6 Fund (the "Fund"), a fund of Fidelity Income Fund, including the schedule of investments, as of August 31, 2019, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the two years in the period then ended and for the period from May 25, 2017 (commencement of operations) to August 31, 2017, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2019, and 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 then ended, and the financial highlights for each of the two years in the period then ended and for the period from May 25, 2017 (commencement of operations) to August 31, 2017 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights 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 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 and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights. 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 and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2019, by correspondence with the custodians 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.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

October 17, 2019


We have served as the auditor of one or more of the Fidelity investment companies since 1999.

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 276 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. Arthur E. Johnson 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).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee 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 Advisory Board of certain Fidelity® funds (2018), 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).

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 interim president of Michigan State University (2018-2019), 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.

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). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and 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 Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

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.

 + 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. 

Advisory Board Members and Officers:

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

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.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).

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).

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). 

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as Secretary and CLO of other funds. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

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).

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 of Fixed Income (2014-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), 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), and President, Money Market and Short Duration Bond Group of Fidelity Management & Research Company (FMR) (investment adviser firm, 2013-2014).

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).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management 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, 2019 to August 31, 2019).

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, 2019 
Ending
Account Value
August 31, 2019 
Expenses Paid
During Period-B
March 1, 2019
to August 31, 2019 
Actual .30% $1,000.00 $1,075.80 $1.57 
Hypothetical-C  $1,000.00 $1,023.69 $1.53 

 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 ranged from less than .005% to .01%.

 C 5% return per year before expenses

Distributions (Unaudited)

The Board of Trustees of Fidelity Total Bond K6 Fund voted to pay on October 14, 2019, to shareholders of record at the opening of business on October 11, 2019, a distribution of $0.011 per share derived from capital gains realized from sales of portfolio securities.

A total of 25.58% 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 will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.





Fidelity Investments

TBDK6-ANN-1019
1.9884015.102


Fidelity® Series Government Bond Index Fund



Annual Report

August 31, 2019




Fidelity Investments


Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.

You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.

Account Type Website Phone Number 
Brokerage, Mutual Fund, or Annuity Contracts: fidelity.com/mailpreferences 1-800-343-3548 
Employer Provided Retirement Accounts: netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) 1-800-343-0860 
Advisor Sold Accounts Serviced Through Your Financial Intermediary: Contact Your Financial Intermediary Your Financial Intermediary's phone number 
Advisor Sold Accounts Serviced by Fidelity: institutional.fidelity.com 1-877-208-0098 


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 1-800-544-8544 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.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2019 FMR LLC. All rights reserved.



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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT 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, 2019 Past 1 year Life of fundA 
Fidelity® Series Government Bond Index Fund 10.40% 10.11% 

 A From August 17, 2018

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® Series Government Bond Index Fund on August 17, 2018, 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. Government Bond Index performed over the same period.


Period Ending Values

$11,052Fidelity® Series Government Bond Index Fund

$11,052Bloomberg Barclays U.S. Government Bond Index

Management's Discussion of Fund Performance

Market Recap:  For the 12 months ending August 31, 2019, U.S. taxable investment-grade bonds posted their strongest trailing one-year return since 2009, driven by slower global economic growth, a maturing business cycle, trade uncertainty and, late in the period, the Fed’s dovish shift. The Bloomberg Barclays U.S. Aggregate Bond Index gained 10.17%. Market yields rose in the early fall of 2018, on expectations for higher inflation. Yields then declined and credit spreads widened in November and December, partly because of weaker U.S. manufacturing data. Yield spreads narrowed in January, as the U.S. Federal Reserve said it would be “patient” with policy rate hikes, and that future increases largely would depend on economic data. Yields continued to decline in the spring, amid international trade tension and attacks on oil tankers in the Middle East, and then tumbled further in July, when the Fed cut interest rates for the first time since 2008. The yield curve ended the period roughly flat, amid expectations for another rate cut of 25 basis points in September. Within the Bloomberg Barclays index, corporate bonds gained 13.33%, topping the 10.38% advance of U.S. Treasuries. Outside the index, U.S. corporate high-yield bonds lagged nominal U.S. Treasuries, while Treasury Inflation-Protected Securities (TIPS) gained 7.46%.

Comments from Co-Portfolio Managers Brandon Bettencourt and Jay Small:   For the fiscal year ending August 31, 2019, the fund returned 10.40%, about in line, net of fees, with the 10.31% return of the Bloomberg Barclays Government BondIndex. These results met our goal of producing monthly returns, before expenses, that closely match the benchmark return. Given the large number of securities in the index and the significant cost and liquidity challenges associated with full replication of the index, we use “statistical sampling” techniques in constructing the portfolio. This approach involves defining and maintaining an “optimal” subset of constituent securities that, in aggregate, mirrors the chief characteristics of the index – including maturity, duration, sector allocation, credit quality and other factors. The fund's performance versus the benchmark was slightly boosted by "pricing basis." The fund is typically priced at 4:00 p.m. Eastern, while the benchmark is priced at 3:00 p.m. This led to a reported performance differential, particularly due to pricing dispersion on the last day of the period. Bonds were bolstered by expectations of declining interest rates amid muted inflation and a global growth slowdown that was exacerbated by escalating international trade tension.

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)

Coupon Distribution as of August 31, 2019

 % of fund's investments 
1 - 1.99% 8.5 
2 - 2.99% 68.1 
3 - 3.99% 21.0 
4 - 4.99% 0.1 
5 - 5.99% 0.1 
6 - 6.99% 0.9 
7 - 7.99% 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, 2019 
   U.S. Treasury Obligations 96.3% 
   U.S. Government Agency Obligations 1.6% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.1% 


Schedule of Investments August 31, 2019

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 97.9%   
 Principal Amount Value 
U.S. Government Agency Obligations - 1.6%   
Fannie Mae:   
1.25% 8/17/21 $181,000 $179,941 
1.875% 9/24/26 663,000 679,521 
2% 10/5/22 5,000 5,082 
2.125% 4/24/26 6,000 6,230 
5.625% 7/15/37 58,000 88,251 
6.25% 5/15/29 71,000 100,220 
7.125% 1/15/30 6,000 9,056 
Freddie Mac:   
2.75% 6/19/23 11,000 11,507 
6.25% 7/15/32 585,000 880,690 
6.75% 9/15/29 185,000 270,063 
  2,230,561 
U.S. Treasury Obligations - 96.3%   
U.S. Treasury Bonds:   
2.5% 2/15/45 10,000 11,096 
2.75% 8/15/47 43,000 50,255 
2.875% 5/15/43 10,000 11,802 
2.875% 8/15/45 66,000 78,378 
2.875% 11/15/46 1,198,000 1,429,691 
2.875% 5/15/49 343,000 413,618 
3% 5/15/42 158,000 189,835 
3% 11/15/44 135,000 163,303 
3% 11/15/45 916,000 1,113,405 
3% 2/15/47 244,000 298,233 
3% 5/15/47 808,000 987,812 
3% 2/15/48 636,000 779,622 
3% 8/15/48 36,000 44,222 
3% 2/15/49 378,000 465,678 
3.125% 2/15/43 137,000 168,050 
3.125% 8/15/44 233,000 287,446 
3.125% 5/15/48 198,000 248,451 
3.375% 11/15/48 4,408,000 5,798,242 
3.625% 8/15/43 81,000 107,486 
3.75% 8/15/41 61,000 81,530 
3.75% 11/15/43 7,682,000 10,397,407 
3.875% 8/15/40 2,271,000 3,076,673 
4.25% 11/15/40 92,000 130,816 
4.625% 2/15/40 30,000 44,467 
4.75% 2/15/41 12,000 18,181 
5% 5/15/37 13,000 19,572 
5.25% 11/15/28 5,000 6,613 
U.S. Treasury Notes:   
1.25% 8/31/24 852,000 846,242 
1.375% 9/30/20 3,089,000 3,075,606 
1.375% 4/30/21 171,000 170,372 
1.5% 8/15/22 2,129,000 2,133,241 
1.5% 8/15/26 192,000 192,585 
1.625% 2/15/26 10,000 10,107 
1.625% 5/15/26 222,000 224,445 
1.75% 11/30/21 72,000 72,402 
1.75% 6/30/22 207,000 208,811 
1.75% 7/15/22 2,004,000 2,021,300 
1.75% 6/30/24 1,098,000 1,115,671 
1.75% 7/31/24 720,000 732,066 
2% 11/15/21 223,000 225,448 
2% 7/31/22 198,000 201,210 
2% 10/31/22 1,355,000 1,378,607 
2% 11/30/22 242,000 246,330 
2% 5/31/24 1,618,000 1,662,242 
2% 2/15/25 56,000 57,687 
2% 8/15/25 204,000 210,471 
2% 11/15/26 2,919,000 3,028,348 
2.125% 5/15/22 655,000 666,488 
2.125% 12/31/22 69,000 70,566 
2.125% 3/31/24 2,417,000 2,492,626 
2.25% 3/31/21 11,713,000 11,826,927 
2.25% 4/15/22 3,309,000 3,375,697 
2.25% 4/30/24 2,642,000 2,741,385 
2.25% 11/15/24 196,000 204,093 
2.25% 12/31/24 24,000 25,018 
2.25% 2/15/27 3,500,000 3,696,055 
2.25% 8/15/27 96,000 101,614 
2.25% 11/15/27 202,000 214,033 
2.375% 4/15/21 10,000 10,121 
2.375% 3/15/22 1,508,000 1,542,637 
2.375% 1/31/23 92,000 94,879 
2.375% 2/29/24 6,467,000 6,738,311 
2.375% 8/15/24 200,000 209,133 
2.375% 4/30/26 19,000 20,107 
2.375% 5/15/27 1,542,000 1,644,519 
2.5% 12/31/20 235,000 237,506 
2.5% 1/31/21 6,346,000 6,418,632 
2.5% 1/15/22 191,000 195,484 
2.5% 2/15/22 13,795,000 14,134,481 
2.5% 3/31/23 67,000 69,513 
2.5% 1/31/24 308,000 322,173 
2.5% 5/15/24 200,000 209,836 
2.5% 2/28/26 1,602,000 1,705,880 
2.625% 11/15/20 221,000 223,357 
2.625% 12/15/21 259,000 265,647 
2.625% 2/28/23 122,000 126,947 
2.625% 6/30/23 7,860,000 8,210,937 
2.625% 12/31/23 223,000 234,237 
2.625% 3/31/25 1,463,000 1,556,266 
2.625% 12/31/25 39,000 41,764 
2.625% 2/15/29 3,116,000 3,422,853 
2.75% 9/30/20 315,000 318,248 
2.75% 11/30/20 256,000 259,270 
2.75% 8/15/21 31,000 31,716 
2.75% 9/15/21 58,000 59,434 
2.75% 5/31/23 237,000 248,359 
2.75% 7/31/23 425,000 446,233 
2.75% 8/31/23 23,000 24,179 
2.75% 11/15/23 202,000 212,889 
2.75% 2/28/25 40,000 42,788 
2.75% 8/31/25 17,000 18,272 
2.75% 2/15/28 20,000 22,009 
2.875% 10/31/20 102,000 103,299 
2.875% 10/15/21 348,000 357,801 
2.875% 11/15/21 399,000 410,721 
2.875% 9/30/23 17,000 17,975 
2.875% 10/31/23 36,000 38,102 
2.875% 11/30/23 1,090,000 1,155,102 
2.875% 5/31/25 104,000 112,210 
2.875% 7/31/25 3,667,000 3,963,511 
2.875% 11/30/25 12,000 13,019 
2.875% 5/15/28 99,000 110,172 
2.875% 8/15/28 2,856,000 3,184,663 
3% 9/30/25 29,000 31,615 
3% 10/31/25 3,689,000 4,025,333 
3.125% 11/15/28 241,000 274,486 
3.625% 2/15/21 218,000 224,182 
  132,990,385 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $128,530,196)  135,220,946 
 Shares Value 
Money Market Funds - 1.2%   
Fidelity Cash Central Fund 2.13% (a)   
(Cost $1,634,332) 1,634,005 1,634,332 
TOTAL INVESTMENT IN SECURITIES - 99.1%   
(Cost $130,164,528)  136,855,278 
NET OTHER ASSETS (LIABILITIES) - 0.9%  1,185,431 
NET ASSETS - 100%  $138,040,709 

Legend

 (a) 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 $31,419 
Total $31,419 

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.

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2019, 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:     
U.S. Government and Government Agency Obligations $135,220,946 $-- $135,220,946 $-- 
Money Market Funds 1,634,332 1,634,332 -- -- 
Total Investments in Securities: $136,855,278 $1,634,332 $135,220,946 $-- 

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


Financial Statements

Statement of Assets and Liabilities

  August 31, 2019 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $128,530,196) 
$135,220,946  
Fidelity Central Funds (cost $1,634,332) 1,634,332  
Total Investment in Securities (cost $130,164,528)  $136,855,278 
Receivable for investments sold  315,531 
Receivable for fund shares sold  9,076,053 
Interest receivable  721,421 
Distributions receivable from Fidelity Central Funds  4,078 
Total assets  146,972,361 
Liabilities   
Payable for investments purchased $6,645,391  
Payable for fund shares redeemed 2,285,122  
Distributions payable  
Other payables and accrued expenses 1,130  
Total liabilities  8,931,652 
Net Assets  $138,040,709 
Net Assets consist of:   
Paid in capital  $130,925,446 
Total distributable earnings (loss)  7,115,263 
Net Assets, for 12,832,574 shares outstanding  $138,040,709 
Net Asset Value, offering price and redemption price per share ($138,040,709 ÷ 12,832,574 shares)  $10.76 

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


Statement of Operations

  Year ended August 31, 2019 
Investment Income   
Interest  $1,218,309 
Income from Fidelity Central Funds  31,419 
Total income  1,249,728 
Expenses   
Custodian fees and expenses $1,700  
Independent trustees' fees and expenses 160  
Commitment fees 73  
Total expenses before reductions 1,933  
Expense reductions (177)  
Total expenses after reductions  1,756 
Net investment income (loss)  1,247,972 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 424,815  
Fidelity Central Funds (3)  
Total net realized gain (loss)  424,812 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 6,691,142  
Fidelity Central Funds  
Total change in net unrealized appreciation (depreciation)  6,691,145 
Net gain (loss)  7,115,957 
Net increase (decrease) in net assets resulting from operations  $8,363,929 

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


Statement of Changes in Net Assets

 Year ended August 31, 2019 For the period
August 17, 2018 (commencement of operations) to August 31, 2018 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $1,247,972 $1,045 
Net realized gain (loss) 424,812 (52) 
Change in net unrealized appreciation (depreciation) 6,691,145 (395) 
Net increase (decrease) in net assets resulting from operations 8,363,929 598 
Distributions to shareholders (1,248,222) – 
Distributions to shareholders from net investment income – (1,043) 
Total distributions (1,248,222) (1,043) 
Share transactions   
Proceeds from sales of shares 142,501,256 1,490,050 
Reinvestment of distributions 1,248,212 934 
Cost of shares redeemed (14,315,005) – 
Net increase (decrease) in net assets resulting from share transactions 129,434,463 1,490,984 
Total increase (decrease) in net assets 136,550,170 1,490,539 
Net Assets   
Beginning of period 1,490,539 – 
End of period $138,040,709 $1,490,539 
Other Information   
Undistributed net investment income end of period  $2 
Shares   
Sold 13,941,562 149,005 
Issued in reinvestment of distributions 119,800 93 
Redeemed (1,377,886) – 
Net increase (decrease) 12,683,476 149,098 

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


Financial Highlights

Fidelity Series Government Bond Index Fund

   
Years ended August 31, 2019 2018 A 
Selected Per–Share Data   
Net asset value, beginning of period $10.00 $10.00 
Income from Investment Operations   
Net investment income (loss)B .239 .010 
Net realized and unrealized gain (loss) .782 C 
Total from investment operations 1.021 .010 
Distributions from net investment income (.261) (.010) 
Total distributions (.261) (.010) 
Net asset value, end of period $10.76 $10.00 
Total ReturnD,E 10.40% .10% 
Ratios to Average Net AssetsF,G   
Expenses before reductions - %H - %H,I 
Expenses net of fee waivers, if any - %H - %H,I 
Expenses net of all reductions - %H - %H,I 
Net investment income (loss) 2.37% 2.54%I 
Supplemental Data   
Net assets, end of period (000 omitted) $138,041 $1,491 
Portfolio turnover rateJ 59% 4%K 

 A For the period August 17, 2018 (commencement of operations) to August 31, 2018.

 B Calculated based on average shares outstanding during the period.

 C Amount represents less than $.0005 per share.

 D Total returns for periods of less than one year are not annualized.

 E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

 F 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.

 G 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.

 H Amount represents less than .005%.

 I Annualized

 J Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

 K 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, 2019

1. Organization.

Fidelity Series Government Bond Index Fund (the Fund) is a fund of Fidelity Income Fund (the Trust) and is authorized to issue an unlimited number of shares. Shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as an investment manager. 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.

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.

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 ranged from less than .005% to .01%.

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 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. 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. 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.

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, 2019 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

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, 2019, 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.

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 market discount, capital loss carryforwards and losses deferred due to wash sales.

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 $6,694,586 
Gross unrealized depreciation (4,296) 
Net unrealized appreciation (depreciation) $6,690,290 
Tax Cost $130,164,988 

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

Undistributed ordinary income $424,972 
Net unrealized appreciation (depreciation) on securities and other investments $6,690,290 

The tax character of distributions paid was as follows:

 August 31, 2019 August 31, 2018(a) 
Ordinary Income $1,248,222 $ 1,043 

 (a) For the period August 17, 2018 (commencement of operations) to August 31, 2018.

New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.

Financial Statement Current Line-Item Presentation (As Applicable) Prior Line-Item Presentation (As Applicable) 
Statement of Assets and Liabilities Total distributable earnings (loss) Undistributed/Distributions in excess of/Accumulated net investment income (loss)
Accumulated/Undistributed net realized gain (loss)
Net unrealized appreciation (depreciation) 
Statement of Changes in Net Assets N/A - removed Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period 
Statement of Changes in Net Assets Distributions to shareholders Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain 

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $175,993 and $0, 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 for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, 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 $73 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. 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 custody expenses by $177.

8. 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.

At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.

Report of Independent Registered Public Accounting Firm

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

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Series Government Bond Index Fund (one of the funds constituting Fidelity Income Fund, referred to hereafter as the “Fund”) as of August 31, 2019, the related statement of operations for the year ended August 31, 2019 and the statement of changes in net assets and the financial highlights for the year ended August 31, 2019 and for the period August 17, 2018 (commencement of operations) through August 31, 2018, 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, 2019, the results of its operations for the year ended August 31, 2019, and the changes in its net assets and the financial highlights for the year ended August 31, 2019 and for the period August 17, 2018 (commencement of operations) through August 31, 2018 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, 2019 by correspondence with the custodian. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 18, 2019



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 276 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 1-800-544-8544.

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. Arthur E. Johnson 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).

Ann E. Dunwoody (1953)

Year of Election or Appointment: 2018

Trustee

General Dunwoody also serves as Trustee 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 Advisory Board of certain Fidelity® funds (2018), 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).

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 interim president of Michigan State University (2018-2019), 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.

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). Mr. Johnson previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and 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 Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.

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.

 + 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. 

Advisory Board Members and Officers:

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

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.

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).

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).

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). 

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as Secretary and CLO of other funds. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

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).

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 of Fixed Income (2014-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), 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), and President, Money Market and Short Duration Bond Group of Fidelity Management & Research Company (FMR) (investment adviser firm, 2013-2014).

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).

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).

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, 2019 to August 31, 2019).

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, 2019 
Ending
Account Value
August 31, 2019 
Expenses Paid
During Period-B
March 1, 2019
to August 31, 2019 
Actual - %-C $1,000.00 $1,083.60 $--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).

 C Amount represents less than .005%.

 D Amount represents less than $.005.

 E 5% return per year before expenses

Distributions (Unaudited)

The Board of Trustees of Fidelity Series Government Bond Index Fund voted to pay on October 14, 2019, to shareholders of record at the opening of business on October 11, 2019, a distribution of $0.029 per share derived from capital gains realized from sales of portfolio securities.

A total of 96.18% 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 will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.





Fidelity Investments

XGB-ANN-1019
1.9891225.101



Item 2.

Code of Ethics


As of the end of the period, August 31, 2019, Fidelity Income Fund (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer.  A copy of the code of ethics is filed as an exhibit to this Form N-CSR.


Item 3.

Audit Committee Financial Expert


The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR.   Ms. Acton is independent for purposes of Item 3 of Form N-CSR.  


Item 4.  

Principal Accountant Fees and Services


Fees and Services


The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Flex Core Bond Fund, Fidelity Government Income Fund, Fidelity Intermediate Government Income Fund, Fidelity Series Government Bond Index Fund and Fidelity Total Bond Fund (the “Funds”):


Services Billed by PwC


August 31, 2019 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees


Fidelity Flex Core Bond Fund

$87,000

$6,700

$3,300

$3,800

Fidelity Government Income Fund

 $86,000

$6,400

 $3,300

 $3,700

Fidelity Intermediate Government Income Fund

 $72,000

$5,800

 $3,300

 $3,400

Fidelity Series Government Bond Index Fund

$71,000

$5,500

$3,900

$3,200

Fidelity Total Bond Fund

 $117,000

$9,700

 $4,600

 $5,600



August 31, 2018 FeesA,B

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees


Fidelity Flex Core Bond Fund

 $77,000

$6,600

 $3,900

 $3,700

Fidelity Government Income Fund

 $81,000

$6,900

 $3,300

 $3,900

Fidelity Intermediate Government Income Fund

 $74,000

$6,500

 $3,300

 $3,600

Fidelity Series Government Bond Index Fund

$45,000

$-

$3,300

$-

Fidelity Total Bond Fund

$132,000

$13,100

$20,300

$7,300


A Amounts may reflect rounding.

B Fidelity Series Government Bond Index Fund commenced operations on August 17, 2018.


The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Total Bond K6 Fund (the “Fund”):


Services Billed by Deloitte Entities


August 31, 2019 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity Total Bond K6 Fund

 $76,000

$100

 $6,500

$2,100


August 31, 2018 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees


Fidelity Total Bond K6 Fund

 $79,000

$100

 $6,500

 $2,100


A Amounts may reflect rounding.


The following table presents fees billed by PwC and Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Funds and that are rendered on behalf of Fidelity Management & Research Company (“FMR”) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Funds (“Fund Service Providers”):


Services Billed by PwC



 

August 31, 2019A

August 31, 2018A,B

 

Audit-Related Fees

 $7,775,000

 $7,745,000

 

Tax Fees

 $10,000

 $20,000

 

All Other Fees

$-

$-

 


A Amounts may reflect rounding.

B May include amounts billed prior to the Fidelity Series Government Bond Index Fund’s commencement of operations.



Services Billed by Deloitte Entities


 

August 31, 2019A

August 31, 2018A

 

Audit-Related Fees

$290,000

 $5,000

 

Tax Fees

$-

 $5,000

 

All Other Fees

$-

$-

 


A Amounts may reflect rounding.


“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.


“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.


“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.  


Assurance services must be performed by an independent public accountant.


* * *


The aggregate non-audit fees billed by PwC and Deloitte Entities for services rendered to the Funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Funds are as follows:


Billed By

August 31, 2019A

August 31, 2018A,B

PwC

$12,525,000

$10,985,000

Deloitte Entities

$710,000

$360,000


A Amounts may reflect rounding.

B May include amounts billed prior to the Fidelity Series Government Bond Index Fund’s commencement of operations.


The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC and Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of PwC and Deloitte Entities in their  audits of the Funds, taking into account representations from PwC and Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding their independence from the Funds and their related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.


Audit Committee Pre-Approval Policies and Procedures

 

The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.


The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.


All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.


Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.


Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)


There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Funds’ last two fiscal years relating to services provided to (i) the Funds or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Funds.



Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable


Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.


Item 11.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.


(a)(ii)  There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.


Item 12.

Disclosure of Securities Lending Activities for Closed-End Management

Investment Companies


Not applicable.


Item 13.

Exhibits


(a)

(1)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)

 

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.




SIGNATURES


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Fidelity Income Fund


By:

/s/Laura M. Del Prato

 

Laura M. Del Prato

 

President and Treasurer

 

 

Date:

October 25, 2019



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By:

/s/Laura M. Del Prato

 

Laura M. Del Prato

 

President and Treasurer

 

 

Date:

October 25, 2019



By:

/s/John J. Burke III

 

John J. Burke III

 

Chief Financial Officer

 

 

Date:

October 25, 2019

 





EX-99.CERT 2 ex99cert.htm EX99CERT.HTM Converted by EDGARwiz

                                                      Exhibit EX-99.CERT

     

I, Laura M. Del Prato, certify that:


1.

I have reviewed this report on Form N-CSR of Fidelity Income Fund;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and



5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.


Date:

 October 25, 2019

/s/Laura M. Del Prato

Laura M. Del Prato

President and Treasurer



I, John J. Burke III, certify that:

1.

I have reviewed this report on Form N-CSR of Fidelity Income Fund;

2.

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4.

The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a.

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c.

Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d.

Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and

5.

The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):



a.

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b.

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.


Date:

October 25, 2019

/s/John J. Burke III

John J. Burke III

Chief Financial Officer








EX-99.906 CERT 3 ex99906cert.htm EX99906CERT.HTM Converted by EDGARwiz

Exhibit EX-99.906CERT



Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)


In connection with the attached Report of Fidelity Income Fund (the Trust) on Form N-CSR to be filed with the Securities and Exchange Commission (the Report), each of the undersigned officers of the Trust does hereby certify that, to the best of such officers knowledge:


1.

The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.


Dated: October 25, 2019



/s/Laura M. Del Prato

Laura M. Del Prato

President and Treasurer



 

Dated: October 25, 2019



/s/John J. Burke III

John J. Burke III

Chief Financial Officer




A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.




EX-99.CODE ETH 4 ex99codeeth.htm EX99CODEETH.HTM Converted by EDGARwiz

EXHIBIT EX-99.CODE ETH


FIDELITY FUNDS’ CODE OF ETHICS FOR

PRESIDENT, TREASURER AND PRINCIPAL ACCOUNTING OFFICER



I.  Purposes of the Code/Covered Officers


This document constitutes the Code of Ethics (Code) adopted by the Fidelity Funds (Funds) pursuant to the provisions of Rule 30b2-1(a) under the Investment Company Act of 1940), which Rule implements Sections 406 of the Sarbanes-Oxley Act of 2002 with respect to registered investment companies.  The Code applies to the Fidelity Funds’ President and Treasurer, and Chief Financial Officer (Covered Officers).  Fidelity’s Ethics Office, a part of Corporate Compliance Group within Core Compliance, administers the Code.


The purposes of the Code are to deter wrongdoing and to promote, on the part of the Covered Officers:


·

honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

·

full, fair, accurate, timely and understandable disclosure in reports and documents that the Fidelity Funds submit to the Securities and Exchange Commission (SEC), and in other public communications by a Fidelity Fund;

·

compliance with applicable laws and governmental rules and regulations;

·

the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and

·

accountability for adherence to the Code.


Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.


II.

Covered Officers Should Handle Ethically

Actual and Apparent Conflicts of Interest


Overview.  A “conflict of interest” occurs when a Covered Officer’s private interest interferes with the interests of, or his service to, the Fidelity Funds.  For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Fidelity Funds.  


Certain conflicts of interest arise out of the relationships between Covered Officers and the Fidelity Funds and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (Investment Company Act) and the Investment Advisers Act of 1940 (Investment Advisers Act).  For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with a Fidelity Fund because of their status as “affiliated persons” of the Fund.  Separate compliance programs and procedures of the Fidelity Funds, Fidelity Management & Research Company (FMR) and the other Fidelity companies are designed to prevent, or identify and correct, violations of these provisions.  This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.


Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) of which the Covered Officers are also officers or employees.  As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fidelity Funds, FMR or another Fidelity company), be involved in establishing policies and implementing decisions that have different effects on the Fidelity Funds, FMR and other Fidelity companies.  The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company), and is consistent with the performance by the Covered Officers of their duties as officers of the Fidelity Funds.  Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically.  In addition, it is recognized by the Funds’ Board of Trustees (Board) that the Covered Officers also may be officers or employees of one or more other Fidelity Funds covered by this Code.


Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act.  The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive.  The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fidelity Fund.  


*               *               *


Each Covered Officer must:


·

not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by any Fidelity Fund whereby the Covered Officer would benefit personally to the detriment of any Fidelity Fund;

·

not cause a Fidelity Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fidelity Fund;

·

not engage in any outside business activity, including serving as a director or trustee, that prevents the Covered Officer from devoting appropriate time and attention to the Covered Officer’s responsibilities with the Fidelity Funds;

·

not have a consulting or employment relationship with any of the Fidelity Funds’ service providers that are not affiliated with Fidelity; and

·

not retaliate against any employee or Covered Officer for reports of actual or potential misconduct, which are made in good faith.


With respect to other fact patterns, if a Covered Officer is in doubt, other potential conflict of interest situations should be described immediately to the Fidelity Ethics Office for resolution.  Similarly, any questions a Covered Officer has generally regarding the application or interpretation of the Code should be directed to the Fidelity Ethics Office immediately.


III.  Disclosure and Compliance


·

Each Covered Officer should familiarize himself with the disclosure requirements generally applicable to the Fidelity Funds.

·

Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about any Fidelity Fund to others, whether within or outside Fidelity, including to the Board and auditors, and to governmental regulators and self-regulatory organizations;

·

Each Covered Officer should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the Fidelity Funds, FMR and the Fidelity service providers, and with the Board’s Compliance Committee,  with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fidelity Funds file with, or submit to, the SEC and in other public communications made by the Fidelity Funds; and

·

It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.


IV.  Reporting and Accountability


Each Covered Officer must:


·

upon receipt of the Code, and annually thereafter, submit to the Fidelity Ethics Office an acknowledgement stating that he or she has received, read, and understands the Code; and

·

notify the Fidelity Ethics Office promptly if he or she knows of any violation of the Code.  Failure to do so is itself a violation of this Code.  


The Fidelity Ethics Office shall take all action it considers appropriate to investigate any actual or potential violations reported to it.  Upon completion of the investigation, if necessary, the matter will be reviewed with senior management or other appropriate parties, and a determination will be made as to whether any action should be taken as detailed below.  The Covered Officer will be informed of any action determined to be appropriate.  The Fidelity Ethics Office will inform the Personal Trading Committee of all Code violations and actions taken in response.  Without implied limitation, appropriate remedial, disciplinary or preventive action may include a written warning, a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities.  Additionally, other legal remedies may be pursued.  


The policies and procedures described in the Code do not create any obligations to any person or entity other than the Fidelity Funds.  The Code is intended solely for the internal use by the Fidelity Funds and does not constitute a promise, contract or an admission by or on behalf of any Fidelity Fund as to any fact, circumstance, or legal conclusion.  The Fidelity Funds, the Fidelity companies and the Fidelity Chief Ethics Officer retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.


V.  Oversight


Material violations of this Code will be reported promptly by FMR to the Board’s Compliance Committee.  In addition, at least once each year, FMR will provide a written report to the Board, which describes any issues arising under the Code since the last report to the Board, including, but not limited to, information about material violations of the Code and action taken in response to the material violations.



VI.  Other Policies and Procedures


This Code shall be the sole code of ethics adopted by the Fidelity Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder.  Other Fidelity policies or procedures that cover the behavior or activities of Covered Officers are separate requirements applying to the Covered Officers (and others), and are not part of this Code.  


VII.  Amendments


Any material amendments or changes to this Code must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not interested persons of the Fidelity Funds.


VIII.  Records and Confidentiality


Records of any violation of the Code and of the actions taken as a result of such violations will be kept by the Fidelity Ethics Office.  All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly.  Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fidelity Ethics Office, the Personal Trading Committee, the Board, appropriate personnel at the relevant Fidelity company or companies and the legal counsel of any or all of the foregoing.





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