0001379491-20-001538.txt : 20200423 0001379491-20-001538.hdr.sgml : 20200423 20200423110229 ACCESSION NUMBER: 0001379491-20-001538 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 19 CONFORMED PERIOD OF REPORT: 20200229 FILED AS OF DATE: 20200423 DATE AS OF CHANGE: 20200423 EFFECTIVENESS DATE: 20200423 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-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-04085 FILM NUMBER: 20809840 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-CSRS 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   811-04085


Fidelity Income Fund

 (Exact name of registrant as specified in charter)


245 Summer St., Boston, MA 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:

February 29, 2020


Item 1.

Reports to Stockholders




Fidelity® Government Income Fund



Semi-Annual Report

February 29, 2020

Includes Fidelity and Fidelity Advisor share classes

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


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

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Liquidity Risk Management Program


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. © 2020 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.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following the end of this reporting period, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

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 February 29, 2020

 % of fund's investments 
Zero coupon bonds 0.0 
1 - 1.99% 18.8 
2 - 2.99% 30.7 
3 - 3.99% 21.2 
4 - 4.99% 12.9 
5 - 5.99% 2.6 
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 February 29, 2020*,**,*** 
   Mortgage Securities 37.1% 
   CMOs and Other Mortgage Related Securities 11.3% 
   U.S. Treasury Obligations 52.4% 
   U.S. Government Agency Obligations 2.3% 
   Foreign Government & Government Agency Obligations 1.5% 
 Short-Term Investments and Net Other Assets (Liabilities)†† (4.6)% 


 * Foreign investments - 1.5%

 ** Futures and Swaps - 15.2%

 *** Written options - (9.9)%

 † Includes NCUA Guaranteed Notes

 †† 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.

Percentages shown as 0.0% may reflect amounts less than 0.05%.

Schedule of Investments February 29, 2020 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 54.7%   
 Principal Amount (000s) Value (000s) 
U.S. Government Agency Obligations - 0.2%   
Tennessee Valley Authority:   
5.25% 9/15/39 $2,235 $3,369 
5.375% 4/1/56 2,737 4,837 
  8,206 
U.S. Treasury Obligations - 52.4%   
U.S. Treasury Bonds:   
2.375% 11/15/49 50,321 58,740 
2.5% 2/15/45 (a)(b)(c) 141,861 165,772 
2.875% 5/15/49 4,458 5,712 
3% 2/15/49 100,124 130,990 
4.75% 2/15/37 (a)(b) 55,003 83,386 
U.S. Treasury Notes:   
1.125% 2/28/27 9,286 9,335 
1.375% 1/31/22 (d) 154,000 155,366 
1.5% 9/30/21 92,347 93,108 
1.5% 9/30/24 13,631 13,984 
1.5% 10/31/24 49,500 50,801 
1.5% 1/31/27 171,050 176,226 
1.5% 2/15/30 29,700 30,712 
1.625% 11/15/22 12,773 13,023 
1.625% 9/30/26 14,543 15,092 
1.75% 10/31/20 1,915 1,921 
1.75% 7/31/21 19,823 20,031 
1.75% 7/31/24 1,720 1,781 
1.75% 11/15/29 8,300 8,764 
1.875% 7/31/22 37,445 38,320 
2% 8/15/25 9,743 10,275 
2.125% 12/31/22 32,217 33,332 
2.125% 3/31/24 88,361 92,648 
2.125% 7/31/24 59,641 62,744 
2.125% 5/15/25 11,929 12,640 
2.25% 7/31/21 5,589 5,688 
2.25% 4/30/24 2,843 2,997 
2.25% 12/31/24 6,135 6,516 
2.25% 3/31/26 928 996 
2.375% 4/15/21 49,955 50,681 
2.5% 12/31/20 46,107 46,622 
2.5% 1/31/21 60,329 61,088 
2.5% 2/28/21 47,678 48,342 
2.5% 1/15/22 52,113 53,625 
2.5% 2/28/26 68,418 74,381 
2.625% 6/30/23 5,027 5,312 
2.625% 12/31/23 62,484 66,512 
2.625% 2/15/29 30,872 34,836 
2.875% 11/30/25 25,337 28,010 
3.125% 11/15/28 14,449 16,869 
  1,787,178 
Other Government Related - 2.1%   
National Credit Union Administration Guaranteed Notes Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 2.0196% 12/7/20 (NCUA Guaranteed) (e)(f) 1,433 1,433 
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 58,911 60,695 
Private Export Funding Corp. Secured 1.75% 11/15/24 8,660 8,901 
  71,029 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,729,577)  1,866,413 
U.S. Government Agency - Mortgage Securities - 11.3%   
Fannie Mae - 1.0%   
12 month U.S. LIBOR + 1.480% 4.221% 7/1/34 (e)(f) 40 42 
12 month U.S. LIBOR + 1.520% 3.798% 3/1/36 (e)(f) 80 84 
12 month U.S. LIBOR + 1.550% 3.946% 2/1/44 (e)(f) 65 68 
12 month U.S. LIBOR + 1.550% 4.345% 6/1/36 (e)(f) 33 34 
12 month U.S. LIBOR + 1.550% 4.428% 5/1/44 (e)(f) 140 144 
12 month U.S. LIBOR + 1.560% 4.69% 3/1/37 (e)(f) 83 86 
12 month U.S. LIBOR + 1.570% 3.868% 2/1/44 (e)(f) 83 86 
12 month U.S. LIBOR + 1.570% 4.445% 5/1/44 (e)(f) 43 44 
12 month U.S. LIBOR + 1.580% 3.592% 1/1/44 (e)(f) 79 82 
12 month U.S. LIBOR + 1.580% 4.705% 4/1/44 (e)(f) 100 103 
12 month U.S. LIBOR + 1.590% 4.534% 4/1/44 (e)(f) 283 293 
12 month U.S. LIBOR + 1.660% 4.184% 11/1/36 (e)(f) 22 24 
12 month U.S. LIBOR + 1.710% 4.588% 6/1/42 (e)(f) 56 58 
12 month U.S. LIBOR + 1.750% 3.941% 3/1/40 (e)(f) 348 365 
12 month U.S. LIBOR + 1.750% 4.075% 7/1/35 (e)(f) 50 52 
12 month U.S. LIBOR + 1.800% 3.813% 1/1/42 (e)(f) 181 189 
12 month U.S. LIBOR + 1.800% 4.498% 7/1/41 (e)(f) 87 91 
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (e)(f) 31 32 
12 month U.S. LIBOR + 1.810% 4.388% 2/1/42 (e)(f) 173 181 
12 month U.S. LIBOR + 1.810% 4.537% 7/1/41 (e)(f) 50 52 
12 month U.S. LIBOR + 1.830% 3.907% 10/1/41 (e)(f) 27 28 
12 month U.S. LIBOR + 1.850% 4.567% 5/1/36 (e)(f) 28 29 
6 month U.S. LIBOR + 1.470% 3.553% 10/1/33 (e)(f) 28 29 
6 month U.S. LIBOR + 1.510% 3.449% 2/1/33 (e)(f) 31 32 
6 month U.S. LIBOR + 1.530% 3.553% 3/1/35 (e)(f) 38 40 
6 month U.S. LIBOR + 1.530% 3.687% 12/1/34 (e)(f) 45 47 
6 month U.S. LIBOR + 1.550% 3.713% 10/1/33 (e)(f) 16 16 
6 month U.S. LIBOR + 1.560% 3.44% 7/1/35 (e)(f) 23 24 
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.833% 3/1/35 (e)(f) 15 16 
U.S. TREASURY 1 YEAR INDEX + 2.290% 4.263% 10/1/33 (e)(f) 43 45 
3% 1/1/28 to 6/1/34 10,438 10,905 
3.5% 7/1/32 to 10/1/34 11,750 12,415 
4% 5/1/29 3,594 3,781 
4.5% 11/1/25 1,316 1,375 
6% to 6% 1/1/34 to 6/1/36 2,418 2,825 
6.5% 3/1/22 to 5/1/27 101 111 
  33,828 
Freddie Mac - 0.8%   
12 month U.S. LIBOR + 1.750% 4.007% 9/1/41 (e)(f) 433 452 
12 month U.S. LIBOR + 1.870% 4.376% 10/1/42 (e)(f) 224 235 
12 month U.S. LIBOR + 1.870% 4.817% 4/1/41 (e)(f) 22 23 
12 month U.S. LIBOR + 1.880% 3.838% 10/1/41 (e)(f) 577 602 
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (e)(f) 35 36 
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (e)(f) 38 40 
12 month U.S. LIBOR + 1.910% 4.734% 6/1/41 (e)(f) 75 79 
12 month U.S. LIBOR + 1.910% 4.785% 5/1/41 (e)(f) 54 57 
12 month U.S. LIBOR + 1.910% 4.813% 5/1/41 (e)(f) 66 69 
12 month U.S. LIBOR + 2.040% 4.784% 7/1/36 (e)(f) 162 170 
12 month U.S. LIBOR + 2.060% 4.723% 3/1/33 (e)(f) 
6 month U.S. LIBOR + 1.740% 3.83% 5/1/37 (e)(f) 42 44 
6 month U.S. LIBOR + 2.680% 4.873% 10/1/35 (e)(f) 22 24 
U.S. TREASURY 1 YEAR INDEX + 2.310% 3.91% 2/1/36 (e)(f) 
U.S. TREASURY 1 YEAR INDEX + 2.540% 4.956% 7/1/35 (e)(f) 353 371 
3% 4/1/33 to 11/1/33 22,352 23,382 
3.5% 7/1/32 2,189 2,311 
6% 1/1/24 265 279 
  28,181 
Ginnie Mae - 6.6%   
6% 6/15/36 2,072 2,391 
3% 3/1/50 (g) 40,000 41,329 
3% 3/20/50 24,750 25,631 
3% 4/1/50 (g) 4,800 4,954 
3% 4/1/50 (g) 2,500 2,580 
3% 4/1/50 (g) 6,550 6,761 
3% 4/1/50 (g) 10,900 11,251 
3.5% 3/1/50 (g) 12,200 12,639 
3.5% 3/1/50 (g) 9,900 10,256 
3.5% 3/1/50 (g) 5,300 5,491 
4% 3/20/47 to 11/20/48 34,923 36,827 
4.494% 2/20/62 (e)(h) 175 176 
4.5% 6/20/48 61,655 65,370 
4.758% 2/20/62 (e)(h) 12 12 
5.044% 1/20/62 (e)(h) 183 184 
5.47% 8/20/59 (e)(h) 
  225,857 
Uniform Mortgage Backed Securities - 2.9%   
3% 3/1/50 (g) 14,000 14,417 
3% 3/1/50 (g) 73,600 75,792 
3% 3/1/50 (g) 8,300 8,547 
  98,756 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $381,867)  386,622 
Collateralized Mortgage Obligations - 9.5%   
U.S. Government Agency - 9.5%   
Fannie Mae:   
floater:   
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 2.6068% 8/25/31 (e)(f) 40 40 
Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 2.2585% 11/18/31 (e)(f) 39 39 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.6268% 4/25/32 (e)(f) 16 17 
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 2.6268% 11/25/32 (e)(f) 34 34 
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.5568% 6/25/36 (e)(f) 2,629 2,671 
planned amortization class:   
Series 2005-19 Class PA, 5.5% 7/25/34 64 64 
Series 2005-64 Class PX, 5.5% 6/25/35 502 538 
Series 2005-68 Class CZ, 5.5% 8/25/35 2,239 2,581 
Series 2006-45 Class OP 6/25/36 (i) 355 329 
Series 2010-118 Class PB, 4.5% 10/25/40 2,909 3,230 
Series 2012-149:   
Class DA, 1.75% 1/25/43 483 487 
Class GA, 1.75% 6/25/42 508 511 
sequential payer:   
Series 2003-117 Class MD, 5% 12/25/23 255 265 
Series 2004-91 Class Z, 5% 12/25/34 2,413 2,699 
Series 2005-117 Class JN, 4.5% 1/25/36 150 164 
Series 2005-14 Class ZB, 5% 3/25/35 767 858 
Series 2006-72 Class CY, 6% 8/25/26 1,301 1,403 
Series 2009-59 Class HB, 5% 8/25/39 1,034 1,157 
Series 2010-139 Class NI, 4.5% 2/25/40 (j) 1,177 84 
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.5468% 3/25/36 (e)(f) 1,668 1,706 
Series 2010-97 Class CI, 4.5% 8/25/25 (j) 58 
Series 2012-27 Class EZ, 4.25% 3/25/42 4,935 5,518 
Series 2016-26 Class CG, 3% 5/25/46 10,585 11,167 
Freddie Mac:   
floater:   
Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 2.2585% 2/15/32 (e)(f) 23 24 
Series 2682 Class FB, 1 month U.S. LIBOR + 0.900% 2.5585% 10/15/33 (e)(f) 1,282 1,305 
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.5585% 2/15/33 (e)(f) 716 728 
planned amortization class:   
Series 1141 Class G, 9% 9/15/21 
Series 2682 Class LD, 4.5% 10/15/33 313 336 
Series 3415 Class PC, 5% 12/15/37 220 245 
Series 3857 Class ZP, 5% 5/15/41 2,697 3,383 
Series 4135 Class AB, 1.75% 6/15/42 382 385 
sequential payer:   
Series 2004-2802 Class ZG, 5.5% 5/15/34 3,791 4,373 
Series 2587 Class AD, 4.71% 3/15/33 1,400 1,493 
Series 2877 Class ZD, 5% 10/15/34 3,006 3,363 
Series 3007 Class EW, 5.5% 7/15/25 1,974 2,102 
Series 3745 Class KV, 4.5% 12/15/26 3,864 4,118 
Series 3871 Class KB, 5.5% 6/15/41 9,243 10,957 
Series 3889 Class DZ, 4% 1/15/41 30,608 33,163 
Series 3843 Class PZ, 5% 4/15/41 2,308 2,818 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:   
Series 4335 Class AL, 4.25% 3/15/40 2,256 2,348 
Series 4341 Class ML, 3.5% 11/15/31 4,790 5,134 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 2.127% 1/20/38 (e)(f) 124 124 
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 2.507% 8/20/38 (e)(f) 959 971 
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 2.547% 9/20/38 (e)(f) 755 774 
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 2.2585% 11/16/39 (e)(f) 515 520 
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 2.2844% 9/20/61 (e)(f)(h) 4,786 4,796 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 2.3344% 10/20/61 (e)(f)(h) 3,008 3,018 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 2.4344% 11/20/61 (e)(f)(h) 2,772 2,787 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 2.4344% 1/20/62(e)(f)(h) 1,732 1,741 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 2.3644% 1/20/62 (e)(f)(h) 2,580 2,590 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 2.3644% 3/20/62 (e)(f)(h) 1,608 1,611 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 2.3844% 5/20/61 (e)(f)(h) 86 86 
Series 2013-H19:   
Class FC, 1 month U.S. LIBOR + 0.600% 2.3344% 8/20/63 (e)(f)(h) 758 759 
Class FD, 1 month U.S. LIBOR + 0.600% 2.3344% 8/20/63 (e)(f)(h) 1,861 1,865 
Series 2014-H02 Class FB, 1 month U.S. LIBOR + 0.650% 2.3844% 12/20/63 (e)(f)(h) 25,202 25,313 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 2.3344% 1/20/64 (e)(f)(h) 7,709 7,730 
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 2.0344% 3/20/65 (e)(f)(h) 109 109 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 2.0144% 5/20/63 (e)(f)(h) 275 274 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.9344% 4/20/63 (e)(f)(h) 319 317 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 2.1344% 12/20/62 (e)(f)(h) 238 238 
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 1.897% 10/20/47 (e)(f) 3,209 3,190 
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 1.947% 5/20/48 (e)(f) 3,946 3,929 
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 1.947% 6/20/48 (e)(f) 4,557 4,538 
Series 2019-115 Class FA, 1 month U.S. LIBOR + 0.450% 2.097% 9/20/49 (e)(f) 6,724 6,735 
Series 2019-98 Class FC, 1 month U.S. LIBOR + 0.450% 2.097% 8/20/49 (e)(f) 24,178 24,201 
planned amortization class:   
Series 2010-31 Class BP, 5% 3/20/40 8,909 10,123 
Series 2017-134 Class BA, 2.5% 11/20/46 489 504 
sequential payer:   
Series 2011-69 Class GX, 4.5% 5/16/40 8,124 8,750 
Series 2013-H06 Class HA, 1.65% 1/20/63 (h) 597 597 
Series 2013-H26 Class HA, 3.5% 9/20/63 (h) 11,248 11,374 
Series 2014-H04 Class HA, 2.75% 2/20/64 (h) 3,210 3,279 
Series 2014-H12 Class KA, 2.75% 5/20/64 (h) 3,205 3,249 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 2.2344% 9/20/62 (e)(f)(h) 1,655 1,655 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 2.3844% 11/20/65 (e)(f)(h) 232 232 
Series 2017-139 Class BA, 3% 9/20/47 8,687 9,211 
Series 2004-22 Class M1, 5.5% 4/20/34 534 722 
Series 2010-169 Class Z, 4.5% 12/20/40 6,079 6,804 
Series 2010-H15 Class TP, 5.15% 8/20/60 (h) 73 75 
Series 2010-H17 Class XP, 5.31% 7/20/60 (e)(h) 143 144 
Series 2010-H18 Class PL, 5.01% 9/20/60 (e)(h) 39 43 
Series 2012-64 Class KI, 3.5% 11/20/36 (j) 354 10 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 6.4707% 4/20/39 (e)(k) 792 818 
Class ST, 8.800% - 1 month U.S. LIBOR 6.604% 8/20/39 (e)(k) 2,868 2,974 
Series 2013-H07 Class JA, 1.75% 3/20/63 (h) 5,856 5,853 
Series 2015-H17 Class HA, 2.5% 5/20/65 (h) 1,680 1,682 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (h) 1,167 1,167 
Class JA, 2.5% 6/20/65 (h) 470 471 
Series 2015-H30 Class HA, 1.75% 9/20/62 (e)(h) 2,965 2,968 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 2.03% 5/20/66 (e)(f)(h) 13,020 13,058 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.88% 8/20/66 (e)(f)(h) 11,817 11,821 
Series 2090-118 Class XZ, 5% 12/20/39 12,709 14,647 
  322,289 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $318,604)  322,289 
Foreign Government and Government Agency Obligations - 1.5%   
Israeli State:   
(guaranteed by U.S. Government through Agency for International Development) 5.5% 12/4/23 38 44 
5.5% 4/26/24 4,828 5,679 
Jordanian Kingdom 3% 6/30/25 15,338 16,726 
Ukraine Government 1.471% 9/29/21 27,711 27,907 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $48,448)  50,356 
 Shares Value (000s) 
Fixed-Income Funds - 21.1%   
Fidelity Mortgage Backed Securities Central Fund (l)   
(Cost $680,173) 6,464,481 719,109 
Money Market Funds - 6.9%   
Fidelity Cash Central Fund 1.60% (m)   
(Cost $235,597) 235,551,685 235,599 
 Maturity Amount (000s) Value (000s) 
Repurchase Agreements - 4.6%   
Investments in repurchase agreements in a joint trading account at 1.59%, dated 2/28/20 due 3/2/20 (Collateralized by U.S. Government Obligations) # (n)   
(Cost $158,558) 158,579 158,558 

Purchased Swaptions - 0.9%(o)    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.1%    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.67% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/7/25 3,100 $60 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.7375% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 30,800 518 
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 35,000 346 
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 49 
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 39,000 107 
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 21 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 16,700 412 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4025% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 17,900 441 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.905% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/28/24 12,400 181 
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 
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 13 
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 36 
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 32 
TOTAL PUT OPTIONS   2,222 
Call Options - 0.8%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.67% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/7/25 3,100 122 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.7375% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 30,800 1,266 
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 2,007 
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 1,878 
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 3,813 
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 8,900 930 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 16,700 532 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4025% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 17,900 572 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.905% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/28/24 12,400 577 
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 1,353 
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 3,260 
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 2,541 
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 8,912 
TOTAL CALL OPTIONS   27,763 
TOTAL PURCHASED SWAPTIONS    
(Cost $17,862)   29,985 
TOTAL INVESTMENT IN SECURITIES - 110.5%    
(Cost $3,570,686)   3,768,931 
NET OTHER ASSETS (LIABILITIES) - (10.5)%   (357,934) 
NET ASSETS - 100%   $3,410,997 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Ginnie Mae   
3% 3/1/50 $(4,800) $(4,960) 
3% 3/1/50 (2,500) (2,583) 
3% 3/1/50 (6,550) (6,768) 
3% 3/1/50 (6,950) (7,181) 
3% 3/1/50 (10,900) (11,262) 
3% 3/1/50 (8,300) (8,576) 
3% 4/1/50 (24,750) (25,546) 
3.5% 3/1/50 (7,400) (7,666) 
3.5% 3/1/50 (20,000) (20,720) 
TOTAL GINNIE MAE  (95,262) 
Uniform Mortgage Backed Securities   
3% 3/1/50 (29,400) (30,276) 
3% 3/1/50 (37,500) (38,617) 
3% 3/1/50 (20,700) (21,317) 
3% 3/1/50 (5,000) (5,149) 
3% 3/1/50 (2,500) (2,574) 
3% 3/1/50 (800) (824) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (98,757) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $192,571)  $(194,019) 

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 1.395% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/24/25 33,200 $(824) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/4/24 11,700 (256) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.89% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/9/24 100 (2) 
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 January 2030 1/8/25 27,000 (408) 
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 (194) 
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 (45) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.487% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2030 10/2/20 21,900 (185) 
TOTAL PUT SWAPTIONS   (1,914) 
Call Swaptions    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.395% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/24/25 33,200 (1,056) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/4/24 11,700 (383) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.89% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/9/24 100 (5) 
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 January 2030 1/8/25 27,000 (1,270) 
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 (730) 
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 (724) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.487% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2030 10/2/20 21,900 (980) 
TOTAL CALL SWAPTIONS   (5,148) 
TOTAL WRITTEN SWAPTIONS   $(7,062) 

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) 709 June 2020 $95,539 $2,168 $2,168 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 865 June 2020 188,854 1,762 1,762 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 83 June 2020 10,188 (6) (6) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 404 June 2020 68,781 903 903 
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 133 June 2020 27,598 560 560 
TOTAL FUTURES CONTRACTS     $5,387 

The notional amount of futures purchased as a percentage of Net Assets is 11.5%

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $405,606,000.

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          
1.75% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2022 $153,768 $2,018 $0 $2,018 
3-month LIBOR(3) Quarterly 1.75% Semi - annual LCH Mar. 2025 37,904 (1,101) (1,101) 
3-month LIBOR(3) Quarterly 2% Semi - annual LCH Mar. 2027 9,990 (453) (453) 
3-month LIBOR(3) Quarterly 2% Semi - annual LCH Mar. 2030 88,450 (4,931) (4,931) 
TOTAL INTEREST RATE SWAPS       $(4,467) $0 $(4,467) 

 (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 $2,579,000.

 (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 $5,850,000.

 (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 $109,000.

 (d) Security or a portion of the security is on loan at period end.

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

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

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

 (h) 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.

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

 (j) 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.

 (k) 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.

 (l) 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 are available on the SEC's website or upon request.

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

 (n) Includes investment made with cash collateral received from securities on loan.

 (o) For the period, the average monthly notional amount for purchased swaptions was $586,200,000.

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 $977 
Fidelity Mortgage Backed Securities Central Fund 7,992 
Total $8,969 

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 $730,709 $130,992 $150,000 $8,398 $(990) $719,109 34.6% 
Total $730,709 $130,992 $150,000 $8,398 $(990) $719,109  

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2020, 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 $1,866,413 $-- $1,866,413 $-- 
U.S. Government Agency - Mortgage Securities 386,622 -- 386,622 -- 
Collateralized Mortgage Obligations 322,289 -- 322,289 -- 
Foreign Government and Government Agency Obligations 50,356 -- 50,356 -- 
Fixed-Income Funds 719,109 719,109 -- -- 
Money Market Funds 235,599 235,599 -- -- 
Repurchase Agreements 158,558 -- 158,558 -- 
Purchased Swaptions 29,985 -- 29,985 -- 
Total Investments in Securities: $3,768,931 $954,708 $2,814,223 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $5,393 $5,393 $-- $-- 
Swaps 2,018 -- 2,018 -- 
Total Assets $7,411 $5,393 $2,018 $-- 
Liabilities     
Futures Contracts $(6) $(6) $-- $-- 
Swaps (6,485) -- (6,485) -- 
Written Swaptions (7,062) -- (7,062) -- 
Total Liabilities $(13,553) $(6) $(13,547) $-- 
Total Derivative Instruments: $(6,142) $5,387 $(11,529) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(194,019) $-- $(194,019) $-- 
Total Other Financial Instruments: $(194,019) $-- $(194,019) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2020. 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) $5,393 $(6) 
Purchased Swaptions(b) 29,985 
Swaps(c) 2,018 (6,485) 
Written Swaptions(d) (7,062) 
Total Interest Rate Risk 37,396 (13,553) 
Total Value of Derivatives $37,396 $(13,553) 

 (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 Total accumulated earnings (loss).

 (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 Total accumulated earnings (loss).

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

Other Information

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty Value (000s) 
$158,558,000 due 3/02/20 at 1.59%  
J.P. Morgan Securities, Inc. $3,311 
Nomura Securities International 513 
RBC Dominion Securities, Inc. 23,081 
Societe Generale (PARIS) 2,565 
Sumitomo Mitsu Bk Corp Ny (DI) 14,420 
Wells Fargo Securities LLC 114,668 
 $158,558 

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)  February 29, 2020 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $155,366 and repurchase agreements of $158,558) — See accompanying schedule:
Unaffiliated issuers (cost $2,654,916) 
$2,814,223  
Fidelity Central Funds (cost $915,770) 954,708  
Total Investment in Securities (cost $3,570,686)  $3,768,931 
Cash  11 
Receivable for investments sold  15 
Receivable for premium on written options  6,700 
Receivable for TBA sale commitments  192,571 
Receivable for fund shares sold  54,484 
Interest receivable  8,746 
Distributions receivable from Fidelity Central Funds  277 
Receivable for daily variation margin on futures contracts  2,700 
Receivable from investment adviser for expense reductions  22 
Other receivables  63 
Total assets  4,034,520 
Liabilities   
Payable for investments purchased   
Regular delivery $52,574  
Delayed delivery 192,540  
TBA sale commitments, at value 194,019  
Payable for fund shares redeemed 16,552  
Distributions payable 254  
Accrued management fee 789  
Distribution and service plan fees payable 96  
Payable for daily variation margin on centrally cleared OTC swaps 618  
Written options, at value (premium receivable $6,700) 7,062  
Other affiliated payables 397  
Other payables and accrued expenses 64  
Collateral on securities loaned 158,558  
Total liabilities  623,523 
Net Assets  $3,410,997 
Net Assets consist of:   
Paid in capital  $3,256,458 
Total accumulated earnings (loss)  154,539 
Net Assets  $3,410,997 
Net Asset Value and Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($140,915 ÷ 12,906 shares)(a)  $10.92 
Maximum offering price per share (100/96.00 of $10.92)  $11.38 
Class M:   
Net Asset Value and redemption price per share ($133,416 ÷ 12,221 shares)(a)  $10.92 
Maximum offering price per share (100/96.00 of $10.92)  $11.38 
Class C:   
Net Asset Value and offering price per share ($54,108 ÷ 4,957 shares)(a)  $10.92 
Government Income:   
Net Asset Value, offering price and redemption price per share ($2,227,672 ÷ 204,364 shares)  $10.90 
Class I:   
Net Asset Value, offering price and redemption price per share ($292,256 ÷ 26,770 shares)  $10.92 
Class Z:   
Net Asset Value, offering price and redemption price per share ($562,630 ÷ 51,514 shares)  $10.92 

 (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  Six months ended February 29, 2020 (Unaudited) 
Investment Income   
Interest (including $41 from security lending)  $25,400 
Income from Fidelity Central Funds  8,969 
Total income  34,369 
Expenses   
Management fee $4,446  
Transfer agent fees 1,584  
Distribution and service plan fees 578  
Fund wide operations fee 705  
Independent trustees' fees and expenses  
Commitment fees  
Total expenses before reductions 7,323  
Expense reductions (46)  
Total expenses after reductions  7,277 
Net investment income (loss)  27,092 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 9,565  
Redemptions in-kind with affiliated entities 22,832  
Fidelity Central Funds 8,398  
Futures contracts 1,249  
Swaps 3,320  
Written options 342  
Total net realized gain (loss)  45,706 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 18,274  
Fidelity Central Funds (990)  
Futures contracts 5,126  
Swaps (4,636)  
Written options 283  
Delayed delivery commitments (205)  
Total change in net unrealized appreciation (depreciation)  17,852 
Net gain (loss)  63,558 
Net increase (decrease) in net assets resulting from operations  $90,650 

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


Statement of Changes in Net Assets

Amounts in thousands Six months ended February 29, 2020 (Unaudited) Year ended August 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $27,092 $78,603 
Net realized gain (loss) 45,706 13,799 
Change in net unrealized appreciation (depreciation) 17,852 217,158 
Net increase (decrease) in net assets resulting from operations 90,650 309,560 
Distributions to shareholders (27,281) (77,199) 
Share transactions - net increase (decrease) (152,086) (432,607) 
Total increase (decrease) in net assets (88,717) (200,246) 
Net Assets   
Beginning of period 3,499,714 3,699,960 
End of period $3,410,997 $3,499,714 

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


Financial Highlights

Fidelity Government Income Fund Class A

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $10.70 $10.00 $10.36 $10.66 $10.50 $10.47 
Income from Investment Operations       
Net investment income (loss)A .082 .199 .166 .149 .135 .126 
Net realized and unrealized gain (loss) .221 .696 (.362) (.230) .270 .048 
Total from investment operations .303 .895 (.196) (.081) .405 .174 
Distributions from net investment income (.083) (.195) (.164) (.143) (.150) (.116) 
Distributions from net realized gain – – – (.076) (.095) (.028) 
Total distributions (.083) (.195) (.164) (.219) (.245) (.144) 
Net asset value, end of period $10.92 $10.70 $10.00 $10.36 $10.66 $10.50 
Total ReturnB,C,D 2.85% 9.06% (1.89)% (.73)% 3.92% 1.67% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .78%G .78% .77% .77% .76% .77% 
Expenses net of fee waivers, if any .78%G .78% .77% .77% .76% .77% 
Expenses net of all reductions .78%G .78% .77% .77% .76% .77% 
Net investment income (loss) 1.57%G 1.96% 1.64% 1.44% 1.28% 1.20% 
Supplemental Data       
Net assets, end of period (in millions) $141 $139 $131 $174 $261 $222 
Portfolio turnover rateH 313%G,I 246% 123% 157% 93% 83% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Total returns do not include the effect of the sales charges.

 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 .01%.

 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. 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.

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

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


Fidelity Government Income Fund Class M

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $10.70 $10.00 $10.36 $10.66 $10.50 $10.47 
Income from Investment Operations       
Net investment income (loss)A .083 .201 .167 .149 .135 .127 
Net realized and unrealized gain (loss) .221 .696 (.362) (.229) .270 .048 
Total from investment operations .304 .897 (.195) (.080) .405 .175 
Distributions from net investment income (.084) (.197) (.165) (.144) (.150) (.117) 
Distributions from net realized gain – – – (.076) (.095) (.028) 
Total distributions (.084) (.197) (.165) (.220) (.245) (.145) 
Net asset value, end of period $10.92 $10.70 $10.00 $10.36 $10.66 $10.50 
Total ReturnB,C,D 2.86% 9.08% (1.88)% (.73)% 3.92% 1.68% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .76%G .76% .76% .76% .76% .76% 
Expenses net of fee waivers, if any .76%G .76% .76% .76% .76% .76% 
Expenses net of all reductions .76%G .76% .76% .76% .76% .76% 
Net investment income (loss) 1.58%G 1.98% 1.65% 1.44% 1.28% 1.20% 
Supplemental Data       
Net assets, end of period (in millions) $133 $131 $137 $157 $197 $181 
Portfolio turnover rateH 313%G,I 246% 123% 157% 93% 83% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Total returns do not include the effect of the sales charges.

 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 .01%.

 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. 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.

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

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


Fidelity Government Income Fund Class C

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $10.70 $10.00 $10.36 $10.66 $10.50 $10.47 
Income from Investment Operations       
Net investment income (loss)A .042 .122 .088 .069 .053 .044 
Net realized and unrealized gain (loss) .220 .695 (.361) (.229) .270 .048 
Total from investment operations .262 .817 (.273) (.160) .323 .092 
Distributions from net investment income (.042) (.117) (.087) (.064) (.068) (.034) 
Distributions from net realized gain – – – (.076) (.095) (.028) 
Total distributions (.042) (.117) (.087) (.140) (.163) (.062) 
Net asset value, end of period $10.92 $10.70 $10.00 $10.36 $10.66 $10.50 
Total ReturnB,C,D 2.46% 8.24% (2.64)% (1.49)% 3.12% .88% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.55%G 1.54% 1.54% 1.54% 1.54% 1.55% 
Expenses net of fee waivers, if any 1.55%G 1.54% 1.54% 1.54% 1.54% 1.55% 
Expenses net of all reductions 1.55%G 1.54% 1.54% 1.54% 1.54% 1.55% 
Net investment income (loss) .79%G 1.20% .87% .67% .50% .42% 
Supplemental Data       
Net assets, end of period (in millions) $54 $51 $57 $72 $94 $54 
Portfolio turnover rateH 313%G,I 246% 123% 157% 93% 83% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Total returns do not include the effect of the contingent deferred sales charge.

 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 .01%.

 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. 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.

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

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


Fidelity Government Income Fund

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $10.68 $9.99 $10.35 $10.65 $10.48 $10.45 
Income from Investment Operations       
Net investment income (loss)A .100 .232 .198 .181 .167 .159 
Net realized and unrealized gain (loss) .220 .686 (.361) (.229) .281 .048 
Total from investment operations .320 .918 (.163) (.048) .448 .207 
Distributions from net investment income (.100) (.228) (.197) (.176) (.183) (.149) 
Distributions from net realized gain – – – (.076) (.095) (.028) 
Total distributions (.100) (.228) (.197) (.252) (.278) (.177) 
Net asset value, end of period $10.90 $10.68 $9.99 $10.35 $10.65 $10.48 
Total ReturnB,C 3.03% 9.33% (1.58)% (.42)% 4.35% 1.99% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .45%F .45% .45% .45% .45% .45% 
Expenses net of fee waivers, if any .45%F .45% .45% .45% .45% .45% 
Expenses net of all reductions .45%F .45% .45% .45% .45% .45% 
Net investment income (loss) 1.89%F 2.29% 1.96% 1.76% 1.59% 1.51% 
Supplemental Data       
Net assets, end of period (in millions) $2,228 $2,633 $2,964 $3,467 $3,896 $3,489 
Portfolio turnover rateG 313%F,H 246% 123% 157% 93% 83% 

 A Calculated based on average shares outstanding during the period.

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

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

 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 .01%.

 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 Annualized

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

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

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


Fidelity Government Income Fund Class I

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $10.70 $10.00 $10.36 $10.66 $10.50 $10.47 
Income from Investment Operations       
Net investment income (loss)A .099 .228 .194 .177 .162 .154 
Net realized and unrealized gain (loss) .220 .696 (.361) (.230) .271 .048 
Total from investment operations .319 .924 (.167) (.053) .433 .202 
Distributions from net investment income (.099) (.224) (.193) (.171) (.178) (.144) 
Distributions from net realized gain – – – (.076) (.095) (.028) 
Total distributions (.099) (.224) (.193) (.247) (.273) (.172) 
Net asset value, end of period $10.92 $10.70 $10.00 $10.36 $10.66 $10.50 
Total ReturnB,C 3.00% 9.38% (1.61)% (.46)% 4.19% 1.94% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .49%F .49% .49% .49% .50% .50% 
Expenses net of fee waivers, if any .49%F .49% .49% .49% .50% .50% 
Expenses net of all reductions .49%F .49% .49% .49% .50% .50% 
Net investment income (loss) 1.86%F 2.25% 1.92% 1.71% 1.54% 1.46% 
Supplemental Data       
Net assets, end of period (in millions) $292 $407 $411 $496 $494 $412 
Portfolio turnover rateG 313%F,H 246% 123% 157% 93% 83% 

 A Calculated based on average shares outstanding during the period.

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

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

 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 .01%.

 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 Annualized

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

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

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


Fidelity Government Income Fund Class Z

 Six months ended (Unaudited) February 29, Year endedAugust 31, 
 2020 2019 A 
Selected Per–Share Data   
Net asset value, beginning of period $10.70 $9.91 
Income from Investment Operations   
Net investment income (loss)B .104 .198 
Net realized and unrealized gain (loss) .221 .808 
Total from investment operations .325 1.006 
Distributions from net investment income (.105) (.216) 
Distributions from net realized gain – – 
Total distributions (.105) (.216) 
Net asset value, end of period $10.92 $10.70 
Total ReturnC,D 3.07% 10.27% 
Ratios to Average Net AssetsE,F   
Expenses before reductions .40%G .40%G 
Expenses net of fee waivers, if any .36%G .36%G 
Expenses net of all reductions .36%G .36%G 
Net investment income (loss) 1.99%G 2.27%G 
Supplemental Data   
Net assets, end of period (in millions) $563 $139 
Portfolio turnover rateH 313%G,I 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 .01%.

 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.

 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 (Unaudited)

For the period ended February 29, 2020
(Amounts in thousands except percentages)

1. Organization.

Fidelity Government Income Fund (the Fund) is a fund of Fidelity Income Fund (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Government Income, 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.

Effective January 1, 2020:

Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".

Broker-dealer Fidelity Distributors Corporation merged with and into Fidelity Investments Institutional Services Company, Inc. ("FIISC"). FIISC was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Distributors Company LLC".

Fidelity Investments Institutional Operations Company, Inc. converted from a Massachusetts corporation to a Massachusetts LLC, and changed its name to "Fidelity Investments Institutional Operations Company LLC".

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 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 FMR 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 
.01% 

 (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 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. Collateralized mortgage obligations 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 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 February 29, 2020 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 $63 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. 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 $188,907 
Gross unrealized depreciation (19,473) 
Net unrealized appreciation (depreciation) $169,434 
Tax cost $3,598,605 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

No expiration  
Short-term $(13,370) 
Long-term (22,151) 
Total capital loss carryforward $(35,521) 

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

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.

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 $1,249 $5,126 
Purchased Options 625 2,139 
Swaps 3,320 (4,636) 
Written Options 342 283 
Total Interest Rate Risk $5,536 $ 2,912 

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, U.S. government securities and in-kind transactions are noted in the table below.

 Purchases ($) Sales ($) 
Fidelity Government Income Fund 1,456,170 1,479,098 

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Management & Research Company LLC (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 monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized 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 Company LLC (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% $170 $7 
Class M -% .25% 160 
Class C .75% .25% 248 26 
   $578 $35 

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 $7 
Class M 
Class C(a) 
 $10 

 (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 LLC (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(a) 
Class A $119 .18 
Class M 102 .16 
Class C 49 .20 
Government Income 1,073 .10 
Class I 191 .13 
Class Z 50 .05 
 $1,584  

 (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 annualized rate of .05% of average net assets.

Interfund Trades. Funds 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, 66,760 shares of the Fund were redeemed in-kind for investments, including accrued interest and cash with a value of $707,057. The net realized gain of $22,832 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.

7. Committed Line of Credit.

Certain Funds participate 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 participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Commitment fees on the Statement of Operations, and are as follows:

 Amount 
Fidelity Government Income Fund $5 

During the period, there were no borrowings 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. 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 expenses of 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% $45 

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, custodian credits reduced the Fund's expenses by $1.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended
February 29, 2020 
Year ended
August 31, 2019(a) 
Distributions to shareholders   
Class A $1,066 $2,488 
Class M 1,012 2,511 
Class C 198 619 
Government Income 20,388 62,697 
Class I 2,675 8,663 
Class Z 1,942 221 
Total $27,281 $77,199 

 (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 
 Six months ended February 29, 2020 Year ended August 31, 2019(a) Six months ended February 29, 2020 Year ended August 31, 2019(a) 
Class A     
Shares sold 2,970 4,814 $31,688 $49,197 
Reinvestment of distributions 94 232 1,003 2,359 
Shares redeemed (3,167) (5,171) (33,508) (52,580) 
Net increase (decrease) (103) (125) $(817) $(1,024) 
Class M     
Shares sold 2,069 3,711 $22,042 $37,749 
Reinvestment of distributions 85 224 908 2,278 
Shares redeemed (2,201) (5,332) (23,324) (54,031) 
Net increase (decrease) (47) (1,397) $(374) $(14,004) 
Class C     
Shares sold 786 1,617 $8,415 $16,434 
Reinvestment of distributions 18 59 195 603 
Shares redeemed (579) (2,655) (6,118) (26,999) 
Net increase (decrease) 225 (979) $2,492 $(9,962) 
Government Income     
Shares sold 35,918 52,032 $382,574 $527,496 
Reinvestment of distributions 1,813 5,887 19,271 59,791 
Shares redeemed (79,843)(b) (108,223) (845,100)(b) (1,102,701) 
Net increase (decrease) (42,112) (50,304) $(443,255) $(515,414) 
Class I     
Shares sold 9,496 13,101 $100,914 $133,750 
Reinvestment of distributions 235 805 2,503 8,190 
Shares redeemed (21,006)(b) (16,958) (222,635)(b) (172,113) 
Net increase (decrease) (11,275) (3,052) $(119,218) $(30,173) 
Class Z     
Shares sold 47,881 13,616 $507,729 $144,841 
Reinvestment of distributions 161 19 1,723 195 
Shares redeemed (9,498) (665) (100,366) (7,066) 
Net increase (decrease) 38,544 12,970 $409,086 $137,970 

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

 (b) 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. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Funds' performance.

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 (September 1, 2019 to February 29, 2020).

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
September 1, 2019 
Ending
Account Value
February 29, 2020 
Expenses Paid
During Period-B
September 1, 2019
to February 29, 2020 
Class A .78%    
Actual  $1,000.00 $1,028.50 $3.93 
Hypothetical-C  $1,000.00 $1,020.98 $3.92 
Class M .76%    
Actual  $1,000.00 $1,028.60 $3.83 
Hypothetical-C  $1,000.00 $1,021.08 $3.82 
Class C 1.55%    
Actual  $1,000.00 $1,024.60 $7.80 
Hypothetical-C  $1,000.00 $1,017.16 $7.77 
Government Income .45%    
Actual  $1,000.00 $1,030.30 $2.27 
Hypothetical-C  $1,000.00 $1,022.63 $2.26 
Class I .49%    
Actual  $1,000.00 $1,030.00 $2.47 
Hypothetical-C  $1,000.00 $1,022.43 $2.46 
Class Z .36%    
Actual  $1,000.00 $1,030.70 $1.82 
Hypothetical-C  $1,000.00 $1,023.07 $1.81 

 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 182/366 (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 .01%.

 C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Government Income Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2019 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Approval of Amended and Restated Advisory Contracts. At its September 2019 meeting, the Board also unanimously determined to approve an amended and restated management contract and sub-advisory agreements (Amended and Restated Contracts) in connection with an upcoming consolidation of certain of Fidelity's advisory businesses. The Board considered that, on or about January 1, 2020, Fidelity Investments Money Management, Inc. (FIMM) expects to merge with and into FMR and, after the merger, FMR expects to redomicile as a Delaware limited liability company. The Board also approved the termination of the sub-advisory agreement with FIMM upon the completion of the merger. The Board noted that references to FMR in the Amended and Restated Contracts would be updated to reflect FMR's new form of organization and domicile and considered that the definition of "group assets" for purposes of the fund's group fee would be modified to avoid double-counting assets once the reorganization is complete. The Board also noted Fidelity's assurance that neither the planned consolidation nor the Amended and Restated Contracts will change the investment processes, the level or nature of services provided, the resources and personnel allocated, trading and compliance operations, or any fees or expenses paid by the fund.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and a peer group of funds with similar objectives (peer group), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

Fidelity Government Income Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2018.

The Board noted that it and the boards of other Fidelity funds formed an ad hoc Committee on Group Fee, which meets periodically, to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. The Committee's focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of each class's total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each of Class A, Class M, Class I, Class Z, and the retail class ranked below the competitive median for 2018 and the total expense ratio of Class C ranked above the competitive median for 2018. The Board considered that, in general, various factors can affect total expense ratios. The Board noted that the total expense ratio of Class C was above the competitive median primarily because of its 1.00% 12b-1 fee. The Board noted that, when compared with competitor funds that charge a 1.00% 12b-1 fee, the total expense ratio of Class C is below median. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expense ratios of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.

The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. The Board also considered that current contractual arrangements oblige FMR to pay all "class-level" expenses of the retail class of the fund to the extent necessary to limit total operating expenses, with certain exceptions, to 0.45%. These contractual arrangements may not be amended to increase the fees or expenses payable except by a vote of a majority of the Board and by a vote of a majority of the outstanding voting securities of the fund or class, as applicable. The Board further considered that FMR has contractually agreed to reimburse Class Z of the fund to the extent that total operating expenses (with certain exceptions), as a percentage of its average net assets, exceed 0.36% through December 31, 2019.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board noted, however, that because the current contractual arrangements set the total "fund-level" expenses for each class at 0.35%, increases or decreases in the management fee due to changes in the group fee rate will not impact the total expense ratio.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.

PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses. The Board considered that a joint ad hoc committee created by it and the boards of other Fidelity funds had recently been established, and meets periodically, to evaluate potential fall-out benefits. The Board noted that the committee was expected to, among other things: (i) discuss the legal framework surrounding potential fall-out benefits; (ii) review the Board's responsibilities and approach to potential fall-out benefits; and (iii) review practices employed by competitor funds regarding the review of potential fall-out benefits. The Board noted that it would consider the committee's findings in connection with future consideration of contract renewals.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the practices of certain sub-advisers regarding their receipt of research from broker-dealers that execute the funds' portfolio transactions; (vi) the terms of Fidelity's voluntary expense limitation agreements; (vii) the methodology with respect to competitive fund data and peer group classifications; (viii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (ix) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (x) the impact on fund profitability of recent changes in total net assets for Fidelity's money market funds, anticipated changes to the competitive landscape for money market funds, and the level of investor comfort with gates, fees, and floating NAVs; (xi) the funds' share class structures and distribution channels; and (xii) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed and the fund's Amended and Restated Contracts should be approved.

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot not be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

GOV-SANN-0420
1.700523.122


Fidelity® Intermediate Government Income Fund



Semi-Annual Report

February 29, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


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

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Liquidity Risk Management Program


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. © 2020 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.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following the end of this reporting period, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Investment Summary (Unaudited)

Coupon Distribution as of February 29, 2020

 % of fund's investments 
1 - 1.99% 20.4 
2 - 2.99% 55.8 
3 - 3.99% 6.7 
4 - 4.99% 1.9 
5 - 5.99% 4.9 
6 - 6.99% 0.6 
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 February 29, 2020*,**,*** 
   Mortgage Securities 3.3% 
   CMOs and Other Mortgage Related Securities 11.9% 
   U.S. Treasury Obligations 73.8% 
   U.S. Government Agency Obligations 3.0% 
   Foreign Government & Government Agency Obligations 3.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 4.2% 


 * Foreign investments - 3.8%

 ** Futures and Swaps - 21.0%

 *** Written options - (13.0)%

 † 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 February 29, 2020 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 76.8%   
 Principal Amount (000s) Value (000s) 
U.S. Treasury Obligations - 73.8%   
U.S. Treasury Bonds 2.375% 11/15/49 290 339 
U.S. Treasury Notes:   
1.125% 2/28/27 $734 $738 
1.5% 7/15/20 5,688 5,691 
1.5% 9/30/21 24,887 25,092 
1.5% 9/30/24 4,297 4,408 
1.5% 10/31/24 550 564 
1.5% 1/31/27 13,528 13,937 
1.5% 2/15/30 1,800 1,861 
1.625% 11/15/22 3,209 3,272 
1.625% 9/30/26 1,868 1,938 
1.625% 8/15/29 7,691 8,030 
1.75% 7/31/21 7,000 7,074 
1.75% 6/30/22 (a) 24 24 
1.75% 7/31/24 220 228 
1.75% 11/15/29 3,830 4,044 
1.875% 7/31/22 16,612 17,000 
2% 8/15/25 (a)(b) 39,301 41,447 
2.125% 6/30/22 327 336 
2.125% 3/31/24 9,848 10,326 
2.125% 7/31/24 (a) 5,667 5,962 
2.125% 5/15/25 (a)(b) 593 628 
2.125% 5/31/26 3,100 3,308 
2.25% 7/31/21 29,232 29,748 
2.25% 4/30/24 1,993 2,101 
2.25% 12/31/24 5,707 6,061 
2.25% 3/31/26 3,325 3,569 
2.375% 4/15/21 11,560 11,728 
2.5% 12/31/20 12,682 12,824 
2.5% 1/31/21 36,895 37,359 
2.5% 1/15/22 20,457 21,051 
2.5% 1/31/24 1,900 2,016 
2.5% 2/28/26 9,441 10,264 
2.625% 8/31/20 6,000 6,038 
2.625% 6/30/23 11,432 12,080 
2.625% 12/31/23 15,587 16,592 
2.625% 2/15/29 8,808 9,939 
2.75% 6/30/25 (a) 2,770 3,028 
2.875% 11/30/25 8,873 9,809 
3.125% 11/15/28 10,010 11,686 
  362,140 
Other Government Related - 3.0%   
National Credit Union Administration Guaranteed Notes Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 2.0196% 12/7/20 (NCUA Guaranteed) (c)(d) 424 424 
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 12,000 12,363 
Private Export Funding Corp. Secured 1.75% 11/15/24 1,640 1,686 
  14,473 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $361,654)  376,613 
U.S. Government Agency - Mortgage Securities - 9.5%   
Fannie Mae - 1.0%   
12 month U.S. LIBOR + 1.360% 3.693% 10/1/35 (c)(d) 
12 month U.S. LIBOR + 1.480% 4.221% 7/1/34 (c)(d) 
12 month U.S. LIBOR + 1.490% 3.549% 1/1/35 (c)(d) 24 25 
12 month U.S. LIBOR + 1.550% 3.946% 2/1/44 (c)(d) 13 14 
12 month U.S. LIBOR + 1.550% 4.345% 6/1/36 (c)(d) 
12 month U.S. LIBOR + 1.550% 4.428% 5/1/44 (c)(d) 29 29 
12 month U.S. LIBOR + 1.560% 4.69% 3/1/37 (c)(d) 10 10 
12 month U.S. LIBOR + 1.570% 3.868% 2/1/44 (c)(d) 17 18 
12 month U.S. LIBOR + 1.570% 4.445% 5/1/44 (c)(d) 
12 month U.S. LIBOR + 1.580% 3.592% 1/1/44 (c)(d) 16 17 
12 month U.S. LIBOR + 1.580% 4.705% 4/1/44 (c)(d) 20 21 
12 month U.S. LIBOR + 1.590% 4.534% 4/1/44 (c)(d) 58 60 
12 month U.S. LIBOR + 1.610% 4.062% 3/1/33 (c)(d) 16 17 
12 month U.S. LIBOR + 1.640% 4.157% 6/1/47 (c)(d) 21 22 
12 month U.S. LIBOR + 1.660% 4.184% 11/1/36 (c)(d) 28 30 
12 month U.S. LIBOR + 1.750% 3.941% 3/1/40 (c)(d) 101 106 
12 month U.S. LIBOR + 1.750% 4.075% 7/1/35 (c)(d) 
12 month U.S. LIBOR + 1.760% 3.785% 2/1/37 (c)(d) 63 66 
12 month U.S. LIBOR + 1.800% 3.813% 1/1/42 (c)(d) 60 63 
12 month U.S. LIBOR + 1.810% 4.388% 2/1/42 (c)(d) 59 61 
12 month U.S. LIBOR + 1.850% 4.567% 5/1/36 (c)(d) 
12 month U.S. LIBOR + 1.880% 4.926% 4/1/36 (c)(d) 57 60 
12 month U.S. LIBOR + 1.890% 4.522% 8/1/35 (c)(d) 22 23 
6 month U.S. LIBOR + 1.510% 3.449% 2/1/33 (c)(d) 
6 month U.S. LIBOR + 1.530% 3.553% 3/1/35 (c)(d) 
6 month U.S. LIBOR + 1.530% 3.687% 12/1/34 (c)(d) 
6 month U.S. LIBOR + 1.550% 3.713% 10/1/33 (c)(d) 
6 month U.S. LIBOR + 1.560% 3.44% 7/1/35 (c)(d) 
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.246% 7/1/36 (c)(d) 24 25 
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.833% 3/1/35 (c)(d) 
U.S. TREASURY 1 YEAR INDEX + 2.290% 4.263% 10/1/33 (c)(d) 
2.5% 8/1/33 340 350 
3% 5/1/33 to 7/1/33 734 767 
3.5% 7/1/32 1,307 1,379 
4.5% 11/1/25 240 251 
5% 1/1/22 to 4/1/22 
5.5% 8/1/25 127 133 
6% to 6% 1/1/34 to 6/1/36 609 709 
6.5% 2/1/22 to 8/1/36 612 709 
  5,037 
Freddie Mac - 0.9%   
12 month U.S. LIBOR + 1.510% 3.39% 11/1/35 (c)(d) 13 13 
12 month U.S. LIBOR + 1.600% 4.35% 7/1/35 (c)(d) 11 12 
12 month U.S. LIBOR + 1.750% 4.007% 9/1/41 (c)(d) 153 160 
12 month U.S. LIBOR + 1.790% 3.89% 4/1/37 (c)(d) 14 14 
12 month U.S. LIBOR + 1.870% 4.376% 10/1/42 (c)(d) 76 80 
12 month U.S. LIBOR + 1.880% 3.838% 10/1/41 (c)(d) 117 123 
12 month U.S. LIBOR + 2.040% 4.784% 7/1/36 (c)(d) 20 21 
12 month U.S. LIBOR + 2.060% 4.723% 3/1/33 (c)(d) 
6 month U.S. LIBOR + 1.660% 3.725% 2/1/37 (c)(d) 12 12 
6 month U.S. LIBOR + 1.660% 3.903% 7/1/35 (c)(d) 101 105 
6 month U.S. LIBOR + 1.720% 4.083% 8/1/37 (c)(d) 20 21 
6 month U.S. LIBOR + 1.740% 3.83% 5/1/37 (c)(d) 
6 month U.S. LIBOR + 1.840% 4.077% 10/1/36 (c)(d) 55 57 
6 month U.S. LIBOR + 1.860% 4.061% 10/1/35 (c)(d) 30 31 
6 month U.S. LIBOR + 2.010% 4.01% 5/1/37 (c)(d) 20 21 
6 month U.S. LIBOR + 2.010% 4.203% 5/1/37 (c)(d) 27 28 
6 month U.S. LIBOR + 2.040% 3.978% 6/1/37 (c)(d) 15 16 
6 month U.S. LIBOR + 2.680% 4.873% 10/1/35 (c)(d) 
U.S. TREASURY 1 YEAR INDEX + 2.030% 4.562% 6/1/33 (c)(d) 48 50 
U.S. TREASURY 1 YEAR INDEX + 2.230% 4.743% 4/1/34 (c)(d) 120 126 
U.S. TREASURY 1 YEAR INDEX + 2.310% 3.91% 2/1/36 (c)(d) 
U.S. TREASURY 1 YEAR INDEX + 2.540% 4.956% 7/1/35 (c)(d) 45 47 
2.5% 12/1/32 614 632 
3% 4/1/33 to 11/1/33 2,315 2,423 
3.5% 7/1/32 465 491 
6% 1/1/24 71 74 
6.5% 12/1/21 13 13 
10% 8/1/20 to 10/1/20 
  4,579 
Ginnie Mae - 1.4%   
6% 6/15/36 541 624 
8% 12/15/23 24 25 
10.5% 8/15/21 
4% 10/20/43 to 3/20/47 2,096 2,222 
4.494% 2/20/62 (c)(e) 46 47 
4.5% 6/20/48 3,589 3,806 
4.758% 2/20/62 (c)(e) 
5.044% 1/20/62 (c)(e) 49 50 
5.47% 8/20/59 (c)(e) 
11% 1/20/21 
  6,779 
Uniform Mortgage Backed Securities - 6.2%   
3% 3/1/50 (f) 1,200 1,236 
3% 3/1/50 (f) 4,300 4,428 
3% 3/1/50 (f) 5,100 5,252 
3% 3/1/50 (f) 1,900 1,957 
3% 3/1/50 (f) 5,600 5,767 
3% 3/1/50 (f) 11,400 11,740 
  30,380 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $46,153)  46,775 
Collateralized Mortgage Obligations - 11.9%   
U.S. Government Agency - 11.9%   
Fannie Mae:   
floater:   
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 1.25% 4/25/24 (c)(d) 169 168 
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 2.6068% 8/25/31 (c)(d) 46 47 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.6268% 4/25/32 (c)(d) 10 10 
Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 2.0768% 11/25/32 (c)(d) 486 489 
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 2.6268% 11/25/32 (c)(d) 21 21 
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.5568% 6/25/36 (c)(d) 715 726 
planned amortization class:   
Series 2003-28 Class KG, 5.5% 4/25/23 60 62 
Series 2005-19 Class PA, 5.5% 7/25/34 17 17 
Series 2005-64 Class PX, 5.5% 6/25/35 136 146 
Series 2005-68 Class CZ, 5.5% 8/25/35 574 661 
Series 2012-149:   
Class DA, 1.75% 1/25/43 101 102 
Class GA, 1.75% 6/25/42 107 107 
sequential payer:   
Series 2003-117 Class MD, 5% 12/25/23 67 70 
Series 2004-52 Class KZ, 5.5% 7/25/34 1,214 1,384 
Series 2004-91 Class Z, 5% 12/25/34 670 750 
Series 2009-59 Class HB, 5% 8/25/39 272 304 
Series 2010-139 Class NI, 4.5% 2/25/40 (g) 341 24 
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.5468% 3/25/36 (c)(d) 451 462 
Series 2011-67 Class AI, 4% 7/25/26 (g) 96 
Freddie Mac:   
floater:   
Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 2.0585% 11/15/32 (c)(d) 89 90 
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.5585% 2/15/33 (c)(d) 194 197 
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 2.0585% 3/15/34 (c)(d) 224 225 
planned amortization class:   
Series 2802 Class OB, 6% 5/15/34 185 204 
Series 3415 Class PC, 5% 12/15/37 78 87 
Series 4135 Class AB, 1.75% 6/15/42 80 81 
sequential payer:   
Series 1929 Class EZ, 7.5% 2/17/27 206 223 
Series 2004-2862 Class NE, 5% 9/15/24 1,164 1,207 
Series 2145 Class MZ, 6.5% 4/15/29 250 286 
Series 2357 Class ZB, 6.5% 9/15/31 179 208 
Series 2877 Class ZD, 5% 10/15/34 832 931 
Series 2998 Class LY, 5.5% 7/15/25 68 73 
Series 3007 Class EW, 5.5% 7/15/25 314 335 
Series 3745 Class KV, 4.5% 12/15/26 830 885 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:   
Series 4335 Class AL, 4.25% 3/15/40 429 447 
Series 4341 Class ML, 3.5% 11/15/31 879 942 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 2.147% 7/20/37 (c)(d) 128 129 
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 2.127% 1/20/38 (c)(d) 33 33 
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 2.2585% 11/16/39 (c)(d) 134 135 
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 2.1885% 12/16/39 (c)(d) 98 99 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.9895% 7/20/60 (c)(d)(e) 1,742 1,735 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 2.0344% 9/20/60 (c)(d)(e) 2,046 2,038 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 2.0344% 8/20/60 (c)(d)(e) 2,170 2,161 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.1144% 12/20/60 (c)(d)(e) 647 646 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 2.2344% 12/20/60 (c)(d)(e) 1,068 1,069 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 2.2344% 2/20/61 (c)(d)(e) 1,973 1,974 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 2.2244% 2/20/61 (c)(d)(e) 2,262 2,263 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 2.2344% 4/20/61 (c)(d)(e) 814 815 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 2.2344% 5/20/61 (c)(d)(e) 1,038 1,039 
Class FC, 1 month U.S. LIBOR + 0.500% 2.2344% 5/20/61 (c)(d)(e) 907 908 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 2.2644% 6/20/61 (c)(d)(e) 1,052 1,053 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 2.3344% 10/20/61 (c)(d)(e) 1,085 1,088 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 2.4344% 11/20/61 (c)(d)(e) 999 1,005 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 2.4344% 1/20/62 (c)(d)(e) 627 630 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 2.3644% 1/20/62 (c)(d)(e) 929 933 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 2.3644% 3/20/62 (c)(d)(e) 582 583 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 2.3844% 5/20/61 (c)(d)(e) 16 16 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 2.0144% 5/20/63 (c)(d)(e) 59 59 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.9344% 4/20/63 (c)(d)(e) 69 68 
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 1.897% 10/20/47 (c)(d) 585 582 
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 1.947% 5/20/48 (c)(d) 715 712 
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 1.947% 6/20/48 (c)(d) 829 825 
Series 2019-115 Class FA, 1 month U.S. LIBOR + 0.450% 2.097% 9/20/49 (c)(d) 2,046 2,050 
Series 2019-98 Class FC, 1 month U.S. LIBOR + 0.450% 2.097% 8/20/49 (c)(d) 4,661 4,665 
planned amortization class:   
Series 2010-31 Class BP, 5% 3/20/40 1,810 2,057 
Series 2011-136 Class WI, 4.5% 5/20/40 (g) 215 16 
Series 2011-68 Class EC, 3.5% 4/20/41 607 644 
Series 2017-134 Class BA, 2.5% 11/20/46 113 117 
sequential payer:   
Series 2013-H06 Class HA, 1.65% 1/20/63 (e) 121 121 
Series 2014-H12 Class KA, 2.75% 5/20/64 (e) 675 684 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 2.2344% 9/20/62 (c)(d)(e) 316 316 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 2.3844% 11/20/65 (c)(d)(e) 56 56 
Series 2010-169 Class Z, 4.5% 12/20/40 1,115 1,248 
Series 2010-H15 Class TP, 5.15% 8/20/60 (e) 20 20 
Series 2010-H17 Class XP, 5.31% 7/20/60 (c)(e) 38 38 
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(e) 10 11 
Series 2012-64 Class KI, 3.5% 11/20/36 (g) 95 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 6.4707% 4/20/39 (c)(h) 203 210 
Class ST, 8.800% - 1 month U.S. LIBOR 6.604% 8/20/39 (c)(h) 735 762 
Series 2013-H04 Class BA, 1.65% 2/20/63 (e) 372 372 
Series 2013-H07 Class JA, 1.75% 3/20/63 (e) 1,022 1,022 
Series 2015-H17 Class HA, 2.5% 5/20/65 (e) 477 478 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (e) 317 317 
Class JA, 2.5% 6/20/65 (e) 100 100 
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(e) 623 623 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 2.03% 5/20/66 (c)(d)(e) 2,500 2,507 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.88% 8/20/66 (c)(d)(e) 2,337 2,338 
Series 2090-118 Class XZ, 5% 12/20/39 2,529 2,915 
  58,265 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $57,945)  58,265 
Foreign Government and Government Agency Obligations - 3.8%   
Israeli State:   
(guaranteed by U.S. Government through Agency for International Development) 5.5% 12/4/23 10,710 12,471 
5.5% 4/26/24 1,100 1,294 
Jordanian Kingdom 3% 6/30/25 3,329 3,630 
Ukraine Government 1.471% 9/29/21 1,400 1,410 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $17,165)  18,805 
 Shares Value (000s) 
Money Market Funds - 3.1%   
Fidelity Cash Central Fund 1.60% (i)   
(Cost $15,089) 15,086,157 15,089 

Purchased Swaptions - 0.9%(j)    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.1%    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.78% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/15/24 1,800 $30 
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 3,000 26 
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 12 
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 67 
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 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 1,400 35 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4025% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 2,600 64 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.905% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/28/24 1,700 25 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.57125% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/5/24 4,500 88 
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   352 
Call Options - 0.8%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.78% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/15/24 1,800 77 
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 3,000 185 
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 4,500 450 
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 2,386 
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 1,900 199 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 1,400 45 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4025% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 2,600 83 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.905% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/28/24 1,700 79 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.57125% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/5/24 4,500 163 
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 3,600 379 
TOTAL CALL OPTIONS   4,046 
TOTAL PURCHASED SWAPTIONS    
(Cost $2,776)   4,398 
TOTAL INVESTMENT IN SECURITIES - 106.0%    
(Cost $500,782)   519,945 
NET OTHER ASSETS (LIABILITIES) - (6.0)%   (29,345) 
NET ASSETS - 100%   $490,600 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Uniform Mortgage Backed Securities   
3% 3/1/50 $(9,300) $(9,578) 
3% 3/1/50 (12,000) (12,357) 
3% 3/1/50 (8,200) (8,444) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $30,098)  $(30,379) 

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 1.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/4/24 2,900 $(63) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.57% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/20/25 7,600 (162) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.89% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/9/24 300 (5) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.9% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/10/24 4,000 (61) 
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 January 2030 1/8/25 5,000 (75) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.487% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2030 10/2/20 5,400 (46) 
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 (91) 
TOTAL PUT SWAPTIONS   (503) 
Call Swaptions    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/4/24 2,900 (95) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.57% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/20/25 7,600 (277) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.89% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/9/24 300 (14) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.9% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/10/24 4,000 (186) 
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 January 2030 1/8/25 5,000 (235) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.487% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2030 10/2/20 5,400 (242) 
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 (246) 
TOTAL CALL SWAPTIONS   (1,295) 
TOTAL WRITTEN SWAPTIONS   $(1,798) 

For the period, the average monthly notional amount at value for written swaptions in the aggregate was $45,200,000.

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) 188 June 2020 $25,333 $421 $422 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 164 June 2020 35,806 334 334 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 123 June 2020 15,098 261 261 
CBOT Long Term U.S. Treasury Bond Contracts (United States) June 2020 1,192 24 24 
TOTAL FUTURES CONTRACTS     $1,041 

The notional amount of futures purchased as a percentage of Net Assets is 15.8%

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $90,656,000.

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          
1.75% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2022 $40,659 $565 $0 $565 
3-month LIBOR(3) Quarterly 1.75% Semi - annual LCH Mar. 2025 2,581 (76) (76) 
2% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2027 2,520 114 114 
3-month LIBOR(3) Quarterly 2% Semi - annual LCH Mar. 2030 16,505 (905) (905) 
TOTAL INTEREST RATE SWAPS       $(302) $0 $(302) 

 (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.

For the period, the average monthly notional amount for swaps in the aggregate was $51,187,000

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 $383,000.

 (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 $671,000.

 (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) 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.

 (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) 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 are available on the SEC's website or upon request.

 (j) For the period, the average monthly notional amount for purchased swaptions was $100,300,000.

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 $110 
Total $110 

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 February 29, 2020, 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 $376,613 $-- $376,613 $-- 
U.S. Government Agency - Mortgage Securities 46,775 -- 46,775 -- 
Collateralized Mortgage Obligations 58,265 -- 58,265 -- 
Foreign Government and Government Agency Obligations 18,805 -- 18,805 -- 
Money Market Funds 15,089 15,089 -- -- 
Purchased Swaptions 4,398 -- 4,398 -- 
Total Investments in Securities: $519,945 $15,089 $504,856 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $1,041 $1,041 $-- $-- 
Swaps 679 -- 679 -- 
Total Assets $1,720 $1,041 $679 $-- 
Liabilities     
Swaps $(980) $-- $(980) $-- 
Written Swaptions (1,798) -- (1,798) -- 
Total Liabilities $(2,778) $-- $(2,778) $-- 
Total Derivative Instruments: $(1,058) $1,041 $(2,099) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(30,379) $-- $(30,379) $-- 
Total Other Financial Instruments: $(30,379) $-- $(30,379) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2020. 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) $1,041 $0 
Purchased Swaptions(b) 4,398 
Swaps(c) 679 (980) 
Written Swaptions(d) (1,798) 
Total Interest Rate Risk 6,118 (2,778) 
Total Value of Derivatives $6,118 $(2,778) 

 (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 Total accumulated earnings (loss).

 (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 Total accumulated earnings (loss).

 (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)  February 29, 2020 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $485,693) 
$504,856  
Fidelity Central Funds (cost $15,089) 15,089  
Total Investment in Securities (cost $500,782)  $519,945 
Receivable for investments sold  292 
Receivable for premium on written options  1,751 
Receivable for TBA sale commitments  30,098 
Receivable for fund shares sold  3,525 
Interest receivable  1,814 
Distributions receivable from Fidelity Central Funds  
Receivable for daily variation margin on futures contracts  458 
Total assets  557,891 
Liabilities   
Payable for investments purchased   
Regular delivery $3,709  
Delayed delivery 30,205  
TBA sale commitments, at value 30,379  
Payable for fund shares redeemed 879  
Distributions payable 56  
Accrued management fee 120  
Payable for daily variation margin on centrally cleared OTC swaps 86  
Written options, at value (premium receivable $1,751) 1,797  
Other affiliated payables 60  
Total liabilities  67,291 
Net Assets  $490,600 
Net Assets consist of:   
Paid in capital  $474,472 
Total accumulated earnings (loss)  16,128 
Net Assets  $490,600 
Net Asset Value, offering price and redemption price per share ($490,600 ÷ 44,877 shares)  $10.93 

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


Statement of Operations

Amounts in thousands  Six months ended February 29, 2020 (Unaudited) 
Investment Income   
Interest  $5,656 
Income from Fidelity Central Funds  110 
Total income  5,766 
Expenses   
Management fee $773  
Transfer agent fees 256  
Fund wide operations fee 123  
Independent trustees' fees and expenses  
Total expenses before reductions 1,153  
Total expenses after reductions  1,153 
Net investment income (loss)  4,613 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 2,035  
Futures contracts 360  
Swaps 359  
Written options 63  
Total net realized gain (loss)  2,817 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 3,798  
Futures contracts 946  
Swaps (326)  
Written options 15  
Delayed delivery commitments (189)  
Total change in net unrealized appreciation (depreciation)  4,244 
Net gain (loss)  7,061 
Net increase (decrease) in net assets resulting from operations  $11,674 

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


Statement of Changes in Net Assets

Amounts in thousands Six months ended February 29, 2020 (Unaudited) Year ended August 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $4,613 $10,687 
Net realized gain (loss) 2,817 1,975 
Change in net unrealized appreciation (depreciation) 4,244 23,365 
Net increase (decrease) in net assets resulting from operations 11,674 36,027 
Distributions to shareholders (4,585) (9,928) 
Share transactions   
Proceeds from sales of shares 52,510 60,158 
Reinvestment of distributions 4,189 9,146 
Cost of shares redeemed (101,723) (108,245) 
Net increase (decrease) in net assets resulting from share transactions (45,024) (38,941) 
Total increase (decrease) in net assets (37,935) (12,842) 
Net Assets   
Beginning of period 528,535 541,377 
End of period $490,600 $528,535 
Other Information   
Shares   
Sold 4,901 5,773 
Issued in reinvestment of distributions 390 880 
Redeemed (9,500) (10,466) 
Net increase (decrease) (4,209) (3,813) 

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


Financial Highlights

Fidelity Intermediate Government Income Fund

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $10.77 $10.23 $10.57 $10.79 $10.71 $10.68 
Income from Investment Operations       
Net investment income (loss)A .096 .214 .181 .144 .130 .144 
Net realized and unrealized gain (loss) .160 .524 (.342) (.138) .148 .016 
Total from investment operations .256 .738 (.161) .006 .278 .160 
Distributions from net investment income (.096) (.198) (.179) (.138) (.135) (.130) 
Distributions from net realized gain – – – (.088) (.063) – 
Total distributions (.096) (.198) (.179) (.226) (.198) (.130) 
Net asset value, end of period $10.93 $10.77 $10.23 $10.57 $10.79 $10.71 
Total ReturnB,C 2.39% 7.30% (1.52)% .08% 2.62% 1.50% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .45%F .45% .45% .45% .45% .45% 
Expenses net of fee waivers, if any .45%F .45% .45% .45% .45% .45% 
Expenses net of all reductions .45%F .45% .45% .45% .45% .45% 
Net investment income (loss) 1.81%F 2.06% 1.75% 1.36% 1.21% 1.34% 
Supplemental Data       
Net assets, end of period (in millions) $491 $529 $541 $576 $721 $740 
Portfolio turnover rateG 285%F 244% 132% 149% 117% 71% 

 A Calculated based on average shares outstanding during the period.

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

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

 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 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.

 F Annualized

 G 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 (Unaudited)

For the period ended February 29, 2020
(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.

Effective January 1, 2020:

Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".

Fidelity Investments Institutional Operations Company, Inc. converted from a Massachusetts corporation to a Massachusetts LLC, and changed its name to "Fidelity Investments Institutional Operations Company LLC".

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 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 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. Collateralized mortgage obligations 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 February 29, 2020 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. 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 $23,291 
Gross unrealized depreciation (3,315) 
Net unrealized appreciation (depreciation) $19,976 
Tax cost $500,382 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

No expiration  
Short-term $(2,864) 
Long-term (3,125) 
Total capital loss carryforward $(5,989) 

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.

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 $360 $946 
Purchased Options  66  246 
Swaps  359  (326) 
Written Options 63  15 
Total Interest Rate Risk $848 $881 

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".

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 are noted in the table below.

 Purchases ($) Sales ($) 
Intermediate Government Income Fund 291,182 292,747 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (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 monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .30% of the Fund's average net assets.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company LLC (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 annualized rate of .05% of average net assets.

Interfund Trades. Funds 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.

Certain Funds participate 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 participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Commitment fees on the Statement of Operations, and are as follows:

 Amount 
Intermediate Government Income Fund $–(a) 

 (a) Amount is less than $500.

During the period, there were no borrowings 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.

9. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

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 (September 1, 2019 to February 29, 2020).

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
September 1, 2019 
Ending
Account Value
February 29, 2020 
Expenses Paid
During Period-B
September 1, 2019
to February 29, 2020 
Actual .45% $1,000.00 $1,023.90 $2.26 
Hypothetical-C  $1,000.00 $1,022.63 $2.26 

 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 182/366 (to reflect the one-half year period).

 C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Intermediate Government Income Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2019 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Approval of Amended and Restated Advisory Contracts. At its September 2019 meeting, the Board also unanimously determined to approve an amended and restated management contract and sub-advisory agreements (Amended and Restated Contracts) in connection with an upcoming consolidation of certain of Fidelity's advisory businesses. The Board considered that, on or about January 1, 2020, Fidelity Investments Money Management, Inc. (FIMM) expects to merge with and into FMR and, after the merger, FMR expects to redomicile as a Delaware limited liability company. The Board also approved the termination of the sub-advisory agreement with FIMM upon the completion of the merger. The Board noted that references to FMR in the Amended and Restated Contracts would be updated to reflect FMR's new form of organization and domicile and considered that the definition of "group assets" for purposes of the fund's group fee would be modified to avoid double-counting assets once the reorganization is complete. The Board also noted Fidelity's assurance that neither the planned consolidation nor the Amended and Restated Contracts will change the investment processes, the level or nature of services provided, the resources and personnel allocated, trading and compliance operations, or any fees or expenses paid by the fund.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and a peer group of funds with similar objectives (peer group), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

Fidelity Intermediate Government Income Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2018.

The Board noted that it and the boards of other Fidelity funds formed an ad hoc Committee on Group Fee, which meets periodically, to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. The Committee's focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of the fund's total expense ratio, the Board considered the fund's management fee rate as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of the fund compared to competitive fund median expenses. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the fund's total expense ratio ranked below the competitive median for 2018.

The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" expenses (including, among certain other "fund-level" expenses, the management fee) at 0.35%. These contractual arrangements may not be amended to increase the fees or expenses payable except by a vote of a majority of the Board.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board noted, however, that because the current contractual arrangements set the total "fund-level" expenses at 0.35%, increases or decreases in the management fee due to changes in the group fee rate will not impact the total expense ratio.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.

PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses. The Board considered that a joint ad hoc committee created by it and the boards of other Fidelity funds had recently been established, and meets periodically, to evaluate potential fall-out benefits. The Board noted that the committee was expected to, among other things: (i) discuss the legal framework surrounding potential fall-out benefits; (ii) review the Board's responsibilities and approach to potential fall-out benefits; and (iii) review practices employed by competitor funds regarding the review of potential fall-out benefits. The Board noted that it would consider the committee's findings in connection with future consideration of contract renewals.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the practices of certain sub-advisers regarding their receipt of research from broker-dealers that execute the funds' portfolio transactions; (vi) the terms of Fidelity's voluntary expense limitation agreements; (vii) the methodology with respect to competitive fund data and peer group classifications; (viii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (ix) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (x) the impact on fund profitability of recent changes in total net assets for Fidelity's money market funds, anticipated changes to the competitive landscape for money market funds, and the level of investor comfort with gates, fees, and floating NAVs; (xi) the funds' share class structures and distribution channels; and (xii) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed and the fund's Amended and Restated Contracts should be approved.

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot not be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

SLM-SANN-0420
1.844597.114


Fidelity® Total Bond K6 Fund



Semi-Annual Report

February 29, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


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

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Liquidity Risk Management Program


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. © 2020 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.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following the end of this reporting period, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

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 February 29, 2020 
   U.S. Government and U.S. Government Agency Obligations 57.3% 
   AAA 3.8% 
   AA 0.6% 
   4.0% 
   BBB 17.3% 
   BB and Below 15.5% 
   Not Rated 2.6% 
 Short-Term Investments and Net Other Assets* (1.1)% 


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

We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Asset Allocation (% of fund's net assets)

As of February 29, 2020*,**,*** 
   Corporate Bonds 29.5% 
   U.S. Government and U.S. Government Agency Obligations 57.3% 
   Asset-Backed Securities 3.1% 
   CMOs and Other Mortgage Related Securities 3.3% 
   Municipal Bonds 0.4% 
   Other Investments 7.5% 
 Short-Term Investments and Net Other Assets (Liabilities) (1.1)% 


 * Foreign investments - 8.6%

 ** Futures and Swaps - 7.9%

 *** Written options - (3.5)%

 † 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 February 29, 2020 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 23.0%   
 Principal Amount Value 
COMMUNICATION SERVICES - 1.7%   
Diversified Telecommunication Services - 0.8%   
AT&T, Inc.:   
3.6% 2/17/23 $1,890,000 $1,990,478 
4.3% 2/15/30 559,000 640,363 
4.45% 4/1/24 51,000 56,104 
4.5% 3/9/48 3,500,000 3,990,264 
5.15% 11/15/46 1,000,000 1,240,648 
6.2% 3/15/40 840,000 1,133,843 
6.3% 1/15/38 1,100,000 1,518,792 
Verizon Communications, Inc.:   
4.862% 8/21/46 419,000 557,547 
5.012% 4/15/49 160,000 221,059 
5.5% 3/16/47 461,000 674,995 
  12,024,093 
Entertainment - 0.0%   
NBCUniversal, Inc.:   
4.45% 1/15/43 245,000 301,961 
5.95% 4/1/41 172,000 250,529 
  552,490 
Media - 0.8%   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.908% 7/23/25 945,000 1,058,831 
5.375% 5/1/47 2,000,000 2,301,283 
5.75% 4/1/48 861,000 1,026,758 
Comcast Corp.:   
3.9% 3/1/38 132,000 154,015 
4.6% 8/15/45 347,000 442,066 
4.65% 7/15/42 310,000 389,777 
6.45% 3/15/37 365,000 538,993 
Fox Corp.:   
3.666% 1/25/22 (a) 123,000 128,078 
4.03% 1/25/24 (a) 216,000 233,593 
4.709% 1/25/29 (a) 312,000 365,854 
5.476% 1/25/39 (a) 308,000 394,958 
5.576% 1/25/49 (a) 204,000 274,213 
Time Warner Cable, Inc.:   
4% 9/1/21 1,480,000 1,521,037 
7.3% 7/1/38 2,420,000 3,285,371 
  12,114,827 
Wireless Telecommunication Services - 0.1%   
Millicom International Cellular SA 6.25% 3/25/29 (a) 1,600,000 1,700,000 
TOTAL COMMUNICATION SERVICES  26,391,410 
CONSUMER DISCRETIONARY - 0.3%   
Automobiles - 0.2%   
General Motors Financial Co., Inc. 4.375% 9/25/21 3,950,000 4,082,857 
Leisure Products - 0.1%   
Hasbro, Inc.:   
2.6% 11/19/22 391,000 402,309 
3% 11/19/24 890,000 933,485 
  1,335,794 
TOTAL CONSUMER DISCRETIONARY  5,418,651 
CONSUMER STAPLES - 1.8%   
Beverages - 1.2%   
Anheuser-Busch InBev Finance, Inc.:   
4.7% 2/1/36 2,133,000 2,506,035 
4.9% 2/1/46 4,500,000 5,514,927 
Anheuser-Busch InBev Worldwide, Inc.:   
4.75% 4/15/58 613,000 741,020 
5.45% 1/23/39 800,000 1,042,016 
5.55% 1/23/49 1,824,000 2,470,861 
5.8% 1/23/59 (Reg. S) 1,933,000 2,730,818 
Molson Coors Beverage Co. 5% 5/1/42 2,945,000 3,332,389 
  18,338,066 
Food Products - 0.1%   
Conagra Brands, Inc. 3.8% 10/22/21 216,000 224,530 
JBS U.S.A. Lux SA / JBS Food Co. 6.5% 4/15/29 (a) 1,800,000 1,952,460 
  2,176,990 
Tobacco - 0.5%   
Altria Group, Inc.:   
3.875% 9/16/46 1,521,000 1,479,892 
4.25% 8/9/42 932,000 948,931 
4.5% 5/2/43 632,000 657,860 
4.8% 2/14/29 936,000 1,070,778 
5.375% 1/31/44 1,137,000 1,334,883 
5.95% 2/14/49 600,000 761,768 
Imperial Tobacco Finance PLC 4.25% 7/21/25 (a) 1,564,000 1,699,926 
Reynolds American, Inc. 7.25% 6/15/37 75,000 99,403 
  8,053,441 
TOTAL CONSUMER STAPLES  28,568,497 
ENERGY - 4.6%   
Oil, Gas & Consumable Fuels - 4.6%   
Alberta Energy Co. Ltd.:   
7.375% 11/1/31 435,000 528,322 
8.125% 9/15/30 1,083,000 1,363,895 
Amerada Hess Corp.:   
7.125% 3/15/33 201,000 254,810 
7.3% 8/15/31 231,000 295,539 
Canadian Natural Resources Ltd.:   
3.9% 2/1/25 525,000 570,468 
5.85% 2/1/35 525,000 675,984 
Cenovus Energy, Inc. 4.25% 4/15/27 1,203,000 1,289,570 
Columbia Pipeline Group, Inc.:   
4.5% 6/1/25 25,000 27,867 
5.8% 6/1/45 10,000 13,523 
DCP Midstream LLC 5.85% 5/21/43 (a)(b) 2,820,000 2,538,000 
DCP Midstream Operating LP 3.875% 3/15/23 520,000 517,660 
Enbridge, Inc. 4.25% 12/1/26 525,000 585,554 
Encana Corp.:   
5.15% 11/15/41 1,916,000 1,865,455 
6.625% 8/15/37 350,000 384,927 
Energy Transfer Partners LP:   
3.75% 5/15/30 481,000 487,467 
4.2% 9/15/23 145,000 155,317 
4.25% 3/15/23 195,000 206,516 
4.5% 4/15/24 215,000 232,927 
4.95% 6/15/28 494,000 544,378 
5% 5/15/50 1,076,000 1,090,706 
5.25% 4/15/29 350,000 393,074 
5.8% 6/15/38 275,000 307,152 
6% 6/15/48 1,179,000 1,324,159 
6.25% 4/15/49 241,000 277,765 
Enterprise Products Operating LP 3.75% 2/15/25 20,000 21,778 
Hess Corp.:   
4.3% 4/1/27 176,000 185,571 
5.6% 2/15/41 288,000 311,306 
5.8% 4/1/47 874,000 967,966 
Kinder Morgan Energy Partners LP:   
3.45% 2/15/23 362,000 378,005 
6.55% 9/15/40 1,365,000 1,767,058 
Kinder Morgan, Inc. 5.55% 6/1/45 415,000 493,794 
Marathon Petroleum Corp. 5.125% 3/1/21 35,000 35,995 
MPLX LP:   
3 month U.S. LIBOR + 0.900% 2.785% 9/9/21 (b)(c) 311,000 311,893 
3 month U.S. LIBOR + 1.100% 2.985% 9/9/22 (b)(c) 469,000 470,719 
4.5% 7/15/23 274,000 295,869 
4.8% 2/15/29 175,000 196,079 
4.875% 12/1/24 272,000 301,705 
5.5% 2/15/49 525,000 589,697 
Occidental Petroleum Corp.:   
2.7% 8/15/22 272,000 277,171 
2.9% 8/15/24 899,000 911,152 
3.2% 8/15/26 121,000 123,195 
3.5% 8/15/29 382,000 385,436 
4.3% 8/15/39 56,000 53,768 
4.4% 8/15/49 56,000 53,279 
4.5% 7/15/44 1,032,000 985,407 
5.55% 3/15/26 831,000 938,832 
6.2% 3/15/40 700,000 793,642 
6.45% 9/15/36 600,000 708,796 
6.6% 3/15/46 807,000 979,695 
7.5% 5/1/31 927,000 1,177,837 
Petrobras Global Finance BV:   
5.093% 1/15/30 (a) 2,020,000 2,158,875 
6.9% 3/19/49 3,000,000 3,592,500 
7.25% 3/17/44 2,500,000 3,083,078 
Petroleos Mexicanos:   
5.95% 1/28/31 (a) 2,980,000 2,893,282 
6.35% 2/12/48 3,548,000 3,284,384 
6.49% 1/23/27 (a) 570,000 597,075 
6.5% 3/13/27 20,000 20,925 
6.75% 9/21/47 5,720,000 5,477,401 
6.84% 1/23/30 (a) 7,272,000 7,599,240 
6.95% 1/28/60 (a) 989,000 953,396 
7.69% 1/23/50 (a) 2,090,000 2,181,960 
Plains All American Pipeline LP/PAA Finance Corp.:   
3.55% 12/15/29 4,767,000 4,689,660 
3.6% 11/1/24 266,000 275,647 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 393,000 419,578 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 923,000 978,496 
The Williams Companies, Inc.:   
3.7% 1/15/23 2,000,000 2,087,591 
4.55% 6/24/24 70,000 76,693 
5.75% 6/24/44 35,000 41,481 
Western Gas Partners LP:   
3.95% 6/1/25 174,000 176,581 
4.5% 3/1/28 200,000 201,044 
4.65% 7/1/26 138,000 144,852 
4.75% 8/15/28 168,000 172,090 
Williams Partners LP 4.3% 3/4/24 2,000,000 2,165,346 
  72,917,855 
FINANCIALS - 9.5%   
Banks - 3.8%   
Bank of America Corp.:   
3.004% 12/20/23 (b) 3,302,000 3,421,737 
3.5% 4/19/26 2,630,000 2,872,812 
3.705% 4/24/28 (b) 528,000 578,029 
4.45% 3/3/26 245,000 276,545 
Barclays PLC:   
4.375% 1/12/26 900,000 993,105 
5.088% 6/20/30 (b) 1,421,000 1,613,451 
Capital One NA 2.15% 9/6/22 762,000 769,643 
CIT Group, Inc. 6.125% 3/9/28 210,000 252,000 
Citigroup, Inc.:   
3.352% 4/24/25 (b) 953,000 1,009,003 
4.3% 11/20/26 6,314,000 6,990,204 
4.4% 6/10/25 2,266,000 2,521,650 
4.45% 9/29/27 4,372,000 4,941,140 
5.5% 9/13/25 566,000 662,717 
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) 517,000 549,648 
Credit Suisse Group Funding Guernsey Ltd.:   
3.75% 3/26/25 1,200,000 1,297,302 
3.8% 6/9/23 1,250,000 1,328,210 
4.55% 4/17/26 388,000 437,654 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (a) 200,000 210,577 
5.71% 1/15/26 (a) 1,649,000 1,793,625 
JPMorgan Chase & Co.:   
2.95% 10/1/26 3,085,000 3,270,503 
3.797% 7/23/24 (b) 35,000 37,412 
3.882% 7/24/38 (b) 1,000,000 1,146,138 
4.452% 12/5/29 (b) 5,500,000 6,412,864 
Rabobank Nederland 4.375% 8/4/25 500,000 555,184 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 1,000,000 1,094,742 
6% 12/19/23 1,237,000 1,386,920 
6.1% 6/10/23 3,800,000 4,204,399 
6.125% 12/15/22 6,545,000 7,140,077 
UniCredit SpA 6.572% 1/14/22 (a) 948,000 1,018,186 
Westpac Banking Corp. 4.11% 7/24/34 (b) 744,000 814,377 
  59,599,854 
Capital Markets - 2.7%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 390,000 423,742 
Ares Capital Corp. 4.2% 6/10/24 1,716,000 1,822,348 
Credit Suisse Group AG:   
2.593% 9/11/25 (a)(b) 2,086,000 2,129,666 
3.869% 1/12/29 (a)(b) 1,570,000 1,706,451 
4.207% 6/12/24 (a)(b) 500,000 536,700 
Deutsche Bank AG 4.5% 4/1/25 2,300,000 2,291,776 
Deutsche Bank AG New York Branch:   
3.15% 1/22/21 625,000 630,667 
4.1% 1/13/26 1,100,000 1,140,600 
5% 2/14/22 1,568,000 1,650,119 
Goldman Sachs Group, Inc.:   
2.876% 10/31/22 (b) 170,000 173,366 
3.2% 2/23/23 3,000,000 3,137,135 
3.691% 6/5/28 (b) 4,660,000 5,094,485 
3.75% 5/22/25 525,000 568,200 
3.814% 4/23/29 (b) 1,025,000 1,129,026 
4.017% 10/31/38 (b) 1,000,000 1,140,601 
4.223% 5/1/29 (b) 2,500,000 2,835,019 
6.75% 10/1/37 278,000 398,342 
Moody's Corp.:   
3.25% 1/15/28 10,000 10,889 
4.875% 2/15/24 9,000 10,017 
Morgan Stanley:   
3.125% 7/27/26 2,621,000 2,793,306 
3.737% 4/24/24 (b) 2,500,000 2,655,125 
4.431% 1/23/30 (b) 2,242,000 2,603,733 
5% 11/24/25 5,722,000 6,602,750 
UBS Group Funding AG 2.859% 8/15/23 (a)(b) 1,000,000 1,024,460 
UBS Group Funding Ltd. 4.125% 9/24/25 (a) 500,000 557,266 
  43,065,789 
Consumer Finance - 1.5%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.875% 8/14/24 1,196,000 1,218,333 
4.125% 7/3/23 512,000 544,346 
4.45% 12/16/21 500,000 520,964 
4.45% 4/3/26 561,000 613,134 
4.875% 1/16/24 843,000 917,330 
Capital One Financial Corp.:   
2.5% 5/12/20 625,000 625,463 
3.8% 1/31/28 795,000 867,513 
Discover Financial Services:   
3.95% 11/6/24 4,380,000 4,746,115 
4.1% 2/9/27 366,000 399,747 
4.5% 1/30/26 803,000 894,146 
Ford Motor Credit Co. LLC:   
4.063% 11/1/24 4,206,000 4,285,909 
5.085% 1/7/21 502,000 515,045 
5.584% 3/18/24 1,113,000 1,190,856 
5.596% 1/7/22 1,038,000 1,095,216 
Synchrony Financial:   
2.85% 7/25/22 302,000 308,829 
3.95% 12/1/27 3,042,000 3,264,431 
4.375% 3/19/24 406,000 437,533 
5.15% 3/19/29 1,581,000 1,843,400 
  24,288,310 
Diversified Financial Services - 0.8%   
AXA Equitable Holdings, Inc. 3.9% 4/20/23 110,000 116,967 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 1,035,000 1,088,520 
3.85% 2/1/25 2,100,000 2,273,089 
3.875% 8/15/22 473,000 497,418 
4.125% 5/15/29 1,000,000 1,116,591 
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) 5,175,000 5,690,597 
Pine Street Trust I:   
4.572% 2/15/29 (a) 1,030,000 1,166,958 
5.568% 2/15/49 (a) 1,000,000 1,248,080 
  13,198,220 
Insurance - 0.7%   
Marsh & McLennan Companies, Inc.:   
4.375% 3/15/29 678,000 790,134 
4.75% 3/15/39 311,000 402,362 
4.9% 3/15/49 619,000 829,941 
Metropolitan Life Global Funding I U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 2.08% 5/28/21 (a)(b)(c) 5,310,000 5,320,507 
Pacific LifeCorp 5.125% 1/30/43 (a) 950,000 1,247,336 
Pricoa Global Funding I 5.375% 5/15/45 (b) 1,045,000 1,141,015 
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) 400,000 452,600 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) 80,000 89,147 
Unum Group:   
3.875% 11/5/25 50,000 54,711 
4% 6/15/29 852,000 942,703 
  11,270,456 
TOTAL FINANCIALS  151,422,629 
HEALTH CARE - 1.6%   
Health Care Providers & Services - 1.2%   
Centene Corp.:   
3.375% 2/15/30 (a) 815,000 815,000 
4.25% 12/15/27 (a) 880,000 905,344 
4.625% 12/15/29 (a) 1,370,000 1,465,900 
4.75% 1/15/25 (a) 700,000 717,745 
Cigna Corp.:   
3.75% 7/15/23 708,000 753,726 
4.125% 11/15/25 1,003,000 1,115,910 
4.375% 10/15/28 884,000 1,005,456 
4.8% 8/15/38 550,000 661,385 
4.9% 12/15/48 550,000 682,389 
CVS Health Corp.:   
3% 8/15/26 125,000 131,013 
3.25% 8/15/29 287,000 301,043 
4.1% 3/25/25 1,299,000 1,423,653 
4.3% 3/25/28 1,329,000 1,487,222 
4.78% 3/25/38 2,092,000 2,467,216 
5.05% 3/25/48 2,870,000 3,532,188 
Toledo Hospital:   
5.325% 11/15/28 319,000 371,600 
6.015% 11/15/48 613,000 794,063 
  18,630,853 
Pharmaceuticals - 0.4%   
Actavis Funding SCS 3.45% 3/15/22 40,000 41,436 
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) 3,209,000 3,572,072 
Elanco Animal Health, Inc.:   
4.662% 8/27/21 (b) 146,000 153,079 
5.022% 8/28/23 (b) 459,000 491,629 
5.65% 8/28/28 (b) 194,000 222,219 
Mylan NV:   
3.15% 6/15/21 50,000 50,796 
3.95% 6/15/26 1,370,000 1,489,521 
4.55% 4/15/28 450,000 505,485 
Teva Pharmaceutical Finance Netherlands III BV 2.8% 7/21/23 600,000 558,498 
Zoetis, Inc. 3.45% 11/13/20 15,000 15,184 
  7,099,919 
TOTAL HEALTH CARE  25,730,772 
INDUSTRIALS - 0.5%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) 1,040,000 1,134,140 
Road & Rail - 0.1%   
Avolon Holdings Funding Ltd.:   
3.625% 5/1/22 (a) 286,000 292,767 
3.95% 7/1/24 (a) 380,000 395,319 
4.375% 5/1/26 (a) 472,000 502,559 
5.25% 5/15/24 (a) 730,000 797,044 
  1,987,689 
Trading Companies & Distributors - 0.3%   
Air Lease Corp.:   
2.25% 1/15/23 259,000 260,939 
3.875% 7/3/23 877,000 925,064 
4.25% 2/1/24 977,000 1,053,172 
International Lease Finance Corp. 5.875% 8/15/22 2,000,000 2,179,172 
  4,418,347 
TOTAL INDUSTRIALS  7,540,176 
INFORMATION TECHNOLOGY - 0.1%   
Electronic Equipment & Components - 0.1%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
5.45% 6/15/23 (a) 800,000 880,508 
6.02% 6/15/26 (a) 258,000 302,151 
  1,182,659 
MATERIALS - 0.1%   
Metals & Mining - 0.1%   
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (a) 500,000 534,688 
4.5% 8/1/47 (a) 500,000 573,125 
  1,107,813 
REAL ESTATE - 2.0%   
Equity Real Estate Investment Trusts (REITs) - 1.5%   
Boston Properties, Inc. 4.5% 12/1/28 605,000 714,298 
Corporate Office Properties LP:   
5% 7/1/25 3,650,000 4,078,706 
5.25% 2/15/24 146,000 160,536 
Duke Realty LP 3.625% 4/15/23 50,000 52,980 
HCP, Inc.:   
3.25% 7/15/26 113,000 121,907 
3.5% 7/15/29 129,000 141,919 
Healthcare Trust of America Holdings LP:   
3.1% 2/15/30 260,000 271,827 
3.5% 8/1/26 270,000 292,568 
Hudson Pacific Properties LP 4.65% 4/1/29 1,473,000 1,717,780 
Omega Healthcare Investors, Inc.:   
3.625% 10/1/29 1,155,000 1,214,636 
4.375% 8/1/23 1,665,000 1,797,835 
4.75% 1/15/28 3,349,000 3,763,841 
4.95% 4/1/24 2,400,000 2,665,600 
Store Capital Corp. 4.625% 3/15/29 315,000 364,465 
Ventas Realty LP:   
3% 1/15/30 1,531,000 1,592,141 
3.5% 2/1/25 1,265,000 1,355,418 
4% 3/1/28 218,000 242,783 
WP Carey, Inc.:   
3.85% 7/15/29 246,000 274,899 
4% 2/1/25 489,000 526,626 
4.6% 4/1/24 1,250,000 1,366,749 
  22,717,514 
Real Estate Management & Development - 0.5%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 560,000 594,609 
3.95% 11/15/27 421,000 462,344 
4.1% 10/1/24 995,000 1,086,109 
4.55% 10/1/29 260,000 301,379 
Digital Realty Trust LP 4.75% 10/1/25 1,445,000 1,657,381 
Liberty Property LP 4.4% 2/15/24 40,000 44,521 
Tanger Properties LP:   
3.125% 9/1/26 2,775,000 2,855,114 
3.875% 12/1/23 1,290,000 1,361,212 
  8,362,669 
TOTAL REAL ESTATE  31,080,183 
UTILITIES - 0.8%   
Electric Utilities - 0.6%   
Cleco Corporate Holdings LLC:   
3.375% 9/15/29 (a) 2,173,000 2,232,970 
3.743% 5/1/26 1,337,000 1,428,443 
Edison International 5.75% 6/15/27 2,985,000 3,532,085 
FirstEnergy Corp.:   
4.25% 3/15/23 45,000 48,162 
7.375% 11/15/31 1,805,000 2,635,353 
IPALCO Enterprises, Inc. 3.7% 9/1/24 172,000 181,180 
  10,058,193 
Independent Power and Renewable Electricity Producers - 0.1%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 1,532,000 1,585,620 
Multi-Utilities - 0.1%   
NiSource, Inc. 2.95% 9/1/29 1,708,000 1,790,250 
TOTAL UTILITIES  13,434,063 
TOTAL NONCONVERTIBLE BONDS   
(Cost $337,331,643)  364,794,708 
U.S. Government and Government Agency Obligations - 36.0%   
U.S. Treasury Inflation-Protected Obligations - 3.6%   
U.S. Treasury Inflation-Indexed Bonds:   
0.875% 2/15/47 $7,607,381 $9,092,233 
1% 2/15/49 1,838,196 2,292,596 
U.S. Treasury Inflation-Indexed Notes:   
0.375% 7/15/27 1,227,731 1,292,445 
0.5% 1/15/28 18,280,289 19,397,935 
0.625% 1/15/26 5,386,036 5,688,078 
0.75% 7/15/28 10,339,673 11,270,372 
0.875% 1/15/29 7,195,210 7,926,126 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  56,959,785 
U.S. Treasury Obligations - 32.4%   
U.S. Treasury Bonds:   
2.75% 11/15/47 10,830,000 13,419,893 
3% 2/15/49 34,068,000 44,570,526 
U.S. Treasury Notes:   
1.125% 2/28/27 1,563,000 1,571,181 
1.5% 9/30/24 39,000,000 40,010,039 
1.5% 1/31/27 28,784,000 29,654,266 
1.625% 9/30/26 44,765,000 46,454,180 
1.625% 8/15/29 18,293,000 19,098,321 
1.75% 12/31/24 56,600,000 58,802,094 
1.75% 11/15/29 52,490,000 55,422,059 
2.125% 3/31/24 22,027,000 23,095,654 
2.125% 7/31/24 38,835,000 40,855,634 
2.125% 5/31/26 21,170,000 22,589,052 
2.25% 12/31/24 4,611,000 4,897,386 
2.5% 1/31/24 15,400,000 16,339,039 
2.5% 2/28/26 60,080,000 65,315,874 
2.625% 6/30/23 16,700,000 17,646,551 
3.125% 11/15/28 13,139,000 15,339,269 
TOTAL U.S. TREASURY OBLIGATIONS  515,081,018 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $530,376,598)  572,040,803 
U.S. Government Agency - Mortgage Securities - 6.3%   
Ginnie Mae - 3.6%   
2.5% 3/1/50 (d) 4,700,000 4,824,482 
2.5% 4/1/50 (d) 2,400,000 2,461,315 
3% 3/1/50 (d) 750,000 774,925 
3% 3/1/50 (d) 300,000 309,970 
3% 3/1/50 (d) 150,000 154,985 
3% 3/1/50 (d) 200,000 206,647 
3% 3/1/50 (d) 5,500,000 5,682,784 
3% 3/1/50 (d) 2,800,000 2,893,054 
3% 3/1/50 (d) 1,200,000 1,239,880 
3% 4/1/50 (d) 1,600,000 1,651,486 
3% 4/1/50 (d) 1,100,000 1,135,397 
3% 4/1/50 (d) 600,000 619,307 
3% 4/1/50 (d) 1,500,000 1,548,268 
3.5% 3/1/50 (d) 3,750,000 3,885,007 
3.5% 3/1/50 (d) 2,700,000 2,797,205 
3.5% 3/1/50 (d) 2,200,000 2,279,204 
3.5% 3/1/50 (d) 1,200,000 1,243,202 
3.5% 3/1/50 (d) 2,850,000 2,952,605 
3.5% 3/1/50 (d) 2,900,000 3,004,405 
3.5% 3/1/50 (d) 1,500,000 1,554,003 
3.5% 4/1/50 (d) 10,000,000 10,351,424 
3.5% 4/1/50 (d) 800,000 828,114 
3.5% 4/1/50 (d) 400,000 414,057 
3.5% 4/1/50 (d) 300,000 310,543 
4% 3/1/50 (d) 1,400,000 1,457,572 
4% 3/1/50 (d) 1,950,000 2,030,190 
TOTAL GINNIE MAE  56,610,031 
Uniform Mortgage Backed Securities - 2.7%   
2.5% 3/1/35 (d) 7,500,000 7,698,106 
2.5% 3/1/35 (d) 200,000 205,283 
2.5% 3/1/35 (d) 100,000 102,641 
2.5% 3/1/50 (d) 1,400,000 1,427,657 
2.5% 3/1/50 (d) 500,000 509,877 
3% 3/1/35 (d) 950,000 983,898 
3% 3/1/35 (d) 950,000 983,898 
3% 3/1/50 (d) 950,000 978,300 
3% 3/1/50 (d) 1,350,000 1,390,215 
3% 3/1/50 (d) 1,450,000 1,493,194 
3.5% 3/1/50 (d) 13,375,000 13,888,814 
3.5% 3/1/50 (d) 6,400,000 6,645,862 
3.5% 3/1/50 (d) 1,400,000 1,453,782 
3.5% 3/1/50 (d) 700,000 726,891 
3.5% 3/1/50 (d) 2,200,000 2,284,515 
3.5% 3/1/50 (d) 2,200,000 2,284,515 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  43,057,448 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $99,024,217)  99,667,479 
Asset-Backed Securities - 3.1%   
AASET Trust:   
Series 2018-1A Class A, 3.844% 1/16/38 (a) $347,726 $351,965 
Series 2019-1 Class A, 3.844% 5/15/39 (a) 748,655 765,401 
Series 2019-2:   
Class A, 3.376% 10/16/39 (a) 1,273,301 1,284,271 
Class B, 4.458% 10/16/39 (a) 242,811 245,720 
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 3.1221% 7/22/32 (a)(b)(c) 1,181,000 1,181,709 
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 3.1491% 1/20/33 (a)(b)(c) 610,000 608,963 
American Money Management Corp. Series 2012-11A Class A1R2, 3 month U.S. LIBOR + 1.010% 2.7795% 4/30/31 (a)(b)(c) 1,700,000 1,684,870 
Apollo Aviation Securitization Equity Trust Series 2020-1A:   
Class A, 3.351% 1/16/40 (a) 646,000 645,987 
Class B, 4.335% 1/16/40 (a) 250,000 249,993 
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 3.1658% 10/15/32 (a)(b)(c) 1,101,000 1,101,330 
Ares Xli Clo Ltd. / Ares Xli Cl Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 3.0313% 1/15/29 (a)(b)(c) 1,359,000 1,357,913 
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.25% 4/17/33 (a)(b)(c)(d) 460,000 460,000 
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 1.9868% 10/25/35 (b)(c) 363,076 362,253 
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 3.2332% 1/17/33 (a)(b)(c) 600,000 600,180 
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 2.6167% 4/15/29 (a)(b)(c) 1,388,000 1,388,000 
Carvana Auto Receivables Trust Series 2019-4A:   
Class A2, 2.2% 7/15/22 (a) 253,000 253,852 
Class A3, 2.3% 9/15/23 (a) 235,000 237,047 
Castlelake Aircraft Securitization Trust Series 2019-1A:   
Class A, 3.967% 4/15/39 (a) 1,033,828 1,063,424 
Class B, 5.095% 4/15/39 (a) 573,766 597,155 
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (a) 726,404 747,106 
Cedar Funding Ltd.:   
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 3.4705% 10/20/32 (a)(b)(c) 898,000 898,090 
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 3.2638% 5/29/32 (a)(b)(c) 599,000 599,060 
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (a) 208,353 210,417 
Consumer Loan Underlying Bond Credit Trust:   
Series 2018-P3 Class A, 3.82% 1/15/26 (a) 148,346 149,924 
Series 2019-HP1 Class A, 2.59% 12/15/26 (a) 536,427 541,019 
Series 2019-P1 Class A, 2.94% 7/15/26 (a) 405,452 408,807 
DB Master Finance LLC Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (a) 1,122,170 1,152,424 
Class A2II, 4.03% 11/20/47 (a) 467,245 496,504 
Dryden CLO, Ltd. Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 3.264% 10/20/32 (a)(b)(c) 399,000 399,120 
Dryden Senior Loan Fund:   
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 3.1113% 4/15/29 (a)(b)(c) 1,349,000 1,348,595 
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 3.0218% 5/15/32 (a)(b)(c) 979,000 978,608 
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 0% 4/17/33 (a)(b)(c)(d) 900,000 900,000 
Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 3.2149% 11/16/32 (a)(b)(c) 1,221,000 1,221,366 
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 990,000 1,136,544 
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) 423,993 438,892 
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) 548,244 561,318 
Madison Park Funding Ltd.:   
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 3.0391% 1/20/29 (a)(b)(c) 480,000 479,760 
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 3.1313% 7/15/32 (a)(b)(c) 1,179,000 1,179,236 
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 3.1741% 10/15/32 (a)(b)(c) 578,000 578,231 
Magnetite CLO Ltd.:   
Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 3.0991% 4/20/30 (a)(b)(c) 975,000 976,268 
Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 3.2371% 1/15/33 (a)(b)(c) 814,000 814,895 
Marlette Funding Trust Series 2019-4A Class A, 2.39% 12/17/29 (a) 640,651 645,086 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) 504,680 532,093 
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 2.7571% 10/20/30(a)(b)(c) 1,364,000 1,364,000 
Nationstar HECM Loan Trust:   
Series 2018-2A Class A, 3.1877% 7/25/28 (a) 150,071 150,125 
Series 2019-1A Class A, 2.6513% 6/25/29 (a) 337,597 338,820 
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 3.1361% 7/17/32 (a)(b)(c) 1,178,000 1,178,236 
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (a) 968,000 1,011,405 
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (a) 992,378 1,030,540 
Prosper Marketplace Issuance Trust:   
Series 2018-2A Class A, 3.35% 10/15/24 (a) 91,047 91,227 
Series 2019-2A Class A, 3.2% 9/15/25 (a) 483,542 485,948 
Sapphire Aviation Finance Series 2020-1A:   
Class A, 3.228% 3/15/40 (a) 1,300,000 1,299,980 
Class B, 4.335% 3/15/40 (a) 250,000 248,477 
SBA Tower Trust Series 2019, 2.836% 1/15/50 (a) 1,211,000 1,269,576 
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1% 1/20/29 (a)(b)(c) 921,000 921,000 
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) 901,506 935,420 
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) 1,557,679 1,575,075 
Towd Point Mortgage Trust:   
Series 2018-3 Class A1, 3.75% 5/25/58 (a) 651,565 688,283 
Series 2018-6 Class A1A, 3.75% 3/25/58 (a) 952,826 998,336 
Series 2019-1 Class A1, 3.75% 3/25/58 (a) 425,833 454,437 
Upgrade Receivables Trust Series 2019-1A Class A, 3.48% 3/15/25 (a) 130,959 131,409 
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 3.1813% 4/15/32 (a)(b)(c) 1,125,000 1,125,000 
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 3.0891% 7/20/32 (a)(b)(c) 1,290,000 1,290,645 
TOTAL ASSET-BACKED SECURITIES   
(Cost $47,742,579)  48,421,335 
Collateralized Mortgage Obligations - 0.5%   
Private Sponsor - 0.5%   
Citigroup Mortgage Loan Trust sequential payer Series 2009-5 Class 5A1, 4.3541% 1/25/37 (a)(b) 105,704 106,868 
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) 136,171 137,688 
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 2.1293% 8/25/60 (a)(b)(c) 531,070 530,808 
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 2.2513% 10/15/54 (a)(b)(c) 701,211 700,808 
Lanark Master Issuer PLC:   
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.4528% 12/22/69 (a)(b)(c) 523,160 523,716 
Series 2019-2A Class 1A, 2.71% 12/22/69 (a) 2,275,000 2,313,259 
New Residential Mtg Ln Trust 2020 3.5% 10/25/59 (a) 959,823 1,005,573 
Permanent Master Issuer PLC floater:   
Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 2.2113% 7/15/58 (a)(b)(c) 1,184,250 1,184,294 
Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 2.3813% 7/15/58 (a)(b)(c) 492,000 492,714 
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (a) 602,772 616,899 
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 2.3891% 1/21/70 (a)(b)(c) 1,032,000 1,032,872 
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (a) 15,120 15,115 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS  8,660,614 
(Cost $8,594,279)  8,660,614 
Commercial Mortgage Securities - 2.8%   
BAMLL Commercial Mortgage Securities Trust:   
sequential payer Series 2019-BPR:   
Class AMP, 3.287% 11/5/32 (a) 1,500,000 1,582,929 
Class ANM, 3.112% 11/5/32 (a) 778,000 823,474 
Series 2019-BPR:   
Class BNM, 3.465% 11/5/32 (a) 132,000 139,922 
Class CNM, 3.8425% 11/5/32 (a)(b) 100,000 105,791 
Benchmark Mortgage Trust Series 2019-B12 Class XA, 1.0683% 8/15/52 (b)(e) 8,090,797 610,286 
BX Commercial Mortgage Trust:   
floater Series 2020-BXLP:   
Class B, 1 month U.S. LIBOR + 1.000% 2.6585% 12/15/29 (a)(b)(c) 800,000 799,760 
Class C, 1 month U.S. LIBOR + 1.120% 2.7785% 12/15/29 (a)(b)(c) 556,000 556,523 
Class D, 1 month U.S. LIBOR + 1.250% 2.9085% 12/15/29 (a)(b)(c) 1,060,000 1,062,994 
floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 2.4585% 12/15/29 (a)(b)(c) 1,415,000 1,415,654 
BX Trust:   
floater:   
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 4.2835% 9/15/37 (a)(b)(c) 261,328 261,428 
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 3.4585% 11/15/35 (a)(b)(c) 328,300 328,827 
Series 2019-IMC:   
Class B, 1 month U.S. LIBOR + 1.300% 2.9585% 4/15/34 (a)(b)(c) 614,000 613,814 
Class C, 1 month U.S. LIBOR + 1.600% 3.2585% 4/15/34 (a)(b)(c) 406,000 405,999 
Class D, 1 month U.S. LIBOR + 1.900% 3.5585% 4/15/34 (a)(b)(c) 426,000 426,268 
Series 2019-XL:   
Class B, 1 month U.S. LIBOR + 1.080% 2.7385% 10/15/36 (a)(b)(c) 600,947 601,912 
Class C, 1 month U.S. LIBOR + 1.250% 2.9085% 10/15/36 (a)(b)(c) 755,722 757,618 
Class D, 1 month U.S. LIBOR + 1.450% 3.1085% 10/15/36 (a)(b)(c) 1,071,004 1,075,090 
Class E, 1 month U.S. LIBOR + 1.800% 3.4585% 10/15/36 (a)(b)(c) 4,848,658 4,870,093 
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 3.2585% 12/15/29 (a)(b)(c) 654,000 657,087 
floater, sequential payer:   
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 2.6585% 4/15/34(a)(b)(c) 1,066,000 1,065,356 
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 2.5785% 10/15/36 (a)(b)(c) 2,034,048 2,043,147 
CGDB Commercial Mortgage Trust floater Series 2019-MOB:   
Class A, 1 month U.S. LIBOR + 0.950% 2.6085% 11/15/36 (a)(b)(c) 580,000 579,636 
Class B, 1 month U.S. LIBOR + 1.250% 2.9085% 11/15/36 (a)(b)(c) 200,000 199,623 
CHC Commercial Mortgage Trust floater Series 2019-CHC:   
Class A, 1 month U.S. LIBOR + 1.120% 2.7785% 6/15/34 (a)(b)(c) 1,568,000 1,567,265 
Class B, 1 month U.S. LIBOR + 1.500% 3.1585% 6/15/34 (a)(b)(c) 309,000 308,516 
Class C, 1 month U.S. LIBOR + 1.750% 3.4085% 6/15/34 (a)(b)(c) 349,000 348,453 
Citigroup Commercial Mortgage Trust Series 2015-GC29 Class XA, 1.0774% 4/10/48 (b)(e) 3,021,547 136,904 
COMM Mortgage Trust:   
sequential payer Series 2013-CR7 Class AM, 3.314% 3/10/46 (a) 273,000 285,285 
Series 2014-CR17 Class XA, 0.9735% 5/10/47 (b)(e) 1,501,897 52,446 
Series 2014-LC17 Class XA, 0.7681% 10/10/47 (b)(e) 3,060,091 86,413 
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 2.5385% 12/15/31 (a)(b)(c) 500,000 499,850 
Credit Suisse Mortgage Trust:   
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 2.6385% 5/15/36 (a)(b)(c) 2,300,000 2,299,997 
Series 2018-SITE:   
Class A, 4.284% 4/15/36 (a) 594,000 638,507 
Class B, 4.5349% 4/15/36 (a) 107,000 115,022 
Class C, 4.782% 4/15/36 (a)(b) 123,000 131,861 
Class D, 4.782% 4/15/36 (a)(b) 245,000 258,777 
CSMC Trust Series 2017-PFHP Class D, 1 month U.S. LIBOR + 2.250% 3.9085% 12/15/30 (a)(b)(c) 1,296,000 1,295,610 
GS Mortgage Securities Trust floater:   
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 3.1085% 9/15/31 (a)(b)(c) 1,875,000 1,870,274 
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 2.7485% 10/15/31 (a)(b)(c) 457,000 457,350 
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT:   
Class CFX, 4.9498% 7/5/33 (a) 103,000 111,801 
Class DFX, 5.3503% 7/5/33 (a) 159,000 172,880 
Class EFX, 5.5422% 7/5/33 (a) 218,000 235,133 
Class XAFX, 1.116% 7/5/33 (a)(b)(e) 2,000,000 71,677 
Morgan Stanley Capital I Trust:   
floater:   
Series 2018-BOP:   
Class B, 1 month U.S. LIBOR + 1.250% 2.9085% 8/15/33 (a)(b)(c) 627,000 624,638 
Class C, 1 month U.S. LIBOR + 1.500% 3.1585% 8/15/33 (a)(b)(c) 1,510,000 1,505,302 
Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 2.6085% 3/15/34 (a)(b)(c) 710,000 708,218 
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) 1,698,000 1,788,684 
Series 2018-H4 Class A4, 4.31% 12/15/51 385,000 454,301 
Series 2019-MEAD:   
Class B, 3.1771% 11/10/36 (a) 246,000 255,400 
Class C, 3.1771% 11/10/36 (a) 235,000 240,836 
RETL floater Series 2019-RVP:   
Class A, 1 month U.S. LIBOR + 1.150% 2.8085% 3/15/36 (a)(b)(c) 428,982 429,115 
Class B, 1 month U.S. LIBOR + 1.550% 3.2085% 3/15/36 (a)(b)(c) 600,000 600,561 
Class C, 1 month U.S. LIBOR + 2.100% 3.7585% 3/15/36 (a)(b)(c) 1,094,000 1,096,411 
Symphony CLO Ltd. floater Series 2020-22A Class A1A, 3 month U.S. LIBOR + 1.290% 0% 4/18/33 (a)(b)(c)(d) 3,000,000 3,000,000 
UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 1.0558% 12/15/50 (b)(e) 1,472,735 94,477 
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 2.4479% 4/10/46 (a)(b)(c) 888,853 898,245 
Wells Fargo Commercial Mortgage Trust:   
Series 2017-C42 Class XA, 0.89% 12/15/50 (b)(e) 3,665,963 217,103 
Series 2018-C46 Class XA, 0.9441% 8/15/51 (b)(e) 2,135,982 122,034 
Series 2018-C48 Class A5, 4.302% 1/15/52 339,000 398,589 
WF-RBS Commercial Mortgage Trust:   
Series 2014-C21 Class XA, 1.0362% 8/15/47 (b)(e) 1,026,653 38,574 
Series 2014-LC14 Class XA, 1.2075% 3/15/47 (b)(e) 1,433,278 54,181 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $44,445,813)  44,453,921 
Municipal Securities - 0.4%   
California Gen. Oblig. Series 2009:   
7.35% 11/1/39 $90,000 $146,642 
7.5% 4/1/34 700,000 1,160,313 
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 2,525,000 2,954,250 
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 1,550,000 2,023,866 
TOTAL MUNICIPAL SECURITIES   
(Cost $5,611,037)  6,285,071 
Foreign Government and Government Agency Obligations - 0.4%   
Argentine Republic 5.875% 1/11/28 $2,000,000 $814,375 
Dominican Republic:   
4.5% 1/30/30 (a) 1,200,000 1,200,000 
5.95% 1/25/27 (a) 2,850,000 3,117,188 
6% 7/19/28 (a) 550,000 606,031 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $6,694,623)  5,737,594 
Bank Notes - 0.1%   
Discover Bank 4.682% 8/9/28 (b) 401,000 426,143 
Regions Bank 6.45% 6/26/37 250,000 352,840 
Synchrony Bank 3.65% 5/24/21 559,000 572,769 
TOTAL BANK NOTES   
(Cost $1,261,304)  1,351,752 
 Shares Value 
Fixed-Income Funds - 29.7%   
Fidelity Emerging Markets Debt Central Fund (f) 4,398,231 $41,167,445 
Fidelity Floating Rate Central Fund (f) 791,965 78,729,230 
Fidelity Mortgage Backed Securities Central Fund (f) 2,347,817 261,171,167 
Fidelity Specialized High Income Central Fund (f) 909,218 90,912,707 
TOTAL FIXED-INCOME FUNDS   
(Cost $464,397,481)  471,980,549 
 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 1,532,975 
 Shares Value 
Money Market Funds - 3.4%   
Fidelity Cash Central Fund 1.60% (g)   
(Cost $54,271,741) 54,261,634 54,272,486 

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 $42,465 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.7375% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 200,000 3,364 
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 15,441 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 3,300,000 81,508 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.905% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/28/24 1,200,000 17,554 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.741% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/12/24 5,000,000 83,410 
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 36,784 
TOTAL PUT OPTIONS   280,526 
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 66,888 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.7375% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 200,000 8,223 
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 6,600,000 689,854 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 3,300,000 105,224 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.905% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/28/24 1,200,000 55,812 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.741% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/12/24 5,000,000 206,085 
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 4,200,000 256,896 
TOTAL CALL OPTIONS   1,388,982 
TOTAL PURCHASED SWAPTIONS    
(Cost $1,252,914)   1,669,508 
TOTAL INVESTMENT IN SECURITIES - 105.9%    
(Cost $1,602,557,824)   1,680,868,795 
NET OTHER ASSETS (LIABILITIES) - (5.9)%   (93,820,865) 
NET ASSETS - 100%   $1,587,047,930 

TBA Sale Commitments   
 Principal Amount Value 
Ginnie Mae   
2.5% 3/1/50 $(2,400,000) $(2,463,565) 
3% 3/1/50 (1,600,000) (1,653,173) 
3% 3/1/50 (1,100,000) (1,136,557) 
3% 3/1/50 (600,000) (619,940) 
3% 3/1/50 (1,500,000) (1,549,850) 
3.5% 3/1/50 (1,300,000) (1,346,802) 
3.5% 3/1/50 (1,400,000) (1,450,403) 
3.5% 3/1/50 (700,000) (725,201) 
3.5% 3/1/50 (2,200,000) (2,279,204) 
3.5% 3/1/50 (10,000,000) (10,360,018) 
3.5% 3/1/50 (800,000) (828,801) 
3.5% 3/1/50 (400,000) (414,401) 
3.5% 3/1/50 (300,000) (310,801) 
TOTAL GINNIE MAE  (25,138,716) 
Uniform Mortgage Backed Securities   
3% 3/1/35 (950,000) (983,898) 
3% 3/1/35 (950,000) (983,898) 
3% 3/1/50 (950,000) (978,300) 
3% 3/1/50 (2,800,000) (2,883,409) 
3.5% 3/1/50 (1,300,000) (1,349,941) 
3.5% 3/1/50 (900,000) (934,574) 
3.5% 3/1/50 (2,200,000) (2,284,515) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (10,398,535) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $35,342,730)  $(35,537,251) 

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 1.83% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2030 1/23/25 1,700,000 $(28,174) 
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 (25,925) 
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 (16,442) 
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 (10,572) 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.684% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2030 1/27/25 1,000,000 (18,990) 
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 (10,982) 
TOTAL PUT SWAPTIONS   (111,085) 
Call Swaptions    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.83% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2030 1/23/25 1,700,000 (75,153) 
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 (97,310) 
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 (89,081) 
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 (275,540) 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.684% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2030 1/27/25 1,000,000 (39,785) 
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 (29,749) 
TOTAL CALL SWAPTIONS   (606,618) 
TOTAL WRITTEN SWAPTIONS   $(717,703) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Sold      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 10 June 2020 $1,347,500 $(34,261) $(34,261) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 131 June 2020 28,600,984 (262,085) (262,085) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 44 June 2020 5,401,000 (103,562) (103,562) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) June 2020 170,250 (7,275) (7,275) 
TOTAL FUTURES CONTRACTS     $(407,183) 

The notional amount of futures sold as a percentage of Net Assets is 2.2%

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 12 Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly $7,780,000 $62,958 $(108) $62,850 
CMBX N.A. AAA Index Series 12 Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly 600,000 4,856 123 4,979 
CMBX N.A. AAA Index Series 12 Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly 1,400,000 11,329 (256) 11,073 
CMBX N.A. AAA Index Series 12 Aug. 2061 Morgan Stanley Capital Services LLC (0.5%) Monthly 1,260,000 10,196 617 10,813 
TOTAL CREDIT DEFAULT SWAPS      $89,339 $376 $89,715 

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          
1.75% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2022 $14,768,000 $218,210 $0 $218,210 
3-month LIBOR(3) Quarterly 1.75% Semi - annual LCH Mar. 2025 5,001,000 (159,059) (159,059) 
2% Semi - annual 3-month LIBOR (3) Quarterly LCH Mar. 2027 1,890,000 85,252 85,252 
3-month LIBOR(3) Quarterly 2% Semi - annual LCH Mar. 2030 2,090,000 (95,197) (95,197) 
TOTAL INTEREST RATE SWAPS       $49,206 $0 $49,206 

 (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 $168,229,030 or 10.6% 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 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 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 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 $197,428 
Fidelity Emerging Markets Debt Central Fund 1,122,687 
Fidelity Floating Rate Central Fund 2,227,541 
Fidelity Mortgage Backed Securities Central Fund 3,270,824 
Fidelity Specialized High Income Central Fund 2,512,939 
Total $9,331,419 

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.

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 $37,597,948 $3,043,247 $-- $-- $526,250 $41,167,445 1.5% 
Fidelity Floating Rate Central Fund 68,020,064 11,992,976 -- -- (1,283,810) 78,729,230 4.1% 
Fidelity Mortgage Backed Securities Central Fund 230,637,827 31,771,480 4,500,000 51,169 3,210,691 261,171,167 12.6% 
Fidelity Specialized High Income Central Fund 92,655,512 12,590,099 12,250,000 (307,086) (1,775,818) 90,912,707 22.5% 
Total $428,911,351 $59,397,802 $16,750,000 $(255,917) $677,313 $471,980,549  

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2020, 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 $364,794,708 $-- $364,794,708 $-- 
U.S. Government and Government Agency Obligations 572,040,803 -- 572,040,803 -- 
U.S. Government Agency - Mortgage Securities 99,667,479 -- 99,667,479 -- 
Asset-Backed Securities 48,421,335 -- 48,421,335 -- 
Collateralized Mortgage Obligations 8,660,614 -- 8,660,614 -- 
Commercial Mortgage Securities 44,453,921 -- 44,453,921 -- 
Municipal Securities 6,285,071 -- 6,285,071 -- 
Foreign Government and Government Agency Obligations 5,737,594 -- 5,737,594 -- 
Bank Notes 1,351,752 -- 1,351,752 -- 
Fixed-Income Funds 471,980,549 471,980,549 -- -- 
Preferred Securities 1,532,975 -- 1,532,975 -- 
Money Market Funds 54,272,486 54,272,486 -- -- 
Purchased Swaptions 1,669,508 -- 1,669,508 -- 
Total Investments in Securities: $1,680,868,795 $526,253,035 $1,154,615,760 $-- 
Derivative Instruments:     
Assets     
Swaps $392,801 $-- $392,801 $-- 
Total Assets $392,801 $-- $392,801 $-- 
Liabilities     
Futures Contracts $(407,183) $(407,183) $-- $-- 
Swaps (254,256) -- (254,256) -- 
Written Swaptions (717,703) -- (717,703) -- 
Total Liabilities $(1,379,142) $(407,183) $(971,959) $-- 
Total Derivative Instruments: $(986,341) $(407,183) $(579,158) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(35,537,251) $-- $(35,537,251) $-- 
Total Other Financial Instruments: $(35,537,251) $-- $(35,537,251) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2020. 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) $89,339 $0 
Total Credit Risk 89,339 
Interest Rate Risk   
Futures Contracts(b) (407,183) 
Purchased Swaptions(c) 1,669,508 
Swaps(d) 303,462 (254,256) 
Written Swaptions(e) (717,703) 
Total Interest Rate Risk 1,972,970 (1,379,142) 
Total Value of Derivatives $2,062,309 $(1,379,142) 

 (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 Total accumulated earnings (loss).

 (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 Total accumulated earnings (loss).

 (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 86.3% 
Cayman Islands 2.4% 
United Kingdom 2.0% 
Mexico 2.0% 
Netherlands 1.2% 
Others (Individually Less Than 1%) 6.1% 
 100.0% 

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


Financial Statements

Statement of Assets and Liabilities

  February 29, 2020 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $1,083,888,602) 
$1,154,615,760  
Fidelity Central Funds (cost $518,669,222) 526,253,035  
Total Investment in Securities (cost $1,602,557,824)  $1,680,868,795 
Segregated cash with brokers for derivative instruments  323,529 
Cash  
Receivable for investments sold  12,098 
Receivable for premium on written options  564,070 
Receivable for TBA sale commitments  35,342,730 
Receivable for fund shares sold  11,770,822 
Interest receivable  6,911,454 
Distributions receivable from Fidelity Central Funds  54,106 
Receivable for daily variation margin on centrally cleared OTC swaps  22,280 
Bi-lateral OTC swaps, at value  89,339 
Total assets  1,735,959,225 
Liabilities   
Payable for investments purchased   
Regular delivery $3,715,471  
Delayed delivery 103,384,216  
TBA sale commitments, at value 35,537,251  
Payable for fund shares redeemed 4,991,224  
Accrued management fee 387,767  
Payable for daily variation margin on futures contracts 176,852  
Written options, at value (premium receivable $564,070) 717,703  
Other payables and accrued expenses 811  
Total liabilities  148,911,295 
Net Assets  $1,587,047,930 
Net Assets consist of:   
Paid in capital  $1,503,399,498 
Total accumulated earnings (loss)  83,648,432 
Net Assets  $1,587,047,930 
Net Asset Value, offering price and redemption price per share ($1,587,047,930 ÷ 151,159,896 shares)  $10.50 

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


Statement of Operations

  Six months ended February 29, 2020 (Unaudited) 
Investment Income   
Dividends  $51,470 
Interest (including $10,678 from security lending)  15,505,690 
Income from Fidelity Central Funds  7,788,141 
Total income  23,345,301 
Expenses   
Management fee $2,165,497  
Independent trustees' fees and expenses 2,284  
Commitment fees 1,634  
Total expenses before reductions 2,169,415  
Expense reductions (2,729)  
Total expenses after reductions  2,166,686 
Net investment income (loss)  21,178,615 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 6,243,044  
Fidelity Central Funds (255,917)  
Futures contracts (62,700)  
Swaps (70,222)  
Written options 6,587  
Capital gain distributions from Fidelity Central Funds 1,543,278  
Total net realized gain (loss)  7,404,070 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 20,569,162  
Fidelity Central Funds 677,313  
Futures contracts (401,157)  
Swaps 187,584  
Written options (33,097)  
Delayed delivery commitments (191,333)  
Total change in net unrealized appreciation (depreciation)  20,808,472 
Net gain (loss)  28,212,542 
Net increase (decrease) in net assets resulting from operations  $49,391,157 

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


Statement of Changes in Net Assets

 Six months ended February 29, 2020 (Unaudited) Year ended August 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $21,178,615 $35,279,705 
Net realized gain (loss) 7,404,070 1,721,142 
Change in net unrealized appreciation (depreciation) 20,808,472 74,063,154 
Net increase (decrease) in net assets resulting from operations 49,391,157 111,064,001 
Distributions to shareholders (24,357,335) (35,140,109) 
Share transactions   
Proceeds from sales of shares 470,594,038 617,290,307 
Reinvestment of distributions 24,357,335 35,140,104 
Cost of shares redeemed (277,631,025) (296,815,641) 
Net increase (decrease) in net assets resulting from share transactions 217,320,348 355,614,770 
Total increase (decrease) in net assets 242,354,170 431,538,662 
Net Assets   
Beginning of period 1,344,693,760 913,155,098 
End of period $1,587,047,930 $1,344,693,760 
Other Information   
Shares   
Sold 45,677,357 62,846,985 
Issued in reinvestment of distributions 2,362,222 3,556,674 
Redeemed (26,970,084) (30,153,202) 
Net increase (decrease) 21,069,495 36,250,457 

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


Financial Highlights

Fidelity Total Bond K6 Fund

 Six months ended (Unaudited) February 29, Years endedAugust 31,   
 2020 2019 2018 2017 A 
Selected Per–Share Data     
Net asset value, beginning of period $10.34 $9.73 $10.07 $10.00 
Income from Investment Operations     
Net investment income (loss)B .151 .315 .280 .061 
Net realized and unrealized gain (loss) .183 .610 (.347) .073 
Total from investment operations .334 .925 (.067) .134 
Distributions from net investment income (.154) (.315) (.261) (.064) 
Distributions from net realized gain (.020) – (.012) – 
Total distributions (.174) (.315) (.273) (.064) 
Net asset value, end of period $10.50 $10.34 $9.73 $10.07 
Total ReturnC,D 3.28% 9.72% (.66)% 1.35% 
Ratios to Average Net AssetsE,F     
Expenses before reductions .30%G .30% .30% .30%G 
Expenses net of fee waivers, if any .30%G .30% .30% .30%G 
Expenses net of all reductions .30%G .30% .30% .30%G 
Net investment income (loss) 2.95%G 3.20% 2.87% 2.45%G 
Supplemental Data     
Net assets, end of period (000 omitted) $1,587,048 $1,344,694 $913,155 $493,245 
Portfolio turnover rateH 129%G 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 ranged from less than .005% to .01%.

 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 (Unaudited)

For the period ended February 29, 2020

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.

Effective January 1, 2020:

Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".

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 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 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 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 FMR 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 
.01% 
Fidelity Specialized High Income Central Fund FMR 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 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. 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 February 29, 2020 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. 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 $86,034,997 
Gross unrealized depreciation (8,167,143) 
Net unrealized appreciation (depreciation) $77,867,854 
Tax cost $1,602,384,525 

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.

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 $(99,073) $141,453 
Total Credit Risk (99,073) 141,453 
Interest Rate Risk   
Futures Contracts (62,700) (401,157) 
Purchased Options (2,492) 87,594 
Swaps 28,851 46,131 
Written Options 6,587 (33,097) 
Total Interest Rate Risk (29,754) (300,529) 
Totals $(128,827) $(159,076) 

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, other than short-term securities and U.S. government securities, are noted in the table below.

 Purchases ($) Sales ($) 
Fidelity Total Bond K6 Fund 439,814,557 303,635,575 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (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. Funds 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.

Certain Funds participate 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 participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Commitment fees on the Statement of Operations, and are as follows:

 Amount 
Fidelity Total Bond K6 Fund $1,634 

During the period, there were no borrowings 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 expenses by $2,729.

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.

11. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

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 (September 1, 2019 to February 29, 2020).

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
September 1, 2019 
Ending
Account Value
February 29, 2020 
Expenses Paid
During Period-B
September 1, 2019
to February 29, 2020 
Actual .30% $1,000.00 $1,032.80 $1.52 
Hypothetical-C  $1,000.00 $1,023.37 $1.51 

 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 182/366 (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

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Total Bond K6 Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2019 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Approval of Amended and Restated Advisory Contracts. At its September 2019 meeting, the Board also unanimously determined to approve an amended and restated management contract and sub-advisory agreements (Amended and Restated Contracts) in connection with an upcoming consolidation of certain of Fidelity's advisory businesses. The Board considered that, on or about January 1, 2020, Fidelity Investments Money Management, Inc. (FIMM) and FMR Co., Inc. (FMRC) expect to merge with and into FMR and, after the merger, FMR expects to redomicile as a Delaware limited liability company. The Board also approved the termination of the sub-advisory agreements with FIMM and FMRC upon the completion of the merger. The Board noted that references to FMR in the Amended and Restated Contracts would be updated to reflect FMR's new form of organization and domicile. The Board also approved amendments that clarify that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable. The Board also noted Fidelity's assurance that neither the planned consolidation nor the Amended and Restated Contracts will change the investment processes, the level or nature of services provided, the resources and personnel allocated, trading and compliance operations, or any fees or expenses paid by the fund.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.

The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and a peer group of funds with similar objectives (peer group), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-year period.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods of the fund's operations shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

Fidelity Total Bond K6 Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2018.

The Board noted that it and the boards of other Fidelity funds formed an ad hoc Committee on Group Fee, which meets periodically, to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. The Committee's focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component (such as the fund) and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of the fund's total expense ratio, the Board considered the fund's unitary fee rate, which includes expenses paid by FMR under the fund's management contract, such as transfer agent fees, pricing and bookkeeping fees and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of the fund compared to competitive fund median expenses. The fund is compared to those funds in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the fund's total expense ratio ranked below the competitive median for 2018.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.

PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses. The Board considered that a joint ad hoc committee created by it and the boards of other Fidelity funds had recently been established, and meets periodically, to evaluate potential fall-out benefits. The Board noted that the committee was expected to, among other things: (i) discuss the legal framework surrounding potential fall-out benefits; (ii) review the Board's responsibilities and approach to potential fall-out benefits; and (iii) review practices employed by competitor funds regarding the review of potential fall-out benefits. The Board noted that it would consider the committee's findings in connection with future consideration of contract renewals.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board recognized that, due to the fund's current contractual arrangements, its expense ratio will not decline if the fund's operating costs decrease as assets grow, or rise as assets decrease. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the practices of certain sub-advisers regarding their receipt of research from broker-dealers that execute the funds' portfolio transactions; (vi) the terms of Fidelity's voluntary expense limitation agreements; (vii) the methodology with respect to competitive fund data and peer group classifications; (viii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (ix) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (x) the impact on fund profitability of recent changes in total net assets for Fidelity's money market funds, anticipated changes to the competitive landscape for money market funds, and the level of investor comfort with gates, fees, and floating NAVs; (xi) the funds' share class structures and distribution channels; and (xii) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed and the fund's Amended and Restated Contracts should be approved.

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot not be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

TBDK6-SANN-0420
1.9884014.102


Fidelity® Total Bond Fund



Semi-Annual Report

February 29, 2020

Includes Fidelity and Fidelity Advisor share classes

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


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

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Liquidity Risk Management Program


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. © 2020 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.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following the end of this reporting period, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Investment Summary (Unaudited)

Quality Diversification (% of fund's net assets)

As of February 29, 2020 
   U.S. Government and U.S. Government Agency Obligations 56.2% 
   AAA 4.3% 
   AA 0.9% 
   5.1% 
   BBB 20.0% 
   BB and Below 12.7% 
   Not Rated 2.2% 
 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 February 29, 2020*,**,*** 
   Corporate Bonds 30.8% 
   U.S. Government and U.S. Government Agency Obligations 56.2% 
   Asset-Backed Securities 3.2% 
   CMOs and Other Mortgage Related Securities 4.0% 
   Municipal Bonds 0.7% 
   Other Investments 6.5% 
 Short-Term Investments and Net Other Assets (Liabilities) (1.4)% 


 * Foreign investments - 13.0%

 ** Futures and Swaps - 3.1%

 *** Written options - (1.7)%

 † 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 February 29, 2020 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 30.8%   
 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 $3,382,140 
3.375% 8/15/26 6,718,000 6,486,280 
  9,868,420 
Nonconvertible Bonds - 30.8%   
COMMUNICATION SERVICES - 3.2%   
Diversified Telecommunication Services - 1.2%   
AT&T, Inc.:   
2.45% 6/30/20 7,195,000 7,201,932 
3% 6/30/22 7,993,000 8,246,520 
3.4% 5/15/25 25,177,000 26,860,974 
3.6% 2/17/23 26,826,000 28,252,144 
3.6% 7/15/25 4,081,000 4,390,528 
4.3% 2/15/30 10,373,000 11,882,794 
4.45% 4/1/24 1,500,000 1,650,108 
4.5% 3/9/48 13,000,000 14,820,980 
5.15% 11/15/46 12,000,000 14,887,778 
6.2% 3/15/40 7,512,000 10,139,800 
6.3% 1/15/38 10,617,000 14,659,105 
Axtel S.A.B. de CV 6.375% 11/14/24 (b) 976,000 1,004,304 
C&W Senior Financing Designated Activity Co.:   
6.875% 9/15/27 (b) 17,295,000 18,246,225 
7.5% 10/15/26 (b) 12,845,000 13,487,250 
Century Telephone Enterprises, Inc. 6.875% 1/15/28 285,000 316,350 
CenturyLink, Inc.:   
5.125% 12/15/26 (b) 8,750,000 8,815,625 
5.625% 4/1/25 3,040,000 3,169,200 
Colombia Telecomunicaciones SA 5.375% 9/27/22 (b) 1,841,000 1,852,967 
Front Range BidCo, Inc.:   
4% 3/1/27 (b)(c) 2,850,000 2,768,063 
6.125% 3/1/28 (b)(c) 1,595,000 1,573,069 
Frontier Communications Corp. 8% 4/1/27 (b) 4,460,000 4,627,250 
GTH Finance BV 7.25% 4/26/23 (b) 1,960,000 2,185,086 
Iliad SA 0.625% 11/25/21 (Reg. S) EUR8,500,000 9,433,026 
Intelsat Connect Finance SA 9.5% 2/15/23 (b) 2,790,000 1,646,100 
Level 3 Financing, Inc.:   
5.125% 5/1/23 3,500,000 3,508,750 
5.375% 1/15/24 7,175,000 7,157,206 
5.375% 5/1/25 1,758,000 1,794,619 
Qtel International Finance Ltd.:   
3.25% 2/21/23 (b) 2,075,000 2,116,500 
5% 10/19/25 (b) 660,000 741,675 
Sable International Finance Ltd. 5.75% 9/7/27 (b) 1,250,000 1,303,125 
SFR Group SA:   
7.375% 5/1/26 (b) 10,351,000 10,855,094 
8.125% 2/1/27 (b) 13,501,000 14,713,120 
Sprint Capital Corp. 6.875% 11/15/28 5,720,000 6,812,177 
Telecom Italia Capital SA:   
6% 9/30/34 1,570,000 1,766,250 
6.375% 11/15/33 885,000 1,025,874 
Telecom Italia SpA 5.303% 5/30/24 (b) 8,625,000 9,207,188 
Telefonica Celular del Paraguay SA 5.875% 4/15/27 (b) 625,000 655,148 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) 7,200,000 7,596,000 
Turk Telekomunikasyon A/S 6.875% 2/28/25 (b) 625,000 657,422 
Verizon Communications, Inc.:   
4.862% 8/21/46 10,531,000 14,013,188 
5.012% 4/15/49 5,836,000 8,063,122 
5.5% 3/16/47 22,998,000 33,673,617 
  337,777,253 
Entertainment - 0.1%   
NBCUniversal, Inc.:   
4.45% 1/15/43 6,238,000 7,688,301 
5.95% 4/1/41 4,363,000 6,354,984 
Netflix, Inc.:   
4.875% 4/15/28 2,525,000 2,658,093 
4.875% 6/15/30 (b) 1,275,000 1,343,595 
5.375% 11/15/29 (b) 2,120,000 2,304,864 
5.875% 11/15/28 3,270,000 3,676,461 
6.375% 5/15/29 1,015,000 1,162,277 
  25,188,575 
Interactive Media & Services - 0.0%   
Match Group, Inc. 4.125% 8/1/30 (b) 1,245,000 1,219,727 
Media - 1.6%   
Altice Financing SA:   
5% 1/15/28 (b) 6,655,000 6,454,685 
7.5% 5/15/26 (b) 14,513,000 15,311,215 
Altice Finco SA 7.625% 2/15/25 (b) 5,099,000 5,309,334 
Cablevision SA 6.5% 6/15/21 (b) 645,000 628,875 
Cablevision Systems Corp. 5.875% 9/15/22 1,988,000 2,087,698 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4% 3/1/23 (b) 4,074,000 4,114,740 
4.5% 8/15/30 (b) 3,170,000 3,205,663 
5% 2/1/28 (b) 12,200,000 12,688,000 
5.125% 5/1/23 (b) 6,996,000 7,077,853 
5.125% 5/1/27 (b) 7,097,000 7,378,751 
5.5% 5/1/26 (b) 7,769,000 8,061,114 
5.75% 2/15/26 (b) 7,122,000 7,404,743 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 13,008,000 13,804,022 
4.908% 7/23/25 13,008,000 14,574,891 
5.375% 5/1/47 32,692,000 37,616,777 
6.484% 10/23/45 9,078,000 11,675,036 
Comcast Corp.:   
3.9% 3/1/38 3,341,000 3,898,211 
4.6% 8/15/45 8,807,000 11,219,806 
4.65% 7/15/42 7,870,000 9,895,295 
6.45% 3/15/37 1,399,000 2,065,893 
CSC Holdings LLC:   
5.25% 6/1/24 2,729,000 2,947,320 
5.375% 7/15/23 (b) 6,090,000 6,238,596 
5.5% 5/15/26 (b) 4,409,000 4,564,880 
5.5% 4/15/27 (b) 6,077,000 6,396,043 
6.75% 11/15/21 5,240,000 5,544,025 
7.5% 4/1/28 (b) 3,026,000 3,411,815 
7.75% 7/15/25 (b) 9,531,000 10,031,378 
DISH DBS Corp.:   
5.875% 11/15/24 8,151,000 8,360,725 
7.75% 7/1/26 863,000 927,345 
Fox Corp.:   
3.666% 1/25/22 (b) 2,306,000 2,401,193 
4.03% 1/25/24 (b) 4,055,000 4,385,273 
4.709% 1/25/29 (b) 5,868,000 6,880,865 
5.476% 1/25/39 (b) 5,787,000 7,420,850 
5.576% 1/25/49 (b) 3,840,000 5,161,650 
Globo Comunicacao e Participacoes SA 4.843% 6/8/25 (b) 694,000 718,290 
iHeartCommunications, Inc.:   
6.375% 5/1/26 78,393 84,249 
8.375% 5/1/27 142,088 154,300 
Lagardere S.C.A.:   
1.625% 6/21/24 (Reg. S) EUR3,100,000 3,451,950 
2.125% 10/16/26 (Reg. S) EUR8,800,000 9,868,474 
2.75% 4/13/23 (Reg. S) EUR4,600,000 5,336,771 
Radiate Holdco LLC/Radiate Financial Service Ltd.:   
6.625% 2/15/25 (b) 11,150,000 11,177,875 
6.875% 2/15/23 (b) 1,509,000 1,516,545 
Sirius XM Radio, Inc.:   
3.875% 8/1/22 (b) 3,880,000 3,870,804 
4.625% 5/15/23 (b) 6,125,000 6,170,938 
4.625% 7/15/24 (b) 5,755,000 5,933,117 
5% 8/1/27 (b) 5,281,000 5,525,246 
5.375% 4/15/25 (b) 4,109,000 4,215,135 
Time Warner Cable, Inc.:   
4% 9/1/21 12,918,000 13,276,190 
4.5% 9/15/42 20,648,000 21,494,142 
5.5% 9/1/41 8,265,000 9,666,763 
5.875% 11/15/40 10,540,000 12,604,543 
6.55% 5/1/37 29,622,000 38,589,367 
7.3% 7/1/38 24,672,000 33,494,497 
TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) 6,201,000 5,606,092 
Virgin Media Secured Finance PLC 5.5% 8/15/26 (b) 2,762,000 2,842,284 
VTR Finance BV 6.875% 1/15/24 (b) 3,774,000 3,850,070 
Ziggo Bond Co. BV:   
5.125% 2/28/30 (b) 3,960,000 4,008,708 
6% 1/15/27 (b) 7,071,000 7,451,066 
Ziggo BV 5.5% 1/15/27 (b) 7,646,000 7,875,686 
  477,927,662 
Wireless Telecommunication Services - 0.3%   
America Movil S.A.B. de CV 3.125% 7/16/22 5,873,000 6,054,696 
Citizens Utilities Co. 7.05% 10/1/46 6,489,000 2,984,940 
Comcel Trust 6.875% 2/6/24 (b) 2,564,000 2,621,690 
Digicel Group Ltd. 6.75% 3/1/23 (b) 806,000 514,329 
Intelsat Jackson Holdings SA:   
8.5% 10/15/24 (b) 4,545,000 3,923,835 
9.75% 7/15/25 (b) 6,020,000 5,308,888 
Millicom International Cellular SA:   
6% 3/15/25 (b) 3,373,000 3,456,271 
6.625% 10/15/26 (b) 13,781,000 14,745,670 
6.625% 10/15/26 (Reg. S) 350,000 374,500 
MTN (Mauritius) Investments Ltd.:   
5.373% 2/13/22 (b) 525,000 544,950 
6.5% 10/13/26 (b) 424,000 483,758 
MTS International Funding Ltd. 5% 5/30/23 (b) 349,000 371,685 
Neptune Finco Corp. 6.625% 10/15/25 (b) 2,105,000 2,199,767 
Oztel Holdings SPC Ltd. 5.625% 10/24/23 (b) 538,000 564,900 
Sprint Communications, Inc. 6% 11/15/22 16,756,000 17,972,486 
Sprint Corp.:   
7.125% 6/15/24 4,315,000 4,901,106 
7.875% 9/15/23 17,008,000 19,445,757 
T-Mobile U.S.A., Inc. 4.5% 2/1/26 2,583,000 2,617,741 
TBG Global Pte. Ltd. 5.25% 2/10/22 (Reg. S) 1,258,000 1,270,769 
VFU Funding PLC (VF Ukraine) 6.2% 2/11/25 (b) 200,000 197,000 
Ypso Finance BIS SA 6% 2/15/28 (b) 4,445,000 4,268,534 
  94,823,272 
TOTAL COMMUNICATION SERVICES  936,936,489 
CONSUMER DISCRETIONARY - 1.0%   
Auto Components - 0.0%   
Metalsa SA de CV 4.9% 4/24/23 (b) 2,408,000 2,490,625 
Samvardhana Motherson Automotive Systems Group BV 1.8% 7/6/24 (Reg. S) EUR2,543,000 2,670,251 
  5,160,876 
Automobiles - 0.3%   
General Motors Financial Co., Inc.:   
3.2% 7/13/20 12,869,000 12,911,769 
4% 1/15/25 11,521,000 12,190,140 
4.2% 3/1/21 16,735,000 17,069,700 
4.25% 5/15/23 3,453,000 3,643,702 
4.375% 9/25/21 30,556,000 31,583,739 
RCI Banque SA 1.125% 1/15/27 (Reg. S) EUR3,780,000 4,067,940 
  81,466,990 
Diversified Consumer Services - 0.1%   
Bonitron Designated Activity Co. 8.75% 10/30/22 (b) 1,975,000 2,085,477 
Frontdoor, Inc. 6.75% 8/15/26 (b) 2,244,000 2,455,620 
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) 9,275,000 9,535,859 
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 5,393,000 5,901,945 
Laureate Education, Inc. 8.25% 5/1/25 (b) 6,345,000 6,726,525 
Service Corp. International 5.125% 6/1/29 2,220,000 2,400,375 
  29,105,801 
Hotels, Restaurants & Leisure - 0.4%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
4.25% 5/15/24 (b) 1,870,000 1,871,777 
4.375% 1/15/28 (b) 4,880,000 4,855,600 
5% 10/15/25 (b) 3,361,000 3,376,393 
Aramark Services, Inc. 4.75% 6/1/26 4,603,000 4,764,105 
Caesars Resort Collection LLC 5.25% 10/15/25 (b) 10,264,000 10,079,453 
Eldorado Resorts, Inc.:   
6% 4/1/25 4,324,000 4,518,580 
6% 9/15/26 615,000 667,275 
Golden Entertainment, Inc. 7.625% 4/15/26 (b) 9,360,000 9,991,800 
Golden Nugget, Inc. 6.75% 10/15/24 (b) 8,330,000 8,181,726 
Hilton Domestic Operating Co., Inc. 4.25% 9/1/24 4,638,000 4,653,445 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 1,644,000 1,650,165 
4.875% 4/1/27 975,000 996,938 
Marriott Ownership Resorts, Inc. 4.75% 1/15/28 (b) 1,395,000 1,395,000 
MCE Finance Ltd. 4.875% 6/6/25 (b) 7,973,000 8,012,767 
NagaCorp Ltd. 9.375% 5/21/21 (b) 1,000,000 1,043,125 
Penn National Gaming, Inc. 5.625% 1/15/27 (b) 4,000,000 4,140,000 
Scientific Games Corp. 5% 10/15/25 (b) 3,249,000 3,259,153 
Stars Group Holdings BV 7% 7/15/26 (b) 12,960,000 13,932,000 
Station Casinos LLC 5% 10/1/25 (b) 2,733,000 2,746,665 
Studio City Co. Ltd. 7.25% 11/30/21 (b) 956,000 968,548 
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (b) 618,000 605,640 
Times Square Hotel Trust 8.528% 8/1/26 (b) 1,143,287 1,350,377 
Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (b) 3,470,000 3,615,063 
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (b) 3,284,000 3,404,211 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) 3,013,000 2,900,013 
Wynn Macau Ltd.:   
4.875% 10/1/24 (b) 5,990,000 5,978,260 
5.5% 10/1/27 (b) 4,970,000 5,016,594 
  113,974,673 
Household Durables - 0.0%   
Adams Homes, Inc. 7.5% 2/15/25 (b) 505,000 515,100 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
3 month U.S. LIBOR + 3.500% 5.3313% 7/15/21 (b)(d)(e) 898,000 895,082 
5.125% 7/15/23 (b) 2,774,000 2,801,740 
7% 7/15/24 (b) 2,995,000 3,023,093 
  7,235,015 
Leisure Products - 0.1%   
Hasbro, Inc.:   
2.6% 11/19/22 7,080,000 7,284,783 
3% 11/19/24 16,110,000 16,897,128 
Mattel, Inc. 6.75% 12/31/25 (b) 2,592,000 2,724,062 
  26,905,973 
Multiline Retail - 0.1%   
John Lewis PLC 6.125% 1/21/25 GBP4,985,000 7,245,425 
Marks & Spencer PLC 3.25% 7/10/27 (Reg. S) GBP3,650,000 4,744,974 
  11,990,399 
Specialty Retail - 0.0%   
Staples, Inc. 10.75% 4/15/27 (b) 750,000 717,900 
Textiles, Apparel & Luxury Goods - 0.0%   
Delta Merlin Dunia Tekstil PT 8.625% 3/12/24 (b)(f) 425,000 52,858 
The William Carter Co. 5.625% 3/15/27 (b) 2,460,000 2,617,256 
  2,670,114 
TOTAL CONSUMER DISCRETIONARY  279,227,741 
CONSUMER STAPLES - 1.9%   
Beverages - 0.7%   
Anheuser-Busch InBev Finance, Inc.:   
4.7% 2/1/36 23,011,000 27,035,341 
4.9% 2/1/46 28,689,000 35,159,496 
Anheuser-Busch InBev Worldwide, Inc.:   
4.75% 4/15/58 17,929,000 21,673,310 
5.45% 1/23/39 18,170,000 23,666,788 
5.55% 1/23/49 34,229,000 46,367,928 
5.8% 1/23/59 (Reg. S) 36,395,000 51,416,519 
Central American Bottling Corp. 5.75% 1/31/27 (b) 188,000 198,164 
Constellation Brands, Inc. 4.25% 5/1/23 3,316,000 3,549,787 
  209,067,333 
Food & Staples Retailing - 0.0%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 3.5% 2/15/23 (b) 145,000 145,181 
C&S Group Enterprises LLC 5.375% 7/15/22 (b) 3,010,000 3,055,451 
ESAL GmbH 6.25% 2/5/23 (b) 268,000 269,008 
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 6,403,000 6,568,824 
  10,038,464 
Food Products - 0.3%   
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (b) 1,647,000 1,638,765 
Conagra Brands, Inc. 3.8% 10/22/21 3,969,000 4,125,731 
Gruma S.A.B. de CV 4.875% 12/1/24 (Reg. S) 1,207,000 1,316,950 
JBS Investments II GmbH 7% 1/15/26 (b) 1,192,000 1,272,460 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (b) 13,055,000 13,365,056 
5.875% 7/15/24 (b) 23,400,000 23,809,968 
6.75% 2/15/28 (b) 1,480,000 1,604,764 
JBS U.S.A. Lux SA / JBS Food Co.:   
5.5% 1/15/30 (b) 4,445,000 4,690,853 
6.5% 4/15/29 (b) 9,180,000 9,957,546 
Lamb Weston Holdings, Inc.:   
4.625% 11/1/24 (b) 1,367,000 1,422,815 
4.875% 11/1/26 (b) 991,000 1,028,212 
MHP SA 7.75% 5/10/24 (b) 800,000 840,000 
Post Holdings, Inc.:   
4.625% 4/15/30 (b) 640,000 630,778 
5% 8/15/26 (b) 6,204,000 6,328,080 
5.625% 1/15/28 (b) 1,905,000 1,991,125 
5.75% 3/1/27 (b) 1,714,000 1,783,666 
  75,806,769 
Personal Products - 0.0%   
Prestige Brands, Inc. 6.375% 3/1/24 (b) 1,223,000 1,260,705 
Tobacco - 0.9%   
Altria Group, Inc.:   
2.85% 8/9/22 6,099,000 6,265,960 
3.875% 9/16/46 28,850,000 28,070,278 
4% 1/31/24 4,082,000 4,414,528 
4.25% 8/9/42 17,795,000 18,118,277 
4.5% 5/2/43 11,887,000 12,373,398 
4.8% 2/14/29 17,974,000 20,562,150 
5.375% 1/31/44 21,453,000 25,186,674 
5.95% 2/14/49 14,275,000 18,123,730 
BAT International Finance PLC 3.95% 6/15/25 (b) 3,070,000 3,325,129 
Imperial Tobacco Finance PLC:   
2.95% 7/21/20 (b) 12,741,000 12,793,820 
3.5% 7/26/26 (b) 12,260,000 12,868,129 
3.75% 7/21/22 (b) 12,933,000 13,513,672 
4.25% 7/21/25 (b) 11,765,000 12,787,484 
Reynolds American, Inc.:   
3.25% 6/12/20 2,086,000 2,093,764 
4% 6/12/22 7,254,000 7,618,601 
4.45% 6/12/25 19,449,000 21,473,629 
5.7% 8/15/35 2,699,000 3,223,129 
5.85% 8/15/45 22,737,000 27,197,833 
6.15% 9/15/43 2,874,000 3,467,046 
7.25% 6/15/37 3,221,000 4,269,049 
  257,746,280 
TOTAL CONSUMER STAPLES  553,919,551 
ENERGY - 5.7%   
Energy Equipment & Services - 0.2%   
ADES International Holding Ltd. 8.625% 4/24/24 (b) 1,475,000 1,512,797 
Borets Finance DAC 6.5% 4/7/22 (b) 676,000 700,083 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 12,030,000 12,535,561 
6.5% 4/1/20 470,000 471,624 
Halliburton Co.:   
3.8% 11/15/25 6,237,000 6,840,604 
4.85% 11/15/35 5,447,000 6,288,616 
Jonah Energy LLC 7.25% 10/15/25 (b) 4,725,000 1,134,000 
Nabors Industries, Inc. 5.75% 2/1/25 1,880,000 1,348,900 
Noble Holding International Ltd.:   
5.25% 3/15/42 1,204,000 313,040 
7.875% 2/1/26 (b) 1,230,000 757,988 
7.95% 4/1/25 (d) 4,823,000 1,816,679 
8.95% 4/1/45 (d) 4,655,000 1,629,250 
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) 781,000 928,414 
Summit Midstream Holdings LLC:   
5.5% 8/15/22 1,285,000 1,100,281 
5.75% 4/15/25 6,817,000 5,044,580 
The Oil and Gas Holding Co.:   
7.5% 10/25/27 (b) 1,182,000 1,355,237 
7.625% 11/7/24 (b) 615,000 706,481 
Transocean Poseidon Ltd. 6.875% 2/1/27 (b) 645,000 654,804 
U.S.A. Compression Partners LP:   
6.875% 4/1/26 3,685,000 3,565,606 
6.875% 9/1/27 1,210,000 1,172,248 
Valaris PLC:   
4.5% 10/1/24 4,029,000 1,692,180 
5.2% 3/15/25 8,288,000 3,190,880 
5.75% 10/1/44 4,970,000 1,518,981 
Weatherford International Ltd. 11% 12/1/24 (b) 2,989,000 2,858,680 
  59,137,514 
Oil, Gas & Consumable Fuels - 5.5%   
Amerada Hess Corp.:   
7.125% 3/15/33 3,656,000 4,634,757 
7.3% 8/15/31 4,354,000 5,570,463 
California Resources Corp. 8% 12/15/22 (b) 10,120,000 2,327,600 
Canadian Natural Resources Ltd.:   
3.9% 2/1/25 15,925,000 17,304,205 
5.85% 2/1/35 6,942,000 8,938,439 
Cenovus Energy, Inc. 4.25% 4/15/27 22,916,000 24,565,080 
Cheniere Energy Partners LP:   
5.25% 10/1/25 19,337,000 19,385,729 
5.625% 10/1/26 1,507,000 1,514,535 
Chesapeake Energy Corp.:   
7% 10/1/24 3,630,000 1,270,500 
8% 1/15/25 5,431,000 1,629,300 
8% 6/15/27 10,099,000 3,029,700 
Citgo Holding, Inc. 9.25% 8/1/24 (b) 5,747,000 5,976,880 
Citgo Petroleum Corp. 6.25% 8/15/22 (b) 7,765,000 7,765,000 
Columbia Pipeline Group, Inc.:   
3.3% 6/1/20 9,868,000 9,893,167 
4.5% 6/1/25 2,999,000 3,342,901 
Comstock Escrow Corp. 9.75% 8/15/26 9,189,000 7,695,788 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.625% 5/1/27 (b) 4,430,000 4,097,529 
5.75% 4/1/25 3,855,000 3,768,263 
6.25% 4/1/23 8,235,000 7,824,897 
CVR Energy, Inc. 5.25% 2/15/25 (b) 4,820,000 4,494,650 
DCP Midstream LLC:   
4.75% 9/30/21 (b) 7,220,000 7,178,124 
5.85% 5/21/43 (b)(d) 16,107,000 14,496,300 
DCP Midstream Operating LP:   
3.875% 3/15/23 3,524,000 3,508,142 
5.125% 5/15/29 5,000,000 4,912,500 
5.375% 7/15/25 5,606,000 5,872,397 
Denbury Resources, Inc.:   
7.75% 2/15/24 (b) 5,405,000 3,029,503 
9% 5/15/21 (b) 4,001,000 3,500,875 
9.25% 3/31/22 (b) 7,229,000 5,783,200 
DTEK Finance PLC 10.75% 12/31/24 pay-in-kind (d) 6,387,087 6,199,466 
Duke Energy Field Services 6.45% 11/3/36 (b) 8,754,000 8,950,965 
EG Global Finance PLC:   
6.75% 2/7/25 (b) 4,525,000 4,423,188 
8.5% 10/30/25 (b) 7,885,000 8,119,185 
El Paso Corp. 6.5% 9/15/20 10,282,000 10,541,335 
Empresa Nacional de Petroleo 4.375% 10/30/24 (b) 5,762,000 6,123,926 
Enable Midstream Partners LP 3.9% 5/15/24 (d) 2,707,000 2,770,125 
Enbridge Energy Partners LP 4.2% 9/15/21 8,493,000 8,742,932 
Enbridge, Inc.:   
4% 10/1/23 9,942,000 10,633,720 
4.25% 12/1/26 4,925,000 5,493,053 
Energy Transfer Partners LP:   
3.75% 5/15/30 8,703,000 8,820,014 
4.2% 9/15/23 3,683,000 3,945,056 
4.25% 3/15/23 3,594,000 3,806,253 
4.5% 4/15/24 4,042,000 4,379,019 
4.95% 6/15/28 12,566,000 13,847,469 
5% 5/15/50 19,455,000 19,720,889 
5.25% 4/15/29 6,576,000 7,385,302 
5.8% 6/15/38 7,006,000 7,825,114 
6% 6/15/48 4,563,000 5,124,797 
6.25% 4/15/49 4,516,000 5,204,919 
Enterprise Products Operating LP 3.75% 2/15/25 6,359,000 6,924,331 
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 5/15/26 (b)(f) 2,976,000 1,755,840 
EQT Corp.:   
3.9% 10/1/27 2,465,000 1,608,413 
6.125% 2/1/25 2,337,000 1,777,055 
Frontera Energy Corp. 9.7% 6/25/23 (b) 1,638,000 1,695,330 
GeoPark Ltd. 6.5% 9/21/24 (b) 1,200,000 1,203,188 
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) 1,134,000 1,179,359 
Global Partners LP/GLP Finance Corp.:   
7% 6/15/23 6,352,000 6,518,740 
7% 8/1/27 3,700,000 3,826,929 
Hess Corp.:   
4.3% 4/1/27 3,221,000 3,396,157 
5.6% 2/15/41 5,395,000 5,831,575 
5.8% 4/1/47 15,757,000 17,451,071 
Hess Infrastructure Partners LP 5.625% 2/15/26 (b) 8,157,000 8,136,771 
Hess Midstream Partners LP 5.125% 6/15/28 (b) 2,040,000 1,989,000 
Hilcorp Energy I LP/Hilcorp Finance Co. 5% 12/1/24 (b) 3,964,000 3,131,560 
Holly Energy Partners LP/Holly Finance Corp. 5% 2/1/28 (b) 5,115,000 5,146,969 
Indika Energy Capital II Pte. Ltd. 6.875% 4/10/22 (b) 3,261,000 3,235,140 
KazMunaiGaz National Co. 4.75% 4/24/25 (b) 313,000 341,953 
Kinder Morgan Energy Partners LP:   
3.45% 2/15/23 6,689,000 6,984,742 
3.5% 3/1/21 7,224,000 7,310,004 
5.5% 3/1/44 27,364,000 32,708,374 
6.55% 9/15/40 1,203,000 1,557,341 
Kinder Morgan, Inc.:   
5% 2/15/21 (b) 6,757,000 6,935,464 
5.05% 2/15/46 3,092,000 3,515,511 
5.55% 6/1/45 7,786,000 9,264,290 
Kosmos Energy Ltd. 7.125% 4/4/26 (b) 2,840,000 2,769,000 
Marathon Petroleum Corp. 5.125% 3/1/21 6,484,000 6,668,336 
Medco Strait Services Pte. Ltd. 8.5% 8/17/22 (b) 640,000 662,600 
MEG Energy Corp.:   
7% 3/31/24 (b) 2,211,000 2,094,923 
7.125% 2/1/27 (b) 4,720,000 4,452,234 
MPLX LP:   
3 month U.S. LIBOR + 0.900% 2.785% 9/9/21 (d)(e) 5,829,000 5,845,744 
3 month U.S. LIBOR + 1.100% 2.985% 9/9/22 (d)(e) 8,773,000 8,805,152 
4.5% 7/15/23 6,299,000 6,801,751 
4.8% 2/15/29 3,672,000 4,114,294 
4.875% 12/1/24 8,532,000 9,463,762 
5.5% 2/15/49 11,018,000 12,375,768 
Naftogaz of Ukraine NJSC 7.625% 11/8/26 (b) 450,000 469,913 
NAK Naftogaz Ukraine 7.375% 7/19/22 (Reg. S) 1,570,000 1,635,939 
Nostrum Oil & Gas Finance BV 8% 7/25/22 (b) 7,356,000 3,323,993 
Occidental Petroleum Corp.:   
2.6% 8/13/21 5,678,000 5,750,354 
2.7% 8/15/22 5,018,000 5,113,400 
2.9% 8/15/24 16,582,000 16,806,134 
3.2% 8/15/26 2,231,000 2,271,475 
3.5% 8/15/29 7,032,000 7,095,248 
4.3% 8/15/39 1,024,000 983,183 
4.4% 8/15/49 1,024,000 974,242 
4.5% 7/15/44 30,708,000 29,321,601 
4.85% 3/15/21 4,287,000 4,399,245 
5.55% 3/15/26 14,762,000 16,677,550 
6.45% 9/15/36 16,266,000 19,215,473 
6.6% 3/15/46 18,160,000 22,046,168 
7.5% 5/1/31 21,425,000 27,222,385 
Pampa Holding SA 7.375% 7/21/23 (b) 1,133,000 993,145 
Parsley Energy LLC/Parsley:   
5.25% 8/15/25 (b) 456,000 451,440 
5.375% 1/15/25 (b) 7,010,000 7,010,140 
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 4,743,000 4,858,255 
Pemex Project Funding Master Trust:   
6.625% 6/15/35 4,853,000 4,855,427 
8.625% 2/1/22 650,000 710,125 
Petrobras Global Finance BV:   
5.093% 1/15/30 (b) 101,718,000 108,711,113 
5.999% 1/27/28 793,000 898,469 
6.25% 3/17/24 2,085,000 2,359,295 
6.9% 3/19/49 475,000 568,813 
7.25% 3/17/44 28,700,000 35,393,738 
8.75% 5/23/26 3,354,000 4,301,505 
Petrobras International Finance Co. Ltd. 6.875% 1/20/40 1,800,000 2,165,940 
Petroleos de Venezuela SA:   
5.375% 4/12/27 (f) 621,100 63,663 
6% 5/16/24 (b)(f) 3,207,669 325,578 
6% 11/15/26 (b)(f) 2,790,167 283,202 
12.75% 2/17/22 (b)(f) 172,000 17,630 
Petroleos Mexicanos:   
3 month U.S. LIBOR + 3.650% 5.5384% 3/11/22 (d)(e) 890,000 919,828 
2.5% 11/24/22 (Reg. S) EUR454,000 517,231 
2.75% 4/21/27 (Reg. S) EUR2,345,000 2,375,999 
3.5% 1/30/23 1,850,000 1,850,000 
3.625% 11/24/25 (Reg. S) EUR1,421,000 1,595,185 
3.75% 2/21/24 (Reg. S) EUR8,001,000 9,285,380 
4.5% 1/23/26 22,915,000 22,536,903 
4.875% 1/18/24 6,441,000 6,692,199 
5.375% 3/13/22 200,000 207,000 
5.95% 1/28/31 (b) 59,072,000 57,353,005 
6.35% 2/12/48 43,373,000 40,150,386 
6.49% 1/23/27 (b) 36,590,000 38,328,025 
6.5% 3/13/27 58,538,000 61,245,383 
6.5% 6/2/41 1,270,000 1,228,725 
6.75% 9/21/47 35,208,000 33,714,741 
6.84% 1/23/30 (b) 80,806,000 84,442,270 
6.95% 1/28/60 (b) 23,467,000 22,622,188 
7.69% 1/23/50 (b) 50,920,000 53,160,480 
Plains All American Pipeline LP/PAA Finance Corp.:   
3.55% 12/15/29 4,919,000 4,839,194 
3.6% 11/1/24 4,912,000 5,090,140 
3.65% 6/1/22 4,550,000 4,677,498 
PT Adaro Indonesia 4.25% 10/31/24 (b) 2,415,000 2,341,934 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 7,228,000 7,716,825 
Sanchez Energy Corp. 7.25% 2/15/23 (b)(f) 7,883,000 4,335,650 
Saudi Arabian Oil Co.:   
3.5% 4/16/29 (b) 3,890,000 4,129,478 
4.25% 4/16/39 (b) 3,660,000 4,035,150 
4.375% 4/16/49 (b) 3,480,000 3,925,331 
Southwestern Energy Co. 6.2% 1/23/25 (d) 21,859,000 16,175,660 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 32,027,000 33,952,641 
Sunoco LP/Sunoco Finance Corp.:   
4.875% 1/15/23 3,130,000 3,120,673 
5.5% 2/15/26 2,245,000 2,278,900 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
4.25% 11/15/23 5,050,000 5,002,025 
5.125% 2/1/25 6,329,000 6,352,860 
5.875% 4/15/26 3,705,000 3,816,521 
6.75% 3/15/24 2,816,000 2,868,856 
The Williams Companies, Inc.:   
4.55% 6/24/24 21,661,000 23,732,162 
5.75% 6/24/44 12,223,000 14,486,517 
Transportadora de Gas del Sur SA 6.75% 5/2/25 (b) 1,363,000 1,178,995 
Tullow Oil PLC:   
6.25% 4/15/22 (b) 4,705,000 3,387,600 
6.25% 4/15/22 (Reg. S) 1,470,000 1,058,400 
Viper Energy Partners LP 5.375% 11/1/27 (b) 6,915,000 7,027,715 
Western Gas Partners LP:   
3.95% 6/1/25 3,216,000 3,263,702 
4.65% 7/1/26 5,039,000 5,289,197 
4.75% 8/15/28 3,701,000 3,791,101 
Williams Partners LP:   
3.6% 3/15/22 6,891,000 7,111,266 
3.9% 1/15/25 16,989,000 18,254,102 
4% 11/15/21 6,456,000 6,684,954 
4% 9/15/25 1,911,000 2,068,781 
4.125% 11/15/20 1,528,000 1,543,593 
4.3% 3/4/24 26,077,000 28,232,863 
4.5% 11/15/23 4,667,000 5,063,647 
YPF SA:   
8.5% 3/23/21 (b) 1,955,000 1,898,488 
8.5% 3/23/21 (Reg. S) 4,650,000 4,515,586 
8.5% 6/27/29 (b) 625,000 514,551 
8.75% 4/4/24 (b) 6,629,000 6,048,963 
  1,588,156,050 
TOTAL ENERGY  1,647,293,564 
FINANCIALS - 10.5%   
Banks - 3.8%   
ABN AMRO Bank NV 4.4% 3/27/28 (Reg. S) (d) 3,200,000 3,374,790 
AIB Group PLC 1.875% 11/19/29 (Reg. S) (d) EUR2,400,000 2,656,501 
Akbank TAS 7.2% 3/16/27 (b)(d) 1,282,000 1,232,723 
Alfa Bond Issuance PLC 5.95% 4/15/30 (b)(d) 600,000 610,313 
Alpha Bank AE 4.25% 2/13/30 (Reg. S) (d) EUR1,350,000 1,353,741 
Banco de Bogota SA 6.25% 5/12/26 (b) 275,000 308,000 
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) 332,000 348,808 
Banco Do Brasil SA:   
4.625% 1/15/25 (b) 503,000 532,551 
4.875% 4/19/23 (b) 298,000 315,135 
Banco Espirito Santo SA 4% 12/31/49 (Reg. S) (f) EUR1,300,000 243,973 
Banco Macro SA 6.75% 11/4/26 (b)(d) 2,335,000 1,961,400 
Bank Ireland Group PLC:   
2.375% 10/14/29 (Reg. S) (d) EUR3,900,000 4,481,238 
3.125% 9/19/27 (Reg. S) (d) GBP2,600,000 3,402,629 
Bank of America Corp.:   
3.004% 12/20/23 (d) 32,898,000 34,090,942 
3.3% 1/11/23 574,000 600,118 
3.419% 12/20/28 (d) 14,844,000 16,039,306 
3.5% 4/19/26 13,098,000 14,307,257 
3.705% 4/24/28 (d) 20,736,000 22,700,758 
3.864% 7/23/24 (d) 43,427,000 46,464,381 
3.95% 4/21/25 10,930,000 11,929,715 
4.1% 7/24/23 7,314,000 7,920,387 
4.2% 8/26/24 25,822,000 28,346,478 
4.25% 10/22/26 9,380,000 10,472,106 
4.45% 3/3/26 4,916,000 5,548,964 
Banque Centrale de Tunisie 5.75% 1/30/25 (b) 865,000 809,045 
Barclays PLC:   
2% 2/7/28 (Reg. S) (d) EUR2,350,000 2,627,152 
2.625% 11/11/25 (Reg. S) (d) EUR4,350,000 4,857,321 
3.25% 1/12/21 13,452,000 13,641,673 
3.932% 5/7/25 (d) 5,127,000 5,452,778 
4.375% 1/12/26 15,982,000 17,635,338 
5.088% 6/20/30 (d) 26,155,000 29,697,256 
BBVA Bancomer SA 7.25% 4/22/20 (b) 595,000 598,719 
Biz Finance PLC 9.625% 4/27/22 (b) 1,451,250 1,521,997 
BTA Bank JSC 5.5% 12/21/22 (b) 1,325,389 1,333,672 
Capital One NA 2.15% 9/6/22 14,297,000 14,440,402 
CBOM Finance PLC:   
4.7% 1/29/25 (b) 345,000 340,688 
5.55% 2/14/23 (b) 608,000 623,200 
Citigroup, Inc.:   
2.75% 4/25/22 15,927,000 16,291,060 
3.142% 1/24/23 (d) 14,530,000 14,895,657 
3.352% 4/24/25 (d) 17,534,000 18,564,386 
4.05% 7/30/22 3,378,000 3,564,713 
4.3% 11/20/26 7,797,000 8,632,027 
4.4% 6/10/25 31,901,000 35,500,068 
4.45% 9/29/27 19,254,000 21,760,457 
5.5% 9/13/25 14,874,000 17,415,628 
Citizens Financial Group, Inc. 4.15% 9/28/22 (b) 10,185,000 10,796,944 
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(d) 9,644,000 10,253,002 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 12,394,000 12,400,569 
3.75% 3/26/25 12,391,000 13,395,727 
3.8% 9/15/22 19,558,000 20,582,858 
3.8% 6/9/23 23,347,000 24,807,772 
CYBG PLC 3.125% 6/22/25 (Reg. S) (d) GBP1,489,000 1,941,347 
Danske Bank A/S:   
0.5% 8/27/25 (Reg. S) (d) EUR4,290,000 4,694,582 
1.375% 5/24/22 (Reg. S) EUR2,150,000 2,427,368 
2.25% 1/14/28 (Reg. S) (d) GBP3,450,000 4,472,668 
5% 1/12/22 (b) 5,210,000 5,518,267 
5.375% 1/12/24 (Reg. S) 6,050,000 6,780,947 
Development Bank of Mongolia 7.25% 10/23/23 (b) 436,000 463,386 
Development Bank of the Republic of Belarus 6.75% 5/2/24 (b) 500,000 528,125 
Discover Bank:   
4.2% 8/8/23 11,373,000 12,226,518 
7% 4/15/20 1,293,000 1,301,090 
Ecobank Transnational, Inc. 9.5% 4/18/24 (b) 310,000 346,134 
Fidelity Bank PLC 10.5% 10/16/22 (b) 641,000 714,314 
Fifth Third Bancorp 8.25% 3/1/38 2,973,000 4,959,021 
Georgia Bank Joint Stock Co. 6% 7/26/23 (b) 2,363,000 2,498,873 
HAT Holdings I LLC/HAT Holdings II LLC 5.25% 7/15/24 (b) 670,000 700,150 
HSBC Holdings PLC 4.25% 3/14/24 3,945,000 4,240,883 
Huntington Bancshares, Inc. 7% 12/15/20 1,816,000 1,889,111 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (b) 4,094,000 4,310,517 
5.71% 1/15/26 (b) 27,047,000 29,419,153 
Itau Unibanco Holding SA:   
5.125% 5/13/23 (Reg. S) 640,000 666,000 
6.2% 12/21/21 (Reg. S) 624,000 655,980 
JPMorgan Chase & Co.:   
2.95% 10/1/26 11,773,000 12,480,918 
3.25% 9/23/22 11,737,000 12,228,379 
3.797% 7/23/24 (d) 44,260,000 47,310,587 
3.875% 9/10/24 22,801,000 24,694,682 
4.125% 12/15/26 20,651,000 23,235,807 
4.25% 10/15/20 4,456,000 4,528,324 
4.452% 12/5/29 (d) 40,200,000 46,872,209 
4.5% 1/24/22 14,045,000 14,800,292 
4.625% 5/10/21 4,382,000 4,543,561 
Luminor Bank A/S Estonia 1.375% 10/21/22 (Reg. S) EUR1,250,000 1,402,486 
Nykredit Realkredit A/S 4% 6/3/36 (Reg. S) (d) EUR9,184,000 10,579,081 
Oschadbank Via SSB #1 PLC 9.375% 3/10/23 (b) 684,250 713,544 
Rabobank Nederland 4.375% 8/4/25 16,524,000 18,347,724 
Royal Bank of Scotland Group PLC:   
4.8% 4/5/26 15,141,000 17,309,047 
5.125% 5/28/24 44,276,000 48,470,816 
6% 12/19/23 62,524,000 70,101,668 
6.1% 6/10/23 26,301,000 29,099,974 
6.125% 12/15/22 27,112,000 29,577,046 
T.C. Ziraat Bankasi A/S 5.125% 5/3/22 (b) 1,330,000 1,305,894 
TBC Bank JSC 5.75% 6/19/24 (b) 340,000 355,406 
Trade and Development Bank of Mongolia LLC 9.375% 5/19/20 (b) 1,831,000 1,846,564 
Turkiye Garanti Bankasi A/S:   
6.125% 5/24/27 (b)(d) 1,355,000 1,247,870 
6.25% 4/20/21 (Reg. S) 2,600,000 2,647,125 
Turkiye Is Bankasi A/S:   
5% 4/30/20 (b) 645,000 644,194 
5.5% 4/21/22 (b) 901,000 899,874 
Turkiye Sinai Kalkinma Bankasi A/S 6% 1/23/25 (b) 965,000 937,256 
Turkiye Vakiflar Bankasi TAO 5.75% 1/30/23 (b) 3,747,000 3,689,624 
UniCredit SpA:   
2.731% 1/15/32 (Reg. S) (d) EUR5,050,000 5,579,675 
6.572% 1/14/22 (b) 23,534,000 25,276,367 
Westpac Banking Corp. 4.11% 7/24/34 (d) 13,519,000 14,797,803 
  1,107,960,554 
Capital Markets - 3.0%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 13,384,000 14,466,952 
4.25% 2/15/24 9,340,000 10,148,067 
Ares Capital Corp. 4.2% 6/10/24 31,505,000 33,457,494 
Credit Suisse Group AG:   
2.593% 9/11/25 (b)(d) 38,976,000 39,791,877 
3.869% 1/12/29 (b)(d) 11,793,000 12,817,948 
4.207% 6/12/24 (b)(d) 18,061,000 19,386,682 
5.75% 9/18/25 (Reg. S) (d) EUR3,925,000 4,449,562 
6.5% 8/8/23 (Reg. S) 10,235,000 11,442,280 
Deutsche Bank AG:   
1.625% 2/12/21 (Reg. S) EUR14,900,000 16,661,520 
1.625% 1/20/27 (Reg. S) EUR5,100,000 5,671,144 
4.5% 4/1/25 51,329,000 51,145,467 
Deutsche Bank AG New York Branch:   
3.15% 1/22/21 18,290,000 18,455,852 
3.3% 11/16/22 30,321,000 31,121,132 
5% 2/14/22 29,755,000 31,313,317 
Goldman Sachs Group, Inc.:   
2.876% 10/31/22 (d) 64,328,000 65,601,653 
3.2% 2/23/23 10,830,000 11,325,056 
3.691% 6/5/28 (d) 128,004,000 139,938,724 
3.75% 5/22/25 12,741,000 13,789,391 
4.25% 10/21/25 5,020,000 5,483,315 
6.75% 10/1/37 6,976,000 9,995,810 
Intercontinental Exchange, Inc. 2.75% 12/1/20 4,134,000 4,170,521 
Merrill Lynch & Co., Inc. 5.5% 11/22/21 GBP780,000 1,071,931 
Moody's Corp.:   
3.25% 1/15/28 7,339,000 7,991,107 
4.875% 2/15/24 6,892,000 7,670,886 
Morgan Stanley:   
3.125% 1/23/23 8,282,000 8,641,641 
3.125% 7/27/26 69,344,000 73,902,702 
3.7% 10/23/24 23,877,000 25,963,648 
3.737% 4/24/24 (d) 79,634,000 84,575,276 
3.95% 4/23/27 2,007,000 2,209,458 
4.431% 1/23/30 (d) 14,132,000 16,412,114 
4.875% 11/1/22 16,717,000 18,089,008 
5% 11/24/25 27,517,000 31,752,514 
5.75% 1/25/21 12,664,000 13,115,958 
MSCI, Inc. 4.75% 8/1/26 (b) 2,641,000 2,742,573 
UBS AG 4.75% 2/12/26 (Reg. S) (d) EUR13,533,000 15,516,430 
UBS Group Funding Ltd. 4.125% 9/24/25 (b) 12,029,000 13,406,695 
  873,695,705 
Consumer Finance - 1.6%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.875% 8/14/24 22,114,000 22,526,939 
3.5% 5/26/22 4,764,000 4,897,963 
4.125% 7/3/23 13,016,000 13,838,300 
4.45% 12/16/21 9,385,000 9,778,498 
4.45% 4/3/26 10,546,000 11,526,035 
4.875% 1/16/24 16,603,000 18,066,948 
Ally Financial, Inc.:   
3.875% 5/21/24 2,530,000 2,652,376 
4.625% 3/30/25 2,128,000 2,319,328 
5.75% 11/20/25 15,011,000 16,942,165 
8% 11/1/31 2,458,000 3,402,708 
Capital One Financial Corp. 3.8% 1/31/28 20,732,000 22,623,000 
Credito Real S.A.B. de CV 9.5% 2/7/26 (b) 855,000 966,150 
Discover Financial Services:   
3.85% 11/21/22 22,201,000 23,478,722 
3.95% 11/6/24 9,389,000 10,173,806 
4.1% 2/9/27 15,432,000 16,854,925 
4.5% 1/30/26 15,184,000 16,907,488 
5.2% 4/27/22 7,992,000 8,607,501 
Ford Motor Credit Co. LLC:   
3.087% 1/9/23 2,770,000 2,777,291 
4.063% 11/1/24 77,591,000 79,065,143 
4.535% 3/6/25 GBP1,000,000 1,356,015 
5.085% 1/7/21 9,629,000 9,879,213 
5.584% 3/18/24 29,686,000 31,762,580 
5.596% 1/7/22 19,922,000 21,020,134 
Navient Corp.:   
5.5% 1/25/23 5,602,000 5,728,045 
5.875% 10/25/24 475,000 486,885 
6.125% 3/25/24 1,297,000 1,339,153 
6.5% 6/15/22 7,023,000 7,321,478 
6.625% 7/26/21 4,025,000 4,143,818 
7.25% 1/25/22 2,491,000 2,621,778 
7.25% 9/25/23 3,210,000 3,450,750 
Shriram Transport Finance Co. Ltd. 5.1% 7/16/23 (b) 580,000 581,485 
Springleaf Finance Corp.:   
6.875% 3/15/25 5,415,000 5,956,500 
7.125% 3/15/26 1,390,000 1,542,900 
Synchrony Financial:   
2.85% 7/25/22 5,574,000 5,700,044 
3.75% 8/15/21 4,720,000 4,842,535 
3.95% 12/1/27 24,512,000 26,304,321 
4.25% 8/15/24 4,751,000 5,107,705 
4.375% 3/19/24 7,611,000 8,202,129 
5.15% 3/19/29 29,391,000 34,269,050 
  469,021,804 
Diversified Financial Services - 0.7%   
1MDB Global Investments Ltd. 4.4% 3/9/23 7,800,000 7,586,719 
AXA Equitable Holdings, Inc. 3.9% 4/20/23 3,251,000 3,456,897 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 16,257,000 17,097,644 
3.85% 2/1/25 9,126,000 9,878,193 
3.875% 8/15/22 13,396,000 14,087,551 
4.125% 6/15/26 15,162,000 16,810,621 
4.125% 5/15/29 18,497,000 20,653,593 
Cimpor Financial Operations BV 5.75% 7/17/24 (b) 2,452,000 2,042,823 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.75% 9/15/24 (b) 5,425,000 5,533,500 
6.25% 5/15/26 3,650,000 3,741,652 
6.375% 12/15/25 4,491,000 4,636,958 
MPH Acquisition Holdings LLC 7.125% 6/1/24 (b) 6,780,000 6,306,892 
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) 22,337,000 24,562,487 
Pine Street Trust I:   
4.572% 2/15/29 (b) 19,248,000 21,807,391 
5.568% 2/15/49 (b) 19,200,000 23,963,130 
Sparc Em Spc 0% 12/5/22 (b) 129,995 124,146 
Vedanta Resources Finance II PLC 9.25% 4/23/26 (b) 365,000 330,601 
Voya Financial, Inc. 3.125% 7/15/24 8,794,000 9,301,937 
  191,922,735 
Insurance - 1.3%   
Alliant Holdings Intermediate LLC 6.75% 10/15/27 (b) 6,620,000 6,603,582 
American International Group, Inc.:   
3.3% 3/1/21 6,125,000 6,213,398 
3.875% 1/15/35 12,130,000 13,839,331 
4.875% 6/1/22 11,590,000 12,350,057 
AmWINS Group, Inc. 7.75% 7/1/26 (b) 6,280,000 6,519,456 
Aon Corp. 5% 9/30/20 2,455,000 2,501,520 
Cloverie PLC 4.5% 9/11/44 (Reg. S) (d) 3,598,000 3,725,729 
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) 8,055,000 9,479,063 
Marsh & McLennan Companies, Inc.:   
4.375% 3/15/29 12,747,000 14,855,213 
4.75% 3/15/39 5,849,000 7,567,248 
4.8% 7/15/21 4,517,000 4,689,123 
4.9% 3/15/49 11,640,000 15,606,645 
Massachusetts Mutual Life Insurance Co. 3.729% 10/15/70 (b) 23,203,000 24,883,704 
MetLife, Inc. 3.048% 12/15/22 (d) 7,921,000 8,259,107 
Metropolitan Life Global Funding I:   
U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 2.08% 5/28/21 (b)(d)(e) 97,491,000 97,683,910 
3% 1/10/23 (b) 5,030,000 5,266,934 
Pacific LifeCorp 5.125% 1/30/43 (b) 21,516,000 28,250,185 
Pricoa Global Funding I 5.375% 5/15/45 (d) 11,144,000 12,167,911 
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(d) 7,600,000 8,599,400 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) 11,520,000 15,207,948 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) 3,853,000 4,293,529 
Unum Group:   
3.875% 11/5/25 13,752,000 15,047,594 
4% 3/15/24 12,741,000 13,815,773 
4% 6/15/29 15,636,000 17,300,599 
5.625% 9/15/20 5,342,000 5,454,436 
5.75% 8/15/42 16,274,000 19,805,399 
USIS Merger Sub, Inc. 6.875% 5/1/25 (b) 6,765,000 6,733,746 
  386,720,540 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc. 4.75% 3/15/25 1,226,000 1,250,520 
Thrifts & Mortgage Finance - 0.1%   
Nationwide Building Society 3.622% 4/26/23 (b)(d) 5,100,000 5,300,828 
Quicken Loans, Inc. 5.25% 1/15/28 (b) 6,365,000 6,585,866 
  11,886,694 
TOTAL FINANCIALS  3,042,458,552 
HEALTH CARE - 2.3%   
Health Care Equipment & Supplies - 0.0%   
Hologic, Inc.:   
4.375% 10/15/25 (b) 2,379,000 2,422,893 
4.625% 2/1/28 (b) 443,000 459,484 
Teleflex, Inc. 4.875% 6/1/26 4,444,000 4,632,870 
  7,515,247 
Health Care Providers & Services - 1.7%   
Aetna, Inc. 2.75% 11/15/22 1,281,000 1,311,382 
Anthem, Inc. 3.3% 1/15/23 4,104,000 4,289,624 
Centene Corp.:   
3.375% 2/15/30 (b) 14,530,000 14,530,000 
4.25% 12/15/27 (b) 17,210,000 17,705,648 
4.625% 12/15/29 (b) 24,065,000 25,749,550 
4.75% 1/15/25 (b) 12,315,000 12,627,185 
5.25% 4/1/25 (b) 2,125,000 2,186,094 
5.375% 8/15/26 (b) 6,204,000 6,514,200 
Cigna Corp.:   
3.75% 7/15/23 15,701,000 16,715,052 
4.125% 9/15/20 (b) 4,769,000 4,833,841 
4.125% 11/15/25 12,150,000 13,517,755 
4.375% 10/15/28 19,595,000 22,287,228 
4.8% 8/15/38 12,201,000 14,671,930 
4.9% 12/15/48 12,189,000 15,122,984 
Community Health Systems, Inc.:   
6.25% 3/31/23 6,288,000 6,299,821 
8% 3/15/26 (b) 9,845,000 10,166,932 
8.625% 1/15/24 (b) 8,598,000 8,983,018 
CVS Health Corp.:   
3% 8/15/26 2,303,000 2,413,784 
3.25% 8/15/29 5,292,000 5,550,946 
3.7% 3/9/23 5,734,000 6,060,182 
4% 12/5/23 5,431,000 5,826,774 
4.1% 3/25/25 48,287,000 52,920,652 
4.3% 3/25/28 41,514,000 46,456,372 
4.78% 3/25/38 18,481,000 21,795,707 
5.05% 3/25/48 27,172,000 33,441,329 
HCA Holdings, Inc.:   
4.5% 2/15/27 3,357,000 3,712,001 
4.75% 5/1/23 379,000 412,003 
5% 3/15/24 4,061,000 4,513,943 
5.25% 6/15/26 7,307,000 8,357,973 
5.875% 2/15/26 2,434,000 2,747,694 
Sabra Health Care LP 5.125% 8/15/26 4,710,000 5,236,123 
Sabra Health Care LP/Sabra Capital Corp. 3.9% 10/15/29 342,000 362,759 
Tenet Healthcare Corp.:   
4.625% 7/15/24 3,529,000 3,529,071 
4.875% 1/1/26 (b) 2,815,000 2,867,781 
5.125% 5/1/25 2,803,000 2,824,023 
6.25% 2/1/27 (b) 4,625,000 4,844,688 
6.75% 6/15/23 6,838,000 7,316,660 
7% 8/1/25 6,888,000 7,077,420 
8.125% 4/1/22 19,870,000 21,528,152 
Toledo Hospital:   
5.325% 11/15/28 6,970,000 8,119,292 
6.015% 11/15/48 13,176,000 17,067,820 
Vizient, Inc. 6.25% 5/15/27 (b) 375,000 400,313 
  472,895,706 
Health Care Technology - 0.0%   
IMS Health, Inc. 5% 5/15/27 (b) 4,290,000 4,434,788 
Life Sciences Tools & Services - 0.0%   
Avantor, Inc. 6% 10/1/24 (b) 1,863,000 1,955,368 
Charles River Laboratories International, Inc.:   
4.25% 5/1/28 (b) 515,000 518,245 
5.5% 4/1/26 (b) 1,805,000 1,897,822 
  4,371,435 
Pharmaceuticals - 0.6%   
Actavis Funding SCS 3.45% 3/15/22 30,800,000 31,905,660 
Bayer AG 2.375% 4/2/75 (Reg. S) (d) EUR11,360,000 12,637,687 
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) 20,106,000 22,380,827 
Catalent Pharma Solutions 4.875% 1/15/26 (b) 3,265,000 3,346,625 
Elanco Animal Health, Inc.:   
4.662% 8/27/21 (d) 3,218,000 3,374,024 
5.022% 8/28/23 (d) 10,157,000 10,879,029 
5.65% 8/28/28 (d) 4,279,000 4,901,415 
Mylan NV:   
3.15% 6/15/21 13,528,000 13,743,462 
3.95% 6/15/26 7,088,000 7,706,367 
4.55% 4/15/28 13,507,000 15,172,417 
Perrigo Finance PLC 3.5% 12/15/21 982,000 1,005,631 
Teva Pharmaceutical Finance Co. BV:   
2.95% 12/18/22 669,000 642,374 
3.65% 11/10/21 221,000 219,343 
Teva Pharmaceutical Finance Netherlands III BV:   
0.375% 7/25/20 (Reg. S) EUR4,302,492 4,713,353 
1.25% 3/31/23 (Reg. S) EUR2,100,000 2,121,240 
2.2% 7/21/21 2,475,000 2,400,998 
2.8% 7/21/23 13,994,000 13,026,035 
Valeant Pharmaceuticals International, Inc.:   
5.5% 11/1/25 (b) 2,322,000 2,390,685 
5.875% 5/15/23 (b) 152,000 152,570 
7% 3/15/24 (b) 7,310,000 7,526,230 
9% 12/15/25 (b) 618,000 688,118 
Zoetis, Inc.:   
3.25% 2/1/23 3,117,000 3,271,361 
3.45% 11/13/20 3,299,000 3,339,438 
  167,544,889 
TOTAL HEALTH CARE  656,762,065 
INDUSTRIALS - 1.1%   
Aerospace & Defense - 0.3%   
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b) 5,811,000 6,337,009 
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (b) 6,329,000 6,457,827 
Bombardier, Inc.:   
6.125% 1/15/23 (b) 10,365,000 10,387,803 
7.5% 12/1/24 (b) 3,643,000 3,687,080 
7.5% 3/15/25 (b) 1,914,000 1,890,075 
7.875% 4/15/27 (b) 2,210,000 2,193,425 
BWX Technologies, Inc. 5.375% 7/15/26 (b) 6,413,000 6,713,160 
Moog, Inc. 4.25% 12/15/27 (b) 515,000 524,013 
Rolls-Royce PLC 3.375% 6/18/26 GBP6,820,000 9,466,104 
TransDigm UK Holdings PLC 6.875% 5/15/26 1,760,000 1,848,000 
TransDigm, Inc.:   
5.5% 11/15/27 (b) 5,845,000 5,837,986 
6.25% 3/15/26 (b) 9,375,000 9,925,800 
6.5% 5/15/25 5,288,000 5,458,274 
7.5% 3/15/27 700,000 737,660 
  71,464,216 
Air Freight & Logistics - 0.1%   
Aercap Global Aviation Trust 6.5% 6/15/45 (b)(d) 12,162,000 13,074,150 
Rumo Luxembourg Sarl 7.375% 2/9/24 (b) 4,093,000 4,328,987 
  17,403,137 
Airlines - 0.0%   
Aerovias de Mexico SA de CV 7% 2/5/25 (b) 695,000 657,644 
Azul Investments LLP 5.875% 10/26/24 (b) 2,268,000 2,233,980 
  2,891,624 
Building Products - 0.0%   
Advanced Drain Systems, Inc. 5% 9/30/27 (b) 6,400,000 6,616,000 
Elementia S.A.B. de CV 5.5% 1/15/25 (b) 975,000 946,969 
  7,562,969 
Commercial Services & Supplies - 0.1%   
APX Group, Inc. 7.625% 9/1/23 314,000 298,300 
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (b) 2,450,000 2,382,625 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) 3,899,000 3,938,068 
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (b) 9,159,000 9,044,513 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (b) 5,574,000 5,546,130 
Tervita Escrow Corp. 7.625% 12/1/21 (b) 380,000 383,800 
  21,593,436 
Construction & Engineering - 0.0%   
AECOM:   
5.125% 3/15/27 7,722,000 7,978,911 
5.875% 10/15/24 4,702,000 5,160,445 
Odebrecht Finance Ltd.:   
4.375% 4/25/25 (b)(f) 1,640,000 77,900 
7.125% 6/26/42 (b)(f) 2,456,000 123,107 
  13,340,363 
Electrical Equipment - 0.0%   
Sensata Technologies BV 5% 10/1/25 (b) 2,730,000 2,873,598 
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) EUR1,994,000 2,298,683 
  5,172,281 
Industrial Conglomerates - 0.0%   
General Electric Co.:   
0.375% 5/17/22 EUR300,000 332,923 
1.25% 5/26/23 EUR600,000 681,828 
Turk Sise ve Cam Fabrikalari A/S 6.95% 3/14/26 (b) 625,000 655,273 
  1,670,024 
Professional Services - 0.0%   
Thomson Reuters Corp. 3.85% 9/29/24 2,221,000 2,377,366 
Road & Rail - 0.3%   
Alpha Trains Finance SA 2.064% 6/30/30 EUR4,151,000 4,860,608 
Avolon Holdings Funding Ltd.:   
2.875% 2/15/25 (b) 37,550,000 37,511,675 
3.625% 5/1/22 (b) 5,364,000 5,490,915 
3.95% 7/1/24 (b) 7,125,000 7,412,239 
4.375% 5/1/26 (b) 8,768,000 9,335,680 
5.25% 5/15/24 (b) 13,457,000 14,692,912 
JSC Georgian Railway 7.75% 7/11/22 (b) 347,000 380,833 
National Express Group PLC 2.375% 11/20/28 (Reg. S) GBP1,420,000 1,857,650 
Ukraine Railways via Shortline PLC 9.875% 9/15/21 (b) 978,000 1,012,230 
  82,554,742 
Trading Companies & Distributors - 0.3%   
Air Lease Corp.:   
2.25% 1/15/23 4,831,000 4,867,167 
3% 9/15/23 2,041,000 2,102,593 
3.375% 6/1/21 6,685,000 6,825,789 
3.75% 2/1/22 16,816,000 17,311,142 
3.875% 4/1/21 7,396,000 7,575,587 
4.25% 2/1/24 18,355,000 19,786,044 
4.25% 9/15/24 7,664,000 8,234,078 
4.75% 3/1/20 7,515,000 7,515,000 
FLY Leasing Ltd.:   
5.25% 10/15/24 10,223,000 10,478,575 
6.375% 10/15/21 3,822,000 3,869,775 
Travis Perkins PLC:   
4.375% 9/15/21 (Reg. S) GBP207,000 272,794 
4.5% 9/7/23 (Reg. S) GBP1,536,000 2,064,409 
  90,902,953 
Transportation Infrastructure - 0.0%   
Aeropuertos Argentina 2000 SA 6.875% 2/1/27 (b) 3,581,375 3,223,238 
DP World Ltd. 5.625% 9/25/48 (b) 440,000 493,213 
Heathrow Funding Ltd. 7.125% 2/14/24 GBP3,200,000 4,945,242 
  8,661,693 
TOTAL INDUSTRIALS  325,594,804 
INFORMATION TECHNOLOGY - 0.5%   
Communications Equipment - 0.0%   
CommScope Finance LLC:   
5.5% 3/1/24 (b) 600,000 608,688 
6% 3/1/26 (b) 600,000 615,858 
HTA Group Ltd. 9.125% 3/8/22 (b) 1,755,000 1,798,875 
IHS Netherlands Holdco BV 7.125% 3/18/25 (b) 1,935,000 2,031,750 
SSL Robotics LLC 9.75% 12/31/23 (b) 750,000 797,100 
  5,852,271 
Electronic Equipment & Components - 0.1%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
4.42% 6/15/21 (b) 1,529,000 1,574,956 
5.45% 6/15/23 (b) 14,700,000 16,179,329 
6.02% 6/15/26 (b) 5,064,000 5,930,595 
TTM Technologies, Inc. 5.625% 10/1/25 (b) 12,935,000 13,193,700 
  36,878,580 
IT Services - 0.1%   
Banff Merger Sub, Inc. 9.75% 9/1/26 (b) 6,795,000 6,828,635 
Camelot Finance SA 4.5% 11/1/26 (b) 4,300,000 4,321,070 
Gartner, Inc. 5.125% 4/1/25 (b) 850,000 877,710 
Rackspace Hosting, Inc. 8.625% 11/15/24 (b) 7,455,000 7,138,163 
Tempo Acquisition LLC 6.75% 6/1/25 (b) 4,698,000 4,676,013 
Zayo Group LLC/Zayo Capital, Inc.:   
5.75% 1/15/27 (b) 3,806,000 3,891,635 
6.375% 5/15/25 7,170,000 7,331,325 
  35,064,551 
Semiconductors & Semiconductor Equipment - 0.0%   
NXP BV/NXP Funding LLC 4.125% 6/1/21 (b) 1,347,000 1,384,519 
Qorvo, Inc. 5.5% 7/15/26 2,714,000 2,803,562 
  4,188,081 
Software - 0.3%   
Ascend Learning LLC:   
6.875% 8/1/25 (b) 565,000 584,306 
6.875% 8/1/25 (b) 6,935,000 7,143,050 
CDK Global, Inc.:   
4.875% 6/1/27 1,159,000 1,193,770 
5.25% 5/15/29 (b) 730,000 778,363 
5.875% 6/15/26 2,418,000 2,529,953 
Ensemble S Merger Sub, Inc. 9% 9/30/23 (b) 6,506,000 6,676,783 
Fair Isaac Corp. 5.25% 5/15/26 (b) 5,794,000 6,416,855 
Nortonlifelock, Inc. 5% 4/15/25 (b) 11,289,000 11,460,164 
Nuance Communications, Inc. 5.625% 12/15/26 2,663,000 2,809,465 
Open Text Corp.:   
3.875% 2/15/28 (b) 3,090,000 3,075,168 
5.875% 6/1/26 (b) 7,059,000 7,474,069 
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) 14,974,000 15,816,437 
SS&C Technologies, Inc. 5.5% 9/30/27 (b) 9,175,000 9,656,688 
  75,615,071 
TOTAL INFORMATION TECHNOLOGY  157,598,554 
MATERIALS - 0.7%   
Chemicals - 0.2%   
Braskem Idesa SAPI 7.45% 11/15/29 (b) 1,075,000 1,073,377 
CF Industries Holdings, Inc. 5.15% 3/15/34 178,000 199,894 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 5.6436% 6/15/22 (b)(d)(e) 13,342,000 13,209,001 
6.875% 6/15/25 (b) 637,000 619,801 
Element Solutions, Inc. 5.875% 12/1/25 (b) 5,514,000 5,541,680 
International Flavors & Fragrances, Inc. 1.8% 9/25/26 EUR4,273,000 4,999,060 
Nufarm Australia Ltd. 5.75% 4/30/26 (b) 6,356,000 6,260,660 
OCI NV 6.625% 4/15/23 (b) 6,832,000 7,077,952 
OCP SA 6.875% 4/25/44 (b) 275,000 362,227 
Olin Corp.:   
5.125% 9/15/27 3,663,000 3,691,205 
5.625% 8/1/29 4,245,000 4,275,989 
Petkim Petrokimya Holding A/S 5.875% 1/26/23 (b) 3,073,000 3,050,913 
SABIC Capital II BV 4% 10/10/23 (b) 1,583,000 1,672,440 
The Chemours Co. LLC:   
5.375% 5/15/27 3,380,000 2,899,026 
7% 5/15/25 2,595,000 2,419,838 
Valvoline, Inc.:   
4.25% 2/15/30 (b) 1,205,000 1,188,431 
4.375% 8/15/25 2,450,000 2,523,500 
5.5% 7/15/24 1,790,000 1,864,285 
  62,929,279 
Construction Materials - 0.0%   
CEMEX Finance LLC 6% 4/1/24 (b) 381,000 386,834 
CEMEX S.A.B. de CV:   
3.125% 3/19/26 (Reg. S) EUR1,925,000 2,180,224 
7.75% 4/16/26 (b) 604,000 638,428 
  3,205,486 
Containers & Packaging - 0.2%   
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:   
5.25% 8/15/27 (b) 3,500,000 3,557,050 
6% 2/15/25 (b) 14,798,000 15,426,915 
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 2,332,000 2,404,875 
Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 3,408,000 3,507,871 
Flex Acquisition Co., Inc.:   
6.875% 1/15/25 (b) 10,673,000 10,379,706 
7.875% 7/15/26 (b) 2,935,000 2,979,025 
OI European Group BV 4% 3/15/23 (b) 3,440,000 3,478,700 
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (b) 2,504,000 2,627,397 
Silgan Holdings, Inc. 4.75% 3/15/25 1,876,000 1,897,893 
Trivium Packaging Finance BV:   
5.5% 8/15/26 (b) 6,690,000 6,932,526 
8.5% 8/15/27 (b) 945,000 999,734 
  54,191,692 
Metals & Mining - 0.3%   
Allegheny Technologies, Inc. 5.875% 12/1/27 4,080,000 4,090,200 
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (b)(d) 4,471,000 4,560,420 
6.75% 10/19/75 (b)(d) 11,105,000 12,909,563 
Celtic Resources Holdings DAC 4.125% 10/9/24 (b) 795,000 819,624 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (b) 5,273,000 5,638,814 
4.5% 8/1/47 (b) 4,170,000 4,779,863 
CSN Islands XI Corp. 6.75% 1/28/28 (b) 345,000 311,466 
CSN Resources SA 7.625% 2/13/23 (b) 5,285,000 5,285,000 
First Quantum Minerals Ltd.:   
6.5% 3/1/24 (b) 2,201,000 2,066,365 
7.25% 5/15/22 (b) 1,414,000 1,388,195 
7.25% 4/1/23 (b) 11,557,000 11,094,720 
7.5% 4/1/25 (b) 695,000 660,250 
Freeport-McMoRan, Inc.:   
3.55% 3/1/22 3,294,000 3,323,317 
3.875% 3/15/23 1,962,000 1,972,399 
Gold Fields Orogen Holding BVI Ltd.:   
4.875% 10/7/20 (b) 767,000 776,348 
5.125% 5/15/24 (b) 280,000 305,463 
Metinvest BV 7.75% 4/23/23 (b) 4,204,000 4,340,630 
POSCO:   
2.5% 1/17/25 (b) 725,000 733,564 
4% 8/1/23 (b) 615,000 657,726 
PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (b) 2,778,000 2,783,250 
Stillwater Mining Co. 6.125% 6/27/22 (b) 3,687,000 3,765,349 
Usiminas International SARL 5.875% 7/18/26 (b) 690,000 687,413 
Vedanta Resources PLC:   
6.375% 7/30/22 (b) 6,245,000 5,778,577 
8.25% 6/7/21 (b) 230,000 227,988 
  78,956,504 
Paper & Forest Products - 0.0%   
Berry Global Escrow Corp. 4.875% 7/15/26 (b) 3,335,000 3,392,362 
TOTAL MATERIALS  202,675,323 
REAL ESTATE - 2.5%   
Equity Real Estate Investment Trusts (REITs) - 1.7%   
American Campus Communities Operating Partnership LP 3.75% 4/15/23 2,224,000 2,367,014 
American Homes 4 Rent LP 4.25% 2/15/28 896,000 988,754 
AvalonBay Communities, Inc. 3.625% 10/1/20 3,189,000 3,210,096 
Boston Properties, Inc.:   
3.85% 2/1/23 3,713,000 3,944,766 
4.5% 12/1/28 12,665,000 14,953,035 
Camden Property Trust:   
2.95% 12/15/22 4,218,000 4,344,206 
4.25% 1/15/24 5,855,000 6,376,093 
CoreCivic, Inc.:   
4.625% 5/1/23 3,895,000 3,903,569 
5% 10/15/22 3,180,000 3,245,190 
Corporate Office Properties LP 5% 7/1/25 7,885,000 8,811,123 
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 3,260,000 3,390,400 
Duke Realty LP:   
3.625% 4/15/23 4,005,000 4,243,663 
3.75% 12/1/24 3,445,000 3,751,015 
3.875% 10/15/22 11,077,000 11,684,722 
Equity One, Inc. 3.75% 11/15/22 11,531,000 12,151,217 
ESH Hospitality, Inc. 5.25% 5/1/25 (b) 1,169,000 1,175,815 
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 3,243,000 3,629,403 
HCP, Inc.:   
3.25% 7/15/26 2,056,000 2,218,060 
3.5% 7/15/29 2,351,000 2,586,455 
Healthcare Trust of America Holdings LP:   
3.1% 2/15/30 4,838,000 5,058,068 
3.5% 8/1/26 5,039,000 5,460,183 
Hudson Pacific Properties LP 4.65% 4/1/29 27,154,000 31,666,389 
iStar Financial, Inc.:   
4.25% 8/1/25 860,000 853,550 
4.75% 10/1/24 1,085,000 1,107,535 
Lexington Corporate Properties Trust 4.4% 6/15/24 2,936,000 3,105,813 
MGM Growth Properties Operating Partnership LP:   
4.5% 9/1/26 10,728,000 11,103,480 
4.5% 1/15/28 3,959,000 4,057,975 
5.625% 5/1/24 3,500,000 3,788,750 
5.75% 2/1/27 1,410,000 1,543,950 
MPT Operating Partnership LP/MPT Finance Corp.:   
5% 10/15/27 3,424,000 3,572,978 
5.25% 8/1/26 3,615,000 3,760,883 
6.375% 3/1/24 1,433,000 1,477,781 
Omega Healthcare Investors, Inc.:   
3.625% 10/1/29 21,648,000 22,765,753 
4.375% 8/1/23 26,812,000 28,951,085 
4.5% 1/15/25 6,808,000 7,421,034 
4.5% 4/1/27 32,478,000 36,172,260 
4.75% 1/15/28 18,782,000 21,108,527 
4.95% 4/1/24 11,179,000 12,416,141 
5.25% 1/15/26 18,623,000 21,374,143 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 2,151,000 2,299,331 
5% 12/15/23 1,293,000 1,395,137 
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 597,000 605,209 
Senior Housing Properties Trust 6.75% 4/15/20 159,000 159,545 
SITE Centers Corp.:   
3.625% 2/1/25 5,451,000 5,787,615 
4.25% 2/1/26 18,338,000 20,102,458 
4.625% 7/15/22 4,060,000 4,323,830 
4.7% 6/1/27 904,000 1,016,252 
Store Capital Corp. 4.625% 3/15/29 5,948,000 6,882,031 
The GEO Group, Inc.:   
5.875% 10/15/24 1,240,000 1,159,400 
6% 4/15/26 4,574,000 4,139,470 
Uniti Group, Inc. 7.875% 2/15/25 (b) 495,000 510,246 
Ventas Realty LP:   
3% 1/15/30 28,128,000 29,251,300 
3.125% 6/15/23 3,477,000 3,641,423 
3.5% 2/1/25 3,798,000 4,069,467 
3.75% 5/1/24 15,927,000 17,141,139 
4% 3/1/28 6,996,000 7,791,344 
4.125% 1/15/26 3,540,000 3,929,066 
VICI Properties, Inc.:   
3.5% 2/15/25 (b) 2,380,000 2,383,689 
4.125% 8/15/30 (b) 410,000 410,513 
4.25% 12/1/26 (b) 3,430,000 3,464,643 
4.625% 12/1/29 (b) 4,855,000 5,012,788 
Weingarten Realty Investors 3.375% 10/15/22 1,739,000 1,798,020 
WP Carey, Inc.:   
3.85% 7/15/29 4,522,000 5,053,229 
4% 2/1/25 21,671,000 23,338,487 
  479,406,506 
Real Estate Management & Development - 0.8%   
ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S) EUR2,200,000 2,387,001 
Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (d) EUR100,000 115,363 
Blackstone Property Partners Europe LP:   
1.4% 7/6/22 (Reg. S) EUR4,721,000 5,351,162 
1.75% 3/12/29 (Reg. S) EUR5,400,000 6,180,214 
2% 2/15/24 (Reg. S) EUR1,900,000 2,222,390 
Brandywine Operating Partnership LP:   
3.95% 2/15/23 18,541,000 19,686,852 
3.95% 11/15/27 14,429,000 15,845,999 
4.1% 10/1/24 13,139,000 14,342,099 
4.55% 10/1/29 15,790,000 18,302,952 
Ceetrus SA 2.75% 11/26/26 (Reg. S) EUR1,900,000 2,265,456 
Deutsche Annington Finance BV 5% 10/2/23 (b) 3,695,000 4,020,864 
Digital Realty Trust LP:   
3.625% 10/1/22 5,865,000 6,130,143 
3.95% 7/1/22 7,543,000 7,912,601 
4.75% 10/1/25 19,502,000 22,368,329 
Essex Portfolio LP 3.875% 5/1/24 5,607,000 6,105,270 
Greystar Real Estate Partners 5.75% 12/1/25 (b) 459,000 474,491 
Heimstaden Bostad AB 1.125% 1/21/26 EUR3,300,000 3,712,253 
Host Hotels & Resorts LP 4.75% 3/1/23 96,000 103,970 
Howard Hughes Corp. 5.375% 3/15/25 (b) 7,035,000 7,120,827 
Kennedy-Wilson, Inc. 5.875% 4/1/24 516,000 524,395 
Liberty Property LP:   
3.375% 6/15/23 5,207,000 5,543,296 
4.125% 6/15/22 9,480,000 10,017,690 
4.4% 2/15/24 8,293,000 9,230,308 
Logicor Financing SARL 1.625% 7/15/27 (Reg. S) EUR6,000,000 6,918,669 
Mack-Cali Realty LP:   
3.15% 5/15/23 9,387,000 9,459,274 
4.5% 4/18/22 11,063,000 11,400,746 
Post Apartment Homes LP 3.375% 12/1/22 1,637,000 1,709,547 
Samhallsbyggnadsbolaget I Norden AB 1.75% 1/14/25 (Reg. S) EUR5,290,000 6,126,389 
Tanger Properties LP:   
3.125% 9/1/26 8,723,000 8,974,834 
3.75% 12/1/24 15,395,000 16,252,882 
3.875% 12/1/23 3,066,000 3,235,253 
  234,041,519 
TOTAL REAL ESTATE  713,448,025 
UTILITIES - 1.4%   
Electric Utilities - 0.9%   
American Electric Power Co., Inc. 2.95% 12/15/22 3,144,000 3,260,091 
Clearway Energy Operating LLC:   
4.75% 3/15/28 (b) 1,030,000 1,048,025 
5.75% 10/15/25 2,198,000 2,271,259 
Cleco Corporate Holdings LLC 3.375% 9/15/29 (b) 12,555,000 12,901,492 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (b) 18,694,000 19,943,247 
6.4% 9/15/20 (b) 16,498,000 16,883,385 
Energias de Portugal SA 1.7% 7/20/80 (Reg. S) (d) EUR2,600,000 2,805,637 
Eskom Holdings SOC Ltd.:   
5.75% 1/26/21 (b) 10,375,000 10,385,375 
6.75% 8/6/23 (b) 1,250,000 1,251,563 
7.125% 2/11/25 (b) 1,095,000 1,098,593 
Eversource Energy 2.8% 5/1/23 9,622,000 9,998,868 
Exelon Corp. 2.85% 6/15/20 3,114,000 3,121,401 
FirstEnergy Corp.:   
4.25% 3/15/23 19,904,000 21,302,399 
7.375% 11/15/31 37,147,000 54,235,720 
InterGen NV 7% 6/30/23 (b) 7,075,000 6,933,500 
IPALCO Enterprises, Inc.:   
3.45% 7/15/20 17,516,000 17,597,186 
3.7% 9/1/24 6,665,000 7,020,708 
Lamar Funding Ltd. 3.958% 5/7/25 (b) 655,000 629,209 
LG&E and KU Energy LLC 3.75% 11/15/20 924,000 932,879 
Monongahela Power Co. 4.1% 4/15/24 (b) 2,537,000 2,783,608 
NextEra Energy Partners LP:   
4.25% 9/15/24 (b) 3,341,000 3,363,385 
4.5% 9/15/27 (b) 596,000 621,637 
NRG Yield Operating LLC 5% 9/15/26 5,648,000 5,785,275 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) 4,844,441 5,377,330 
NV Energy, Inc. 6.25% 11/15/20 2,230,000 2,299,842 
Pampa Holding SA 7.5% 1/24/27 (b) 564,000 459,942 
PPL Capital Funding, Inc. 3.4% 6/1/23 4,577,000 4,806,705 
TECO Finance, Inc. 5.15% 3/15/20 2,396,000 2,398,372 
Vistra Operations Co. LLC:   
5% 7/31/27 (b) 6,555,000 6,621,533 
5.5% 9/1/26 (b) 11,371,000 11,502,960 
5.625% 2/15/27 (b) 8,080,000 8,282,000 
  247,923,126 
Gas Utilities - 0.0%   
Nakilat, Inc. 6.067% 12/31/33 (b) 1,258,000 1,526,504 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 2,323,000 2,389,191 
  3,915,695 
Independent Power and Renewable Electricity Producers - 0.2%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 27,409,000 28,368,315 
Emera U.S. Finance LP:   
2.7% 6/15/21 3,220,000 3,270,377 
3.55% 6/15/26 5,152,000 5,594,022 
NRG Energy, Inc.:   
5.25% 6/15/29 (b) 3,295,000 3,424,790 
5.75% 1/15/28 2,250,000 2,337,300 
6.625% 1/15/27 1,080,000 1,126,030 
Talen Energy Supply LLC 10.5% 1/15/26 (b) 2,010,000 1,788,900 
TerraForm Power Operating LLC:   
4.25% 1/31/23 (b) 1,293,000 1,314,037 
5% 1/31/28 (b) 1,443,000 1,553,101 
The AES Corp.:   
4.5% 3/15/23 1,851,000 1,841,782 
4.875% 5/15/23 5,211,000 5,162,902 
5.125% 9/1/27 4,638,000 4,817,954 
6% 5/15/26 984,000 1,012,487 
  61,611,997 
Multi-Utilities - 0.3%   
NiSource Finance Corp.:   
5.25% 2/15/43 8,116,000 10,527,439 
5.8% 2/1/42 4,036,000 5,327,952 
5.95% 6/15/41 7,538,000 10,400,397 
NiSource, Inc. 2.95% 9/1/29 31,524,000 33,042,054 
Puget Energy, Inc.:   
6% 9/1/21 9,916,000 10,584,232 
6.5% 12/15/20 3,265,000 3,388,291 
Sempra Energy:   
2.875% 10/1/22 3,670,000 3,781,908 
6% 10/15/39 9,562,000 13,357,389 
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 3.8043% 5/15/67 (d)(e) 2,459,000 2,362,922 
  92,772,584 
TOTAL UTILITIES  406,223,402 
TOTAL NONCONVERTIBLE BONDS  8,922,138,070 
TOTAL CORPORATE BONDS   
(Cost $8,433,408,177)  8,932,006,490 
U.S. Government and Government Agency Obligations - 35.7%   
U.S. Treasury Inflation-Protected Obligations - 3.8%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $99,301,969 $114,254,275 
1% 2/15/46 48,770,121 59,474,960 
1% 2/15/49 (g) 33,945,353 42,336,603 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 7/15/24 34,015,994 34,864,117 
0.375% 7/15/25 175,057,294 182,636,552 
0.375% 1/15/27 146,670,463 153,466,978 
0.625% 1/15/26 189,862,707 200,509,950 
0.75% 7/15/28 161,470,374 176,004,712 
0.875% 1/15/29 118,749,863 130,812,922 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  1,094,361,069 
U.S. Treasury Obligations - 31.9%   
U.S. Treasury Bonds:   
2.25% 8/15/46 (h)(i)(j) 261,200 293,105 
2.375% 11/15/49 60,000,000 70,038,281 
2.75% 11/15/47 182,698,900 226,389,628 
3% 5/15/45 42,618,500 54,280,320 
3% 2/15/48 10,482,100 13,599,706 
3% 2/15/49 552,560,000 722,903,888 
5% 5/15/37 16,600 25,892 
U.S. Treasury Notes:   
1.125% 2/28/27 20,051,000 20,155,955 
1.375% 1/31/25 (g) 450,000,000 459,791,015 
1.5% 9/30/24 35,000,000 35,906,445 
1.5% 1/31/27 369,336,000 380,502,645 
1.625% 9/30/26 683,928,000 709,735,599 
1.625% 8/15/29 1,235,180,000 1,289,556,800 
1.75% 6/30/24 284,750,000 294,760,742 
1.75% 12/31/24 470,452,000 488,755,523 
1.75% 11/15/29 420,770,000 444,273,951 
2% 4/30/24 15,926,700 16,629,092 
2% 11/15/26 24,203,000 25,707,179 
2.125% 12/31/22 275,186,800 284,710,845 
2.125% 3/31/24 253,410,000 265,704,343 
2.125% 7/31/24 222,547,000 234,126,399 
2.125% 11/30/24 43,572,300 45,985,797 
2.125% 5/15/25 (h)(i)(j) 1,465,300 1,552,646 
2.125% 5/31/26 498,913,000 532,355,762 
2.25% 4/30/24 676,960,000 713,716,816 
2.25% 12/31/24 394,208,100 418,692,121 
2.25% 11/15/27 200,057,200 217,554,391 
2.375% 4/30/26 89,077,000 96,324,945 
2.375% 5/15/29 4,025,000 4,464,134 
2.5% 2/28/26 546,304,000 593,913,541 
2.75% 2/15/28 96,082,900 108,359,743 
2.875% 9/30/23 46,915,700 50,170,477 
3.125% 11/15/28 373,000,000 435,462,931 
TOTAL U.S. TREASURY OBLIGATIONS  9,256,400,657 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $9,585,744,028)  10,350,761,726 
U.S. Government Agency - Mortgage Securities - 24.6%   
Fannie Mae - 6.3%   
12 month U.S. LIBOR + 1.440% 4.509% 4/1/37 (d)(e) 26,499 27,654 
12 month U.S. LIBOR + 1.480% 4.221% 7/1/34 (d)(e) 9,762 10,156 
12 month U.S. LIBOR + 1.490% 3.549% 1/1/35 (d)(e) 35,776 37,359 
12 month U.S. LIBOR + 1.550% 4.345% 6/1/36 (d)(e) 23,252 24,245 
12 month U.S. LIBOR + 1.560% 4.69% 3/1/37 (d)(e) 14,789 15,503 
12 month U.S. LIBOR + 1.590% 4.484% 5/1/36 (d)(e) 69,142 72,110 
12 month U.S. LIBOR + 1.610% 4.062% 3/1/33 (d)(e) 25,976 27,090 
12 month U.S. LIBOR + 1.640% 3.879% 9/1/36 (d)(e) 18,911 19,834 
12 month U.S. LIBOR + 1.640% 4.157% 6/1/47 (d)(e) 30,885 32,579 
12 month U.S. LIBOR + 1.660% 4.184% 11/1/36 (d)(e) 15,904 16,660 
12 month U.S. LIBOR + 1.710% 4.016% 5/1/35 (d)(e) 49,480 51,757 
12 month U.S. LIBOR + 1.710% 4.588% 6/1/42 (d)(e) 36,816 38,023 
12 month U.S. LIBOR + 1.750% 3.941% 3/1/40 (d)(e) 61,385 64,390 
12 month U.S. LIBOR + 1.750% 4.075% 7/1/35 (d)(e) 18,898 19,835 
12 month U.S. LIBOR + 1.750% 4.116% 8/1/41 (d)(e) 40,242 41,984 
12 month U.S. LIBOR + 1.780% 3.788% 2/1/36 (d)(e) 61,549 64,813 
12 month U.S. LIBOR + 1.800% 3.813% 1/1/42 (d)(e) 156,604 163,392 
12 month U.S. LIBOR + 1.800% 4.052% 12/1/40 (d)(e) 1,730,032 1,812,812 
12 month U.S. LIBOR + 1.800% 4.498% 7/1/41 (d)(e) 57,752 60,321 
12 month U.S. LIBOR + 1.810% 3.81% 12/1/39 (d)(e) 29,666 31,121 
12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (d)(e) 20,678 21,641 
12 month U.S. LIBOR + 1.810% 4.388% 2/1/42 (d)(e) 115,949 121,273 
12 month U.S. LIBOR + 1.810% 4.537% 7/1/41 (d)(e) 33,319 34,723 
12 month U.S. LIBOR + 1.820% 3.82% 12/1/35 (d)(e) 66,946 70,646 
12 month U.S. LIBOR + 1.830% 3.907% 10/1/41 (d)(e) 17,879 18,613 
12 month U.S. LIBOR + 1.850% 4.567% 5/1/36 (d)(e) 23,027 24,057 
12 month U.S. LIBOR + 1.900% 4.783% 7/1/37 (d)(e) 21,057 22,094 
6 month U.S. LIBOR + 1.470% 3.553% 10/1/33 (d)(e) 595 615 
6 month U.S. LIBOR + 1.500% 3.396% 1/1/35 (d)(e) 55,168 57,231 
6 month U.S. LIBOR + 1.510% 3.449% 2/1/33 (d)(e) 622 644 
6 month U.S. LIBOR + 1.530% 3.553% 3/1/35 (d)(e) 8,798 9,137 
6 month U.S. LIBOR + 1.530% 3.687% 12/1/34 (d)(e) 10,581 10,984 
6 month U.S. LIBOR + 1.550% 3.713% 10/1/33 (d)(e) 3,847 3,986 
6 month U.S. LIBOR + 1.560% 3.44% 7/1/35 (d)(e) 5,586 5,813 
6 month U.S. LIBOR + 1.740% 3.74% 12/1/34 (d)(e) 827 865 
6 month U.S. LIBOR + 1.960% 4.21% 9/1/35 (d)(e) 10,146 10,627 
U.S. TREASURY 1 YEAR INDEX + 1.940% 4.189% 10/1/33 (d)(e) 77,453 81,431 
U.S. TREASURY 1 YEAR INDEX + 2.200% 4.833% 3/1/35 (d)(e) 8,739 9,191 
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.182% 6/1/36 (d)(e) 58,849 61,863 
U.S. TREASURY 1 YEAR INDEX + 2.290% 4.263% 10/1/33 (d)(e) 27,645 29,052 
U.S. TREASURY 1 YEAR INDEX + 2.440% 4.664% 7/1/34 (d)(e) 69,279 72,724 
2.5% 12/1/26 to 8/1/43 120,996,318 125,152,071 
3% 7/1/27 to 2/1/50 (h)(j) 405,104,665 423,039,959 
3.5% 7/1/32 to 12/1/49 479,940,497 509,504,397 
4% 5/1/29 to 11/1/49 395,843,132 425,666,141 
4.5% to 4.5% 6/1/33 to 8/1/49 173,581,247 189,374,599 
5% 3/1/20 
5% 5/1/20 to 2/1/49 116,182,901 129,774,188 
5.245% 8/1/41 (d) 1,067,992 1,180,154 
5.5% 9/1/21 to 5/1/49 17,326,070 19,416,923 
6% to 6% 6/1/20 to 1/1/42 4,825,310 5,664,324 
6.5% 8/1/20 to 4/1/37 2,070,506 2,382,410 
6.542% 2/1/39 (d) 1,024,023 1,117,891 
7% to 7% 9/1/21 to 7/1/37 458,353 523,925 
7.5% to 7.5% 6/1/25 to 2/1/32 202,165 231,105 
8% 8/1/29 to 3/1/37 7,087 8,588 
9.5% 9/1/21 39 39 
TOTAL FANNIE MAE  1,836,335,564 
Freddie Mac - 4.0%   
12 month U.S. LIBOR + 1.320% 3.412% 1/1/36 (d)(e) 18,164 18,911 
12 month U.S. LIBOR + 1.370% 3.599% 3/1/36 (d)(e) 60,826 63,377 
12 month U.S. LIBOR + 1.500% 4.285% 3/1/36 (d)(e) 53,750 56,113 
12 month U.S. LIBOR + 1.510% 3.39% 11/1/35 (d)(e) 15,831 16,537 
12 month U.S. LIBOR + 1.750% 3.767% 12/1/40 (d)(e) 792,937 829,517 
12 month U.S. LIBOR + 1.750% 4.007% 9/1/41 (d)(e) 292,088 304,644 
12 month U.S. LIBOR + 1.750% 4.408% 7/1/41 (d)(e) 181,413 189,117 
12 month U.S. LIBOR + 1.790% 3.89% 4/1/37 (d)(e) 21,004 22,082 
12 month U.S. LIBOR + 1.860% 4.739% 4/1/36 (d)(e) 20,908 21,937 
12 month U.S. LIBOR + 1.870% 4.376% 10/1/42 (d)(e) 246,830 258,536 
12 month U.S. LIBOR + 1.870% 4.817% 4/1/41 (d)(e) 14,563 15,143 
12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (d)(e) 23,123 24,187 
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (d)(e) 25,623 26,726 
12 month U.S. LIBOR + 1.910% 4.734% 6/1/41 (d)(e) 49,476 51,590 
12 month U.S. LIBOR + 1.910% 4.785% 5/1/41 (d)(e) 35,615 37,277 
12 month U.S. LIBOR + 1.910% 4.813% 5/1/41 (d)(e) 44,175 46,029 
12 month U.S. LIBOR + 1.920% 4.67% 6/1/36 (d)(e) 11,922 12,524 
12 month U.S. LIBOR + 1.990% 4.913% 4/1/38 (d)(e) 60,200 62,954 
12 month U.S. LIBOR + 2.040% 4.784% 7/1/36 (d)(e) 30,255 31,798 
12 month U.S. LIBOR + 2.060% 4.723% 3/1/33 (d)(e) 894 939 
12 month U.S. LIBOR + 2.200% 4.325% 12/1/36 (d)(e) 51,469 54,273 
6 month U.S. LIBOR + 1.120% 3.148% 8/1/37 (d)(e) 19,801 20,266 
6 month U.S. LIBOR + 1.600% 3.58% 12/1/35 (d)(e) 5,260 5,469 
6 month U.S. LIBOR + 1.660% 3.725% 2/1/37 (d)(e) 62,170 64,834 
6 month U.S. LIBOR + 1.720% 4.083% 8/1/37 (d)(e) 30,646 32,037 
6 month U.S. LIBOR + 1.740% 3.83% 5/1/37 (d)(e) 7,928 8,272 
6 month U.S. LIBOR + 1.840% 4.077% 10/1/36 (d)(e) 88,101 92,017 
6 month U.S. LIBOR + 1.860% 4.061% 10/1/35 (d)(e) 44,558 46,544 
6 month U.S. LIBOR + 2.020% 4.096% 6/1/37 (d)(e) 15,385 16,089 
6 month U.S. LIBOR + 2.040% 3.978% 6/1/37 (d)(e) 23,368 24,464 
6 month U.S. LIBOR + 2.680% 4.873% 10/1/35 (d)(e) 15,848 16,625 
U.S. TREASURY 1 YEAR INDEX + 2.030% 4.562% 6/1/33 (d)(e) 71,793 75,301 
U.S. TREASURY 1 YEAR INDEX + 2.280% 4.828% 6/1/33 (d)(e) 123,782 129,245 
U.S. TREASURY 1 YEAR INDEX + 2.410% 4.564% 3/1/35 (d)(e) 253,997 267,223 
2.5% 6/1/31 to 2/1/35 54,344,709 56,029,816 
3% 6/1/31 to 1/1/50 162,960,940 170,316,537 
3.5% 1/1/32 to 10/1/49 (j)(k) 446,690,461 474,396,434 
3.5% 8/1/47 104,072 110,697 
4% 7/1/31 to 9/1/48 343,152,474 369,143,260 
4% 4/1/48 671,461 713,355 
4.5% 6/1/25 to 7/1/49 58,771,568 64,330,660 
5% 6/1/20 to 7/1/41 9,178,456 10,303,666 
5.5% 4/1/20 to 6/1/22 60,888 62,299 
6% 10/1/21 to 12/1/37 919,543 1,067,936 
6.5% 7/1/21 to 9/1/39 1,140,626 1,331,879 
7% 6/1/21 to 9/1/36 425,039 491,502 
7.5% 1/1/27 to 11/1/31 8,576 9,960 
8% 7/1/24 to 4/1/32 10,985 12,673 
8.5% 12/1/22 to 1/1/28 9,503 10,677 
TOTAL FREDDIE MAC  1,151,273,948 
Freddie Mac Multi-family Structured pass-thru certificates - 0.0%   
3% 10/1/31 902,873 944,637 
Ginnie Mae - 10.4%   
3.5% 6/20/34 to 12/20/49 (h) 429,499,090 455,331,441 
4% 5/20/33 to 5/20/49 602,923,637 638,526,897 
4.5% 6/20/33 to 6/20/48 105,394,823 113,179,594 
5% 12/15/32 to 4/20/48 27,189,345 29,820,598 
5.5% 7/15/33 to 9/15/39 739,010 841,431 
6% to 6% 10/15/30 to 11/15/39 254,030 291,685 
7% to 7% 10/15/22 to 3/15/33 487,487 560,199 
7.5% to 7.5% 2/15/22 to 9/15/31 173,106 192,666 
8% 11/15/21 to 11/15/29 44,313 48,299 
8.5% 10/15/21 to 1/15/31 9,410 10,795 
9% 1/15/23 78 84 
9.5% 12/15/20 to 3/15/23 18 18 
2.5% 3/1/50 (c) 125,575,000 128,900,929 
2.5% 3/1/50 (c) 36,500,000 37,466,724 
2.5% 3/1/50 (c) 12,350,000 12,677,097 
2.5% 3/1/50 (c) 28,850,000 29,614,110 
2.5% 4/1/50 (c) 103,000,000 105,631,444 
3% 5/20/42 to 4/20/50 (c) 156,095,649 162,590,860 
3% 3/1/50 (c) 79,200,000 81,832,085 
3% 3/1/50 (c) 56,250,000 58,119,379 
3% 3/1/50 (c) 51,300,000 53,004,873 
3% 3/1/50 (c) 34,375,000 35,517,398 
3% 3/1/50 (c) 98,800,000 102,083,460 
3% 3/1/50 (c) 34,800,000 35,956,522 
3% 3/1/50 (c) 39,700,000 41,019,366 
3% 3/1/50 (c) 13,350,000 13,793,666 
3% 3/1/50 (c) 34,000,000 35,129,936 
3% 3/1/50 (c) 14,900,000 15,395,178 
3% 4/1/50 (c) 65,900,000 68,020,576 
3% 4/1/50 (c) 11,000,000 11,353,966 
3% 4/1/50 (c) 41,150,000 42,474,154 
3% 4/1/50 (c) 21,200,000 21,882,188 
3% 4/1/50 (c) 56,350,000 58,163,270 
3.5% 3/1/50 (c) 68,850,000 71,328,724 
3.5% 3/1/50 (c) 43,600,000 45,169,678 
3.5% 3/1/50 (c) 35,500,000 36,778,064 
3.5% 3/1/50 (c) 37,150,000 38,487,467 
3.5% 3/1/50 (c) 12,575,000 13,027,723 
3.5% 3/1/50 (c) 40,200,000 41,647,272 
3.5% 3/1/50 (c) 15,800,000 16,368,828 
3.5% 3/1/50 (c) 15,600,000 16,161,628 
3.5% 3/1/50 (c) 26,400,000 27,350,448 
3.5% 3/1/50 (c) 43,800,000 45,376,879 
3.5% 3/1/50 (c) 20,000,000 20,720,036 
3.5% 3/1/50 (c) 8,650,000 8,961,416 
3.5% 3/1/50 (c) 47,400,000 49,106,485 
3.5% 4/1/50 (c) 46,500,000 48,134,122 
3.5% 4/1/50 (c) 35,050,000 36,281,741 
3.5% 4/1/50 (c) 67,975,000 70,363,805 
3.5% 4/1/50 (c) 38,300,000 39,645,954 
6.5% 3/20/31 to 6/15/37 149,299 174,032 
TOTAL GINNIE MAE  3,014,515,190 
Uniform Mortgage Backed Securities - 3.9%   
2.5% 3/1/35 (c) 76,350,000 78,366,717 
2.5% 3/1/35 (c) 17,600,000 18,064,888 
2.5% 3/1/35 (c) 18,800,000 19,296,585 
2.5% 3/1/35 (c) 3,750,000 3,849,053 
2.5% 3/1/35 (c) 2,650,000 2,719,997 
2.5% 3/1/35 (c) 3,600,000 3,695,091 
2.5% 3/1/35 (c) 27,850,000 28,585,633 
2.5% 3/1/35 (c) 18,250,000 18,732,057 
2.5% 3/1/50 (c) 53,400,000 54,454,901 
2.5% 3/1/50 (c) 19,300,000 19,681,266 
3% 3/1/50 (c) 62,900,000 64,773,734 
3% 3/1/50 (c) 23,100,000 23,788,128 
3% 3/1/50 (c) 15,750,000 16,219,178 
3% 3/1/50 (c) 132,675,000 136,627,269 
3% 3/1/50 (c) 68,600,000 70,643,532 
3% 3/1/50 (c) 48,100,000 49,532,856 
3% 3/1/50 (c) 50,700,000 52,210,307 
3% 3/1/50 (c) 32,750,000 33,725,593 
3% 3/1/50 (c) 20,850,000 21,471,103 
3% 3/1/50 (c) 20,900,000 21,522,592 
3% 3/1/50 (c) 19,200,000 19,771,951 
3% 3/1/50 (c) 13,350,000 13,747,684 
3.5% 3/1/50 (c) 18,800,000 19,522,221 
3.5% 3/1/50 (c) 11,700,000 12,149,467 
3.5% 3/1/50 (c) 31,400,000 32,606,262 
3.5% 3/1/50 (c) 25,800,000 26,791,133 
3.5% 3/1/50 (c) 11,900,000 12,357,150 
3.5% 3/1/50 (c) 43,600,000 45,274,938 
3.5% 3/1/50 (c) 31,400,000 32,606,262 
3.5% 3/1/50 (c) 300,000 311,525 
3.5% 3/1/50 (c) 11,900,000 12,357,150 
3.5% 3/1/50 (c) 63,300,000 65,731,733 
3.5% 3/1/50 (c) 30,600,000 31,775,530 
3.5% 3/1/50 (c) 43,800,000 45,482,621 
3.5% 3/1/50 (c) 8,650,000 8,982,298 
3.5% 3/1/50 (c) 18,800,000 19,522,221 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  1,136,950,626 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $7,009,230,427)  7,140,019,965 
Asset-Backed Securities - 3.2%   
AASET Trust:   
Series 2018-1A Class A, 3.844% 1/16/38 (b) $11,295,565 $11,433,281 
Series 2019-1 Class A, 3.844% 5/15/39 (b) 13,764,434 14,072,312 
Series 2019-2:   
Class A, 3.376% 10/16/39 (b) 23,842,096 24,047,514 
Class B, 4.458% 10/16/39 (b) 4,192,860 4,243,085 
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 3.1221% 7/22/32 (b)(d)(e) 22,128,000 22,141,277 
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 3.1491% 1/20/33 (b)(d)(e) 11,198,000 11,178,963 
American Homes 4 Rent:   
Series 2014-SFR2 Class E, 6.231% 10/17/36 (b) 221,000 245,078 
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) 478,000 535,594 
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b) 662,438 732,195 
Series 2015-SFR2:   
Class E, 6.07% 10/17/52 (b) 1,118,000 1,260,468 
Class XS, 0% 10/17/52 (b)(d)(l)(m) 773,595 
Apollo Aviation Securitization Equity Trust Series 2020-1A:   
Class A, 3.351% 1/16/40 (b) 11,510,000 11,509,770 
Class B, 4.335% 1/16/40 (b) 1,834,000 1,833,945 
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 3.1658% 10/15/32 (b)(d)(e) 20,251,000 20,257,075 
Ares Xli Clo Ltd. / Ares Xli Cl Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 3.0313% 1/15/29 (b)(d)(e) 25,124,000 25,103,901 
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.25% 4/17/33 (b)(c)(d)(e) 8,282,000 8,282,000 
Argent Securities, Inc. pass-thru certificates Series 2004-W9 Class M7, 1 month U.S. LIBOR + 4.200% 4.4187% 6/26/34 (b)(d)(e) 6,797 16,562 
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 3.2332% 1/17/33 (b)(d)(e) 11,400,000 11,403,420 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (b) 23,770,703 24,341,226 
Class AA, 2.487% 12/16/41 (b) 4,343,875 4,324,102 
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 2.6167% 4/15/29 (b)(d)(e) 24,711,000 24,711,000 
Capital Trust RE CDO Ltd. Series 2005-1A Class E, 1 month U.S. LIBOR + 2.100% 3.9464% 3/20/50 (b)(d)(e)(m) 330,000 33 
Carvana Auto Receivables Trust Series 2019-4A:   
Class A2, 2.2% 7/15/22 (b) 4,646,000 4,661,645 
Class A3, 2.3% 9/15/23 (b) 4,520,000 4,559,378 
Castlelake Aircraft Securitization Trust Series 2019-1A:   
Class A, 3.967% 4/15/39 (b) 19,394,325 19,949,554 
Class B, 5.095% 4/15/39 (b) 8,938,847 9,303,231 
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) 19,127,526 19,672,641 
Cedar Funding Ltd.:   
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 3.4705% 10/20/32 (b)(d)(e) 16,659,000 16,660,666 
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 3.2638% 5/29/32 (b)(d)(e) 11,001,000 11,002,100 
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 2.9768% 10/25/37 (b)(d)(e) 7,592,252 7,657,225 
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (b) 3,792,021 3,829,582 
Consumer Loan Underlying Bond Credit Trust:   
Series 2019-HP1 Class A, 2.59% 12/15/26 (b) 9,208,657 9,287,496 
Series 2019-P1 Class A, 2.94% 7/15/26 (b) 7,484,384 7,546,311 
Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 5.9458% 1/28/40 (b)(d)(e)(m) 370,788 37 
DB Master Finance LLC Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (b) 10,816,038 11,107,638 
Class A2II, 4.03% 11/20/47 (b) 18,323,238 19,470,639 
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 17,484 17,557 
Dryden CLO, Ltd. Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 3.264% 10/20/32 (b)(d)(e) 7,513,000 7,515,254 
Dryden Senior Loan Fund:   
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 3.1113% 4/15/29 (b)(d)(e) 25,370,000 25,362,389 
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 3.0218% 5/15/32 (b)(d)(e) 17,982,000 17,974,807 
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 0% 4/17/33 (b)(c)(d)(e) 16,400,000 16,400,000 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.820% 2.4518% 3/25/34 (d)(e) 434 428 
Flagship Credit Auto Trust Series 2019-4 Class A, 2.17% 6/17/24 (b) 8,517,718 8,578,501 
Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 3.2149% 11/16/32 (b)(d)(e) 22,515,000 22,521,755 
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 11,770,000 13,512,247 
Home Partners America Trust Series 2019-2 Class F, 3.866% 10/19/39 (b) 965,004 966,887 
Home Partners of America Credit Trust Series 2017-1:   
Class E, 1 month U.S. LIBOR + 2.650% 4.3085% 7/17/34 (b)(d)(e) 231,000 231,592 
Class F, 1 month U.S. LIBOR + 3.530% 5.1975% 7/17/34 (b)(d)(e) 360,000 360,442 
Home Partners of America Trust Series 2018-1 Class F, 1 month U.S. LIBOR + 2.350% 4.0085% 7/17/37 (b)(d)(e) 708,000 704,774 
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) 8,884,170 9,196,351 
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) 9,988,731 10,226,941 
Invitation Homes Trust Series 2018-SFR2 Class F, 1 month U.S. LIBOR + 2.250% 3.9085% 6/17/37 (b)(d)(e) 592,481 592,480 
Madison Park Funding Ltd.:   
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 3.0391% 1/20/29 (b)(d)(e) 8,925,000 8,920,538 
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 3.1313% 7/15/32 (b)(d)(e) 22,042,000 22,046,408 
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 3.1741% 10/15/32 (b)(d)(e) 10,889,000 10,893,356 
Magnetite CLO Ltd.:   
Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 3.0991% 4/20/30 (b)(d)(e) 18,545,000 18,569,109 
Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 3.2371% 1/15/33 (b)(d)(e) 14,769,000 14,785,246 
Marlette Funding Trust Series 2019-4A Class A, 2.39% 12/17/29 (b) 11,805,922 11,887,651 
Merit Securities Corp. Series 13 Class M1, 7.3303% 12/28/33 (d) 135,308 142,019 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) 9,267,446 9,770,832 
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 2.7571% 10/20/30 (b)(d)(e) 24,239,000 24,239,000 
Nationstar HECM Loan Trust:   
Series 2018-2A Class A, 3.1877% 7/25/28 (b) 3,460,936 3,462,191 
Series 2018-3A Class A 3.5545% 11/25/28 (b) 3,502,955 3,498,159 
Series 2019-1A Class A, 2.6513% 6/25/29 (b) 6,526,881 6,550,518 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 2.1368% 9/25/35 (d)(e) 305,437 305,463 
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 3.1361% 7/17/32 (b)(d)(e) 22,017,000 22,021,403 
North Carolina State Ed Assistance Auth. Student Loan Rev. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.800% 2.5941% 7/25/25 (d)(e) 2,105,100 2,106,237 
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 2.8718% 1/25/36 (d)(e) 939,804 944,338 
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (b) 17,587,000 18,375,601 
Progress Residential Trust:   
Series 2015-SFR3 Class F, 6.643% 11/12/32 (b) 168,000 168,080 
Series 2017-SFR1 Class F, 5.35% 8/17/34 (b) 160,000 166,500 
Series 2017-SFR2 Class F, 4.836% 12/17/34 (b) 160,000 162,559 
Series 2018-SFR1 Class F, 4.778% 3/17/35 (b) 472,000 480,925 
Series 2018-SFR2 Class F, 4.953% 8/17/35 (b) 292,000 302,744 
Series 2018-SFR3 Class F, 5.368% 10/17/35 (b) 689,000 718,363 
Series 2019-SFR1 Class F, 5.061% 8/17/35 (b) 600,000 625,095 
Series 2019-SFR2 Class F, 4.837% 5/17/36 (b) 208,000 216,753 
Series 2019-SFR4 Class F, 3.684% 10/17/36 (b) 1,943,000 1,970,628 
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) 18,163,673 18,862,157 
Sapphire Aviation Finance Series 2020-1A:   
Class A, 3.228% 3/15/40 (b) 23,177,000 23,176,645 
Class B, 4.335% 3/15/40 (b) 2,112,000 2,099,132 
SBA Tower Trust Series 2019, 2.836% 1/15/50 (b) 22,598,000 23,691,058 
Starwood Waypoint Homes Trust Series 2017-1:   
Class E, 1 month U.S. LIBOR + 2.600% 4.2585% 1/17/35 (b)(d)(e) 954,000 954,694 
Class F, 1 month U.S. LIBOR + 3.400% 5.0585% 1/17/35 (b)(d)(e) 963,000 963,689 
Taberna Preferred Funding III Ltd. Series 2005-3A Class D, 3 month U.S. LIBOR + 2.650% 4.5405% 2/5/36 (b)(d)(e)(m) 342,945 26 
Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, 3 month U.S. LIBOR + 4.500% 6.3905% 12/5/36 (b)(d)(e)(m) 669,950 50 
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1% 1/20/29 (b)(d)(e) 16,565,000 16,565,000 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.4868% 9/25/34 (d)(e) 15,831 15,531 
Thunderbolt Aircraft Lease Ltd.:   
Series 2017-A Class A, 4.212% 5/17/32 (b) 12,045,202 12,552,794 
Series 2018-A Class A, 4.147% 9/15/38 (b)(d) 20,240,292 21,001,719 
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) 28,761,073 29,082,276 
Towd Point Mortgage Trust:   
Series 2018-3 Class A1, 3.75% 5/25/58 (b) 16,381,121 17,304,248 
Series 2018-6 Class A1A, 3.75% 3/25/58 (b) 21,397,289 22,419,309 
Series 2019-1 Class A1, 3.75% 3/25/58 (b) 7,920,485 8,452,532 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 2.4603% 4/6/42 (b)(d)(e) 1,639,000 1,188,275 
Tricon American Homes:   
Series 2016-SFR1:   
Class B, 2.989% 11/17/33 (b) 329,000 331,732 
Class F, 5.769% 11/17/33 (b) 807,000 827,609 
Series 2017-SFR1 Class F, 5.151% 9/17/34 (b) 1,681,000 1,740,011 
Series 2017-SFR2 Class F, 5.104% 1/17/36 (b) 280,000 294,737 
Series 2018-SFR1 Class F, 4.96% 5/17/37 (b) 1,331,000 1,425,119 
Series 2019-SFR1 Class F, 3.745% 3/17/38 (b) 924,000 942,281 
Upgrade Receivables Trust Series 2019-1A Class A, 3.48% 3/15/25 (b) 2,495,382 2,503,973 
VB-S1 Issuer LLC Series 2018-1A Class F, 5.25% 2/15/48 (b) 734,000 743,860 
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 3.1813% 4/15/32 (b)(d)(e) 21,084,000 21,084,000 
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 3.0891% 7/20/32 (b)(d)(e) 23,497,000 23,508,749 
TOTAL ASSET-BACKED SECURITIES   
(Cost $919,407,637)  935,604,279 
Collateralized Mortgage Obligations - 1.4%   
Private Sponsor - 0.6%   
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 1.8009% 6/27/36 (b)(d)(e) 1,910,490 1,892,226 
BCAP LLC Trust sequential payer Series 2012-RR5 Class 8A5, 1.8578% 7/26/36 (b)(d) 312,375 309,695 
Citigroup Mortgage Loan Trust sequential payer:   
Series 2009-5 Class 5A1, 4.3541% 1/25/37 (b)(d) 252,816 255,599 
Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(d) 2,284,768 2,331,973 
Countrywide Home Loans, Inc. Series 2003-R1 Class 2B4, 3.3614% 2/25/43 (b)(d)(m) 3,634 772 
CSMC:   
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 2.0073% 5/27/37 (b)(d)(e) 2,849,987 2,764,140 
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (b)(d)(e) 149,476 
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (b)(d) 3,357,387 3,394,780 
FREMF Mortgage Trust Series 2010-K7 Class B, 5.5579% 4/25/20 (b)(d) 637,070 636,231 
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 2.1293% 8/25/60 (b)(d)(e) 11,653,452 11,647,707 
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 3.6301% 3/25/37 (d) 68,318 64,205 
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 2.2513% 10/15/54 (b)(d)(e) 15,436,768 15,427,908 
JPMorgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 1.8638% 6/21/36 (b)(d)(e) 600,469 598,604 
Lanark Master Issuer PLC:   
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 2.4528% 12/22/69 (b)(d)(e) 9,894,940 9,905,448 
Series 2019-2A Class 1A, 2.71% 12/22/69 (b) 42,614,000 43,330,640 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.8309% 2/25/37 (d)(e) 51,822 52,735 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.9168% 7/25/35 (d)(e) 6,266 6,266 
Permanent Master Issuer PLC floater:   
Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 2.2113% 7/15/58 (b)(d)(e) 29,088,750 29,089,826 
Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 2.3813% 7/15/58 (b)(d)(e) 9,268,000 9,281,448 
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (b) 11,014,374 11,272,523 
RBSSP Resecuritization Trust sequential payer Series 2010-1 Class 2A1, 4.5449% 7/26/45 (b)(d) 1,445,986 1,448,831 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.7849% 7/20/34 (d)(e) 5,792 5,679 
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 2.3891% 1/21/70 (b)(d)(e) 19,264,000 19,280,278 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 2.2668% 9/25/43 (d)(e) 2,636,994 2,640,926 
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (b) 465,122 464,951 
TOTAL PRIVATE SPONSOR  166,103,391 
U.S. Government Agency - 0.8%   
Fannie Mae:   
floater:   
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 2.4268% 2/25/32 (d)(e) 8,997 9,116 
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 2.6585% 3/18/32 (d)(e) 15,912 16,252 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.6268% 4/25/32 (d)(e) 18,410 18,784 
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 2.6268% 10/25/32 (d)(e) 24,027 24,517 
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 2.3768% 1/25/32 (d)(e) 9,078 9,180 
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 6.4733% 12/25/33 (d)(l)(n) 302,689 81,633 
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 5.0533% 11/25/36 (d)(l)(n) 219,515 45,829 
planned amortization class:   
Series 1992-168 Class KB, 7% 10/25/22 5,583 5,830 
Series 1993-207 Class H, 6.5% 11/25/23 95,015 101,784 
Series 1996-28 Class PK, 6.5% 7/25/25 33,526 36,007 
Series 1999-17 Class PG, 6% 4/25/29 129,790 143,372 
Series 1999-32 Class PL, 6% 7/25/29 123,329 137,665 
Series 1999-33 Class PK, 6% 7/25/29 91,893 101,814 
Series 2001-52 Class YZ, 6.5% 10/25/31 11,995 13,980 
Series 2003-28 Class KG, 5.5% 4/25/23 51,554 53,527 
Series 2005-102 Class CO 11/25/35 (o) 63,614 59,302 
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 13.3205% 8/25/35 (d)(n) 18,284 24,266 
Series 2005-81 Class PC, 5.5% 9/25/35 174,425 196,362 
Series 2006-12 Class BO 10/25/35 (o) 289,335 269,872 
Series 2006-37 Class OW 5/25/36 (o) 29,611 27,532 
Series 2006-45 Class OP 6/25/36 (o) 99,349 92,032 
Series 2006-62 Class KP 4/25/36 (o) 160,708 150,031 
Series 2012-149:   
Class DA, 1.75% 1/25/43 3,309,608 3,331,934 
Class GA, 1.75% 6/25/42 3,479,645 3,502,899 
sequential payer:   
Series 1997-41 Class J, 7.5% 6/18/27 27,934 31,872 
Series 1999-25 Class Z, 6% 6/25/29 102,011 115,209 
Series 2001-20 Class Z, 6% 5/25/31 133,257 148,734 
Series 2001-31 Class ZC, 6.5% 7/25/31 74,939 85,911 
Series 2002-16 Class ZD, 6.5% 4/25/32 42,203 49,308 
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 5.9233% 11/25/32 (d)(l)(n) 166,205 24,682 
Series 2012-67 Class AI, 4.5% 7/25/27 (l) 674,442 51,665 
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 5.0133% 12/25/36 (d)(l)(n) 149,806 38,553 
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 4.8133% 5/25/37 (d)(l)(n) 82,356 17,938 
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 15.1985% 9/25/23 (d)(n) 4,418 5,262 
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 6.4733% 3/25/33 (d)(l)(n) 21,904 4,983 
Series 2005-72 Class ZC, 5.5% 8/25/35 1,198,056 1,331,050 
Series 2005-79 Class ZC, 5.9% 9/25/35 852,146 985,000 
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 30.8595% 6/25/37 (d)(n) 71,691 152,974 
Series 2007-66:   
Class SA, 39.600% - 1 month U.S. LIBOR 29.8395% 7/25/37 (d)(n) 109,052 231,651 
Class SB, 39.600% - 1 month U.S. LIBOR 29.8395% 7/25/37 (d)(n) 38,817 72,365 
Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 4.9183% 8/25/37 (d)(l)(n) 3,236,416 709,346 
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 4.7233% 3/25/38 (d)(l)(n) 566,932 114,636 
Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 4.7333% 6/25/21 (d)(l)(n) 60 
Series 2010-135:   
Class LS, 6.050% - 1 month U.S. LIBOR 4.4233% 12/25/40 (d)(l)(n) 532,150 102,982 
Class ZA, 4.5% 12/25/40 2,486,040 2,771,031 
Series 2010-139 Class NI, 4.5% 2/25/40 (l) 353,364 25,187 
Series 2010-150 Class ZC, 4.75% 1/25/41 2,881,001 3,274,669 
Series 2010-17 Class DI, 4.5% 6/25/21 (l) 188 
Series 2010-95 Class ZC, 5% 9/25/40 6,179,116 7,077,328 
Series 2010-97 Class CI, 4.5% 8/25/25 (l) 19,566 121 
Series 2011-39 Class ZA, 6% 11/25/32 382,675 444,186 
Series 2011-4 Class PZ, 5% 2/25/41 1,311,236 1,510,331 
Series 2011-67 Class AI, 4% 7/25/26 (l) 117,506 7,810 
Series 2011-83 Class DI, 6% 9/25/26 (l) 94,238 4,671 
Series 2012-100 Class WI, 3% 9/25/27 (l) 2,232,909 165,263 
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 5.0233% 12/25/30 (d)(l)(n) 725,535 60,779 
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 4.9233% 6/25/41 (d)(l)(n) 914,440 98,279 
Series 2013-133 Class IB, 3% 4/25/32 (l) 1,434,830 76,155 
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 4.4233% 1/25/44 (d)(l)(n) 774,259 129,495 
Series 2013-51 Class GI, 3% 10/25/32 (l) 2,181,551 174,475 
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 5.0933% 6/25/35 (d)(l)(n) 425,727 91,913 
Series 2015-42 Class IL, 6% 6/25/45 (l) 3,285,440 679,365 
Series 2015-70 Class JC, 3% 10/25/45 2,789,209 2,944,364 
Series 2017-30 Class AI, 5.5% 5/25/47 (l) 1,791,303 358,124 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339 Class 5, 5.5% 7/25/33 (l) 83,340 16,280 
Series 343 Class 16, 5.5% 5/25/34 (l) 72,920 12,840 
Series 348 Class 14, 6.5% 8/25/34 (d)(l) 49,410 11,723 
Series 351:   
Class 12, 5.5% 4/25/34 (d)(l) 32,450 6,363 
Class 13, 6% 3/25/34 (l) 44,589 8,729 
Series 359 Class 19, 6% 7/25/35 (d)(l) 27,591 5,952 
Series 384 Class 6, 5% 7/25/37 (l) 345,559 64,488 
Freddie Mac:   
floater:   
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 2.4585% 1/15/32 (d)(e) 7,386 7,484 
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 2.5585% 3/15/32 (d)(e) 10,118 10,286 
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 2.6585% 3/15/32 (d)(e) 10,193 10,401 
Series 2432:   
Class FE, 1 month U.S. LIBOR + 0.900% 2.5585% 6/15/31 (d)(e) 18,629 18,931 
Class FG, 1 month U.S. LIBOR + 0.900% 2.5585% 3/15/32 (d)(e) 5,814 5,910 
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 1.9085% 5/15/37 (d)(e) 406,276 403,295 
planned amortization class:   
Series 2006-15 Class OP 3/25/36 (o) 303,394 283,905 
Series 2095 Class PE, 6% 11/15/28 146,033 161,949 
Series 2101 Class PD, 6% 11/15/28 12,199 13,481 
Series 2121 Class MG, 6% 2/15/29 59,697 66,203 
Series 2131 Class BG, 6% 3/15/29 415,170 462,010 
Series 2137 Class PG, 6% 3/15/29 59,726 66,741 
Series 2154 Class PT, 6% 5/15/29 105,387 117,750 
Series 2162 Class PH, 6% 6/15/29 22,051 24,343 
Series 2520 Class BE, 6% 11/15/32 146,577 167,778 
Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 5.9415% 3/15/23 (d)(l)(n) 1,927 41 
Series 2693 Class MD, 5.5% 10/15/33 1,594,706 1,817,162 
Series 2802 Class OB, 6% 5/15/34 181,031 199,832 
Series 2962 Class BE, 4.5% 4/15/20 3,124 3,127 
Series 3002 Class NE, 5% 7/15/35 403,629 442,880 
Series 3110 Class OP 9/15/35 (o) 172,161 165,453 
Series 3119 Class PO 2/15/36 (o) 366,989 341,622 
Series 3121 Class KO 3/15/36 (o) 59,182 55,324 
Series 3123 Class LO 3/15/36 (o) 205,197 191,208 
Series 3145 Class GO 4/15/36 (o) 199,590 186,675 
Series 3189 Class PD, 6% 7/15/36 346,093 409,934 
Series 3225 Class EO 10/15/36 (o) 109,167 101,562 
Series 3258 Class PM, 5.5% 12/15/36 168,114 186,338 
Series 3415 Class PC, 5% 12/15/37 135,094 150,553 
Series 3786 Class HI, 4% 3/15/38 (l) 261,563 9,341 
Series 3806 Class UP, 4.5% 2/15/41 1,118,138 1,223,688 
Series 3832 Class PE, 5% 3/15/41 1,513,210 1,683,428 
Series 4135 Class AB, 1.75% 6/15/42 2,618,079 2,637,480 
sequential payer:   
Series 2135 Class JE, 6% 3/15/29 27,167 30,448 
Series 2274 Class ZM, 6.5% 1/15/31 36,529 41,712 
Series 2281 Class ZB, 6% 3/15/30 75,645 83,304 
Series 2303 Class ZV, 6% 4/15/31 36,973 41,348 
Series 2357 Class ZB, 6.5% 9/15/31 277,413 323,120 
Series 2502 Class ZC, 6% 9/15/32 68,854 78,603 
Series 2519 Class ZD, 5.5% 11/15/32 107,158 120,182 
Series 2546 Class MJ, 5.5% 3/15/23 31,667 32,940 
Series 2601 Class TB, 5.5% 4/15/23 15,044 15,792 
Series 2998 Class LY, 5.5% 7/15/25 59,220 63,061 
Series 3871 Class KB, 5.5% 6/15/41 2,308,570 2,736,876 
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 4.9415% 2/15/36 (d)(l)(n) 110,904 26,597 
Series 2013-4281 Class AI, 4% 12/15/28 (l) 1,074,483 65,475 
Series 2017-4683 Class LM, 3% 5/15/47 4,061,506 4,226,532 
Series 2844:   
Class SC, 46.800% - 1 month U.S. LIBOR 36.0198% 8/15/24 (d)(n) 1,100 1,352 
Class SD, 86.400% - 1 month U.S. LIBOR 64.8895% 8/15/24 (d)(n) 1,616 2,319 
Series 2933 Class ZM, 5.75% 2/15/35 1,620,018 1,925,294 
Series 2935 Class ZK, 5.5% 2/15/35 1,529,059 1,731,917 
Series 2947 Class XZ, 6% 3/15/35 545,993 630,463 
Series 2996 Class ZD, 5.5% 6/15/35 1,179,625 1,393,461 
Series 3237 Class C, 5.5% 11/15/36 1,674,470 1,936,518 
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 5.0015% 11/15/36 (d)(l)(n) 457,142 105,371 
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 5.0915% 3/15/37 (d)(l)(n) 678,315 166,837 
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 5.1015% 4/15/37 (d)(l)(n) 960,678 242,115 
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 4.9215% 6/15/37 (d)(l)(n) 337,243 72,001 
Series 3949 Class MK, 4.5% 10/15/34 291,247 314,793 
Series 3955 Class YI, 3% 11/15/21 (l) 220,215 3,911 
Series 4055 Class BI, 3.5% 5/15/31 (l) 1,277,096 74,697 
Series 4149 Class IO, 3% 1/15/33 (l) 1,049,305 111,169 
Series 4314 Class AI, 5% 3/15/34 (l) 371,726 28,862 
Series 4427 Class LI, 3.5% 2/15/34 (l) 2,529,203 189,188 
Series 4471 Class PA 4% 12/15/40 2,053,764 2,158,332 
target amortization class Series 2156 Class TC, 6.25% 5/15/29 74,391 80,071 
Freddie Mac Manufactured Housing participation certificates guaranteed:   
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 2.5763% 2/15/24 (d)(e) 23,031 23,139 
sequential payer:   
Series 2043 Class ZH, 6% 4/15/28 52,970 58,641 
Series 2056 Class Z, 6% 5/15/28 105,156 116,557 
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 3,556,817 3,894,925 
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 8,184,038 8,838,603 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 5.0315% 6/16/37 (d)(l)(n) 198,000 46,011 
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 2.2095% 3/20/60 (d)(e)(p) 2,481,810 2,486,503 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.9895% 7/20/60 (d)(e)(p) 313,227 312,045 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 2.0344% 9/20/60 (d)(e)(p) 376,816 375,243 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 2.0344% 8/20/60 (d)(e)(p) 398,757 397,162 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.1144% 12/20/60 (d)(e)(p) 801,336 799,529 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 2.2344% 12/20/60 (d)(e)(p) 1,089,696 1,090,598 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 2.2344% 2/20/61 (d)(e)(p) 2,037,762 2,039,124 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 2.2244% 2/20/61 (d)(e)(p) 2,703,518 2,704,948 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 2.2344% 4/20/61 (d)(e)(p) 967,940 968,760 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 2.2344% 5/20/61 (d)(e)(p) 1,249,623 1,250,756 
Class FC, 1 month U.S. LIBOR + 0.500% 2.2344% 5/20/61 (d)(e)(p) 1,089,928 1,090,861 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 2.2644% 6/20/61 (d)(e)(p) 1,290,720 1,292,652 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 2.3344% 10/20/61 (d)(e)(p) 2,617,278 2,625,356 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 2.4344% 11/20/61 (d)(e)(p) 1,391,617 1,398,950 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 2.4344% 1/20/62 (d)(e)(p) 879,294 883,910 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 2.3644% 1/20/62 (d)(e)(p) 1,318,150 1,323,016 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 2.3644% 3/20/62 (d)(e)(p) 824,206 825,803 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 2.3844% 5/20/61 (d)(e)(p) 69,633 69,833 
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 2.2544% 10/20/62 (d)(e)(p) 742,475 743,378 
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 2.2644% 7/20/60 (d)(e)(p) 30,984 31,016 
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 2.0944% 3/20/63 (d)(e)(p) 1,206,011 1,203,132 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 2.3344% 1/20/64 (d)(e)(p) 1,281,024 1,284,448 
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 2.3344% 12/20/63 (d)(e)(p) 4,113,965 4,126,951 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 2.2344% 6/20/64 (d)(e)(p) 5,310,211 5,314,798 
Series 2014-H20 Class BF, 1 month U.S. LIBOR + 0.500% 2.2344% 9/20/64 (d)(e)(p) 17,255,985 17,271,315 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 2.1344% 12/20/62 (d)(e)(p) 189,096 188,937 
planned amortization class:   
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 6.706% 12/20/40 (d)(n) 3,619,000 4,409,666 
Series 2011-136 Class WI, 4.5% 5/20/40 (l) 259,756 19,692 
Series 2016-69 Class WA, 3% 2/20/46 3,275,990 3,424,069 
Series 2017-134 Class BA, 2.5% 11/20/46 3,554,127 3,666,397 
sequential payer:   
Series 2004-24 Class ZM, 5% 4/20/34 604,892 676,453 
Series 2010-160 Class DY, 4% 12/20/40 7,275,329 8,153,540 
Series 2010-170 Class B, 4% 12/20/40 1,621,908 1,817,485 
Series 2017-139 Class BA, 3% 9/20/47 14,670,204 15,555,231 
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 4.8415% 5/16/34 (d)(l)(n) 110,919 22,155 
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 5.5415% 8/17/34 (d)(l)(n) 125,680 30,008 
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 30.249% 6/16/37 (d)(n) 11,283 21,266 
Series 2010-116 Class QB, 4% 9/16/40 15,502,009 16,468,396 
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 1.9895% 5/20/60 (d)(e)(p) 966,048 962,590 
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 4.453% 7/20/41 (d)(l)(n) 618,897 112,772 
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 5.0415% 6/16/42 (d)(l)(n) 421,906 91,911 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 6.4707% 4/20/39 (d)(n) 412,006 425,721 
Class ST, 8.800% - 1 month U.S. LIBOR 6.604% 8/20/39 (d)(n) 1,492,035 1,547,040 
Series 2013-149 Class MA, 2.5% 5/20/40 8,403,965 8,715,246 
Series 2014-2 Class BA, 3% 1/20/44 7,215,240 7,716,943 
Series 2014-21 Class HA, 3% 2/20/44 3,263,911 3,496,683 
Series 2014-25 Class HC, 3% 2/20/44 4,980,005 5,367,246 
Series 2014-5 Class A, 3% 1/20/44 4,452,255 4,761,002 
Series 2015-H13 Class HA, 2.5% 8/20/64 (p) 1,727,816 1,732,493 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (p) 111,333 111,347 
Class JA, 2.5% 6/20/65 (p) 1,766,432 1,769,100 
Series 2017-186 Class HK, 3% 11/16/45 7,071,904 7,373,019 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.88% 8/20/66 (d)(e)(p) 10,857,408 10,861,593 
TOTAL U.S. GOVERNMENT AGENCY  237,814,304 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $396,111,852)  403,917,695 
Commercial Mortgage Securities - 3.4%   
280 Park Avenue Mortgage Trust floater Series 2017-280P Class F, 1 month U.S. LIBOR + 2.820% 4.4855% 9/15/34 (b)(d)(e) 1,278,000 1,280,045 
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (b) 352,000 359,642 
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.8238% 2/14/43 (d)(l) 622 
BAMLL Commercial Mortgage Securities Trust:   
sequential payer Series 2019-BPR:   
Class AMP, 3.287% 11/5/32 (b) 11,600,000 12,241,321 
Class ANM, 3.112% 11/5/32 (b) 14,236,000 15,068,100 
Series 2019-BPR:   
Class BNM, 3.465% 11/5/32 (b) 3,196,000 3,387,817 
Class CNM, 3.8425% 11/5/32 (b)(d) 1,322,000 1,398,561 
BAMLL Trust Series 2015-200P Class F, 3.5958% 4/14/33 (b)(d) 831,000 857,584 
Banc of America Merrill Lynch Large Loan, Inc. floater:   
Series 2019-AHT Class E, 1 month U.S. LIBOR + 3.200% 4.8585% 3/15/34 (b)(d)(e) 987,000 995,585 
Series 2019-RLJ Class D, 1 month U.S. LIBOR + 1.950% 3.6085% 4/15/36 (b)(d)(e) 1,365,000 1,367,672 
BANK:   
sequential payer Series 2019-BN23 Class E, 2.5% 12/15/52 (b) 693,000 592,797 
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b) 1,426,000 1,375,947 
Series 2017-BNK6 Class D, 3.1% 7/15/60 (b) 830,000 783,496 
Series 2017-BNK8:   
Class D, 2.6% 11/15/50 (b) 1,024,000 947,742 
Class E, 2.8% 11/15/50 (b) 1,092,000 845,883 
Series 2018-BN12 Class D, 3% 5/15/61 (b) 866,000 807,269 
Bank Series 2018-BN15:   
Class D, 3% 11/15/61 (b) 735,000 695,152 
Class E, 3% 11/15/61 (b) 735,000 655,280 
BANK:   
Series 2019-BN18:   
Class D, 3% 5/15/62 (b) 336,000 319,762 
Class E, 3% 5/15/62 (b) 588,000 530,463 
Series 2019-BN19:   
Class D, 3% 8/15/61 (b) 672,000 638,266 
Class E, 3% 8/15/61 (b) 483,000 430,747 
Series 2019-BN20:   
Class D, 2.5% 9/15/62 (b) 1,743,000 1,600,803 
Class E, 2.5% 9/15/62 (b) 399,000 338,509 
Series 2019-BN21:   
Class E, 2.5% 10/17/52 (b) 950,000 814,861 
Class F, 2.6818% 10/17/52 (b) 1,344,000 995,986 
Series 2019-BN22 Class E, 2.5% 11/15/62 (b) 693,000 593,608 
Series 2019-BN24 Class E, 2.5% 11/15/62 (b) 588,000 502,979 
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3:   
Class C, 4.352% 2/15/50 (d) 610,000 666,680 
Class D, 3.25% 2/15/50 (b) 1,222,000 1,169,633 
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class XA, 1.9576% 7/15/49 (d)(l) 28,516,869 2,183,753 
Barclays Commercial Mortgage Securities LLC:   
Series 2015-STP:   
Class D, 4.2844% 9/10/28 (b)(d) 546,000 549,536 
Class E, 4.2844% 9/10/28 (b)(d) 2,007,000 2,007,563 
Series 2019-C5 Class F, 2.6014% 11/15/52 (b)(d) 548,000 386,636 
Bayview Commercial Asset Trust Series 2006-3A, Class IO, 0% 10/25/36 (b)(d)(l)(m) 1,652,295 
BBCMS Mortgage Trust:   
Series 2016-ETC:   
Class D, 3.6089% 8/14/36 (b)(d) 868,000 900,339 
Class E, 3.6089% 8/14/36 (b)(d) 637,000 617,055 
Series 2020-C6 Class E, 2.4% 2/15/53 (b) 628,000 522,109 
Benchmark Mortgage Trust:   
sequential payer Series 2019-B14:   
Class 225D, 3.2943% 12/15/62 (b)(d) 719,000 705,310 
Class 225E, 3.2943% 12/15/62 (b)(d) 485,000 460,727 
Series 2018-B7:   
Class D, 3% 5/15/53 (b)(d) 614,000 580,276 
Class E, 3% 5/15/53 (b)(d) 614,000 534,545 
Class F, 3.6103% 5/15/53 (b)(d) 1,365,000 1,122,077 
Series 2019-B12 Class D, 3% 8/15/52 (b) 1,091,000 1,004,663 
Braemar Hotels & Resorts Trust floater Series 2018-PRME Class E, 1 month U.S. LIBOR + 2.400% 4.0585% 6/15/35 (b)(d)(e) 294,000 294,557 
BWAY Mortgage Trust Series 2015-1740 Class E, 4.4499% 1/10/35 (b)(d) 637,000 649,863 
BX Commercial Mortgage Trust:   
floater:   
Series 2018-BIOA Class F, 1 month U.S. LIBOR + 2.470% 4.1296% 3/15/37 (b)(d)(e) 613,000 613,763 
Series 2019-CALM Class E, 1 month U.S. LIBOR + 2.000% 3.6585% 11/25/32 (b)(d)(e) 340,000 340,213 
Series 2020-BXLP:   
Class B, 1 month U.S. LIBOR + 1.000% 2.6585% 12/15/29 (b)(d)(e) 13,462,000 13,457,953 
Class C, 1 month U.S. LIBOR + 1.120% 2.7785% 12/15/29 (b)(d)(e) 10,739,000 10,749,108 
Class D, 1 month U.S. LIBOR + 1.250% 2.9085% 12/15/29 (b)(d)(e) 18,197,000 18,248,396 
Class G, 1 month U.S. LIBOR + 2.500% 4.1585% 12/15/29 (b)(d)(e) 1,680,000 1,680,003 
floater sequential payer:   
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 2.5345% 11/15/32 (b)(d)(e) 5,594,000 5,595,749 
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 2.4585% 12/15/29 (b)(d)(e) 25,654,000 25,665,857 
BX Trust:   
floater:   
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 4.2835% 9/15/37 (b)(d)(e) 6,299,990 6,302,419 
Series 2018-IND:   
Class F, 1 month U.S. LIBOR + 1.800% 3.4585% 11/15/35 (b)(d)(e) 6,762,700 6,773,557 
Class G, 1 month U.S. LIBOR + 2.050% 3.7085% 11/15/35 (b)(d)(e) 952,000 953,815 
Class H, 1 month U.S. LIBOR + 3.000% 4.6585% 11/15/35 (b)(d)(e) 359,100 358,884 
Series 2019-IMC:   
Class B, 1 month U.S. LIBOR + 1.300% 2.9585% 4/15/34 (b)(d)(e) 11,328,000 11,324,568 
Class C, 1 month U.S. LIBOR + 1.600% 3.2585% 4/15/34 (b)(d)(e) 7,490,000 7,489,987 
Class D, 1 month U.S. LIBOR + 1.900% 3.5585% 4/15/34 (b)(d)(e) 7,862,000 7,866,947 
Class G, 1 month U.S. LIBOR + 3.600% 5.2585% 4/15/34 (b)(d)(e) 1,533,000 1,544,537 
Series 2019-XL:   
Class B, 1 month U.S. LIBOR + 1.080% 2.7385% 10/15/36 (b)(d)(e) 10,969,909 10,987,522 
Class C, 1 month U.S. LIBOR + 1.250% 2.9085% 10/15/36 (b)(d)(e) 13,790,251 13,824,853 
Class D, 1 month U.S. LIBOR + 1.450% 3.1085% 10/15/36 (b)(d)(e) 19,533,164 19,607,691 
Class E, 1 month U.S. LIBOR + 1.800% 3.4585% 10/15/36 (b)(d)(e) 27,445,791 27,567,124 
Class J, 1 month U.S. LIBOR + 2.650% 4.3085% 10/15/36 (b)(d)(e) 4,890,695 4,921,146 
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 3.2585% 12/15/29 (b)(d)(e) 13,619,000 13,683,282 
floater, sequential payer:   
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 2.6585% 4/15/34 (b)(d)(e) 19,667,000 19,655,119 
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 2.5785% 10/15/36 (b)(d)(e) 36,352,035 36,514,652 
Series 2019-OC11 Class E, 4.0755% 12/9/41 (b)(d) 1,681,000 1,767,511 
BXMT Ltd. floater Series 2017-FL1 Class D, 1 month U.S. LIBOR + 2.700% 4.3583% 6/15/35 (b)(d)(e) 533,000 532,998 
CALI Mortgage Trust Series 2019-101C Class F, 4.3244% 3/10/39 (b)(d) 1,743,000 1,855,465 
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class G, 1 month U.S. LIBOR + 3.250% 4.9085% 12/15/37 (b)(d)(e) 1,264,000 1,267,956 
CCRESG Commercial Mortgage Trust Series 2016-HEAT:   
Class E, 5.4883% 4/10/29 (b)(d) 769,000 781,079 
Class F, 5.4883% 4/10/29 (b)(d) 955,000 966,393 
CD Mortgage Trust Series 2017-CD3:   
Class C, 4.5601% 2/10/50 (d) 1,482,000 1,641,214 
Class D, 3.25% 2/10/50 (b) 1,340,000 1,286,388 
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.7414% 12/15/47 (b)(d) 478,000 503,313 
CGDB Commercial Mortgage Trust floater Series 2019-MOB:   
Class A, 1 month U.S. LIBOR + 0.950% 2.6085% 11/15/36 (b)(d)(e) 10,499,000 10,492,415 
Class B, 1 month U.S. LIBOR + 1.250% 2.9085% 11/15/36 (b)(d)(e) 2,800,000 2,794,727 
CHC Commercial Mortgage Trust floater Series 2019-CHC:   
Class A, 1 month U.S. LIBOR + 1.120% 2.7785% 6/15/34 (b)(d)(e) 28,667,000 28,653,564 
Class B, 1 month U.S. LIBOR + 1.500% 3.1585% 6/15/34 (b)(d)(e) 5,643,000 5,634,152 
Class C, 1 month U.S. LIBOR + 1.750% 3.4085% 6/15/34 (b)(d)(e) 6,376,000 6,366,004 
Class E, 1 month U.S. LIBOR + 2.350% 4.0085% 6/15/34 (b)(d)(e) 2,961,000 2,957,428 
Class F, 1 month U.S. LIBOR + 2.600% 4.2667% 6/15/34 (b)(d)(e) 3,822,000 3,819,693 
Citigroup Commercial Mortgage Trust:   
Series 19-SMRT Class E, 4.7449% 1/10/36 (b)(d) 791,000 839,608 
Series 2013-375P Class E, 3.5176% 5/10/35 (b)(d) 1,306,000 1,325,917 
Series 2013-GC15 Class D, 5.2139% 9/10/46 (b)(d) 2,196,000 2,352,445 
Series 2015-GC29 Class XA, 1.0774% 4/10/48 (d)(l) 35,774,297 1,620,905 
Series 2015-GC33 Class XA, 0.8942% 9/10/58 (d)(l) 56,440,742 2,403,806 
Series 2016-C3 Class D, 3% 11/15/49 (b) 1,507,000 1,308,767 
Series 2016-P6 Class XA, 0.7931% 12/10/49 (d)(l) 51,892,523 1,740,859 
Series 2019-GC41:   
Class D, 3% 8/10/56 (b) 378,000 352,420 
Class E, 3% 8/10/56 (b) 834,000 732,288 
Series 2019-GC43 Class E, 3% 11/10/52 (b) 1,196,000 1,037,956 
Series 2020-GC46:   
Class D, 2.6% 1/15/53 (b) 683,000 598,242 
Class E, 2.6% 1/15/53 (b) 136,000 111,313 
COMM Mortgage Trust:   
floater:   
Series 2018-HCLV:   
Class F, 1 month U.S. LIBOR + 3.050% 4.7085% 9/15/33 (b)(d)(e) 468,000 469,256 
Class G, 1 month U.S. LIBOR + 5.050% 6.7148% 9/15/33 (b)(d)(e) 544,000 525,064 
Series 2019-521F Class F, 1 month U.S. LIBOR + 2.390% 4.0525% 6/15/34 (b)(d)(e) 1,260,000 1,255,742 
sequential payer:   
Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) 5,924,751 6,191,355 
Series 2013-LC6 Class E, 3.5% 1/10/46 (b) 959,000 891,192 
Series 2012-CR1:   
Class C, 5.3199% 5/15/45 (d) 769,000 810,099 
Class D, 5.3199% 5/15/45 (b)(d) 2,108,000 2,196,459 
Class G, 2.462% 5/15/45 (b) 774,000 661,718 
Series 2012-LC4 Class C, 5.5368% 12/10/44 (d) 166,000 174,028 
Series 2013-CR10:   
Class C, 4.789% 8/10/46 (b)(d) 314,000 339,706 
Class D, 4.789% 8/10/46 (b)(d) 1,490,000 1,583,234 
Series 2013-CR12 Class D, 5.0755% 10/10/46 (b)(d) 1,205,000 1,099,391 
Series 2013-CR9 Class C, 4.2452% 7/10/45 (b)(d) 334,462 325,075 
Series 2013-LC6 Class D, 4.2672% 1/10/46 (b)(d) 1,664,000 1,727,785 
Series 2014-CR15 Class D, 4.7463% 2/10/47 (b)(d) 298,000 322,262 
Series 2014-CR17 Class E, 4.8476% 5/10/47 (b)(d) 255,000 252,228 
Series 2014-CR20 Class XA, 1.0272% 11/10/47 (d)(l) 68,642,769 2,810,098 
Series 2014-LC17 Class XA, 0.7681% 10/10/47 (d)(l) 50,703,240 1,431,799 
Series 2014-UBS2 Class D, 5.0023% 3/10/47 (b)(d) 994,000 969,001 
Series 2014-UBS6 Class XA, 0.892% 12/10/47 (d)(l) 85,706,256 2,940,770 
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(d) 1,538,000 1,571,272 
Series 2017-CD4 Class D, 3.3% 5/10/50 (b) 1,079,000 1,018,298 
COMM Mortgage Trust pass-thru certificates Series 2005-LP5 Class F, 6.0335% 5/10/43 (b)(d) 293,903 296,537 
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b) 368,000 358,771 
Commercial Mortgage Trust Series 2016-CD2:   
Class C, 4.0276% 11/10/49 (d) 619,000 662,527 
Class D, 2.7776% 11/10/49 (d) 546,000 501,400 
Commercial Mortgage Trust pass-thru certificates:   
Series 2012-CR2:   
Class D, 4.8309% 8/15/45 (b)(d) 105,000 108,834 
Class E, 4.8309% 8/15/45 (b)(d) 1,835,100 1,849,311 
Class F, 4.25% 8/15/45 (b) 2,033,000 1,878,574 
Series 2014-CR2 Class G, 4.25% 8/15/45 (b) 522,000 390,426 
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 2.5385% 12/15/31 (b)(d)(e) 10,250,000 10,246,924 
CPT Mortgage Trust sequential payer Series 2019-CPT Class F, 2.9968% 11/13/39 (b)(d) 1,196,000 1,151,687 
Credit Suisse First Boston Mortgage Securities Corp. Series 1998-C1 Class H, 6% 5/17/40 (b) 156,796 125,123 
Credit Suisse Mortgage Trust:   
floater:   
Series 2019-ICE4:   
Class A, 1 month U.S. LIBOR + 0.980% 2.6385% 5/15/36 (b)(d)(e) 46,000,000 45,999,949 
Class F, 1 month U.S. LIBOR + 2.650% 4.3085% 5/15/36 (b)(d)(e) 693,000 694,738 
Series 2019-SKLZ Class D, 1 month U.S. LIBOR + 3.600% 5.2585% 1/15/34 (b)(d)(e) 647,000 648,229 
Series 2018-SITE:   
Class A, 4.284% 4/15/36 (b) 11,930,000 12,823,877 
Class B, 4.5349% 4/15/36 (b) 3,730,000 4,009,660 
Class C, 4.782% 4/15/36 (b)(d) 2,462,000 2,639,369 
Class D, 4.782% 4/15/36 (b)(d) 4,923,000 5,199,838 
Series 2019-UVIL Class E, 3.3928% 12/15/41 (b)(d) 952,000 921,337 
CSAIL Commercial Mortgage Trust:   
Series 2017-C8 Class D, 4.4701% 6/15/50 (b) 1,278,000 1,279,434 
Series 2017-CX10 Class UESD, 4.2366% 10/15/32 (b)(d) 1,055,000 1,083,843 
Series 2017-CX9 Class D, 4.1528% 9/15/50 (b)(d) 518,000 509,229 
Series 2018-CX11 Class C, 4.7916% 4/15/51 (d) 495,000 561,770 
CSMC Trust Series 2017-MOON Class E, 3.1965% 7/10/34 (b)(d) 1,363,000 1,375,936 
DBCCRE Mortgage Trust Series 2014-ARCP:   
Class D, 4.9345% 1/10/34 (b)(d) 458,000 483,233 
Class E, 4.9345% 1/10/34 (b)(d) 1,487,000 1,541,382 
DBGS Mortgage Trust:   
Series 2018-C1 Class D, 2.8866% 10/15/51 (b)(d) 1,512,000 1,413,477 
Series 2019-1735 Class F, 4.1946% 4/10/37 (b)(d) 1,188,000 1,210,595 
DBUBS Mortgage Trust:   
Series 2011-LC1A:   
Class E, 5.6882% 11/10/46 (b)(d) 2,136,000 2,179,485 
Class F, 5.6882% 11/10/46 (b)(d) 2,129,000 2,172,077 
Class G, 4.652% 11/10/46 (b) 2,273,000 2,211,537 
Class XB, 0.3019% 11/10/46 (b)(d)(l) 13,328,000 28,062 
Series 2011-LC3A Class D, 5.3344% 8/10/44 (b)(d) 969,000 1,000,601 
DC Office Trust Series 2019-MTC Class E, 3.1744% 9/15/45 (b) 449,000 447,550 
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.4912% 8/10/49 (d) 382,000 396,988 
Freddie Mac:   
pass-thru certificates:   
Series K011 Class X3, 2.5736% 12/25/43 (d)(l) 1,045,000 13,978 
Series K012 Class X3, 2.2523% 1/25/41 (d)(l) 1,128,055 15,006 
Series K013 Class X3, 2.8146% 1/25/43 (d)(l) 1,113,000 19,391 
Series KAIV Class X2, 3.6147% 6/25/41 (d)(l) 574,000 20,661 
FREMF Mortgage Trust:   
Series 2010-K9 Class B, 5.208% 9/25/45 (b)(d) 1,156,000 1,172,019 
Series 2011-K10 Class B, 4.6219% 11/25/49 (b)(d) 319,000 323,660 
Series 2011-K11 Class B, 4.4179% 12/25/48 (b)(d) 478,000 486,017 
GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33 (q) 949,794 974,172 
GPMT Ltd. floater Series 2018-FL1 Class D, 1 month U.S. LIBOR + 2.950% 4.5789% 11/21/35 (b)(d)(e) 424,000 423,933 
Grace Mortgage Trust Series 2014-GRCE Class F, 3.5901% 6/10/28 (b)(d) 1,219,000 1,229,921 
GS Mortgage Securities Corp. II Series 2010-C1 Class X, 1.3225% 8/10/43 (b)(d)(l) 2,321,394 4,082 
GS Mortgage Securities Corp. Trust floater:   
Series 2019-70P Class F, 1 month U.S. LIBOR + 2.650% 4.3085% 10/15/36 (b)(d)(e) 1,080,000 1,084,056 
Series 2019-SOHO Class E, 1 month U.S. LIBOR + 1.870% 3.5331% 6/15/36 (b)(d)(e) 1,488,000 1,487,997 
GS Mortgage Securities Trust:   
floater:   
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 3.1085% 9/15/31 (b)(d)(e) 38,854,000 38,756,061 
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 2.7485% 10/15/31 (b)(d)(e) 10,027,000 10,034,690 
Series 2010-C2:   
Class D, 5.1794% 12/10/43 (b)(d) 910,000 924,851 
Class XA, 0.046% 12/10/43 (b)(d)(l) 1,915,047 985 
Series 2011-GC3 Class D, 5.6363% 3/10/44 (b)(d) 323,000 334,201 
Series 2011-GC5:   
Class C, 5.3892% 8/10/44 (b)(d) 908,923 943,159 
Class D, 5.3892% 8/10/44 (b)(d) 623,936 627,498 
Class E, 5.3892% 8/10/44 (b)(d) 773,957 728,794 
Class F, 4.5% 8/10/44 (b) 1,339,218 976,599 
Series 2012-GC6:   
Class D, 5.6511% 1/10/45 (b)(d) 1,837,000 1,898,594 
Class E, 5% 1/10/45 (b)(d) 1,117,000 1,063,351 
Series 2012-GC6I Class F, 5% 1/10/45 (d) 447,457 374,337 
Series 2012-GCJ7:   
Class C, 5.6856% 5/10/45 (d) 1,043,000 1,104,141 
Class D, 5.6856% 5/10/45 (b)(d) 2,561,000 2,595,973 
Class F, 5% 5/10/45 (b) 1,100,469 460,071 
Series 2012-GCJ9:   
Class D, 4.7418% 11/10/45 (b)(d) 1,910,000 1,980,801 
Class E, 4.7418% 11/10/45 (b)(d) 896,000 874,337 
Series 2013-GC10 Class D, 4.4028% 2/10/46 (b)(d) 586,000 600,464 
Series 2013-GC12:   
Class D, 4.4513% 6/10/46 (b)(d) 254,518 258,227 
Class XA, 1.4176% 6/10/46 (d)(l) 16,203,189 613,735 
Series 2013-GC13 Class D, 4.0832% 7/10/46 (b)(d) 1,907,000 1,923,122 
Series 2013-GC16:   
Class C, 5.3107% 11/10/46 (d) 421,844 467,974 
Class D, 5.3107% 11/10/46 (b)(d) 1,161,000 1,272,538 
Class F, 3.5% 11/10/46 (b) 970,000 848,354 
Series 2014-GC20 Class XA, 1.0577% 4/10/47 (d)(l) 87,638,366 2,586,077 
Series 2015-GC34 Class XA, 1.2682% 10/10/48 (d)(l) 17,622,357 1,007,012 
Series 2016-GS2:   
Class C, 4.5268% 5/10/49 (d) 771,000 861,879 
Class D, 2.753% 5/10/49 (b) 703,000 645,607 
Series 2016-GS3 Class D, 2.62% 10/10/49 (b) 1,935,000 1,770,314 
Series 2016-GS4 Class C, 3.7992% 11/10/49 (d) 464,000 491,079 
Series 2016-REMZ Class MZB, 7.727% 2/10/21 (b) 1,224,000 1,241,696 
Series 2016-RENT:   
Class E, 4.0667% 2/10/29 (b)(d) 3,220,000 3,249,535 
Class F, 4.0667% 2/10/29 (b)(d) 3,434,000 3,452,462 
Series 2017-GS6 Class D, 3.243% 5/10/50 (b) 1,720,000 1,637,317 
Series 2018-GS9 Class D, 3% 3/10/51 (b) 835,000 762,920 
Series 2019-GC38 Class D, 3% 2/10/52 (b) 446,000 420,865 
Series 2019-GC39 Class D, 3% 5/10/52 (b) 1,176,000 1,107,494 
Series 2019-GC40:   
Class D, 3% 7/10/52 (b) 924,000 869,593 
Class DBF, 3.5497% 7/10/52 (b)(d) 1,107,500 1,092,952 
Class E, 3% 7/10/52 (b) 546,000 476,272 
Series 2019-GC42:   
Class D, 2.8% 9/1/52 (b) 408,000 376,691 
Class E, 2.8% 9/1/52 (b) 1,092,000 933,336 
Series 2019-GSA1 Class E, 2.8% 11/10/52 (b) 357,000 308,954 
Series 2020-GC45:   
Class D, 2.85% 2/13/53 (b) 952,000 854,256 
Class SWD, 3.2185% 12/13/39 (b) 735,000 685,856 
Hilton U.S.A. Trust:   
Series 2016-HHV Class F, 4.1935% 11/5/38 (b)(d) 1,817,000 1,884,217 
Series 2016-SFP Class F, 6.1552% 11/5/35 (b) 2,130,000 2,146,822 
Home Partners of America Trust Series 2019-1:   
Class E, 3.604% 9/17/39 (b) 702,804 711,245 
Class F, 4.101% 9/17/39 (b) 114,341 115,371 
Hudson Yards Mortgage Trust:   
Series 2019-30HY Class E, 3.4431% 7/10/39 (b)(d) 861,000 888,876 
Series 2019-55HY Class F, 2.9428% 12/10/41 (b)(d) 693,000 656,915 
IMT Trust Series 2017-APTS:   
Class EFL, 1 month U.S. LIBOR + 2.150% 3.8085% 6/15/34 (b)(d)(e) 549,479 549,149 
Class FFL, 1 month U.S. LIBOR + 2.850% 4.5085% 6/15/34 (b)(d)(e) 206,055 206,055 
Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (b) 1,064,000 1,152,519 
Invitation Homes Trust floater:   
Series 2018-SFR3 Class F, 1 month U.S. LIBOR + 2.250% 3.9085% 7/17/37 (b)(d)(e) 130,238 130,238 
Series 2018-SFR4 Class F, 1 month U.S. LIBOR + 2.200% 3.8585% 1/17/38 (b)(d)(e) 744,000 743,998 
J.P. Morgan Chase Commercial Mortgage Securities Trust Series 2020-NNN Class EFX, 3.972% 1/16/37 (b) 723,000 759,018 
JP Morgan Chase Commercial Mortgage Securities Trust floater:   
Series 2018-LAQ:   
Class C, 1 month U.S. LIBOR + 1.600% 3.2585% 6/15/32 (b)(d)(e) 705,483 705,481 
Class E, 1 month U.S. LIBOR + 3.000% 4.6585% 6/15/35 (b)(d)(e) 57,714 57,713 
Series 2019-MFP:   
Class E, 1 month U.S. LIBOR + 2.160% 3.8185% 7/15/36 (b)(d)(e) 1,029,000 1,030,961 
Class F, 1 month U.S. LIBOR + 3.000% 4.6585% 7/15/36 (b)(d)(e) 336,000 336,843 
JPMBB Commercial Mortgage Securities Trust:   
Series 2014-C19 Class XA, 0.7505% 4/15/47 (d)(l) 7,946,441 163,163 
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b) 194,000 179,261 
Series 2014-C26 Class D, 3.8815% 1/15/48 (b)(d) 758,000 759,521 
Series 2015-C30 Class XA, 0.5154% 7/15/48 (d)(l) 46,268,243 1,129,894 
Series 2015-C32 Class C, 4.6559% 11/15/48 (d) 1,942,000 2,104,060 
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.4385% 12/15/49 (b)(d) 1,251,000 1,187,422 
JPMDB Commercial Mortgage Securities Trust:   
Series 2016-C4:   
Class C, 3.0903% 12/15/49 (d) 603,000 613,087 
Class D, 3.0903% 12/15/49 (b)(d) 1,242,000 1,174,239 
Series 2017-C7:   
Class C, 4.1843% 10/15/50 (d) 347,000 378,550 
Class D, 3% 10/15/50 (b) 602,000 546,010 
Series 2018-C8 Class D, 3.2444% 6/15/51 (b)(d) 406,000 384,498 
Series 2019-COR6:   
Class D, 2.5% 11/13/52 (b) 567,000 523,032 
Class E, 2.5% 11/13/52 (b) 1,092,000 952,184 
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-CBX:   
Class C, 5.132% 6/15/45 (d) 159,000 166,698 
Class D, 5.132% 6/15/45 (b)(d) 886,000 912,319 
Class E, 5.132% 6/15/45 (b)(d) 1,135,000 1,108,747 
Class F, 4% 6/15/45 (b) 1,124,000 894,228 
Class G 4% 6/15/45 (b) 1,233,000 736,150 
JPMorgan Chase Commercial Mortgage Securities Trust:   
Series 2011-C3:   
Class E, 5.664% 2/15/46 (b)(d) 1,156,000 1,153,729 
Class G, 4.409% 2/15/46 (b)(d) 368,000 315,701 
Class H, 4.409% 2/15/46 (b)(d) 828,000 611,516 
Class J, 4.409% 2/15/46 (b)(d)(m) 106,000 58,202 
Series 2011-C4:   
Class E, 5.5405% 7/15/46 (b)(d) 1,398,000 1,446,409 
Class F, 3.873% 7/15/46 (b) 166,000 167,746 
Class H, 3.873% 7/15/46 (b) 784,250 766,759 
Class NR, 3.873% 7/15/46 (b) 420,000 359,636 
Series 2011-C5:   
Class B. 5.4178% 8/15/46 (b)(d) 726,000 760,411 
Class C, 5.4178% 8/15/46 (b)(d) 414,648 431,819 
Series 2013-LC11:   
Class C, 3.9582% 4/15/46 (d) 1,025,000 1,060,511 
Class D, 4.1676% 4/15/46 (d) 1,638,000 1,500,774 
Class F, 3.25% 4/15/46 (b)(d) 1,851,000 883,296 
Series 2014-DSTY:   
Class D, 3.8046% 6/10/27 (b)(d) 945,000 660,470 
Class E, 3.8046% 6/10/27 (b)(d)(m) 1,519,000 610,086 
Series 2015-UES Class F, 3.621% 9/5/32 (b)(d) 1,253,000 1,254,234 
Series 2018-AON Class F, 4.6132% 7/5/31 (b)(d) 743,000 767,967 
Series 2018-WPT:   
Class CFX, 4.9498% 7/5/33 (b) 2,322,000 2,520,411 
Class DFX, 5.3503% 7/5/33 (b) 3,571,000 3,882,741 
Class EFX, 5.5422% 7/5/33 (b) 4,886,000 5,269,995 
Class XAFX, 1.116% 7/5/33 (b)(d)(l) 35,039,000 1,255,738 
Series 2019-OSB Class E, 3.7828% 6/5/39 (b)(d) 1,071,000 1,144,705 
KNDL 2019-KNSQ Mortgage Trust floater Series 2019-KNSQ Class F, 1 month U.S. LIBOR + 2.000% 3.6585% 5/15/36 (b)(d)(e) 1,113,000 1,107,430 
Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 3.8979% 5/15/31 (b)(d) 1,339,000 1,352,579 
Liberty Street Trust Series 2016-225L:   
Class D, 4.6485% 2/10/36 (b)(d) 375,000 419,199 
Class E, 4.6485% 2/10/36 (b)(d) 942,000 1,023,471 
Mach One Trust LLC Series 2004-1A Class M, 5.45% 5/28/40 (b)(d) 21,579 21,499 
Market Mortgage Trust Series 2020-525M Class F, 2.9406% 2/12/40 (b)(d) 819,000 787,024 
MOFT Trust Series 2020-ABC:   
Class D, 3.4767% 2/6/30 (b)(d) 475,000 459,328 
Class E, 3.4767% 2/6/30 (b)(d) 349,000 316,370 
Morgan Stanley BAML Trust:   
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 698,000 729,517 
Series 2012-C5 Class E, 4.6769% 8/15/45 (b)(d) 288,000 300,882 
Series 2012-C6 Class D, 4.6074% 11/15/45 (b)(d) 1,469,000 1,541,256 
Series 2012-C6, Class F, 4.6074% 11/15/45 (b)(d) 693,000 693,895 
Series 2013-C12 Class D, 4.7657% 10/15/46 (b)(d) 1,299,000 1,354,678 
Series 2013-C13:   
Class D, 4.9073% 11/15/46 (b)(d) 1,579,000 1,666,251 
Class E, 4.9073% 11/15/46 (b)(d) 785,081 811,934 
Series 2013-C7:   
Class C, 4.1222% 2/15/46 (d) 308,000 321,512 
Class D, 4.2382% 2/15/46 (b)(d) 966,000 969,557 
Class E, 4.2382% 2/15/46 (b)(d) 391,000 354,033 
Series 2013-C8 Class D, 4.0564% 12/15/48 (b)(d) 504,000 520,654 
Series 2013-C9:   
Class C, 4.0342% 5/15/46 (d) 920,000 972,132 
Class D, 4.1222% 5/15/46 (b)(d) 1,700,000 1,769,581 
Class E, 4.1222% 5/15/46 (b)(d) 722,000 728,380 
Series 2014-C17 Class XA, 1.1084% 8/15/47 (d)(l) 82,022,121 3,010,269 
Series 2015-C25 Class XA, 1.0925% 10/15/48 (d)(l) 29,463,382 1,365,065 
Series 2016-C30:   
Class C, 4.1234% 9/15/49 (d) 266,000 285,610 
Class D, 3% 9/15/49 (b) 495,000 443,616 
Series 2016-C31:   
Class C, 4.3132% 11/15/49 (d) 603,000 641,909 
Class D, 3% 11/15/49 (b)(d) 772,000 680,573 
Series 2016-C32 Class C, 4.2913% 12/15/49 (d) 415,000 443,752 
Series 2017-C33 Class D, 3.356% 5/15/50 (b) 947,000 899,660 
Morgan Stanley Capital I Trust:   
floater Series 2019-AGLN:   
Class A, 1 month U.S. LIBOR + 0.950% 2.6085% 3/15/34 (b)(d)(e) 13,540,000 13,506,009 
Class F, 1 month U.S. LIBOR + 2.600% 4.2585% 3/15/34 (b)(d)(e) 1,890,000 1,887,716 
Class G, 1 month U.S. LIBOR + 3.150% 4.8085% 3/15/34 (b)(d)(e) 420,000 419,493 
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) 30,766,000 32,409,104 
Series 1998-CF1 Class G, 7.35% 7/15/32 (b)(d) 16,483 16,661 
Series 2011-C1 Class E, 5.3746% 9/15/47 (b)(d) 530,100 544,686 
Series 2011-C2:   
Class D, 5.4876% 6/15/44 (b)(d) 1,788,000 1,812,636 
Class E, 5.4876% 6/15/44 (b)(d) 839,000 823,644 
Class F, 5.4876% 6/15/44 (b)(d) 748,000 709,758 
Class XB, 0.3281% 6/15/44 (b)(d)(l) 5,014,010 19,222 
Series 2011-C3:   
Class AJ, 5.2445% 7/15/49 (b)(d) 7,800,000 8,124,976 
Class D, 5.2445% 7/15/49 (b)(d) 2,163,000 2,200,542 
Class E, 5.2445% 7/15/49 (b)(d) 1,210,000 1,212,731 
Class F, 5.2445% 7/15/49 (b)(d) 332,000 325,608 
Class G, 5.2445% 7/15/49 (b)(d) 1,123,200 1,051,805 
Series 2012-C4 Class D, 5.4192% 3/15/45 (b)(d) 425,000 427,403 
Series 2014-150E:   
Class C, 4.295% 9/9/32 (b)(d) 418,000 455,142 
Class F, 4.295% 9/9/32 (b)(d) 734,000 772,887 
Series 2014-CPT Class F, 3.4455% 7/13/29 (b)(d) 915,000 935,948 
Series 2015-MS1:   
Class C, 4.0311% 5/15/48 (d) 468,000 496,630 
Class D, 4.0311% 5/15/48 (b)(d) 1,371,000 1,356,397 
Series 2015-UBS8 Class D, 3.18% 12/15/48 (b) 883,000 819,195 
Series 2016-BNK2:   
Class C, 3% 11/15/49 (b) 1,456,000 1,386,865 
Class D, 3.9049% 11/15/49 (d) 603,000 650,258 
Series 2017-CLS Class F, 1 month U.S. LIBOR + 2.600% 4.2585% 11/15/34 (b)(d)(e) 822,000 823,319 
Series 2018-H4 Class A4, 4.31% 12/15/51 7,706,000 9,093,097 
Series 2018-MP Class E, 4.276% 7/11/40 (b)(d) 1,318,000 1,388,342 
Series 2019-MEAD:   
Class B, 3.1771% 11/10/36 (b) 4,445,000 4,614,858 
Class C, 3.1771% 11/10/36 (b) 4,265,000 4,370,919 
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.6528% 7/15/33 (b)(d) 69,750 72,425 
Motel 6 Trust floater:   
Series 2017-M6MZ, Class M, 1 month U.S. LIBOR + 6.920% 8.585% 8/15/24 (b)(d)(e) 463,738 468,430 
Series 2017-MTL6, Class F, 1 month U.S. LIBOR + 4.250% 5.9085% 8/15/34 (b)(d)(e) 2,831,838 2,842,622 
MRCD Series 2019-PARK Class G, 2.7175% 12/15/36 (b) 966,000 904,578 
MSCCG Trust floater Series 2018-SELF Class E, 1 month U.S. LIBOR + 2.150% 3.8085% 10/15/37 (b)(d)(e) 679,000 678,588 
MSCG Trust Series 2016-SNR:   
Class A, 3.348% 11/15/34 (b)(d) 1,294,242 1,308,315 
Class B, 4.181% 11/15/34 (b) 4,567,900 4,653,306 
Class C, 5.205% 11/15/34 (b) 3,195,150 3,279,723 
Class D, 6.55% 11/15/34 (b) 2,313,700 2,381,681 
Class E, 6.8087% 11/15/34 (b) 561,000 558,442 
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(d) 311,000 349,518 
MTRO Commercial Mortgage Trust floater Series 2019-TECH Class E, 1 month U.S. LIBOR + 2.050% 3.7085% 12/15/33 (b)(d)(e) 742,000 740,138 
Natixis Commercial Mortgage Securities Series 2019-10K Class F, 4.1346% 5/15/39 (b)(d) 1,374,000 1,375,096 
Natixis Commercial Mortgage Securities Trust:   
floater Series 2018-FL1:   
Class WAN1, 1 month U.S. LIBOR + 2.750% 4.427% 6/15/35 (b)(d)(e) 132,000 132,322 
Class WAN2, 1 month U.S. LIBOR + 3.750% 5.427% 6/15/35 (b)(d)(e) 128,000 127,580 
Series 2018-285M Class F, 3.7904% 11/15/32 (b)(d) 307,000 308,511 
Series 2018-TECH Class F, 1 month U.S. LIBOR + 3.000% 4.6585% 11/15/34 (b)(d)(e) 245,000 243,155 
Series 2020-2PAC:   
Class AMZ2, 3.5% 1/15/37 (b)(d) 735,000 745,552 
Class AMZ3, 3.5% 1/15/37 (b)(d) 336,000 333,376 
NYT Mortgage Trust floater Series 2019-NYT Class F, 1 month U.S. LIBOR + 3.000% 4.6585% 11/15/35 (b)(d)(e) 1,385,000 1,390,270 
Progress Residential Series 2019-SFR3 Class F, 3.867% 9/17/36 (b) 546,000 563,421 
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) 1,086,353 1,373,444 
RETL floater Series 2019-RVP:   
Class A, 1 month U.S. LIBOR + 1.150% 2.8085% 3/15/36 (b)(d)(e) 8,601,093 8,603,755 
Class B, 1 month U.S. LIBOR + 1.550% 3.2085% 3/15/36 (b)(d)(e) 12,500,000 12,511,686 
Class C, 1 month U.S. LIBOR + 2.100% 3.7585% 3/15/36 (b)(d)(e) 20,234,000 20,278,592 
SG Commercial Mortgage Securities Trust Series 2020-COVE:   
Class F, 3.8518% 3/15/37 (b)(d) 1,289,000 1,290,081 
Class G, 3.8518% 3/15/37 (b)(d) 356,000 342,225 
Sg Commercial Mtg Securities Trust 2019-Pres Series 2019-PREZ Class F, 3.5929% 9/15/39 (b)(d) 814,000 780,858 
TIAA Seasoned Commercial Mortgage Trust Series 2007-C4 Class F, 5.5247% 8/15/39 (d) 1,110,000 1,089,906 
UBS Commercial Mortgage Trust:   
Series 2012-C1:   
Class D, 5.5702% 5/10/45 (b)(d) 989,000 1,011,387 
Class E, 5% 5/10/45 (b)(d) 595,000 494,270 
Class F, 5% 5/10/45 (b)(d) 762,700 322,100 
Series 2017-C7 Class XA, 1.0558% 12/15/50 (d)(l) 53,604,598 3,438,767 
UBS-BAMLL Trust:   
Series 12-WRM Class D, 4.238% 6/10/30 (b)(d) 746,000 743,750 
Series 2012-WRM:   
Class C, 4.238% 6/10/30 (b)(d) 110,000 112,329 
Class E, 4.238% 6/10/30 (b)(d) 849,000 835,157 
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (b)(d) 828,000 852,215 
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (b) 180,000 180,261 
Wells Fargo Commercial Mortgage Trust:   
floater Series 2020-SOP Class E, 1 month U.S. LIBOR + 2.710% 4.36% 1/15/35 (b)(d)(e) 441,000 441,858 
Series 2010-C1 Class XB, 0.5867% 11/15/43 (b)(d)(l) 15,792,848 43,326 
Series 2012-LC5:   
Class C, 4.693% 10/15/45 (d) 362,000 383,284 
Class D, 4.7597% 10/15/45 (b)(d) 1,939,000 2,041,663 
Class E, 4.7597% 10/15/45 (b)(d) 869,082 884,058 
Class F, 4.7597% 10/15/45 (b)(d) 252,000 241,383 
Series 2015-C31 Class XA, 1.0142% 11/15/48 (d)(l) 23,264,771 1,122,418 
Series 2015-NXS4 Class E, 3.6698% 12/15/48 (b)(d) 645,000 590,182 
Series 2016-BNK1:   
Class C, 3.071% 8/15/49 446,000 452,511 
Class D, 3% 8/15/49 (b) 487,000 395,746 
Series 2016-C34 Class XA, 2.1276% 6/15/49 (d)(l) 21,192,262 1,882,322 
Series 2016-C35 Class D, 3.142% 7/15/48 (b) 1,739,000 1,571,504 
Series 2016-LC25 Class C, 4.4183% 12/15/59 (d) 575,000 624,612 
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b) 1,337,000 1,244,268 
Series 2017-RB1 Class D, 3.401% 3/15/50 (b) 595,000 584,705 
Series 2018-C43 Class C, 4.514% 3/15/51 401,000 439,502 
Series 2018-C46 Class XA, 0.9441% 8/15/51 (d)(l) 47,017,109 2,686,210 
Series 2018-C48 Class A5, 4.302% 1/15/52 6,748,000 7,934,157 
WF-RBS Commercial Mortgage Trust:   
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 2.3783% 6/15/46 (b)(d)(e) 19,520,585 19,534,837 
sequential payer Series 2011-C4I Class G, 5% 6/15/44 372,000 289,612 
Series 2011-C3:   
Class C, 5.335% 3/15/44 (b) 229,000 236,037 
Class D, 5.6803% 3/15/44 (b)(d) 949,000 662,742 
Class E, 5% 3/15/44 (b) 733,000 219,900 
Class F, 5% 3/15/44 (b) 761,000 38,011 
Series 2011-C4:   
Class D, 5.2297% 6/15/44 (b)(d) 474,000 485,280 
Class E, 5.2297% 6/15/44 (b)(d) 335,432 336,475 
Series 2011-C5:   
Class C, 5.6608% 11/15/44 (b)(d) 160,000 168,478 
Class D, 5.6608% 11/15/44 (b)(d) 1,195,000 1,247,092 
Class E, 5.6608% 11/15/44 (b)(d) 1,880,000 1,940,940 
Class F, 5.25% 11/15/44 (b)(d) 1,146,000 1,140,697 
Class G, 5.25% 11/15/44 (b)(d) 376,000 347,811 
Class XA, 1.6869% 11/15/44 (b)(d)(l) 2,199,588 42,701 
Series 2012-C6 Class D, 5.5786% 4/15/45 (b)(d) 702,000 743,194 
Series 2012-C7:   
Class C, 4.8128% 6/15/45 (d) 1,226,000 1,259,737 
Class E, 4.8128% 6/15/45 (b)(d) 2,074,312 1,527,916 
Class F, 4.5% 6/15/45 (b) 421,434 225,099 
Class G, 4.5% 6/15/45 (b) 1,242,487 448,857 
Series 2012-C8:   
Class D, 4.8848% 8/15/45 (b)(d) 524,000 547,751 
Class E, 4.8848% 8/15/45 (b)(d) 367,000 376,712 
Series 2013-C11:   
Class D, 4.2606% 3/15/45 (b)(d) 801,251 832,309 
Class E, 4.2606% 3/15/45 (b)(d) 1,774,872 1,811,846 
Series 2013-C13 Class D, 4.139% 5/15/45 (b)(d) 580,000 600,451 
Series 2013-C16 Class D, 5.0335% 9/15/46 (b)(d) 211,000 212,827 
Series 2013-UBS1 Class D, 4.7383% 3/15/46 (b)(d) 830,625 877,566 
Series 2014-C21 Class XA, 1.0362% 8/15/47 (d)(l) 55,124,161 2,071,130 
Series 2014-C24 Class XA, 0.8369% 11/15/47 (d)(l) 19,205,199 593,577 
Series 2014-LC14 Class XA, 1.2075% 3/15/47 (d)(l) 34,675,055 1,310,783 
Worldwide Plaza Trust Series 2017-WWP:   
Class E, 3.5955% 11/10/36 (b)(d) 348,000 352,846 
Class F, 3.5955% 11/10/36 (b)(d) 1,960,000 1,893,832 
WP Glimcher Mall Trust Series 2015-WPG:   
Class PR1, 3.516% 6/5/35 (b)(d) 528,000 470,941 
Class PR2, 3.516% 6/5/35 (b)(d) 1,378,000 1,178,459 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $953,663,893)  972,798,024 
Municipal Securities - 0.7%   
California Gen. Oblig.:   
Series 2009: 
7.35% 11/1/39 1,690,000 2,753,618 
7.5% 4/1/34 5,800,000 9,614,022 
7.55% 4/1/39 11,940,000 20,504,084 
Series 2010, 7.625% 3/1/40 6,440,000 10,985,030 
7.3% 10/1/39 17,580,000 28,457,977 
Chicago Gen. Oblig. (Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 715,000 736,464 
Series 2010 C1, 7.781% 1/1/35 8,885,000 12,422,652 
Series 2012 B, 5.432% 1/1/42 2,095,000 2,495,334 
Illinois Gen. Oblig.:   
Series 2003:   
4.95% 6/1/23 13,479,273 14,260,397 
5.1% 6/1/33 40,165,000 46,993,050 
Series 2010-1, 6.63% 2/1/35 7,610,000 9,569,042 
Series 2010-3:   
6.725% 4/1/35 11,345,000 14,220,163 
7.35% 7/1/35 5,200,000 6,720,168 
Series 2010-5, 6.2% 7/1/21 2,080,000 2,152,259 
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 27,425,000 35,809,371 
TOTAL MUNICIPAL SECURITIES   
(Cost $188,380,887)  217,693,631 
Foreign Government and Government Agency Obligations - 1.1%   
Arab Republic of Egypt:   
5.577% 2/21/23 (b) $312,000 $322,140 
5.875% 6/11/25 (b) 410,000 429,988 
6.125% 1/31/22 (b) 5,337,000 5,520,459 
6.2004% 3/1/24 (b) 310,000 328,600 
7.0529% 1/15/32 (b) 385,000 391,738 
7.5% 1/31/27 (b) 8,772,000 9,780,780 
7.6003% 3/1/29 (b) 3,340,000 3,581,106 
7.903% 2/21/48 (b) 806,000 816,579 
8.5% 1/31/47 (b) 1,586,000 1,701,481 
8.7002% 3/1/49 (b) 270,000 290,334 
Argentine Republic:   
5.625% 1/26/22 6,185,000 2,895,353 
6.875% 4/22/21 16,696,000 8,301,043 
7.5% 4/22/26 12,252,000 5,371,736 
8.28% 12/31/33 2,053,986 1,101,450 
Azerbaijan Republic 4.75% 3/18/24 (b) 910,000 972,563 
Bahamian Republic 6% 11/21/28 (b) 373,000 424,637 
Bahrain Kingdom 5.5% 3/31/20 (b) 495,000 494,381 
Barbados Government:   
6.5% 2/1/21 (b) 165,000 165,083 
6.5% 10/1/29 (b) 1,645,000 1,742,158 
Belarus Republic:   
6.875% 2/28/23 (b) 2,961,000 3,175,673 
7.625% 6/29/27 (b) 243,000 278,235 
Bermuda Government:   
3.717% 1/25/27 (b) 755,000 812,569 
4.75% 2/15/29 (b) 1,565,000 1,818,823 
Brazilian Federative Republic:   
4.25% 1/7/25 6,374,000 6,951,644 
4.75% 1/14/50 3,895,000 4,122,614 
5.625% 1/7/41 7,661,000 9,051,950 
5.625% 2/21/47 809,000 968,525 
7.125% 1/20/37 540,000 725,625 
8.25% 1/20/34 5,474,000 7,911,641 
Buenos Aires Province 10.875% 1/26/21 (b) 2,021,667 970,400 
Cameroon Republic 9.5% 11/19/25 (b) 3,871,000 4,337,939 
City of Buenos Aires:   
7.5% 6/1/27 (Reg. S) 450,000 380,250 
8.95% 2/19/21 (b) 635,120 633,532 
Costa Rican Republic 4.25% 1/26/23 (b) 1,215,000 1,211,963 
Democratic Socialist Republic of Sri Lanka:   
5.75% 4/18/23 (b) 331,000 328,104 
6.25% 10/4/20 (b) 1,584,000 1,597,860 
6.25% 7/27/21 (b) 535,000 542,356 
Dominican Republic:   
4.5% 1/30/30 (b) 960,000 960,000 
5.5% 1/27/25 (b) 710,000 761,253 
5.875% 1/30/60 (b) 860,000 850,110 
5.95% 1/25/27 (b) 551,000 602,656 
6% 7/19/28 (b) 1,126,000 1,240,711 
6.4% 6/5/49 (b) 575,000 607,523 
6.85% 1/27/45 (b) 788,000 876,404 
6.875% 1/29/26 (b) 2,717,000 3,087,191 
7.45% 4/30/44 (b) 1,639,000 1,938,630 
Ecuador Republic 10.5% 3/24/20 (b) 475,000 470,547 
El Salvador Republic:   
5.875% 1/30/25 (Reg.S) 260,000 274,463 
6.375% 1/18/27 (b) 2,165,000 2,322,639 
7.1246% 1/20/50 (b) 670,000 699,522 
7.625% 9/21/34 (b) 450,000 490,922 
7.75% 1/24/23 (b) 1,125,000 1,227,305 
Emirate of Abu Dhabi 3.125% 9/30/49 (b) 1,210,000 1,233,066 
Export Credit Bank of Turkey 5.375% 2/8/21 (b) 605,000 609,727 
Federal Democratic Republic of Ethiopia 6.625% 12/11/24 (b) 235,000 248,806 
Ghana Republic:   
6.375% 2/11/27 (b) 940,000 928,250 
7.875% 3/26/27 (b) 655,000 690,206 
Greek Government 3.875% 3/12/29 (Reg. S) (b) EUR2,100,000 2,806,737 
Indonesian Republic:   
2.625% 6/14/23 EUR5,863,000 6,941,712 
3.5% 2/14/50 950,000 956,147 
4.35% 1/11/48 1,225,000 1,387,695 
5.125% 1/15/45 (b) 2,450,000 3,060,203 
5.25% 1/17/42 (b) 660,000 830,569 
5.95% 1/8/46 (b) 985,000 1,363,302 
6.75% 1/15/44 (b) 690,000 1,030,581 
7.75% 1/17/38 (b) 2,268,000 3,524,279 
8.5% 10/12/35 (b) 2,280,000 3,693,691 
Islamic Republic of Pakistan 8.25% 4/15/24 (b) 286,000 320,617 
Ivory Coast 5.75% 12/31/32 3,073,725 2,969,987 
Jamaican Government:   
6.75% 4/28/28 155,000 181,350 
7.875% 7/28/45 430,000 582,516 
Jordanian Kingdom 6.125% 1/29/26 (b) 750,000 801,797 
Kazakhstan Republic 6.5% 7/21/45 (b) 185,000 281,663 
Kingdom of Saudi Arabia:   
4.5% 10/26/46 (b) 825,000 943,388 
4.625% 10/4/47 (b) 2,070,000 2,416,725 
Lebanese Republic:   
5.8% 4/14/20 1,564,000 619,246 
6.375% 3/9/20 3,526,000 1,590,667 
Mendoza Province 8.375% 5/19/24 (b) 220,000 159,500 
Ministry of Finance of the Russian Federation:   
5.1% 3/28/35 (b) 7,200,000 8,665,200 
5.1% 3/28/35(Reg. S) 2,800,000 3,369,800 
5.25% 6/23/47 (b) 6,400,000 8,280,000 
5.25% 6/23/47(Reg. S) 600,000 776,250 
5.625% 4/4/42 (b) 1,250,000 1,652,344 
5.875% 9/16/43 (b) 540,000 740,475 
Mongolian People's Republic 8.75% 3/9/24 (b) 322,000 357,521 
Moroccan Kingdom:   
4.25% 12/11/22 (b) 1,315,000 1,384,038 
5.5% 12/11/42 (b) 200,000 253,875 
Papua New Guinea 8.375% 10/4/28 (b) 860,000 929,875 
Peruvian Republic 4% 3/7/27 (m)(r) 866,000 871,415 
Plurinational State of Bolivia 5.95% 8/22/23 (b) 275,000 291,844 
Province of Santa Fe 7% 3/23/23 (b) 3,389,000 2,677,310 
Provincia de Cordoba:   
7.125% 6/10/21 (b) 5,117,000 3,850,543 
7.45% 9/1/24 (b) 1,893,000 1,266,890 
Republic of Iraq 5.8% 1/15/28 (Reg. S) 7,001,000 6,640,011 
Republic of Kenya 6.875% 6/24/24 (b) 2,005,000 2,141,591 
Republic of Nigeria:   
6.5% 11/28/27 (b) 1,155,000 1,149,225 
7.625% 11/21/25 (b) 3,230,000 3,536,850 
Republic of Paraguay 5.4% 3/30/50 (b) 170,000 204,085 
Rwanda Republic 6.625% 5/2/23 (b) 1,643,000 1,758,009 
South African Republic 4.875% 4/14/26 195,000 203,958 
State of Qatar:   
4% 3/14/29 (b) 1,145,000 1,301,364 
4.817% 3/14/49 (b) 3,895,000 4,974,645 
5.103% 4/23/48 (b) 2,610,000 3,464,775 
9.75% 6/15/30 (b) 917,000 1,520,787 
Sultanate of Oman:   
3.625% 6/15/21 (b) 400,000 399,750 
3.875% 3/8/22 (b) 1,245,000 1,251,225 
4.75% 6/15/26 (b) 1,015,000 988,356 
5.375% 3/8/27 (b) 250,000 249,453 
6.75% 1/17/48 (b) 569,000 536,638 
The Third Pakistan International Sukuk Co. Ltd.:   
5.5% 10/13/21 (b) 690,000 707,466 
5.625% 12/5/22 (b) 465,000 478,950 
Turkish Republic:   
3.25% 3/23/23 6,030,000 5,741,691 
4.25% 3/13/25 1,065,000 990,450 
5.125% 3/25/22 10,530,000 10,559,616 
5.25% 3/13/30 675,000 612,563 
5.75% 5/11/47 2,303,000 1,963,308 
6.25% 9/26/22 11,590,000 11,948,566 
6.35% 8/10/24 755,000 775,055 
7.25% 12/23/23 1,744,000 1,848,095 
Ukraine Government:   
7.375% 9/25/32 (b) 1,000,000 1,073,125 
7.75% 9/1/20 (b) 8,990,000 9,133,840 
7.75% 9/1/21 (b) 13,125,000 13,814,063 
7.75% 9/1/22 (b) 1,394,000 1,498,550 
7.75% 9/1/23 (b) 875,000 945,875 
7.75% 9/1/24 (b) 1,485,000 1,608,998 
7.75% 9/1/26 (b) 640,000 700,800 
7.75% 9/1/27 (b) 495,000 540,788 
United Kingdom, Great Britain and Northern Ireland:   
1.75% 9/7/37 (Reg. S) (h)(j) GBP1,470,991 2,173,949 
1.75% 1/22/49(Reg. S) (j) GBP2,185,000 3,378,063 
4.25% 3/7/36 (Reg. S) GBP21,672 42,531 
4.25% 12/7/49 (Reg. S) (j) GBP1,475,717 3,526,229 
United Mexican States:   
3.25% 4/16/30 1,145,000 1,175,343 
5.75% 10/12/10 2,950,000 3,721,609 
6.05% 1/11/40 5,505,000 7,414,547 
Uzbekistan Republic of 4.75% 2/20/24 (b) 145,000 153,020 
Venezuelan Republic:   
9.25% 9/15/27 (f) 7,846,000 1,216,130 
11.95% 8/5/31 (Reg. S) (f) 1,641,700 254,464 
12.75% 8/23/22 (f) 350,400 54,312 
Vietnamese Socialist Republic:   
6 month U.S. LIBOR + 0.813% 2.8476% 3/13/28 (d)(e) 124,000 124,629 
5.5% 3/12/28 3,984,367 3,947,013 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $312,188,906)  304,845,355 
 Shares Value 
Common Stocks - 0.0%   
COMMUNICATION SERVICES - 0.0%   
Media - 0.0%   
Clear Channel Outdoor Holdings, Inc. (s) 32,596 67,474 
iHeartMedia, Inc. (s) 13,857 209,379 
iHeartMedia, Inc. warrants 5/1/39 (s) 76 
  276,929 
Wireless Telecommunication Services - 0.0%   
CUI Acquisition Corp. Class E (m)(s) 34,600 
TOTAL COMMUNICATION SERVICES  311,529 
CONSUMER DISCRETIONARY - 0.0%   
Specialty Retail - 0.0%   
David's Bridal, Inc. (m) 2,055 257 
David's Bridal, Inc. rights (m)(s) 518 65 
  322 
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Expro Holdings U.S., Inc. (m)(s) 179,923 2,338,999 
Expro Holdings U.S., Inc. (b)(m)(s) 66,030 858,390 
Weatherford International PLC (s) 22,380 467,742 
  3,665,131 
FINANCIALS - 0.0%   
Capital Markets - 0.0%   
Motors Liquidation Co. GUC Trust (s) 
INDUSTRIALS - 0.0%   
Commercial Services & Supplies - 0.0%   
Cenveo Corp. (m)(s) 2,500 72,900 
UTILITIES - 0.0%   
Electric Utilities - 0.0%   
TexGen Power LLC (m) 88,700 3,405,193 
TOTAL COMMON STOCKS   
(Cost $10,999,045)  7,455,083 
Preferred Stocks - 0.0%   
Convertible Preferred Stocks - 0.0%   
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
RLJ Lodging Trust Series A, 1.95% 20,725 556,674 
Nonconvertible Preferred Stocks - 0.0%   
FINANCIALS - 0.0%   
Mortgage Real Estate Investment Trusts - 0.0%   
AGNC Investment Corp. Series E 6.50% (d) 40,400 999,092 
MFA Financial, Inc. Series B, 7.50% 24,975 622,702 
  1,621,794 
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
American Homes 4 Rent Series D, 6.50% 26,975 699,192 
Boston Properties, Inc. 5.25% 11,150 280,646 
Cedar Realty Trust, Inc.:   
Series B, 7.25% 1,766 43,479 
Series C, 6.50% 26,075 611,980 
Colony Capital, Inc.:   
Series H, 7.125% 29,400 650,034 
Series I, 7.15% 30,500 674,660 
National Storage Affiliates Trust Series A, 6.00% 12,600 337,554 
PS Business Parks, Inc. Series W, 5.20% 14,075 354,549 
Public Storage Series F, 5.15% 39,800 1,010,522 
Rexford Industrial Realty, Inc. Series B, 5.875% 30,100 767,550 
SITE Centers Corp. Series K, 6.25% 21,323 519,855 
Spirit Realty Capital, Inc. Series A, 6.00% 18,100 459,740 
Taubman Centers, Inc. Series J, 6.50% 14,513 368,195 
UMH Properties, Inc. Series C, 6.75% 14,184 351,054 
  7,129,010 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  8,750,804 
TOTAL PREFERRED STOCKS   
(Cost $9,057,694)  9,307,478 
 Principal Amount(a) Value 
Bank Loan Obligations - 4.2%   
COMMUNICATION SERVICES - 0.6%   
Diversified Telecommunication Services - 0.1%   
Connect Finco Sarl Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.11% 12/11/26 (d)(e)(t) 3,120,000 3,084,900 
Front Range BidCo, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 2/20/27 (e)(t)(u) 8,805,000 8,588,045 
Frontier Communications Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6/15/24 (e)(t)(u) 11,975,640 11,995,639 
Iridium Satellite LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 11/4/26 (d)(e)(t) 2,245,000 2,242,194 
Level 3 Financing, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 3/1/27 (d)(e)(t) 3,326,727 3,247,717 
Securus Technologies, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 4.500% 6.1034% 11/1/24 (d)(e)(t) 2,497,149 2,010,205 
3 month U.S. LIBOR + 8.250% 9.8534% 11/1/25 (d)(e)(t) 3,586,000 1,630,734 
SFR Group SA:   
Tranche B 11LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 7/31/25 (d)(e)(t) 4,879,395 4,690,318 
Tranche B 12LN, term loan 3 month U.S. LIBOR + 3.680% 5.346% 1/31/26 (d)(e)(t) 987,374 957,753 
Tranche B 13LN, term loan 3 month U.S. LIBOR + 4.000% 5.6585% 8/14/26 (d)(e)(t) 2,516,150 2,459,537 
Windstream Services LLC 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.11% 2/26/21 (d)(e)(t) 1,500,000 1,499,070 
  42,406,112 
Entertainment - 0.1%   
Allen Media LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.2309% 2/10/27 (d)(e)(t) 4,750,000 4,666,875 
AMC Entertainment Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.61% 4/22/26 (d)(e)(t) 2,481,250 2,395,969 
CDS U.S. Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.6946% 7/8/22 (d)(e)(t) 2,214,339 2,020,584 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.1946% 7/8/23 (d)(e)(t) 296,000 248,344 
Crown Finance U.S., Inc. Tranche B 1LN, term loan:   
3 month U.S. LIBOR + 2.250% 3.8534% 2/28/25 (d)(e)(t) 5,328,181 4,917,165 
3 month U.S. LIBOR + 2.500% 4.1034% 9/20/26 (d)(e)(t) 748,125 692,016 
SMG U.S. Midco 2, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.1289% 1/23/25 (d)(e)(t) 1,497,919 1,482,940 
  16,423,893 
Interactive Media & Services - 0.0%   
Ancestry.Com Operations, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.36% 10/19/23 (d)(e)(t) 3,082,052 2,835,487 
Media - 0.3%   
Altice Financing SA Tranche B, term loan:   
3 month U.S. LIBOR + 2.750% 4.3894% 1/31/26 (d)(e)(t) 2,479,295 2,384,785 
3 month U.S. LIBOR + 2.750% 4.4119% 7/15/25 (d)(e)(t) 929,552 896,441 
AppLovin Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 8/15/25 (d)(e)(t) 3,097,755 3,078,394 
Cable One, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.36% 5/1/24 (d)(e)(t) 633,133 634,121 
Cengage Learning, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.8534% 6/7/23 (d)(e)(t) 3,820,734 3,517,482 
Charter Communication Operating LLC Tranche B2 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.36% 2/1/27 (d)(e)(t) 14,757,053 14,535,697 
Coral-U.S. Co.-Borrower LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 1/31/28 (d)(e)(t) 5,465,000 5,403,519 
CSC Holdings LLC:   
Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.500% 4.1585% 4/15/27 (d)(e)(t) 4,375,000 4,320,313 
Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.9085% 1/15/26 (d)(e)(t) 1,261,260 1,241,559 
Cumulus Media New Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 3/31/26 (d)(e)(t) 623,438 609,410 
Diamond Sports Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.88% 8/24/26 (d)(e)(t) 7,860,300 7,152,873 
Entercom Media Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.500% 4.1034% 11/17/24 (d)(e)(t) 1,844,173 1,818,816 
Getty Images, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.125% 2/19/26 (d)(e)(t) 1,351,995 1,308,055 
iHeartCommunications, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.655% 5/1/26 (d)(e)(t) 1,375,000 1,347,500 
ION Media Networks, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.625% 12/18/24 (d)(e)(t) 3,319,095 3,273,457 
Lamar Media Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.500% 3.1663% 1/30/27 (d)(e)(t) 1,250,000 1,245,938 
LCPR Loan Financing LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.6585% 10/22/26 (d)(e)(t) 2,635,000 2,643,775 
MCC Iowa LLC Tranche M, term loan 3 month U.S. LIBOR + 2.000% 3.59% 1/15/25 (d)(e)(t) 517,088 512,889 
NEP/NCP Holdco, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.6034% 10/19/26 (d)(e)(t) 478,000 420,640 
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.9085% 7/17/25 (d)(e)(t) 4,747,727 4,686,339 
Nexstar Broadcasting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.405% 9/19/26 (d)(e)(t) 4,533,638 4,488,301 
Nielsen Finance LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 3.6709% 10/4/23 (d)(e)(t) 1,732,188 1,713,792 
Outfront Media Capital LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.4028% 11/28/26 (d)(e)(t) 1,250,000 1,239,063 
Proquest LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 10/17/26 (d)(e)(t) 2,250,000 2,238,750 
Recorded Books, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 8/31/25 (e)(m)(t)(u) 375,000 373,125 
Sinclair Television Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.16% 9/30/26 (d)(e)(t) 2,199,488 2,155,498 
Springer Nature Deutschland Gm Tranche B16 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 8/24/24 (d)(e)(t) 3,467,658 3,473,726 
Virgin Media Bristol LLC Tranche N, term loan 3 month U.S. LIBOR + 2.500% 4.1585% 1/31/28 (d)(e)(t) 3,500,000 3,435,845 
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.8894% 8/19/23 (d)(e)(t) 13,071,011 12,613,525 
  92,763,628 
Wireless Telecommunication Services - 0.1%   
Intelsat Jackson Holdings SA:   
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.682% 11/27/23 (d)(e)(t) 18,395,000 18,134,343 
Tranche B-4, term loan 3 month U.S. LIBOR + 4.500% 6.432% 1/2/24 (d)(e)(t) 2,230,000 2,242,733 
Tranche B-5, term loan 6.625% 1/2/24 (t) 3,017,000 3,032,085 
Onvoy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.1034% 2/10/24 (d)(e)(t) 1,703,850 1,526,649 
SBA Senior Finance II, LLC Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.36% 4/11/25 (d)(e)(t) 1,980,838 1,956,077 
Sprint Communications, Inc.:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.000% 4.625% 2/2/24 (d)(e)(t) 1,732,500 1,717,341 
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.1875% 2/3/24 (d)(e)(t) 846,427 837,963 
Syniverse Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.8725% 3/9/23 (d)(e)(t) 2,816,665 2,573,727 
Telesat LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.36% 11/22/26 (d)(e)(t) 1,125,000 1,108,125 
  33,129,043 
TOTAL COMMUNICATION SERVICES  187,558,163 
CONSUMER DISCRETIONARY - 0.8%   
Auto Components - 0.0%   
North American Lifting Holdings, Inc.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.4446% 11/27/20 (d)(e)(t) 2,818,289 2,475,388 
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.000% 10.9446% 11/27/21 (d)(e)(t) 1,015,000 571,780 
  3,047,168 
Automobiles - 0.0%   
UOS LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.8968% 4/18/25 (d)(e)(t) 1,532,645 1,530,729 
Distributors - 0.0%   
BCPE Empire Holdings, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 4.000% 5.6034% 6/11/26 (d)(e)(t) 1,041,693 1,031,276 
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.2764% 6/11/26 (d)(e)(t)(v) 205,631 203,575 
Owens & Minor Distribution, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.155% 4/30/25 (d)(e)(t) 1,882,335 1,581,161 
  2,816,012 
Diversified Consumer Services - 0.1%   
Bright Horizons Family Solutions Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 11/7/23 (d)(e)(t) 934,527 931,415 
Creative Artists Agency LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 11/26/26 (d)(e)(t) 1,375,000 1,365,265 
CSM Bakery Supplies Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.87% 7/3/20 (d)(e)(t) 1,547,725 1,498,972 
GEMS MENASA Cayman Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.6132% 7/30/26 (d)(e)(t) 2,605,984 2,609,371 
KUEHG Corp.:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.1946% 8/22/25 (d)(e)(t) 637,000 631,159 
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.6946% 2/21/25 (d)(e)(t) 4,875,316 4,789,998 
Learning Care Group (U.S.) No 2 Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.0522% 3/13/25 (d)(e)(t) 1,644,822 1,622,897 
Sotheby's 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.1585% 1/3/27 (d)(e)(t) 3,740,398 3,743,914 
Spin Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.0926% 11/14/22 (d)(e)(t) 6,435,971 6,318,000 
SSH Group Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.1946% 7/30/25 (d)(e)(t) 1,734,331 1,708,316 
WASH Multifamily Acquisition, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.000% 8.6034% 5/15/23 (d)(e)(t) 34,131 32,808 
Tranche B 1LN, term loan:   
3 month U.S. LIBOR + 3.250% 4.8534% 5/14/22 (d)(e)(t) 458,663 452,929 
3 month U.S. LIBOR + 3.250% 4.8534% 5/14/22 (d)(e)(t) 2,631,366 2,598,474 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.6034% 5/14/23 (d)(e)(t) 194,870 187,318 
Weight Watchers International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.72% 11/29/24 (d)(e)(t) 3,755,578 3,743,072 
  32,233,908 
Hotels, Restaurants & Leisure - 0.5%   
Affinity Gaming LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.8534% 7/1/23 (d)(e)(t) 1,181,629 1,143,226 
Aimbridge Acquisition Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.3626% 2/1/26 (d)(e)(t) 1,939,464 1,890,978 
Alterra Mountain Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 7/31/24 (d)(e)(t) 2,132,191 2,089,547 
AP Gaming I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 2/15/24 (d)(e)(t) 1,116,143 1,099,401 
Aramark Services, Inc.:   
Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 3/11/25 (d)(e)(t) 3,416,809 3,386,912 
Tranche B-4 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 1/15/27 (d)(e)(t) 1,750,000 1,737,978 
Aristocrat Technologies, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 3.5766% 10/19/24 (d)(e)(t) 2,149,689 2,101,321 
Boyd Gaming Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.8293% 9/15/23 (d)(e)(t) 875,232 862,471 
Burger King Worldwide, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 11/19/26 (d)(e)(t) 3,000,000 2,947,500 
Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 12/22/24 (d)(e)(t) 16,035,775 15,447,743 
CCM Merger, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 8/8/21 (d)(e)(t) 638,060 636,784 
CEC Entertainment, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.500% 8.1034% 8/30/26 (d)(e)(t) 1,620,938 1,530,441 
CityCenter Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 4/18/24 (d)(e)(t) 2,101,160 2,073,152 
Delta 2 SARL Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.1034% 2/1/24 (d)(e)(t) 10,615,709 10,244,159 
Eldorado Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.8894% 4/17/24 (d)(e)(t) 1,043,533 1,037,668 
Equinox Holdings, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.6034% 9/8/24 (d)(e)(t) 794,000 791,523 
Tranche B-1, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 3/8/24 (d)(e)(t) 3,628,494 3,566,519 
Four Seasons Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.6034% 11/30/23 (d)(e)(t) 4,506,315 4,423,714 
Gaming VC Holdings SA Tranche B2 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.1453% 3/15/24 (d)(e)(t) 1,886,918 1,839,745 
Gateway Casinos & Entertainment Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.9446% 3/13/25 (d)(e)(t) 1,832,446 1,786,634 
Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.62% 10/20/24 (d)(e)(t) 6,516,788 6,370,161 
Golden Nugget, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.1199% 10/4/23 (d)(e)(t) 8,982,342 8,793,353 
Hilton Worldwide Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.3768% 6/21/26 (d)(e)(t) 2,928,862 2,893,891 
KFC Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.4085% 4/3/25 (d)(e)(t) 1,849,839 1,829,602 
LTF Merger Sub, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.3632% 6/10/22 (d)(e)(t) 3,269,032 3,216,728 
Marriott Ownership Resorts, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.3952% 8/31/25 (d)(e)(t) 2,058,445 2,056,736 
Mohegan Tribal Gaming Authority Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.6034% 10/14/23 (d)(e)(t) 748,342 720,901 
NASCAR Holdings, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3894% 10/18/26 (d)(e)(t) 2,241,090 2,226,523 
PCI Gaming Authority 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.1034% 5/29/26 (d)(e)(t) 1,466,710 1,453,876 
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 10/15/25 (d)(e)(t) 1,533,699 1,510,694 
PFC Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 8.1708% 3/1/26 (d)(e)(t) 2,109,063 1,699,904 
Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.35% 4/27/24 (d)(e)(t) 303,861 281,071 
PlayPower, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.4605% 5/10/26 (d)(e)(m)(t) 746,250 746,250 
Playtika Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.000% 7.6034% 12/10/24 (d)(e)(t) 5,125,000 5,125,000 
Red Lobster Hospitality LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.8534% 7/28/21 (d)(e)(t) 1,485,972 1,404,243 
Ryman Hospitality Properties, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.61% 5/11/24 (d)(e)(t) 578,378 578,378 
Seminole Tribe of Florida Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 7/6/24 (d)(e)(t) 2,371,999 2,348,279 
Stars Group Holdings BV Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.4446% 7/10/25 (d)(e)(t) 7,577,302 7,551,236 
Station Casinos LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.86% 2/7/27 (d)(e)(t) 4,470,649 4,362,594 
Travelport Finance Luxembourg SARL:   
1LN, term loan 3 month U.S. LIBOR + 5.000% 6.9446% 5/29/26 (d)(e)(t) 5,127,150 3,890,225 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 9.000% 10.9446% 5/28/27 (d)(e)(t) 1,250,000 875,000 
United PF Holdings LLC:   
1LN, term loan:   
3 month U.S. LIBOR + 4.000% 12/30/26 (e)(t)(u)(v) 206,568 205,277 
3 month U.S. LIBOR + 4.000% 5.6034% 12/30/26 (d)(e)(t) 1,668,432 1,658,005 
2LN, term loan 3 month U.S. LIBOR + 8.500% 10.1034% 12/30/27 (d)(e)(m)(t) 500,000 500,000 
Whatabrands LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.4162% 8/3/26 (d)(e)(t) 4,982,513 4,882,862 
Wyndham Hotels & Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 5/30/25 (d)(e)(t) 2,484,550 2,458,462 
  130,276,667 
Internet & Direct Marketing Retail - 0.2%   
Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.6034% 9/25/24 (d)(e)(t) 29,124,786 27,814,171 
Buzz Merger Sub Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 1/29/27 (d)(e)(t) 635,000 622,300 
Harbor Freight Tools U.S.A., Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.1034% 8/19/23 (d)(e)(t) 2,667,760 2,529,384 
Red Ventures LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.1126% 11/8/24 (d)(e)(t) 3,117,372 3,055,025 
Terrier Media Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.1477% 12/12/26 (d)(e)(t) 6,500,000 6,445,855 
  40,466,735 
Leisure Products - 0.0%   
Callaway Golf Co. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.1528% 1/4/26 (d)(e)(t) 1,283,400 1,276,983 
SP PF Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.1034% 12/21/25 (d)(e)(t) 1,612,813 1,472,498 
Varsity Brands Holding Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 12/15/24 (d)(e)(t) 3,121,734 2,989,060 
  5,738,541 
Specialty Retail - 0.0%   
Academy Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.655% 7/2/22 (d)(e)(t) 3,187,440 2,526,046 
David's Bridal, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 8.000% 9.95% 1/18/24 (d)(e)(m)(t) 61,823 61,823 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.000% 7.65% 6/30/23 (d)(e)(m)(t) 44,448 44,448 
Party City Holdings, Inc. term loan 3 month U.S. LIBOR + 2.500% 4.1004% 8/19/22 (d)(e)(t) 2,795,818 2,544,194 
PETCO Animal Supplies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.0271% 1/26/23 (d)(e)(t) 2,300,733 1,820,869 
Sports Authority, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 0% 11/16/17 (e)(f)(m)(t) 1,725,586 
Staples, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.655% 4/16/26 (d)(e)(t) 2,977,500 2,882,964 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 4.500% 6.155% 9/12/24 (d)(e)(t) 1,119,680 1,104,004 
  10,984,348 
TOTAL CONSUMER DISCRETIONARY  227,094,108 
CONSUMER STAPLES - 0.2%   
Beverages - 0.0%   
Arterra Wines Canada, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.6525% 12/16/23 (d)(e)(t) 1,236,071 1,228,371 
Food & Staples Retailing - 0.1%   
8th Avenue Food & Provisions, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.750% 9.4028% 10/1/26 (d)(e)(t) 172,000 166,840 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.4028% 10/1/25 (d)(e)(t) 500,940 498,225 
Agro Merchants Intermediate Holdings LP Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.6946% 12/6/24 (d)(e)(t) 2,518,615 2,477,687 
BI-LO LLC Tranche B, term loan 3 month U.S. LIBOR + 8.000% 9.7621% 5/31/24 (d)(e)(t) 7,555,159 6,912,971 
BJ's Wholesale Club, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.9028% 2/3/24 (d)(e)(t) 5,861,119 5,805,262 
EG Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.9605% 2/6/25 (d)(e)(t) 1,691,429 1,641,397 
Froneri U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 1/30/27 (d)(e)(t) 2,965,000 2,913,113 
GOBP Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1696% 10/22/25 (d)(e)(t) 1,492,736 1,472,210 
JP Intermediate B LLC Tranche B, term loan 3 month U.S. LIBOR + 5.500% 7.2771% 11/20/25 (d)(e)(t) 1,610,625 893,897 
Saffron Borrowco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.750% 8.3534% 6/20/25 (d)(e)(t) 995,000 945,250 
Sage Borrowco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6.3534% 6/20/26 (d)(e)(t) 2,736,873 2,731,181 
Shearer's Foods, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.3534% 6/30/22 (d)(e)(t) 1,823,004 1,800,217 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.8534% 3/31/22 (d)(e)(t) 2,462,037 2,452,189 
U.S. Foods, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 2.000% 3.6034% 9/13/26 (d)(e)(t) 2,992,500 2,952,610 
Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 6/27/23 (d)(e)(t) 2,151,382 2,122,704 
U.S. Salt LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6.3534% 1/16/26 (d)(e)(m)(t) 749,338 745,591 
  36,531,344 
Food Products - 0.1%   
Atkins Nutritional Holdings II, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.4028% 7/7/24 (d)(e)(t) 1,202,166 1,199,161 
Chobani LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 10/7/23 (d)(e)(t) 6,160,674 6,052,863 
JBS U.S.A. Lux SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.6034% 5/1/26 (d)(e)(t) 5,136,188 5,043,120 
  12,295,144 
Personal Products - 0.0%   
BellRing Brands, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.6034% 10/10/24 (d)(e)(t) 2,250,000 2,261,250 
Rodan & Fields LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.6585% 6/15/25 (d)(e)(t) 756,389 525,690 
  2,786,940 
TOTAL CONSUMER STAPLES  52,841,799 
ENERGY - 0.3%   
Energy Equipment & Services - 0.0%   
BCP Raptor II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.3534% 11/3/25 (d)(e)(t) 2,218,850 1,886,023 
Brazos Delaware II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.6394% 5/21/25 (d)(e)(t) 1,091,795 900,731 
  2,786,754 
Oil, Gas & Consumable Fuels - 0.3%   
Apro LLC Tranche B, term loan:   
3 month U.S. LIBOR + 4.000% 11/14/26 (e)(t)(v) 388,889 384,514 
3 month U.S. LIBOR + 4.000% 5.6501% 11/14/26 (d)(e)(t) 1,361,111 1,345,799 
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.8534% 6/24/24 (d)(e)(t) 3,252,146 2,804,976 
BCP Renaissance Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.4446% 10/31/24 (d)(e)(t) 2,143,264 1,778,909 
Buckeye Partners LP 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.405% 10/18/26 (d)(e)(t) 2,125,000 2,096,674 
BW Gas & Convenience Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.250% 7.89% 11/18/24 (d)(e)(t) 1,625,000 1,620,938 
California Resources Corp.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.9883% 12/31/21 (d)(e)(t) 12,781,000 6,422,453 
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.3633% 12/31/22 (d)(e)(t) 16,647,000 14,136,133 
Chesapeake Energy Corp. term loan 3 month U.S. LIBOR + 8.000% 9.9278% 6/9/24 (d)(e)(t) 8,750,000 7,926,013 
Citgo Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 7.000% 8.6034% 8/1/23 (d)(e)(t) 1,416,450 1,416,450 
Citgo Petroleum Corp.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.9446% 3/28/24 (d)(e)(t) 4,714,375 4,690,803 
Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.4446% 7/29/21 (d)(e)(t) 4,629,015 4,617,443 
Delek U.S. Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 3/31/25 (d)(e)(t) 1,899,440 1,861,451 
EG America LLC:   
2LN, term loan 3 month U.S. LIBOR + 8.000% 9.9605% 3/23/26 (d)(e)(t) 427,910 417,212 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.9605% 2/6/25 (d)(e)(t) 915,698 888,612 
Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.62% 3/1/26 (d)(e)(t) 3,000,000 2,892,000 
Equitrans Midstream Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.11% 1/31/24 (d)(e)(t) 2,459,601 2,441,154 
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.6034% 3/1/24 (d)(e)(t) 12,168,674 4,056,184 
GIP III Stetson I LP Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.8894% 7/18/25 (d)(e)(t) 5,322,295 4,803,372 
Limetree Bay Terminals LLC term loan 3 month U.S. LIBOR + 4.000% 5.6034% 2/15/24 (d)(e)(t) 1,775,215 1,605,824 
Lower Cadence Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.6034% 5/22/26 (d)(e)(t) 2,161,250 2,030,235 
Matador Bidco SARL Tranche B 1LN, term loan:   
3 month U.S. LIBOR + 4.750% 10/15/26 (e)(t)(u) 125,000 124,570 
3 month U.S. LIBOR + 4.750% 6.3534% 10/15/26 (d)(e)(t) 500,000 498,280 
Medallion Midland Acquisition Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.8534% 10/30/24 (d)(e)(t) 710,780 682,348 
Moxie Patriot LLC Tranche B, term loan 3 month U.S. LIBOR + 5.750% 7.6946% 12/19/20 (d)(e)(t) 4,446,096 4,234,906 
Sanchez Energy Corp.:   
1LN, term loan 3 month U.S. LIBOR + 8.000% 6.7821% 5/11/20 (d)(e)(m)(t)(v) 3,099,801 3,099,801 
term loan 7.25% 5/11/20 (d)(m)(t) 907,000 907,000 
  79,784,054 
TOTAL ENERGY  82,570,808 
FINANCIALS - 0.4%   
Capital Markets - 0.0%   
AssuredPartners, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 2/13/27 (d)(e)(t) 2,015,000 1,974,700 
Blackstone CQP Holdco LP Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.408% 9/30/24 (d)(e)(t) 4,059,600 3,967,244 
Citadel Securities LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 2/27/26 (d)(e)(t) 3,791,563 3,753,647 
Cypress Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.4% 4/27/24 (d)(e)(t) 1,891,685 1,873,563 
HarbourVest Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.9273% 3/1/25 (d)(e)(t) 3,175,155 3,157,311 
Russell Investments U.S. Institutional Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 6/1/23 (d)(e)(t) 970,757 956,807 
Victory Capital Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.155% 7/1/26 (d)(e)(t) 1,562,409 1,540,926 
  17,224,198 
Diversified Financial Services - 0.2%   
Alpine Finance Merger Sub LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 7/12/24 (d)(e)(t) 3,546,461 3,519,863 
Avolon TLB Borrower 1 (U.S.) LLC:   
Tranche B3 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.397% 1/15/25 (d)(e)(t) 3,411,939 3,372,121 
Tranche B4 1LN, term loan 3 month U.S. LIBOR + 1.500% 3.147% 2/10/27 (d)(e)(t) 2,500,000 2,450,000 
Delos Finance SARL Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.6946% 10/6/23 (d)(e)(t) 1,836,100 1,824,624 
Extell Boston 5.149% 8/31/21 (d)(m)(t) 489,856 495,833 
Financial & Risk U.S. Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.8534% 10/1/25 (d)(e)(t) 9,525,642 9,497,827 
Finco I LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.6034% 12/27/22 (d)(e)(t) 1,561,688 1,545,103 
Focus Financial Partners LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.6034% 7/3/24 (d)(e)(t) 876,083 867,051 
Kingpin Intermediate Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1% 7/3/24 (d)(e)(t) 1,246,534 1,215,371 
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.6946% 6/7/23 (d)(e)(t) 2,323,606 2,209,354 
NAB Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.9446% 6/30/24 (d)(e)(t) 1,027,758 1,023,472 
Recess Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 9/29/24 (d)(e)(t) 774,555 766,810 
RPI 2019 Intermediate Finance Trust:   
Tranche A 1LN, term loan 3 month U.S. LIBOR + 1.500% 3.1653% 2/7/25 (d)(e)(t) 3,250,000 3,233,750 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.4153% 2/11/27 (d)(e)(t) 8,495,000 8,484,381 
RPI Intermediate Finance Trust Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.4153% 2/11/27 (d)(e)(t) 6,155,000 6,112,715 
TransUnion LLC Tranche B5 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 11/16/26 (d)(e)(t) 3,694,151 3,658,355 
UFC Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.86% 4/29/26 (d)(e)(t) 1,009,782 996,402 
Veritas-B Junior Mezz C LLC 10.48% 2/6/21 (d)(m)(t) 2,878,000 2,925,199 
  54,198,231 
Insurance - 0.2%   
Acrisure LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.2072% 1/30/27 (d)(e)(t) 5,092,105 5,007,220 
Alliant Holdings Intermediate LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 5/10/25 (d)(e)(t) 3,389,741 3,316,285 
Tranche B-2 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.9085% 5/9/25 (d)(e)(t) 995,000 979,249 
AmeriLife Holdings LLC:   
1LN, term loan 1 month U.S. LIBOR + 4.000% 2/6/27 (e)(t)(u) 127,841 126,563 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 2/6/27 (e)(t)(u) 997,159 987,188 
AmWINS Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3639% 1/25/24 (d)(e)(t) 4,985,469 4,960,541 
Asurion LLC:   
Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 11/3/23 (d)(e)(t) 4,605,690 4,555,811 
Tranche B 7LN, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 11/3/24 (d)(e)(t) 3,754,356 3,713,696 
Tranche B, term loan:   
3 month U.S. LIBOR + 3.000% 4.6034% 8/4/22 (d)(e)(t) 8,056,576 7,972,626 
3 month U.S. LIBOR + 6.500% 8.1034% 8/4/25 (d)(e)(t) 8,606,000 8,616,758 
HUB International Ltd. Tranche B, term loan:   
3 month U.S. LIBOR + 2.750% 4.5508% 4/25/25 (d)(e)(t) 11,646,216 11,304,167 
3 month U.S. LIBOR + 4.000% 5.6918% 4/25/25 (d)(e)(t) 1,875,000 1,868,306 
National Financial Partners Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.9028% 2/3/27 (d)(e)(t) 1,250,000 1,212,500 
USI, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 4.000% 5.9446% 12/2/26 (d)(e)(t) 125,000 124,166 
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.9446% 5/16/24 (d)(e)(t) 5,507,579 5,369,889 
  60,114,965 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.1453% 7/10/26 (d)(e)(t) 1,246,875 1,237,523 
TOTAL FINANCIALS  132,774,917 
HEALTH CARE - 0.3%   
Biotechnology - 0.0%   
Aldevron LLC 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.1946% 10/11/26 (d)(e)(t) 3,455,000 3,429,088 
Health Care Equipment & Supplies - 0.1%   
American Renal Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.6034% 6/22/24 (d)(e)(t) 3,514,059 3,408,637 
Ortho-Clinical Diagnostics, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.905% 6/30/25 (d)(e)(t) 5,451,983 5,179,384 
VVC Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.1579% 2/11/26 (d)(e)(t) 8,188,116 8,085,764 
  16,673,785 
Health Care Providers & Services - 0.1%   
Da Vinci Purchaser Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.8722% 12/13/26 (d)(e)(t) 1,840,000 1,826,200 
HCA Holdings, Inc.:   
Tranche B12 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 3/13/25 (d)(e)(t) 1,878,177 1,873,087 
Tranche B13, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 3/18/26 (d)(e)(t) 4,117,268 4,101,828 
MED ParentCo LP:   
1LN, term loan 3 month U.S. LIBOR + 4.250% 5.8534% 8/31/26 (d)(e)(t) 1,411,708 1,386,128 
2LN, term loan 3 month U.S. LIBOR + 8.250% 9.8534% 8/30/27 (d)(e)(t) 810,000 798,660 
Tranche DD 1LN, term loan 3 month U.S. LIBOR + 4.250% 4.7814% 8/31/26 (d)(e)(t)(v) 409,157 401,743 
RegionalCare Hospital Partners Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.3952% 11/16/25 (d)(e)(t) 4,609,266 4,563,173 
Surgery Center Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.86% 8/31/24 (d)(e)(t) 2,425,190 2,340,308 
Tivity Health, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.8534% 3/8/26 (d)(e)(t) 933,735 889,383 
U.S. Anesthesia Partners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 6/23/24 (d)(e)(t) 3,415,336 3,201,877 
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.625% 6/13/26 (d)(e)(t) 5,486,250 5,424,530 
Upstream Newco, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.1452% 11/20/26 (d)(e)(t) 1,625,000 1,592,500 
Wink Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 12/1/24 (d)(e)(t) 1,560,348 1,529,141 
  29,928,558 
Health Care Technology - 0.0%   
Emerald TopCo, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 7/22/26 (d)(e)(t) 1,870,313 1,864,851 
Zelis Payments Buyer, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6.3534% 9/30/26 (d)(e)(t) 1,750,000 1,735,790 
  3,600,641 
Life Sciences Tools & Services - 0.0%   
PAREXEL International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 9/27/24 (d)(e)(t) 604,969 585,810 
Pharmaceuticals - 0.1%   
Catalent Pharma Solutions Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 5/9/26 (d)(e)(t) 1,488,750 1,466,419 
Elanco Animal Health, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 2/4/27 (e)(t)(u) 8,000,000 7,906,640 
Lannett Co., Inc.:   
Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.6034% 11/25/20 (d)(e)(t) 52,110 51,485 
Tranche B, term loan 3 month U.S. LIBOR + 5.370% 6.9784% 11/25/22 (d)(e)(t) 6,881,728 6,777,263 
Valeant Pharmaceuticals International, Inc.:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 4.4085% 11/27/25 (d)(e)(t) 1,275,000 1,266,636 
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6585% 6/1/25 (d)(e)(t) 5,509,615 5,471,047 
  22,939,490 
TOTAL HEALTH CARE  77,157,372 
INDUSTRIALS - 0.4%   
Aerospace & Defense - 0.1%   
AI Convoy Luxembourg SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.34% 1/20/27 (d)(e)(t) 1,775,000 1,752,813 
Arconic Rolled Products Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2/4/27 (e)(t)(u) 1,490,000 1,471,375 
Jazz Acquisition, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.19% 6/19/26 (d)(e)(t) 623,438 618,762 
TransDigm, Inc.:   
Tranche E 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 5/30/25 (d)(e)(t) 2,361,123 2,303,582 
Tranche F 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 12/9/25 (d)(e)(t) 8,618,183 8,413,501 
Tranche G 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 8/22/24 (d)(e)(t) 2,484,460 2,434,771 
WP CPP Holdings LLC:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.5297% 4/30/25 (d)(e)(t) 3,259,565 3,164,484 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.750% 9.53% 4/30/26 (d)(e)(t) 319,000 296,670 
  20,455,958 
Air Freight & Logistics - 0.0%   
Dynasty Acquisition Co., Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.2128% 4/8/26 (d)(e)(t) 2,231,610 2,184,188 
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.2128% 4/8/26 (d)(e)(t) 1,199,790 1,174,295 
Hanjin International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.1034% 10/18/20 (d)(e)(t) 678,000 671,220 
Transplace Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 10/5/24 (d)(e)(t) 1,171,062 1,163,743 
  5,193,446 
Airlines - 0.0%   
Kestrel Bidco, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.6528% 12/11/26 (d)(e)(t) 3,665,000 3,523,898 
Building Products - 0.0%   
ACProducts, Inc. 1LN, term loan 3 month U.S. LIBOR + 6.500% 8/13/25 (d)(e)(t)(u) 1,765,000 1,773,825 
APi Group DE, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.1034% 10/1/26 (d)(e)(t) 3,250,000 3,209,375 
GYP Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 6/1/25 (d)(e)(t) 2,243,498 2,219,201 
HD Supply, Inc. Tranche B 5LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 10/17/23 (d)(e)(t) 629,038 626,157 
Ingersoll-Rand Services Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 2/28/27 (e)(t)(u) 2,930,000 2,882,388 
The Hillman Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.6034% 5/31/25 (d)(e)(t) 1,599,206 1,528,569 
  12,239,515 
Commercial Services & Supplies - 0.2%   
AVSC Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.2038% 10/15/26 (d)(e)(t) 1,750,000 1,645,000 
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.088% 6/21/24 (d)(e)(t) 7,975,753 7,792,311 
Ensemble RCM LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.5132% 8/1/26 (d)(e)(t) 1,745,625 1,733,982 
Environmental Resources Management I Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.6946% 7/10/26 (d)(e)(t) 995,000 995,995 
Filtration Group Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 3/29/25 (d)(e)(t) 2,583,545 2,562,231 
Fleet U.S. Bidco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.235% 10/5/26 (d)(e)(t) 957,600 948,024 
Harland Clarke Holdings Corp. Tranche B 7LN, term loan 3 month U.S. LIBOR + 4.750% 6.4631% 11/3/23 (d)(e)(t) 2,743,158 2,157,960 
IAA Spinco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.875% 6/29/26 (d)(e)(t) 1,451,250 1,443,994 
Lineage Logistics Holdings, LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6453% 2/27/25 (d)(e)(t) 12,968,416 12,749,639 
Maverick Purchaser Sub LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.7624% 1/23/27 (d)(e)(t) 2,270,000 2,261,488 
Prime Security Services Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.9119% 9/23/26 (d)(e)(t) 997,500 968,822 
Sabert Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.1875% 12/10/26 (d)(e)(t) 2,375,000 2,363,125 
SuperMoose Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 8/29/25 (d)(e)(t) 1,513,710 1,447,485 
The Brickman Group, Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.1593% 8/15/25 (d)(e)(t) 2,245,022 2,216,960 
TMK Hawk Parent Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.11% 9/26/24 (d)(e)(t) 809,785 674,551 
Tunnel Hill Partners LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1452% 2/8/26 (d)(e)(t) 549,845 541,597 
WaterBridge Operating LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 7.834% 6/21/26 (d)(e)(t) 1,745,625 1,605,975 
WTG Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.6453% 12/20/24 (d)(e)(t) 1,891,225 1,877,835 
  45,986,974 
Construction & Engineering - 0.0%   
JMC Steel Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 1/24/27 (d)(e)(t) 2,000,000 1,957,500 
Pike Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.86% 7/24/26 (d)(e)(t) 2,374,308 2,350,137 
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.61% 9/27/24 (d)(e)(t) 1,695,538 1,407,296 
Ventia Deco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.4446% 5/21/26 (d)(e)(t) 1,991,431 1,986,452 
  7,701,385 
Electrical Equipment - 0.0%   
Vertiv Group Corp.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3/2/27 (e)(t)(u) 4,300,000 4,257,000 
Tranche B, term loan 3 month U.S. LIBOR + 4.000% 7.75% 11/30/23 (d)(e)(t) 2,172,429 2,158,851 
  6,415,851 
Machinery - 0.0%   
Altra Industrial Motion Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.6034% 10/1/25 (d)(e)(t) 1,525,063 1,509,172 
CPM Holdings, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 8.250% 9.8534% 11/15/26 (d)(e)(t) 280,000 274,137 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 11/15/25 (d)(e)(t) 1,168,820 1,155,309 
Sundyne U.S. Purchaser, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.6034% 5/15/26 (d)(e)(t) 900,000 901,872 
The Gates Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 3/31/24 (d)(e)(t) 1,096,258 1,074,102 
Titan Sub LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.6034% 9/19/26 (d)(e)(t) 1,125,000 1,117,969 
  6,032,561 
Professional Services - 0.0%   
AlixPartners LLP Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.1034% 4/4/24 (d)(e)(t) 2,090,505 2,038,242 
Cast & Crew Payroll LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.61% 2/7/26 (d)(e)(t) 1,191,000 1,174,624 
  3,212,866 
Road & Rail - 0.1%   
Genesee & Wyoming, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.906% 12/30/26 (d)(e)(t) 3,750,000 3,724,988 
Hertz Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.36% 6/30/23 (d)(e)(t) 2,060,064 2,045,912 
IBC Capital Ltd. 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.8985% 9/11/24 (d)(e)(t) 280,000 275,800 
Uber Technologies, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 3.500% 5.1034% 7/13/23 (d)(e)(t) 3,661,468 3,622,107 
3 month U.S. LIBOR + 4.000% 5.6394% 4/4/25 (d)(e)(t) 2,823,914 2,804,259 
  12,473,066 
Trading Companies & Distributors - 0.0%   
Fly Funding II SARL Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.48% 8/9/25 (d)(e)(t) 2,011,629 1,981,454 
TOTAL INDUSTRIALS  125,216,974 
INFORMATION TECHNOLOGY - 0.7%   
Communications Equipment - 0.1%   
Anastasia Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 8/10/25 (d)(e)(t) 2,555,407 1,978,856 
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.8534% 4/4/26 (d)(e)(t) 6,019,913 5,914,564 
Radiate Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 2/1/24 (d)(e)(t) 9,278,082 9,075,170 
Sabre Industries, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.8789% 4/15/26 (d)(e)(t) 1,736,875 1,710,822 
  18,679,412 
Electronic Equipment & Components - 0.1%   
Curie Merger Sub LLC 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.1946% 11/4/26 (d)(e)(t) 635,000 636,588 
DG Investment Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 2/1/25 (d)(e)(t) 723,500 701,795 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.3534% 2/1/26 (d)(e)(m)(t) 277,000 263,150 
Electro Rent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.8009% 1/31/24 (d)(e)(t) 486,058 486,262 
EPV Merger Sub, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.8534% 3/8/26 (d)(e)(t) 226,000 221,292 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.8534% 3/8/25 (d)(e)(t) 772,126 760,352 
EXC Holdings III Corp. Tranche B, term loan:   
3 month U.S. LIBOR + 3.500% 5.4446% 12/2/24 (d)(e)(t) 1,226,398 1,195,738 
3 month U.S. LIBOR + 7.500% 9.4084% 12/1/25 (d)(e)(t) 478,000 458,880 
Go Daddy Operating Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 2/15/24 (d)(e)(t) 3,699,452 3,637,042 
II-VI, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 9/24/26 (d)(e)(t) 3,740,625 3,693,867 
Infor U.S., Inc. Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.750% 4.6946% 2/1/22 (d)(e)(t) 1,366,810 1,356,217 
TTM Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.155% 9/28/24 (d)(e)(t) 4,168,034 4,115,933 
  17,527,116 
IT Services - 0.1%   
Brave Parent Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.7771% 4/19/25 (d)(e)(t) 629,018 617,223 
Camelot Finance SA Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.8952% 10/31/26 (d)(e)(t) 2,128,000 2,114,040 
CCC Information Services, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.4% 4/27/24 (d)(e)(t) 625,000 619,013 
Datto, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.8534% 4/2/26 (d)(e)(t) 1,243,750 1,243,750 
EIG Investors Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.3875% 2/9/23 (d)(e)(t) 1,914,136 1,878,245 
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.35% 5/31/25 (d)(e)(t) 4,337,684 3,644,089 
Ion Trading Finance Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.0644% 11/21/24 (d)(e)(t) 3,557,507 3,390,767 
Presidio Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.28% 1/22/27 (d)(e)(t) 500,000 492,500 
Rackspace Hosting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.7632% 11/3/23 (d)(e)(t) 2,951,445 2,812,373 
Surf Holdings SARL 1LN, term loan 3 month U.S. LIBOR + 3.500% 2/25/27 (e)(t)(u) 975,000 959,156 
Tempo Acquisition LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3953% 5/1/24 (d)(e)(t) 3,708,522 3,655,230 
Verscend Holding Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.1034% 8/27/25 (d)(e)(t) 3,384,163 3,367,242 
VFH Parent LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1709% 3/1/26 (d)(e)(t) 5,691,496 5,654,160 
Web.com Group, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.750% 9.3894% 10/11/26 (d)(e)(t) 699,610 670,751 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3894% 10/11/25 (d)(e)(t) 4,232,219 4,108,765 
WEX, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 5/17/26 (d)(e)(t) 1,993,710 1,967,134 
  37,194,438 
Semiconductors & Semiconductor Equipment - 0.0%   
Cabot Microelectronics Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.625% 11/15/25 (d)(e)(t) 1,733,525 1,720,524 
ON Semiconductor Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.6034% 9/19/26 (d)(e)(t) 1,745,625 1,722,722 
  3,443,246 
Software - 0.4%   
Almonde, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.0271% 6/13/25 (d)(e)(t) 4,012,000 3,813,928 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.2771% 6/13/24 (d)(e)(t) 9,617,753 9,152,927 
Aptean, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.1946% 4/23/26 (d)(e)(t) 992,500 989,195 
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.8534% 10/2/25 (d)(e)(t) 6,564,156 6,294,566 
Bracket Intermediate Holding Corp. 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.1594% 9/5/25 (d)(e)(t) 1,966,150 1,966,150 
Ceridian HCM Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.1453% 4/30/25 (d)(e)(t) 2,202,125 2,169,093 
Compuware Corp. 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.6034% 8/23/25 (d)(e)(t) 2,317,500 2,317,500 
Cvent, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 11/29/24 (d)(e)(t) 1,564,594 1,552,203 
DCert Buyer, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.6034% 10/16/26 (d)(e)(t) 4,900,000 4,844,875 
Dynatrace LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.8534% 8/23/25 (d)(e)(t) 950,642 941,734 
EagleView Technology Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1132% 8/14/25 (d)(e)(t) 1,217,700 1,169,759 
Epicor Software Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.86% 6/1/22 (d)(e)(t) 3,032,960 3,006,967 
Evo Payments International LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.9% 12/22/23 (d)(e)(t) 1,920,140 1,905,739 
Fastball Merger Sub LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 1/22/27 (d)(e)(t) 665,000 661,263 
Flexera Software LLC:   
1LN, term loan 3 month U.S. LIBOR + 3.500% 2/26/25 (e)(t)(u) 357,143 356,250 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.15% 2/26/25 (d)(e)(t) 887,175 889,393 
Hyland Software, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.6034% 7/7/25 (d)(e)(t) 221,000 221,922 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.1034% 7/1/24 (d)(e)(t) 1,612,272 1,602,195 
Kronos, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 8.250% 10.0133% 11/1/24 (d)(e)(t) 4,746,000 4,756,394 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.7633% 11/1/23 (d)(e)(t) 8,296,996 8,221,826 
Landesk Group, Inc. term loan:   
3 month U.S. LIBOR + 4.250% 5.93% 1/20/24 (d)(e)(t) 5,243,770 5,188,711 
3 month U.S. LIBOR + 9.000% 10.68% 1/20/25 (d)(e)(t) 1,262,000 1,230,450 
MA FinanceCo. LLC:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 3.8534% 11/20/21 (d)(e)(t) 285,335 281,768 
Tranche B 3LN, term loan:   
3 month U.S. LIBOR + 2.500% 4.1034% 6/21/24 (d)(e)(t) 9,876,639 9,358,116 
3 month U.S. LIBOR + 2.500% 4.1034% 6/21/24 (d)(e)(t) 1,470,446 1,393,247 
McAfee LLC Tranche B, term loan:   
3 month U.S. LIBOR + 3.750% 5.3534% 9/29/24 (d)(e)(t) 5,816,432 5,749,194 
3 month U.S. LIBOR + 8.500% 10.1034% 9/29/25 (d)(e)(t) 888,386 887,276 
MH Sub I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 9/15/24 (d)(e)(t) 1,245,078 1,211,362 
NAVEX TopCo, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.000% 8.61% 9/4/26 (d)(e)(t) 175,000 172,083 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.86% 9/4/25 (d)(e)(t) 1,271,141 1,246,913 
Project Alpha Intermediate Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.13% 4/26/24 (d)(e)(t) 995,000 986,294 
Project Boost Purchaser LLC 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 5/30/26 (d)(e)(t) 1,745,625 1,697,620 
Renaissance Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.8534% 5/31/25 (d)(e)(t) 1,549,752 1,519,733 
S2P Acquisition Borrower, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.6034% 8/14/26 (d)(e)(t) 1,122,188 1,112,840 
Severin Acquisition LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.7416% 8/1/25 (d)(e)(t) 1,447,380 1,414,814 
Solera LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.3632% 3/3/23 (d)(e)(t) 3,052,863 2,996,904 
Sophia L.P. term loan 3 month U.S. LIBOR + 3.250% 5.1946% 9/30/22 (d)(e)(t) 4,365,060 4,331,231 
SS&C Technologies, Inc.:   
Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 4/16/25 (d)(e)(t) 3,785,845 3,732,199 
Tranche B 4LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 4/16/25 (d)(e)(t) 2,701,554 2,663,273 
Tranche B 5LN, term loan 3 month U.S. LIBOR + 1.750% 3.3534% 4/16/25 (d)(e)(t) 5,742,133 5,666,050 
Sybil Software LLC. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.1946% 9/30/23 (d)(e)(t) 651,861 648,439 
Ultimate Software Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 5/4/26 (d)(e)(t) 3,890,250 3,872,977 
Veritas U.S., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.1584% 1/27/23 (d)(e)(t) 2,648,040 2,475,917 
Vertafore, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.8534% 7/2/25 (d)(e)(t) 7,303,614 7,122,193 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.8534% 7/2/26 (d)(e)(t) 1,433,000 1,431,209 
VS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 2/19/27 (d)(e)(t)(u) 2,365,000 2,335,438 
  127,560,130 
Technology Hardware, Storage & Peripherals - 0.0%   
Dell International LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.61% 9/19/25 (d)(e)(t) 2,743,125 2,707,986 
TOTAL INFORMATION TECHNOLOGY  207,112,328 
MATERIALS - 0.3%   
Chemicals - 0.1%   
American Rock Salt Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 3/21/25 (d)(e)(t) 1,838,773 1,811,191 
ASP Chromaflo Dutch I BV Tranche B-2 1LN, term loan:   
3 month U.S. LIBOR + 3.500% 5.1034% 11/18/23 (d)(e)(t) 635,744 618,261 
3 month U.S. LIBOR + 4.250% 5.8534% 11/18/23 (d)(e)(t) 210,389 207,233 
ASP Chromaflo Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 11/18/23 (d)(e)(t) 488,913 475,468 
Tranche B3/B4 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.8534% 11/18/23 (d)(e)(t) 161,798 159,371 
Consolidated Energy Finance SA Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.5472% 5/7/25 (d)(e)(t) 3,137,682 3,063,162 
Element Solutions, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.6034% 1/31/26 (d)(e)(t) 1,267,224 1,243,464 
Hexion, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.41% 7/1/26 (d)(e)(t) 1,174,100 1,156,489 
Messer Industries U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.4446% 3/1/26 (d)(e)(t) 3,161,113 3,101,842 
Oxea Corp. Tranche B2, term loan 3 month U.S. LIBOR + 3.500% 5.1875% 10/11/24 (d)(e)(t) 2,376,466 2,353,700 
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.6709% 10/1/25 (d)(e)(t) 7,251,383 6,997,584 
The Chemours Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.36% 4/3/25 (d)(e)(t) 2,094,346 1,990,948 
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. term loan 3 month U.S. LIBOR + 2.000% 3.6034% 9/6/24(d)(e)(t) 1,245,078 1,207,726 
Tronox Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.4946% 9/22/24 (d)(e)(t) 2,954,648 2,877,828 
W. R. Grace & Co.-Conn.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.6946% 4/3/25 (d)(e)(t) 468,283 462,429 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 1.750% 3.6946% 4/3/25 (d)(e)(t) 802,630 792,597 
  28,519,293 
Construction Materials - 0.0%   
Hamilton Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.95% 1/4/27 (d)(e)(t) 1,411,508 1,383,278 
VM Consolidated, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.397% 2/28/25 (d)(e)(t) 3,779,486 3,732,243 
  5,115,521 
Containers & Packaging - 0.2%   
Berlin Packaging, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.6646% 11/7/25 (d)(e)(t) 5,228,948 4,941,356 
Berry Global, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 2.000% 3.6709% 10/1/22 (d)(e)(t) 5,090,205 5,020,215 
Tranche Y 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.6709% 7/1/26 (d)(e)(t) 4,477,500 4,397,263 
BWAY Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.084% 4/3/24 (d)(e)(t) 621,532 592,525 
Canister International Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.750% 6.3534% 12/21/26 (d)(e)(t) 750,000 748,125 
Charter Nex U.S., Inc.:   
1LN, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 5/16/24 (d)(e)(t) 766,150 756,573 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 5/16/24 (d)(e)(t) 766,733 743,731 
Consolidated Container Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 5/22/24 (d)(e)(t) 1,425,955 1,408,130 
Flex Acquisition Co., Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.9002% 12/29/23 (d)(e)(t) 3,685,344 3,516,445 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.1594% 6/29/25 (d)(e)(t) 3,899,094 3,723,634 
Pixelle Specialty Solutions LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.500% 8.1034% 10/31/24 (d)(e)(t) 750,000 732,420 
Pregis TopCo Corp. 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.6034% 7/31/26 (d)(e)(t) 1,250,000 1,231,250 
Reynolds Consumer Products LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.5011% 1/30/27 (d)(e)(t) 4,625,000 4,567,188 
Reynolds Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 2/5/23 (d)(e)(t) 10,570,552 10,453,853 
  42,832,708 
Metals & Mining - 0.0%   
Advanced Drainage Systems, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.9375% 7/31/26 (d)(e)(t) 1,157,589 1,150,354 
Gulf Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 7.0187% 8/25/23 (d)(e)(t) 2,907,192 2,183,301 
Murray Energy Corp.:   
term loan 3 month U.S. LIBOR + 11.000% 13% 7/31/20 (d)(e)(t) 1,800,664 1,788,653 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 0% 10/17/22 (e)(f)(t) 5,323,461 844,141 
  5,966,449 
Paper & Forest Products - 0.0%   
Clearwater Paper Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.9375% 7/26/26 (d)(e)(t) 750,000 744,375 
TOTAL MATERIALS  83,178,346 
REAL ESTATE - 0.1%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
CoreCivic, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.11% 12/18/24 (d)(e)(t) 2,490,000 2,458,875 
ESH Hospitality, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.6034% 9/18/26 (d)(e)(t) 287,572 283,020 
Invitation Homes Operating Par Tranche B, term loan 3 month U.S. LIBOR + 1.700% 3.3126% 2/6/22 (d)(e)(m)(t) 1,367,000 1,353,330 
iStar Financial, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.4067% 6/28/23 (d)(e)(t) 1,401,680 1,396,424 
The GEO Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.61% 3/23/24 (d)(e)(t) 1,360,307 1,257,440 
  6,749,089 
Real Estate Management & Development - 0.1%   
Aragon Junior Mezzanine 1 month U.S. LIBOR + 6.000% 7.6501% 1/15/25 (d)(e)(m)(t) 1,000,000 1,000,000 
DTZ U.S. Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.3534% 8/21/25 (d)(e)(t) 4,935,525 4,840,911 
Forest City Enterprises LP Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 12/7/25 (d)(e)(t) 1,168,200 1,157,978 
Lightstone Holdco LLC:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 1/30/24 (d)(e)(t) 2,910,188 2,566,437 
Tranche C 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 1/30/24 (d)(e)(t) 164,139 144,751 
Realogy Group LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.8953% 2/8/25 (d)(e)(t) 139,092 133,180 
VICI Properties, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.3789% 12/22/24 (d)(e)(t) 6,732,909 6,598,251 
  16,441,508 
TOTAL REAL ESTATE  23,190,597 
UTILITIES - 0.1%   
Electric Utilities - 0.1%   
Brookfield WEC Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.6034% 8/1/25 (d)(e)(t) 7,412,855 7,270,750 
ExGen Renewables IV, LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.62% 11/28/24 (d)(e)(t) 1,789,924 1,778,737 
Granite Generation LLC 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.4046% 11/1/26 (d)(e)(t) 2,000,000 1,967,500 
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.4446% 11/13/21 (d)(e)(t) 1,894,356 1,790,166 
Invenergy Thermal Operating I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.1034% 8/28/25 (d)(e)(t) 1,475,654 1,471,965 
LMBE-MC HoldCo II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.95% 12/3/25 (d)(e)(m)(t) 1,146,201 1,144,768 
Vistra Operations Co. LLC Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 3.364% 12/31/25 (d)(e)(t) 7,908,676 7,809,818 
  23,233,704 
Gas Utilities - 0.0%   
UGI Energy Services LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 8/13/26 (d)(e)(t) 1,119,375 1,110,980 
Independent Power and Renewable Electricity Producers - 0.0%   
Natgasoline LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.4375% 11/14/25 (d)(e)(t) 1,786,950 1,773,548 
Oregon Clean Energy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 3/1/26 (d)(e)(t) 851,076 850,548 
Talen Energy Supply LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.3534% 6/28/26 (d)(e)(t) 374,063 367,516 
Terra-Gen Finance Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.86% 12/9/21 (d)(e)(t) 1,384,449 1,342,916 
  4,334,528 
TOTAL UTILITIES  28,679,212 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $1,266,407,971)  1,227,374,624 
Bank Notes - 0.3%   
Capital One NA 2.95% 7/23/21 11,994,000 12,217,465 
Discover Bank:   
3.1% 6/4/20 $14,388,000 $14,418,562 
3.2% 8/9/21 16,424,000 16,774,501 
4.682% 8/9/28 (d) 8,844,000 9,398,519 
KeyBank NA 6.95% 2/1/28 1,259,000 1,631,404 
RBS Citizens NA 2.55% 5/13/21 4,182,000 4,237,742 
Regions Bank 6.45% 6/26/37 15,683,000 22,134,375 
Synchrony Bank 3.65% 5/24/21 14,890,000 15,256,751 
TOTAL BANK NOTES   
(Cost $87,645,078)  96,069,319 
Preferred Securities - 0.9%   
COMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
Colombia Telecomunicaciones SA 8.5% (b)(d)(w) $930,000 $966,482 
Telefonica Europe BV:   
2.502% (Reg. S) (d)(w) EUR3,100,000 3,407,505 
2.625% (Reg. S) (d)(w) EUR4,100,000 4,660,478 
  9,034,465 
CONSUMER DISCRETIONARY - 0.1%   
Automobiles - 0.1%   
Volkswagen International Finance NV:   
2.5%(Reg. S) (d)(w) EUR7,214,000 8,197,864 
2.7%(Reg. S) (d)(w) EUR7,000,000 7,864,622 
3.75% (d)(w) EUR4,600,000 5,371,382 
  21,433,868 
CONSUMER STAPLES - 0.1%   
Food Products - 0.1%   
Cosan Overseas Ltd. 8.25% (w) 4,983,000 5,161,038 
Danone SA 1.75% (Reg. S) (d)(w) EUR6,300,000 7,073,593 
  12,234,631 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
MPLX LP 6.875% (d)(w) 4,950,000 4,790,776 
FINANCIALS - 0.5%   
Banks - 0.4%   
AIB Group PLC 5.25% (Reg. S) (d)(w) EUR2,150,000 2,496,208 
Alfa Bond Issuance PLC:   
6.95% (Reg. S) (d)(w) 200,000 204,621 
8% (Reg. S) (d)(w) 2,356,000 2,415,047 
Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (d)(w) EUR3,400,000 4,031,564 
Banco Do Brasil SA:   
6.25% (b)(d)(w) 1,320,000 1,346,569 
9% (b)(d)(w) 815,000 917,698 
Banco Mercantil del Norte SA 7.625% (b)(d)(w) 608,000 681,885 
Bank of America Corp.:   
5.875% (d)(w) 2,335,000 2,585,352 
6.1% (d)(w) 5,186,000 5,893,519 
6.25% (d)(w) 3,392,000 3,830,042 
6.5% (d)(w) 1,911,000 2,153,227 
Bank of Nova Scotia 4.65% (d)(w) 4,078,000 4,084,792 
Barclays Bank PLC 7.625% 11/21/22 17,678,000 20,073,931 
Barclays PLC:   
7.125% (d)(w) GBP400,000 575,697 
7.875% (Reg. S) (d)(w) 4,922,000 5,276,120 
BNP Paribas SA 6.125% (d)(w) EUR2,350,000 2,849,669 
Citigroup, Inc. 4.7% (d)(w) 3,820,000 3,786,226 
Danske Bank A/S 5.875% (Reg. S) (d)(w) EUR1,270,000 1,521,831 
Georgia Bank Joint Stock Co. 11.125% (Reg. S) (d)(w) 300,000 328,149 
HSBC Holdings PLC 5.25% (d)(w) EUR2,497,000 2,981,280 
Itau Unibanco Holding SA:   
5.5% 8/6/22 (b) 736,000 782,829 
6.125% (b)(d)(w) 325,000 335,916 
JPMorgan Chase & Co. 4.6% (d)(w) 8,635,000 8,719,444 
Lloyds Banking Group PLC 5.125% (d)(w) GBP4,020,000 5,292,490 
NBK Tier 1 Financing 2 Ltd. 4.5% (b)(d)(w) 670,000 690,850 
Royal Bank of Scotland Group PLC 7.5% (d)(w) 3,392,000 3,466,924 
Skandinaviska Enskilda Banken AB 5.75% (Reg. S) (d)(w) 1,100,000 1,118,628 
Stichting AK Rabobank Certificaten 6.5% (Reg. S) (w) EUR3,246,800 4,587,910 
Tinkoff Credit Systems 9.25% (Reg. S) (d)(w) 2,092,000 2,204,969 
Wells Fargo & Co. 5.9% (d)(w) 12,000,000 13,017,271 
  108,250,658 
Capital Markets - 0.0%   
Credit Suisse Group AG 7.5% (Reg. S) (d)(w) 8,540,000 9,591,046 
UBS AG 5.125% 5/15/24 (Reg. S) 820,000 919,054 
  10,510,100 
Insurance - 0.1%   
Assicurazioni Generali SpA 6.416% (d)(w) GBP2,650,000 3,578,520 
Aviva PLC:   
5.9021% (d)(w) GBP3,450,000 4,611,001 
6.125% (d)(w) GBP9,240,000 13,169,370 
Generali Finance BV 4.596% (Reg. S) (d)(w) EUR1,350,000 1,642,319 
QBE Insurance Group Ltd. 5.25% (Reg. S) (d)(w) 3,897,000 4,139,178 
  27,140,388 
TOTAL FINANCIALS  145,901,146 
HEALTH CARE - 0.0%   
Life Sciences Tools & Services - 0.0%   
Eurofins Scientific SA 2.875% (Reg. S) (d)(w) EUR3,780,000 4,087,586 
Pharmaceuticals - 0.0%   
Bayer AG 2.375% 11/12/79 (Reg. S) (d) EUR6,400,000 7,115,850 
TOTAL HEALTH CARE  11,203,436 
INDUSTRIALS - 0.1%   
Construction & Engineering - 0.0%   
Odebrecht Finance Ltd. 7.5% (b)(f)(w) 4,337,000 206,522 
Trading Companies & Distributors - 0.1%   
AerCap Holdings NV 5.875% 10/10/79 (d) 14,005,000 14,536,549 
TOTAL INDUSTRIALS  14,743,071 
REAL ESTATE - 0.1%   
Real Estate Management & Development - 0.1%   
CPI Property Group SA 4.375% (Reg. S) (d)(w) EUR3,253,000 3,765,343 
Deutsche Annington Finance BV 4% (Reg. S) (d)(w) EUR1,400,000 1,650,928 
Grand City Properties SA 3.75% (d)(w) EUR4,400,000 5,074,269 
Heimstaden Bostad AB 3.248% (Reg. S) (d)(w) EUR7,450,000 8,246,158 
Samhallsbyggnadsbolaget I Norden AB:   
2.624% (Reg. S) (d)(w) EUR3,100,000 3,412,782 
4.625% (Reg. S) (d)(w) EUR2,030,000 2,493,693 
TLG Finance SARL 3.375% (Reg. S) (d)(w) EUR6,200,000 7,210,534 
  31,853,707 
UTILITIES - 0.0%   
Electric Utilities - 0.0%   
ORSTED A/S 1.75% (Reg. S) (d)(w) EUR1,600,000 1,807,471 
TOTAL PREFERRED SECURITIES   
(Cost $250,684,418)  253,002,571 
 Shares Value 
Money Market Funds - 2.9%   
Fidelity Cash Central Fund 1.60% (x)   
(Cost $833,098,525) 832,987,882 833,154,480 
 Maturity Amount Value 
Repurchase Agreements - 1.8%   
Investments in repurchase agreements in a joint trading account at 1.59%, dated 2/28/20 due 3/2/20 (Collateralized by U.S. Government Obligations) #   
(Cost $511,755,000) 511,822,808 511,755,000 

Purchased Swaptions - 0.1%    
 Expiration Date Notional Amount(a) 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 1.785% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/24/24 55,500,000 $910,040 
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 48,600,000 126,907 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 30,100,000 743,450 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4025% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 28,500,000 702,459 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.905% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/28/24 117,600,000 1,720,256 
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 31,384 
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 33,063 
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 81,400,000 712,905 
Option with an exercise rate of 3.00% on a credit default swap with BNP Paribas S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 32 Index expiring December 2024, paying 5% quarterly. 4/15/20 EUR 78,250,000 1,305,566 
TOTAL PUT OPTIONS   6,286,030 
Call Options - 0.1%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.785% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/24/24 55,500,000 2,367,584 
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 4,948,682 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 30,100,000 959,769 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4025% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 28,500,000 910,622 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.905% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 10/28/24 117,600,000 5,469,607 
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 1,193,306 
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 1,458,020 
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 4,978,895 
TOTAL CALL OPTIONS   22,286,485 
TOTAL PURCHASED SWAPTIONS    
(Cost $22,484,374)   28,572,515 
TOTAL INVESTMENT IN SECURITIES - 111.1%    
(Cost $30,790,267,912)   32,224,338,235 
NET OTHER ASSETS (LIABILITIES) - (11.1)%   (3,218,468,567) 
NET ASSETS - 100%   $29,005,869,668 

TBA Sale Commitments   
 Principal Amount Value 
Ginnie Mae   
2.5% 3/1/50 $(103,000,000) $(105,728,017) 
3% 3/1/50 (62,900,000) (64,990,381) 
3% 3/1/50 (21,650,000) (22,369,503) 
3% 3/1/50 (21,700,000) (22,421,165) 
3% 3/1/50 (65,900,000) (68,090,081) 
3% 3/1/50 (3,200,000) (3,306,347) 
3% 3/1/50 (8,000,000) (8,265,867) 
3% 3/1/50 (35,300,000) (36,473,139) 
3% 3/1/50 (41,150,000) (42,517,554) 
3% 3/1/50 (21,200,000) (21,904,548) 
3% 3/1/50 (56,350,000) (58,222,702) 
3% 3/1/50 (2,350,000) (2,428,098) 
3% 4/1/50 (11,000,000) (11,353,966) 
3% 4/1/50 (11,000,000) (11,353,966) 
3% 4/1/50 (8,300,000) (8,567,083) 
3.5% 3/1/50 (46,500,000) (48,174,084) 
3.5% 3/1/50 (35,050,000) (36,311,863) 
3.5% 3/1/50 (41,500,000) (42,994,075) 
3.5% 3/1/50 (41,600,000) (43,097,675) 
3.5% 3/1/50 (25,800,000) (26,728,846) 
3.5% 3/1/50 (11,900,000) (12,328,421) 
3.5% 3/1/50 (43,600,000) (45,169,678) 
3.5% 3/1/50 (63,300,000) (65,578,914) 
3.5% 3/1/50 (67,975,000) (70,422,222) 
3.5% 3/1/50 (38,300,000) (39,678,869) 
TOTAL GINNIE MAE  (918,477,064) 
Uniform Mortgage Backed Securities   
2.5% 3/1/35 (9,400,000) (9,648,293) 
2.5% 3/1/35 (7,600,000) (7,800,747) 
2.5% 3/1/35 (5,000,000) (5,132,071) 
2.5% 3/1/35 (13,100,000) (13,446,025) 
3% 3/1/50 (38,100,000) (39,234,965) 
3% 3/1/50 (19,000,000) (19,565,993) 
3% 3/1/50 (5,800,000) (5,972,777) 
3% 3/1/50 (7,300,000) (7,517,460) 
3% 3/1/50 (98,800,000) (101,743,163) 
3% 3/1/50 (34,800,000) (35,836,661) 
3% 3/1/50 (39,700,000) (40,882,627) 
3% 3/1/50 (45,000,000) (46,340,510) 
3% 3/1/50 (13,350,000) (13,747,684) 
3.5% 3/1/50 (47,400,000) (49,220,918) 
3.5% 3/1/50 (15,800,000) (16,406,973) 
3.5% 3/1/50 (15,600,000) (16,199,290) 
3.5% 3/1/50 (26,100,000) (27,102,658) 
3.5% 3/1/50 (17,500,000) (18,172,280) 
3.5% 3/1/50 (31,400,000) (32,606,262) 
3.5% 3/1/50 (300,000) (311,525) 
3.5% 3/1/50 (11,900,000) (12,357,150) 
3.5% 3/1/50 (27,600,000) (28,660,282) 
3.5% 3/1/50 (35,700,000) (37,071,451) 
3.5% 3/1/50 (43,800,000) (45,482,621) 
3.5% 3/1/50 (8,650,000) (8,982,298) 
4% 3/1/50 (7,200,000) (7,583,864) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (647,026,548) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $1,556,699,648)  $(1,565,503,612) 

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 1.395% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/24/25 30,000,000 $(744,855) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.775% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/3/24 34,500,000 (585,014) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.83% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2030 1/23/25 23,900,000 (396,088) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.9% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/10/24 39,200,000 (592,939) 
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 January 2030 1/8/25 29,000,000 (437,728) 
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 (259,253) 
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 (38,763) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.487% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2030 10/2/20 19,600,000 (165,460) 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to pay semi-annually a fixed rate of 1.684% and receive quarterly a floating rate based on 3-month LIBOR, expiring January 2030 1/27/25 36,000,000 (683,657) 
TOTAL PUT SWAPTIONS   (3,903,757) 
Call Swaptions    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.395% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/24/25 30,000,000 (953,856) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.775% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/3/24 34,500,000 (1,463,690) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.83% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2030 1/23/25 23,900,000 (1,056,562) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.9% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2029 12/10/24 39,200,000 (1,819,472) 
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 January 2030 1/8/25 29,000,000 (1,365,424) 
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 (973,097) 
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 (1,010,312) 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.487% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2030 10/2/20 19,600,000 (876,898) 
Option on an interest rate swap with JPMorgan Chase Bank N.A. to receive semi-annually a fixed rate of 1.684% and pay quarterly a floating rate based on 3-month LIBOR, expiring January 2030 1/27/25 36,000,000 (1,432,272) 
TOTAL CALL SWAPTIONS   (10,951,583) 
TOTAL WRITTEN SWAPTIONS   $(14,855,340) 

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 March 2020 $3,900,784 $99,983 $99,983 
Eurex Euro-Bobl Contracts (Germany) 15 March 2020 2,246,428 19,423 19,423 
TME 10 Year Canadian Note Contracts (Canada) 199 June 2020 21,159,456 334,359 334,359 
TOTAL BOND INDEX CONTRACTS     453,765 
Treasury Contracts      
CBOT 2-Year U.S. Treasury Note Contracts (United States) 31 June 2020 6,768,172 63,150 63,150 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 228 June 2020 27,987,000 511,246 511,246 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 39 June 2020 6,639,750 283,275 283,275 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 210 June 2020 31,545,938 1,131,207 1,131,207 
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 140 June 2020 29,050,000 1,810,941 1,810,941 
TOTAL TREASURY CONTRACTS     3,799,819 
TOTAL PURCHASED     4,253,584 
Sold      
Bond Index Contracts      
ICE Long Gilt Contracts (United Kingdom) 19 June 2020 3,298,459 (31,656) (31,656) 
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 2,586 June 2020 348,463,500 (8,673,323) (8,673,323) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 2,623 June 2020 572,674,672 (4,787,615) (4,787,615) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 174 June 2020 21,358,500 (257,605) (257,605) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 197 June 2020 33,539,250 (1,319,301) (1,319,301) 
TOTAL TREASURY CONTRACTS     (15,037,844) 
TOTAL SOLD     (15,069,500) 
TOTAL FUTURES CONTRACTS     $(10,815,916) 

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 3.4%

Forward Foreign Currency Contracts       
Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation/(Depreciation) 
USD 2,742,925 EUR 2,500,000 State Street Bank and Trust Co. 3/2/20 $(16,950) 
GBP 482,000 USD 618,020 BNP Paribas SA 3/3/20 (24) 
USD 55,156 CAD 74,000 Bank of America, N.A. 3/3/20 25 
EUR 319,000 USD 352,460 JPMorgan Chase Bank, N.A. 5/14/20 1,215 
EUR 2,722,000 USD 2,999,429 State Street Bank and Trust Co. 5/14/20 18,444 
USD 316,948,475 EUR 290,168,000 Citibank, N.A. 5/14/20 (4,759,914) 
USD 10,093,485 EUR 9,230,000 State Street Bank and Trust Co. 5/14/20 (139,788) 
USD 354,538 GBP 276,000 BNP Paribas SA 5/14/20 25 
USD 81,570,026 GBP 62,597,000 Citibank, N.A. 5/14/20 1,166,119 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS      $(3,730,848) 
     Unrealized Appreciation 1,185,828 
     Unrealized Depreciation (4,916,676) 

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 $(13,826) $0 $(13,826) 
Akzo Nobel NV  Jun. 2024 Citibank, N.A. (1%) Quarterly EUR 9,400,000 (278,333) 269,430 (8,903) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 16,200,000 29,829 (82,550) (52,721) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 12,210,000 22,482 23,830 46,312 
CMBX N.A. AAA Index Series 12  Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly 11,500,000 93,061 4,484 97,545 
CMBX N.A. AAA Index Series 12  Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly 175,600,000 1,421,008 (2,446) 1,418,562 
Commerzbank AG  Dec. 2024 Goldman Sachs Bank USA (1%) Quarterly EUR 6,050,000 250,839 (231,549) 19,290 
Daimler AG  Dec. 2024 BNP Paribas SA (1%) Quarterly EUR 7,350,000 (62,484) 176,202 113,718 
Gas Natural Capital Markets SA  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,200,000 (94,032) 57,131 (36,901) 
Standard Chartered PLC  Jun. 2021 Goldman Sachs Bank USA (1%) Quarterly EUR 1,550,000 (20,975) (40,324) (61,299) 
Volvo Treas AB  Jun. 2024 Citibank, N.A. (1%) Quarterly EUR 1,550,000 (42,549) 33,692 (8,857) 
TOTAL BUY PROTECTION       1,305,020 207,900 1,512,920 
Sell Protection          
5-Year iTraxx Europe Senior Financial Series 25 Index NR Jun. 2021 ICE 1% Quarterly EUR 8,300,000 153,018 153,018 
TOTAL CREDIT DEFAULT SWAPS       $1,458,038 $207,900 $1,665,938 

 (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          
1.75% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2022 $304,121,000 $4,249,979 $0 $4,249,979 
1.75% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2025 2,140,000 71,362 71,362 
3-month LIBOR(3) Quarterly 2% Semi - annual LCH Mar. 2027 4,230,000 (191,933) (191,933) 
3-month LIBOR(3) Quarterly 2% Semi - annual LCH Mar. 2030 49,415,000 (2,630,678) (2,630,678) 
(0.25%) Annual 6-month EURIBOR(3) Semi - annual LCH Jun. 2030 EUR 10,100,000 326,261 326,261 
0% Annual 6-month EURIBOR(3) Semi - annual LCH Jun. 2035 EUR 13,483,000 869,853 869,853 
0.25% Annual 6-month EURIBOR(3) Semi - annual LCH Jun. 2040 EUR 5,877,000 429,301 429,301 
TOTAL INTEREST RATE SWAPS       $3,124,145 $0 $3,124,145 

 (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 $4,623,950,277 or 15.9% of net assets.

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

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

 (g) Security or a portion of the security is on loan at period end.

 (h) 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 $8,013,097.

 (i) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts, options and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $166,805.

 (j) 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 $4,727,001.

 (k) 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 $104,304.

 (l) 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.

 (m) Level 3 security

 (n) 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.

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

 (p) 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.

 (q) Restricted securities (including private placements) - 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 $974,172 or 0.0% of net assets.

 (r) 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.

 (s) Non-income producing

 (t) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

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

 (v) 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 $1,808,458 and $1,801,384, respectively.

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

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

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 $932,433 

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 $7,240,931 
Total $7,240,931 

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 February 29, 2020, 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 $311,529 $276,853 $76 $34,600 
Consumer Discretionary 322 -- -- 322 
Energy 3,665,131 467,742 -- 3,197,389 
Financials 1,621,802 1,621,802 -- -- 
Industrials 72,900 -- -- 72,900 
Real Estate 7,685,684 7,129,010 556,674 -- 
Utilities 3,405,193 -- -- 3,405,193 
Corporate Bonds 8,932,006,490 -- 8,932,006,490 -- 
U.S. Government and Government Agency Obligations 10,350,761,726 -- 10,350,761,726 -- 
U.S. Government Agency - Mortgage Securities 7,140,019,965 -- 7,140,019,965 -- 
Asset-Backed Securities 935,604,279 -- 935,604,125 154 
Collateralized Mortgage Obligations 403,917,695 -- 403,916,923 772 
Commercial Mortgage Securities 972,798,024 -- 972,129,736 668,288 
Municipal Securities 217,693,631 -- 217,693,631 -- 
Foreign Government and Government Agency Obligations 304,845,355 -- 303,973,940 871,415 
Bank Loan Obligations 1,227,374,624 -- 1,213,714,306 13,660,318 
Bank Notes 96,069,319 -- 96,069,319 -- 
Preferred Securities 253,002,571 -- 253,002,571 -- 
Money Market Funds 833,154,480 833,154,480 -- -- 
Repurchase Agreements 511,755,000 -- 511,755,000 -- 
Purchased Swaptions 28,572,515 -- 28,572,515 -- 
Total Investments in Securities: $32,224,338,235 $842,649,887 $31,359,776,997 $21,911,351 
Derivative Instruments:     
Assets     
Futures Contracts $4,253,584 $4,253,584 $-- $-- 
Forward Foreign Currency Contracts 1,185,828 -- 1,185,828 -- 
Swaps 7,916,993 -- 7,916,993 -- 
Total Assets $13,356,405 $4,253,584 $9,102,821 $-- 
Liabilities     
Futures Contracts $(15,069,500) $(15,069,500) $-- $-- 
Forward Foreign Currency Contracts (4,916,676) -- (4,916,676) -- 
Swaps (3,334,810) -- (3,334,810) -- 
Written Swaptions (14,855,340) -- (14,855,340) -- 
Total Liabilities $(38,176,326) $(15,069,500) $(23,106,826) $-- 
Total Derivative Instruments: $(24,819,921) $(10,815,916) $(14,004,005) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(1,565,503,612) $-- $(1,565,503,612) $-- 
Total Other Financial Instruments: $(1,565,503,612) $-- $(1,565,503,612) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2020. 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) $1,305,566 $0 
Swaps(b) 1,970,237 (512,199) 
Total Credit Risk 3,275,803 (512,199) 
Foreign Exchange Risk   
Forward Foreign Currency Contracts(c) 1,185,828 (4,916,676) 
Total Foreign Exchange Risk 1,185,828 (4,916,676) 
Interest Rate Risk   
Futures Contracts(d) 4,253,584 (15,069,500) 
Purchased Swaptions(a) 27,266,949 
Swaps(b) 5,946,756 (2,822,611) 
Written Swaptions(e) (14,855,340) 
Total Interest Rate Risk 37,467,289 (32,747,451) 
Total Value of Derivatives $41,928,920 $(38,176,326) 

 (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 Total accumulated earnings (loss).

 (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 Total accumulated earnings (loss).

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

Other Information

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty $511,755,000 due 3/02/2020 at 1.59% Value 
Sumitomo Mitsui Banking Corp. $46,542,132 
Wells Fargo Securities 370,098,587 
Nomura Securities International 1,655,332 
Societe Generale (Paris) 8,277,326 
JPMorgan Securities LLC 10,686,019 
RBC Dominion Securities, Inc. 74,495,604 
 $511,755,000 

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

United States of America 87.0% 
United Kingdom 2.4% 
Cayman Islands 2.0% 
Mexico 1.8% 
Netherlands 1.3% 
Others (Individually Less Than 1%) 5.5% 
 100.0% 

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


Financial Statements

Statement of Assets and Liabilities

  February 29, 2020 (Unaudited) 
Assets   
Investment in securities, at value (including securities loaned of $501,821,938 and repurchase agreements of $511,755,000) — See accompanying schedule:
Unaffiliated issuers (cost $29,957,169,387) 
$31,391,183,755  
Fidelity Central Funds (cost $833,098,525) 833,154,480  
Total Investment in Securities (cost $30,790,267,912)  $32,224,338,235 
Segregated cash with brokers for derivative instruments  2,025,454 
Cash  2,683,376 
Foreign currency held at value (cost $16,142,628)  16,142,546 
Receivable for investments sold  75,313,990 
Receivable for premium on written options  13,753,825 
Receivable for TBA sale commitments  1,556,699,648 
Unrealized appreciation on forward foreign currency contracts  1,185,828 
Receivable for fund shares sold  153,844,203 
Dividends receivable  174,947 
Interest receivable  177,805,262 
Distributions receivable from Fidelity Central Funds  942,500 
Receivable for daily variation margin on centrally cleared OTC swaps  1,113,169 
Bi-lateral OTC swaps, at value  1,817,219 
Receivable from investment adviser for expense reductions  230,505 
Other receivables  1,263,155 
Total assets  34,229,333,862 
Liabilities   
Payable for investments purchased   
Regular delivery $268,864,638  
Delayed delivery 2,770,944,751  
TBA sale commitments, at value 1,565,503,612  
Unrealized depreciation on forward foreign currency contracts 4,916,676  
Payable for fund shares redeemed 63,892,454  
Distributions payable 5,773,068  
Bi-lateral OTC swaps, at value 498,373  
Accrued management fee 7,082,180  
Distribution and service plan fees payable 355,801  
Payable for daily variation margin on futures contracts 5,150,185  
Written options, at value (premium receivable $13,753,825) 14,855,340  
Other affiliated payables 3,614,725  
Other payables and accrued expenses 257,391  
Collateral on securities loaned 511,755,000  
Total liabilities  5,223,464,194 
Net Assets  $29,005,869,668 
Net Assets consist of:   
Paid in capital  $27,635,542,200 
Total accumulated earnings (loss)  1,370,327,468 
Net Assets  $29,005,869,668 
Net Asset Value and Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($703,758,893 ÷ 62,887,041 shares)(a)  $11.19 
Maximum offering price per share (100/96.00 of $11.19)  $11.66 
Class M:   
Net Asset Value and redemption price per share ($347,585,707 ÷ 31,114,239 shares)(a)  $11.17 
Maximum offering price per share (100/96.00 of $11.17)  $11.64 
Class C:   
Net Asset Value and offering price per share ($175,134,133 ÷ 15,644,159 shares)(a)  $11.19 
Total Bond:   
Net Asset Value, offering price and redemption price per share ($15,542,925,858 ÷ 1,389,450,421 shares)  $11.19 
Class I:   
Net Asset Value, offering price and redemption price per share ($7,297,358,893 ÷ 653,373,812 shares)  $11.17 
Class Z:   
Net Asset Value, offering price and redemption price per share ($4,939,106,184 ÷ 442,195,481 shares)  $11.17 

 (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

  Six months ended February 29, 2020 (Unaudited) 
Investment Income   
Dividends  $6,529,694 
Interest (including $298,447 from security lending)  419,804,190 
Income from Fidelity Central Funds  7,240,931 
Total income  433,574,815 
Expenses   
Management fee $39,955,353  
Transfer agent fees 14,116,738  
Distribution and service plan fees 2,052,624  
Fund wide operations fee 6,347,624  
Independent trustees' fees and expenses 42,278  
Miscellaneous 30,127  
Total expenses before reductions 62,544,744  
Expense reductions (965,526)  
Total expenses after reductions  61,579,218 
Net investment income (loss)  371,995,597 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 118,157,927  
Forward foreign currency contracts 7,035,070  
Foreign currency transactions (261,654)  
Futures contracts 4,814,537  
Swaps (1,433,437)  
Written options 98,542  
Total net realized gain (loss)  128,410,985 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 402,504,710  
Forward foreign currency contracts (7,189,216)  
Assets and liabilities in foreign currencies 183,051  
Futures contracts (10,470,118)  
Swaps 1,783,707  
Written options (567,926)  
Delayed delivery commitments (7,967,006)  
Total change in net unrealized appreciation (depreciation)  378,277,202 
Net gain (loss)  506,688,187 
Net increase (decrease) in net assets resulting from operations  $878,683,784 

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


Statement of Changes in Net Assets

 Six months ended February 29, 2020 (Unaudited) Year ended August 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $371,995,597 $744,210,276 
Net realized gain (loss) 128,410,985 (250,784,139) 
Change in net unrealized appreciation (depreciation) 378,277,202 1,485,700,514 
Net increase (decrease) in net assets resulting from operations 878,683,784 1,979,126,651 
Distributions to shareholders (386,379,979) (786,724,462) 
Share transactions - net increase (decrease) 3,204,798,684 (8,154,120,356) 
Total increase (decrease) in net assets 3,697,102,489 (6,961,718,167) 
Net Assets   
Beginning of period 25,308,767,179 32,270,485,346 
End of period $29,005,869,668 $25,308,767,179 

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


Financial Highlights

Fidelity Total Bond Fund Class A

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $11.00 $10.38 $10.77 $10.87 $10.53 $10.77 
Income from Investment Operations       
Net investment income (loss)A .138 .300 .273 .272 .312 .287 
Net realized and unrealized gain (loss) .197 .646 (.375) (.086) .377 (.224) 
Total from investment operations .335 .946 (.102) .186 .689 .063 
Distributions from net investment income (.135) (.326) (.263) (.258) (.290) (.270) 
Distributions from net realized gain (.010) – (.025) (.028) (.059) (.033) 
Total distributions (.145) (.326) (.288) (.286) (.349) (.303) 
Net asset value, end of period $11.19 $11.00 $10.38 $10.77 $10.87 $10.53 
Total ReturnB,C,D 3.07% 9.32% (.95)% 1.77% 6.71% .58% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .75%G .75% .75% .75% .75% .75% 
Expenses net of fee waivers, if any .75%G .75% .75% .75% .75% .75% 
Expenses net of all reductions .75%G .75% .75% .75% .75% .75% 
Net investment income (loss) 2.54%G 2.87% 2.60% 2.53% 2.95% 2.69% 
Supplemental Data       
Net assets, end of period (000 omitted) $703,759 $614,156 $475,569 $521,557 $1,233,806 $852,243 
Portfolio turnover rateH 197%G 170%I 109% 137% 134% 140%I 

 A Calculated based on average shares outstanding during the period.

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

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

 D Total returns do not include the effect of the sales charges.

 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. 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.


Fidelity Total Bond Fund Class M

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $10.98 $10.36 $10.75 $10.85 $10.51 $10.76 
Income from Investment Operations       
Net investment income (loss)A .138 .300 .272 .267 .309 .285 
Net realized and unrealized gain (loss) .196 .646 (.375) (.083) .378 (.234) 
Total from investment operations .334 .946 (.103) .184 .687 .051 
Distributions from net investment income (.134) (.326) (.262) (.256) (.288) (.268) 
Distributions from net realized gain (.010) – (.025) (.028) (.059) (.033) 
Total distributions (.144) (.326) (.287) (.284) (.347) (.301) 
Net asset value, end of period $11.17 $10.98 $10.36 $10.75 $10.85 $10.51 
Total ReturnB,C,D 3.08% 9.33% (.96)% 1.76% 6.71% .47% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .75%G .75% .76% .76% .77% .77% 
Expenses net of fee waivers, if any .75%G .75% .76% .76% .77% .77% 
Expenses net of all reductions .75%G .75% .76% .76% .77% .77% 
Net investment income (loss) 2.54%G 2.86% 2.60% 2.53% 2.94% 2.67% 
Supplemental Data       
Net assets, end of period (000 omitted) $347,586 $343,191 $307,837 $287,111 $155,518 $101,673 
Portfolio turnover rateH 197%G 170%I 109% 137% 134% 140%I 

 A Calculated based on average shares outstanding during the period.

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

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

 D Total returns do not include the effect of the sales charges.

 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. 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.


Fidelity Total Bond Fund Class C

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $11.01 $10.39 $10.77 $10.87 $10.53 $10.77 
Income from Investment Operations       
Net investment income (loss)A .096 .220 .193 .188 .231 .205 
Net realized and unrealized gain (loss) .187 .646 (.365) (.084) .378 (.225) 
Total from investment operations .283 .866 (.172) .104 .609 (.020) 
Distributions from net investment income (.093) (.246) (.183) (.176) (.210) (.187) 
Distributions from net realized gain (.010) – (.025) (.028) (.059) (.033) 
Total distributions (.103) (.246) (.208) (.204) (.269) (.220) 
Net asset value, end of period $11.19 $11.01 $10.39 $10.77 $10.87 $10.53 
Total ReturnB,C,D 2.59% 8.49% (1.60)% .99% 5.90% (.20)% 
Ratios to Average Net AssetsE,F       
Expenses before reductions 1.53%G 1.52% 1.52% 1.52% 1.52% 1.53% 
Expenses net of fee waivers, if any 1.53%G 1.52% 1.52% 1.52% 1.52% 1.53% 
Expenses net of all reductions 1.52%G 1.52% 1.52% 1.52% 1.52% 1.53% 
Net investment income (loss) 1.77%G 2.10% 1.84% 1.77% 2.19% 1.92% 
Supplemental Data       
Net assets, end of period (000 omitted) $175,134 $153,944 $168,366 $190,273 $186,380 $139,264 
Portfolio turnover rateH 197%G 170%I 109% 137% 134% 140%I 

 A Calculated based on average shares outstanding during the period.

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

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

 D Total returns do not include the effect of the contingent deferred sales charge.

 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. 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.


Fidelity Total Bond Fund

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $11.00 $10.38 $10.76 $10.86 $10.53 $10.77 
Income from Investment Operations       
Net investment income (loss)A .155 .333 .305 .302 .343 .320 
Net realized and unrealized gain (loss) .196 .645 (.365) (.085) .368 (.224) 
Total from investment operations .351 .978 (.060) .217 .711 .096 
Distributions from net investment income (.151) (.358) (.295) (.289) (.322) (.303) 
Distributions from net realized gain (.010) – (.025) (.028) (.059) (.033) 
Total distributions (.161) (.358) (.320) (.317) (.381) (.336) 
Net asset value, end of period $11.19 $11.00 $10.38 $10.76 $10.86 $10.53 
Total ReturnB,C 3.23% 9.65% (.55)% 2.07% 6.94% .88% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .45%F .45% .45% .45% .45% .45% 
Expenses net of fee waivers, if any .45%F .45% .45% .45% .45% .45% 
Expenses net of all reductions .45%F .45% .45% .45% .45% .45% 
Net investment income (loss) 2.84%F 3.17% 2.90% 2.84% 3.25% 2.99% 
Supplemental Data       
Net assets, end of period (000 omitted) $15,542,926 $14,074,694 $23,868,572 $23,732,156 $20,469,677 $17,359,294 
Portfolio turnover rateG 197%F 170%H 109% 137% 134% 140%H 

 A Calculated based on average shares outstanding during the period.

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

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

 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 Annualized

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

 H 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

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 
Selected Per–Share Data       
Net asset value, beginning of period $10.98 $10.36 $10.75 $10.85 $10.51 $10.76 
Income from Investment Operations       
Net investment income (loss)A .152 .326 .299 .295 .337 .313 
Net realized and unrealized gain (loss) .196 .646 (.374) (.083) .378 (.233) 
Total from investment operations .348 .972 (.075) .212 .715 .080 
Distributions from net investment income (.148) (.352) (.290) (.284) (.316) (.297) 
Distributions from net realized gain (.010) – (.025) (.028) (.059) (.033) 
Total distributions (.158) (.352) (.315) (.312) (.375) (.330) 
Net asset value, end of period $11.17 $10.98 $10.36 $10.75 $10.85 $10.51 
Total ReturnB,C 3.21% 9.61% (.70)% 2.02% 6.99% .73% 
Ratios to Average Net AssetsD,E       
Expenses before reductions .50%F .50% .50% .50% .50% .50% 
Expenses net of fee waivers, if any .50%F .50% .50% .50% .50% .50% 
Expenses net of all reductions .50%F .50% .50% .50% .50% .50% 
Net investment income (loss) 2.79%F 3.12% 2.85% 2.79% 3.20% 2.94% 
Supplemental Data       
Net assets, end of period (000 omitted) $7,297,359 $6,348,237 $4,959,911 $4,481,725 $2,846,878 $1,266,870 
Portfolio turnover rateG 197%F 170%H 109% 137% 134% 140%H 

 A Calculated based on average shares outstanding during the period.

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

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

 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 Annualized

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

 H 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

 Six months ended (Unaudited) February 29, Years endedAugust 31,     
 2020 2019 2018 2017 2016 2015 A 
Selected Per–Share Data       
Net asset value, beginning of period $10.98 $10.36 $10.75 $10.85 $10.51 $10.66 
Income from Investment Operations       
Net investment income (loss)B .159 .340 .312 .310 .352 .234 
Net realized and unrealized gain (loss) .197 .647 (.373) (.083) .378 (.167) 
Total from investment operations .356 .987 (.061) .227 .730 .067 
Distributions from net investment income (.156) (.367) (.304) (.299) (.331) (.217) 
Distributions from net realized gain (.010) – (.025) (.028) (.059) – 
Total distributions (.166) (.367) (.329) (.327) (.390) (.217) 
Net asset value, end of period $11.17 $10.98 $10.36 $10.75 $10.85 $10.51 
Total ReturnC,D 3.28% 9.76% (.56)% 2.16% 7.14% .59% 
Ratios to Average Net AssetsE,F       
Expenses before reductions .40%G .40% .36% .36% .36% .36%G 
Expenses net of fee waivers, if any .36%G .36% .36% .36% .36% .36%G 
Expenses net of all reductions .36%G .36% .36% .36% .36% .36%G 
Net investment income (loss) 2.94%G 3.26% 2.99% 2.93% 3.34% 3.29%G 
Supplemental Data       
Net assets, end of period (000 omitted) $4,939,106 $3,774,546 $2,490,230 $1,473,993 $811,440 $546,968 
Portfolio turnover rateH 197%G 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 (Unaudited)

For the period ended February 29, 2020

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.

Effective January 1, 2020:

Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".

Broker-dealer Fidelity Distributors Corporation merged with and into Fidelity Investments Institutional Services Company, Inc. ("FIISC"). FIISC was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Distributors Company LLC".

Fidelity Investments Institutional Operations Company, Inc. converted from a Massachusetts corporation to a Massachusetts LLC, and changed its name to "Fidelity Investments Institutional Operations Company LLC".

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 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 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 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 February 29, 2020 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 $237,997 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. 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 $1,677,848,705 
Gross unrealized depreciation (232,554,212) 
Net unrealized appreciation (depreciation) $1,445,294,493 
Tax cost $30,759,381,582 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

No expiration  
Long-term $(182,512,567) 

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

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.

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 $491,909 $818,978 
Swaps (2,350,016) 2,916,367 
Total Credit Risk (1,858,107) 3,735,345 
Foreign Exchange Risk   
Forward Foreign Currency Contracts 7,035,070 (7,189,216) 
Interest Rate Risk   
Futures Contracts 4,814,537 (10,470,118) 
Purchased Options 233,637 1,479,630 
Swaps 916,579 (1,132,660) 
Written Options 98,542 (567,926) 
Total Interest Rate Risk 6,063,295 (10,691,074) 
Totals $11,240,258 $(14,144,945) 

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. 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, other than short-term securities and U.S. government securities, are noted in the table below.

 Purchases ($) Sales ($) 
Fidelity Total Bond Fund 10,580,198,109 9,238,729,376 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (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 monthly average net assets of a group of registered investment companies with which the investment adviser has management contracts. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized 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 Company LLC (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% $809,408 $49,839 
Class M -% .25% 425,045 1,665 
Class C .75% .25% 818,171 194,059 
   $2,052,624 $245,563 

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 $76,793 
Class M 10,819 
Class C(a) 12,075 
 $99,687 

 (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 LLC (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. 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(a) 
Class A $483,199 .15 
Class M 255,538 .15 
Class C 135,971 .17 
Total Bond 7,220,367 .10 
Class I 4,974,156 .15 
Class Z 1,047,507 .05 
 $14,116,738  

 (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 annualized rate of .05% of average net assets.

Brokerage Commissions. A portion of portfolio transactions were placed 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 as follows:

 Amount 
Fidelity Total Bond Fund $10 

Interfund Trades. Funds 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.

Prior Fiscal Year Affiliated Redemptions In-Kind. During the prior 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 Fund had a net realized loss of $(214,083,908) on investments delivered through in-kind redemptions. 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.

Prior Fiscal Year Affiliated Exchanges In-Kind. During the prior period, the Fund redeemed 11,848,341 shares of Fidelity Real Estate High Income Fund in exchange for investments, including accrued interest, and cash valued at $100,000,000. 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 $2,126.

7. Committed Line of Credit.

Certain Funds participate 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 participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Commitment fees on the Statement of Operations, and are as follows:

 Amount 
Fidelity Total Bond Fund $30,322 

During the period, there were no borrowings 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. 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 expenses of 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% $888,206 

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $35 for the period. In addition, 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 $76,452. During the period, transfer agent credits reduced each class' expenses as noted in the table below.

 Expense reduction 
Total Bond $808 

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of fund-level operating expenses in the amount of $25.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Six months ended
February 29, 2020 
Year ended
August 31, 2019 
Distributions to shareholders   
Class A $8,527,422 $15,968,144 
Class M 4,493,817 9,805,670 
Class C 1,527,293 3,614,324 
Total Bond 211,983,867 475,864,517 
Class I 96,660,552 178,636,008 
Class Z 63,187,028 102,835,799 
Total $386,379,979 $786,724,462 

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 
 Six months ended February 29, 2020 Year ended August 31, 2019 Six months ended February 29, 2020 Year ended August 31, 2019 
Class A     
Shares sold 13,514,447 24,198,183 $148,289,347 $254,513,928 
Reinvestment of distributions 759,253 1,492,321 8,343,622 15,657,471 
Shares redeemed (7,208,601) (15,674,180) (79,019,269) (163,799,356) 
Net increase (decrease) 7,065,099 10,016,324 $77,613,700 $106,372,043 
Class M     
Shares sold 4,372,546 8,946,514 $47,912,784 $93,946,756 
Reinvestment of distributions 408,110 933,995 4,475,434 9,770,428 
Shares redeemed (4,914,214) (8,334,375) (53,708,510) (87,244,896) 
Net increase (decrease) (133,558) 1,546,134 $(1,320,292) $16,472,288 
Class C     
Shares sold 3,123,193 5,850,080 $34,244,715 $61,658,608 
Reinvestment of distributions 131,877 331,495 1,449,185 3,464,378 
Shares redeemed (1,598,098) (8,405,497) (17,525,450) (88,170,449) 
Net increase (decrease) 1,656,972 (2,223,922) $18,168,450 $(23,047,463) 
Total Bond     
Shares sold 261,561,517 445,657,685 $2,869,127,854 $4,676,434,511 
Reinvestment of distributions 17,704,052 41,056,785 194,513,343 429,605,803 
Shares redeemed (169,601,230) (1,506,783,456)(a) (1,858,239,991) (15,501,131,380)(a) 
Net increase (decrease) 109,664,339 (1,020,068,986) $1,205,401,206 $(10,395,091,066) 
Class I     
Shares sold 135,570,393 233,921,906 $1,484,259,487 $2,456,738,444 
Reinvestment of distributions 8,298,650 16,229,107 91,026,442 169,991,345 
Shares redeemed (68,643,788) (150,655,667) (750,528,614) (1,573,748,896) 
Net increase (decrease) 75,225,255 99,495,346 $824,757,315 $1,052,980,893 
Class Z     
Shares sold 127,974,650 170,891,445 $1,403,234,367 $1,792,543,734 
Reinvestment of distributions 4,583,422 7,903,137 50,296,404 82,904,413 
Shares redeemed (34,096,544) (75,375,423) (373,352,466) (787,255,198) 
Net increase (decrease) 98,461,528 103,419,159 $1,080,178,305 $1,088,192,949 

 (a) Amount includes in-kind redemptions (see the Prior Year 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.

14. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

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 (September 1, 2019 to February 29, 2020).

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
September 1, 2019 
Ending
Account Value
February 29, 2020 
Expenses Paid
During Period-B
September 1, 2019
to February 29, 2020 
Class A .75%    
Actual  $1,000.00 $1,030.70 $3.79 
Hypothetical-C  $1,000.00 $1,021.13 $3.77 
Class M .75%    
Actual  $1,000.00 $1,030.80 $3.79 
Hypothetical-C  $1,000.00 $1,021.13 $3.77 
Class C 1.53%    
Actual  $1,000.00 $1,025.90 $7.71 
Hypothetical-C  $1,000.00 $1,017.26 $7.67 
Total Bond .45%    
Actual  $1,000.00 $1,032.30 $2.27 
Hypothetical-C  $1,000.00 $1,022.63 $2.26 
Class I .50%    
Actual  $1,000.00 $1,032.10 $2.53 
Hypothetical-C  $1,000.00 $1,022.38 $2.51 
Class Z .36%    
Actual  $1,000.00 $1,032.80 $1.82 
Hypothetical-C  $1,000.00 $1,023.07 $1.81 

 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 182/366 (to reflect the one-half year period).

 C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Total Bond Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2019 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Approval of Amended and Restated Advisory Contracts. At its September 2019 meeting, the Board also unanimously determined to approve an amended and restated management contract and sub-advisory agreements (Amended and Restated Contracts) in connection with an upcoming consolidation of certain of Fidelity's advisory businesses. The Board considered that, on or about January 1, 2020, Fidelity Investments Money Management, Inc. (FIMM) and FMR Co., Inc. (FMRC) expect to merge with and into FMR and, after the merger, FMR expects to redomicile as a Delaware limited liability company. The Board also approved the termination of the sub-advisory agreements with FIMM and FMRC upon the completion of the merger. The Board noted that references to FMR in the Amended and Restated Contracts would be updated to reflect FMR's new form of organization and domicile and considered that the definition of "group assets" for purposes of the fund's group fee would be modified to avoid double-counting assets once the reorganization is complete. The Board also noted Fidelity's assurance that neither the planned consolidation nor the Amended and Restated Contracts will change the investment processes, the level or nature of services provided, the resources and personnel allocated, trading and compliance operations, or any fees or expenses paid by the fund.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in December 2018.

The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and a peer group of funds with similar objectives (peer group), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.

Fidelity Total Bond Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2018.

The Board noted that it and the boards of other Fidelity funds formed an ad hoc Committee on Group Fee, which meets periodically, to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. The Committee's focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio.  In its review of each class's total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each class ranked below the competitive median for 2018.

The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. These contractual arrangements may not be amended to increase the fees or expenses payable except by a vote of a majority of the Board. The Board further considered that FMR has contractually agreed to reimburse Class Z of the fund to the extent that total operating expenses (with certain exceptions), as a percentage of its average net assets, exceed 0.36% through December 31, 2020.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total "group assets" increase, and for higher group fee rates as total "group assets" decrease ("group assets" as defined in the management contract). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board noted, however, that because the current contractual arrangements set the total "fund-level" expenses for each class at 0.35%, increases or decreases in the management fee due to changes in the group fee rate will not impact the total expense ratio.

Fees Charged to Other Fidelity Clients.  The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.

PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses. The Board considered that a joint ad hoc committee created by it and the boards of other Fidelity funds had recently been established, and meets periodically, to evaluate potential fall-out benefits. The Board noted that the committee was expected to, among other things: (i) discuss the legal framework surrounding potential fall-out benefits; (ii) review the Board's responsibilities and approach to potential fall-out benefits; and (iii) review practices employed by competitor funds regarding the review of potential fall-out benefits. The Board noted that it would consider the committee's findings in connection with future consideration of contract renewals.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale.  The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the practices of certain sub-advisers regarding their receipt of research from broker-dealers that execute the funds' portfolio transactions; (vi) the terms of Fidelity's voluntary expense limitation agreements; (vii) the methodology with respect to competitive fund data and peer group classifications; (viii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (ix) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (x) the impact on fund profitability of recent changes in total net assets for Fidelity's money market funds, anticipated changes to the competitive landscape for money market funds, and the level of investor comfort with gates, fees, and floating NAVs; (xi) the funds' share class structures and distribution channels; and (xii) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed and the fund's Amended and Restated Contracts should be approved.

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot not be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

TBD-SANN-0420
1.783111.117


Fidelity® Series Government Bond Index Fund



Semi-Annual Report

February 29, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


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

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Liquidity Risk Management Program


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. © 2020 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.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following the end of this reporting period, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

Investment Summary (Unaudited)

Coupon Distribution as of February 29, 2020

 % of fund's investments 
1 - 1.99% 25.3 
2 - 2.99% 52.5 
3 - 3.99% 18.3 
4 - 4.99% 0.2 
5 - 5.99% 0.2 
6 - 6.99% 1.0 
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 February 29, 2020 
   U.S. Treasury Obligations 98.0% 
   U.S. Government Agency Obligations 1.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.2% 


Percentages shown as 0.0% may reflect amounts less than 0.05%.

Schedule of Investments February 29, 2020 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.8%   
 Principal Amount Value 
U.S. Government Agency Obligations - 1.8%   
Fannie Mae:   
1.25% 8/17/21 $181,000 $181,711 
1.875% 9/24/26 674,000 704,638 
2% 10/5/22 5,000 5,130 
2.125% 4/24/26 6,000 6,347 
2.5% 2/5/24 690,000 730,255 
5.625% 7/15/37 236,000 373,626 
6.25% 5/15/29 71,000 100,649 
7.125% 1/15/30 6,000 9,169 
Freddie Mac:   
2.75% 6/19/23 11,000 11,642 
6.25% 7/15/32 585,000 897,951 
6.75% 9/15/29 185,000 273,394 
  3,294,512 
U.S. Treasury Obligations - 98.0%   
U.S. Treasury Bonds:   
2% 2/15/50 393,000 424,348 
2.25% 8/15/49 1,447,000 1,644,776 
2.375% 11/15/49 977,000 1,140,457 
2.5% 2/15/45 10,000 11,686 
2.75% 8/15/47 43,000 53,206 
2.875% 5/15/43 10,000 12,402 
2.875% 8/15/45 66,000 82,418 
2.875% 11/15/46 1,198,000 1,509,386 
2.875% 5/15/49 391,000 500,953 
3% 5/15/42 158,000 199,568 
3% 11/15/44 135,000 171,482 
3% 11/15/45 916,000 1,170,011 
3% 2/15/47 1,473,000 1,900,630 
3% 5/15/47 808,000 1,043,172 
3% 2/15/48 636,000 825,160 
3% 8/15/48 36,000 46,898 
3% 2/15/49 420,000 549,478 
3.125% 2/15/43 137,000 176,446 
3.125% 8/15/44 233,000 301,662 
3.125% 5/15/48 370,000 491,507 
3.375% 5/15/44 2,217,000 2,980,479 
3.375% 11/15/48 4,007,000 5,581,313 
3.625% 8/15/43 81,000 112,596 
3.625% 2/15/44 600,000 836,250 
3.75% 8/15/41 61,000 85,348 
3.75% 11/15/43 7,682,000 10,886,834 
3.875% 8/15/40 2,271,000 3,215,151 
4.25% 11/15/40 92,000 136,624 
4.625% 2/15/40 189,000 292,138 
4.75% 2/15/41 12,000 18,960 
5% 5/15/37 13,000 20,277 
5.25% 11/15/28 5,000 6,725 
6.125% 8/15/29 443,000 642,194 
U.S. Treasury Notes:   
1.25% 8/31/24 2,759,000 2,799,199 
1.375% 4/30/21 171,000 171,588 
1.5% 9/30/21 8,734,000 8,805,987 
1.5% 8/15/22 2,743,000 2,784,038 
1.5% 9/15/22 6,950,000 7,057,508 
1.5% 1/15/23 3,496,000 3,556,770 
1.5% 9/30/24 1,066,000 1,093,608 
1.5% 10/31/24 641,000 657,851 
1.5% 11/30/24 714,000 733,217 
1.5% 8/15/26 192,000 197,633 
1.5% 2/15/30 1,360,000 1,406,325 
1.625% 8/31/22 585,000 595,603 
1.625% 11/15/22 211,000 215,138 
1.625% 12/15/22 4,336,000 4,424,583 
1.625% 2/15/26 10,000 10,359 
1.625% 5/15/26 222,000 230,108 
1.625% 9/30/26 870,000 902,829 
1.625% 8/15/29 3,054,000 3,188,448 
1.75% 11/30/21 72,000 73,010 
1.75% 6/30/22 207,000 211,091 
1.75% 7/15/22 2,004,000 2,044,237 
1.75% 1/31/23 2,671,000 2,737,253 
1.75% 6/30/24 1,098,000 1,136,602 
1.75% 7/31/24 720,000 745,791 
1.75% 12/31/24 1,338,000 1,390,057 
1.75% 11/15/29 121,000 127,759 
1.875% 7/31/26 105,000 110,549 
2% 11/15/21 223,000 226,972 
2% 7/31/22 198,000 203,236 
2% 10/31/22 1,355,000 1,394,644 
2% 11/30/22 242,000 249,269 
2% 5/31/24 1,618,000 1,690,684 
2% 2/15/25 56,000 58,885 
2% 8/15/25 422,000 445,078 
2% 11/15/26 2,583,000 2,743,529 
2.125% 5/15/22 655,000 672,398 
2.125% 12/31/22 69,000 71,388 
2.125% 3/31/24 2,417,000 2,534,262 
2.125% 5/15/25 734,000 777,753 
2.25% 3/31/21 11,713,000 11,861,245 
2.25% 4/15/22 3,309,000 3,401,807 
2.25% 4/30/24 2,642,000 2,785,452 
2.25% 11/15/24 196,000 207,883 
2.25% 12/31/24 24,000 25,491 
2.25% 2/15/27 3,471,000 3,751,663 
2.25% 8/15/27 1,597,000 1,733,556 
2.25% 11/15/27 1,198,000 1,302,778 
2.375% 4/15/21 10,000 10,145 
2.375% 3/15/22 1,508,000 1,552,828 
2.375% 1/31/23 92,000 95,928 
2.375% 2/29/24 6,467,000 6,837,084 
2.375% 8/15/24 200,000 212,656 
2.375% 4/30/26 626,000 676,936 
2.375% 5/15/27 2,224,000 2,428,243 
2.375% 5/15/29 667,000 739,771 
2.5% 1/15/22 191,000 196,543 
2.5% 2/15/22 11,290,000 11,634,874 
2.5% 3/31/23 67,000 70,287 
2.5% 1/31/24 308,000 326,781 
2.5% 5/15/24 200,000 213,031 
2.5% 2/28/26 1,670,000 1,815,538 
2.625% 12/15/21 259,000 266,709 
2.625% 2/28/23 122,000 128,253 
2.625% 6/30/23 4,568,000 4,826,913 
2.625% 12/31/23 223,000 237,373 
2.625% 3/31/25 1,463,000 1,585,126 
2.625% 12/31/25 1,867,000 2,039,770 
2.625% 1/31/26 998,000 1,091,407 
2.625% 2/15/29 994,000 1,121,628 
2.75% 8/15/21 31,000 31,790 
2.75% 9/15/21 58,000 59,563 
2.75% 5/31/23 237,000 251,035 
2.75% 7/31/23 425,000 451,363 
2.75% 8/31/23 23,000 24,462 
2.75% 11/15/23 202,000 215,548 
2.75% 2/28/25 40,000 43,539 
2.75% 6/30/25 1,403,000 1,533,600 
2.75% 8/31/25 17,000 18,619 
2.75% 2/15/28 1,629,000 1,837,143 
2.875% 10/15/21 348,000 358,671 
2.875% 11/15/21 399,000 411,921 
2.875% 9/30/23 17,000 18,179 
2.875% 10/31/23 36,000 38,550 
2.875% 11/30/23 1,090,000 1,168,812 
2.875% 4/30/25 4,873,000 5,346,404 
2.875% 5/31/25 104,000 114,221 
2.875% 7/31/25 3,667,000 4,036,708 
2.875% 11/30/25 629,000 695,364 
2.875% 5/15/28 99,000 112,891 
2.875% 8/15/28 2,812,000 3,215,346 
3% 9/30/25 29,000 32,190 
3% 10/31/25 3,689,000 4,098,681 
3.125% 11/15/28 241,000 281,358 
  183,119,431 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $175,141,062)  186,413,943 
 Shares Value 
Money Market Funds - 2.5%   
Fidelity Cash Central Fund 1.60% (a)   
(Cost $4,741,212) 4,740,264 4,741,212 
TOTAL INVESTMENT IN SECURITIES - 102.3%   
(Cost $179,882,274)  191,155,155 
NET OTHER ASSETS (LIABILITIES) - (2.3)%  (4,256,282) 
NET ASSETS - 100%  $186,898,873 

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 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 $19,997 
Total $19,997 

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 February 29, 2020, 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 $186,413,943 $-- $186,413,943 $-- 
Money Market Funds 4,741,212 4,741,212 -- -- 
Total Investments in Securities: $191,155,155 $4,741,212 $186,413,943 $-- 

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


Financial Statements

Statement of Assets and Liabilities

  February 29, 2020 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $175,141,062) 
$186,413,943  
Fidelity Central Funds (cost $4,741,212) 4,741,212  
Total Investment in Securities (cost $179,882,274)  $191,155,155 
Receivable for investments sold  7,806,871 
Receivable for fund shares sold  30,156 
Interest receivable  1,009,857 
Distributions receivable from Fidelity Central Funds  5,768 
Total assets  200,007,807 
Liabilities   
Payable for investments purchased $1,831,030  
Payable for fund shares redeemed 11,276,651  
Other payables and accrued expenses 1,253  
Total liabilities  13,108,934 
Net Assets  $186,898,873 
Net Assets consist of:   
Paid in capital  $175,076,956 
Total accumulated earnings (loss)  11,821,917 
Net Assets  $186,898,873 
Net Asset Value, offering price and redemption price per share ($186,898,873 ÷ 17,030,919 shares)  $10.97 

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


Statement of Operations

  Six months ended February 29, 2020 (Unaudited) 
Investment Income   
Interest  $1,728,137 
Income from Fidelity Central Funds  19,997 
Total income  1,748,134 
Expenses   
Custodian fees and expenses $1,529  
Independent trustees' fees and expenses 255  
Commitment fees 178  
Total expenses before reductions 1,962  
Expense reductions (60)  
Total expenses after reductions  1,902 
Net investment income (loss)  1,746,232 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 601,395  
Total net realized gain (loss)  601,395 
Change in net unrealized appreciation (depreciation) on investment securities  4,582,131 
Net gain (loss)  5,183,526 
Net increase (decrease) in net assets resulting from operations  $6,929,758 

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


Statement of Changes in Net Assets

 Six months ended February 29, 2020 (Unaudited) Year ended August 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $1,746,232 $1,247,972 
Net realized gain (loss) 601,395 424,812 
Change in net unrealized appreciation (depreciation) 4,582,131 6,691,145 
Net increase (decrease) in net assets resulting from operations 6,929,758 8,363,929 
Distributions to shareholders (2,223,104) (1,248,222) 
Share transactions   
Proceeds from sales of shares 65,512,320 142,501,256 
Reinvestment of distributions 2,223,103 1,248,212 
Cost of shares redeemed (23,583,913) (14,315,005) 
Net increase (decrease) in net assets resulting from share transactions 44,151,510 129,434,463 
Total increase (decrease) in net assets 48,858,164 136,550,170 
Net Assets   
Beginning of period 138,040,709 1,490,539 
End of period $186,898,873 $138,040,709 
Other Information   
Shares   
Sold 6,178,952 13,941,562 
Issued in reinvestment of distributions 208,933 119,800 
Redeemed (2,189,540) (1,377,886) 
Net increase (decrease) 4,198,345 12,683,476 

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


Financial Highlights

Fidelity Series Government Bond Index Fund

 Six months ended (Unaudited) February 29, Years endedAugust 31,  
 2020 2019 2018 A 
Selected Per–Share Data    
Net asset value, beginning of period $10.76 $10.00 $10.00 
Income from Investment Operations    
Net investment income (loss)B .108 .239 .010 
Net realized and unrealized gain (loss) .242 .782 C 
Total from investment operations .350 1.021 .010 
Distributions from net investment income (.109) (.261) (.010) 
Distributions from net realized gain (.031) – – 
Total distributions (.140) (.261) (.010) 
Net asset value, end of period $10.97 $10.76 $10.00 
Total ReturnD,E 3.30% 10.40% .10% 
Ratios to Average Net AssetsF,G    
Expenses before reductions - %H,I - %I - %H,I 
Expenses net of fee waivers, if any - %H,I - %I - %H,I 
Expenses net of all reductions - %H,I - %I - %H,I 
Net investment income (loss) 2.06%H 2.37% 2.54%H 
Supplemental Data    
Net assets, end of period (000 omitted) $186,899 $138,041 $1,491 
Portfolio turnover rateJ 31%H 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 Annualized

 I Amount represents less than .005%.

 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 (Unaudited)

For the period ended February 29, 2020

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 are offered only to certain other Fidelity funds and Fidelity managed 529 plans. 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.

Effective January 1, 2020:

Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".

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 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 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 February 29, 2020 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. 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 $11,250,054 
Gross unrealized depreciation (4,586) 
Net unrealized appreciation (depreciation) $11,245,468 
Tax cost $179,909,687 

4. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (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. Funds 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.

5. Committed Line of Credit.

Certain Funds participate 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 participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Commitment fees on the Statement of Operations, and are as follows:

 Amount 
Fidelity Series Government Bond Index Fund $178 

During the period, there were no borrowings on this line of credit.

6. 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 by $60.

7. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

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

8. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

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 (September 1, 2019 to February 29, 2020).

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
September 1, 2019 
Ending
Account Value
February 29, 2020 
Expenses Paid
During Period-B
September 1, 2019
to February 29, 2020 
Actual - %-C $1,000.00 $1,033.00 $--D 
Hypothetical-E  $1,000.00 $1,024.86 $--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 182/366 (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

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Series Government Bond Index Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2019 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.

Approval of Amended and Restated Advisory Contracts. At its September 2019 meeting, the Board also unanimously determined to approve an amended and restated management contract and sub-advisory agreements (Amended and Restated Contracts) in connection with an upcoming consolidation of certain of Fidelity's advisory businesses. The Board considered that, on or about January 1, 2020, Fidelity Investments Money Management, Inc. (FIMM) expects to merge with and into FMR and, after the merger, FMR expects to redomicile as a Delaware limited liability company. The Board also approved the termination of the sub-advisory agreement with FIMM upon the completion of the merger. The Board noted that references to FMR in the Amended and Restated Contracts would be updated to reflect FMR's new form of organization and domicile. The Board also approved amendments that clarify that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable. The Board also noted Fidelity's assurance that neither the planned consolidation nor the Amended and Restated Contracts will change the investment processes, the level or nature of services provided, the resources and personnel allocated, trading and compliance operations, or any fees or expenses paid by the fund.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies and 529 plans managed by Fidelity and ultimately to enhance the performance of those investment companies and 529 plans.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered that the fund does not pay FMR a management fee for investment advisory services. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, brokerage expenses, and extraordinary expenses (such as litigation expenses).

The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses (with certain exceptions), as a percentage of its average net assets, exceed 0.014% through December 31, 2021.

Based on its review, the Board considered that the fund does not pay a management fee and concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.

PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses. The Board considered that a joint ad hoc committee created by it and the boards of other Fidelity funds had recently been established, and meets periodically, to evaluate potential fall-out benefits. The Board noted that the committee was expected to, among other things: (i) discuss the legal framework surrounding potential fall-out benefits; (ii) review the Board's responsibilities and approach to potential fall-out benefits; and (iii) review practices employed by competitor funds regarding the review of potential fall-out benefits. The Board noted that it would consider the committee's findings in connection with future consideration of contract renewals.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.

Economies of Scale.  The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the practices of certain sub-advisers regarding their receipt of research from broker-dealers that execute the funds' portfolio transactions; (vi) the terms of Fidelity's voluntary expense limitation agreements; (vii) the methodology with respect to competitive fund data and peer group classifications; (viii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (ix) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (x) the impact on fund profitability of recent changes in total net assets for Fidelity's money market funds, anticipated changes to the competitive landscape for money market funds, and the level of investor comfort with gates, fees, and floating NAVs; (xi) the funds' share class structures and distribution channels; and (xii) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed and the fund's Amended and Restated Contracts should be approved.

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot not be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

XGB-SANN-0420
1.9891226.101




Fidelity Flex® Funds

Fidelity Flex® Core Bond Fund



Semi-Annual Report

February 29, 2020

Fidelity Investments
See the inside front cover for important information about access to your fund’s shareholder reports.


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

Note to Shareholders

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Shareholder Expense Example

Board Approval of Investment Advisory Contracts and Management Fees

Liquidity Risk Management Program


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. © 2020 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.



Note to Shareholders:

Early in 2020, the outbreak and spread of a new coronavirus emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. The virus causes a respiratory disease known as COVID-19. On March 11, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread.

In the weeks following the end of this reporting period, as the crisis worsened, we witnessed an escalating human tragedy with wide-scale social and economic consequences from coronavirus-containment measures. The outbreak of COVID-19 prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. Amid the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.

The situation continues to unfold, and the extent and duration of its impact on financial markets and the economy remain highly uncertain. Extreme events such as the coronavirus crisis are “exogenous shocks” that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets.

Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we’re taking extra steps to be responsive to customer needs. We encourage you to visit our websites, where we offer ongoing updates, commentary, and analysis on the markets and our funds.

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 February 29, 2020 
   U.S. Government and U.S. Government Agency Obligations 58.8% 
   AAA 3.5% 
   AA 0.5% 
   5.1% 
   BBB 17.4% 
   BB and Below 15.4% 
   Not Rated 2.4% 
 Short-Term Investments and Net Other Assets* (3.1)% 


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

We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Asset Allocation (% of fund's net assets)

As of February 29, 2020*,**,*** 
   Corporate Bonds 30.7% 
   U.S. Government and U.S. Government Agency Obligations 58.8% 
   Asset-Backed Securities 3.3% 
   CMOs and Other Mortgage Related Securities 2.6% 
   Municipal Bonds 0.5% 
   Other Investments 7.2% 
 Short-Term Investments and Net Other Assets (Liabilities) (3.1)% 


 * Foreign investments - 12.3%

 ** Futures and Swaps - 4.6%

 *** Written options - (3.4)%

 † 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 February 29, 2020 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 24.3%   
 Principal Amount Value 
COMMUNICATION SERVICES - 1.8%   
Diversified Telecommunication Services - 0.8%   
AT&T, Inc.:   
3.6% 2/17/23 $95,000 $100,050 
4.45% 4/1/24 3,000 3,300 
4.5% 3/9/48 150,000 171,011 
5.15% 11/15/46 50,000 62,032 
6.2% 3/15/40 40,000 53,993 
6.3% 1/15/38 50,000 69,036 
Verizon Communications, Inc.:   
4.862% 8/21/46 16,000 21,291 
5.012% 4/15/49 37,000 51,120 
5.5% 3/16/47 11,000 16,106 
  547,939 
Entertainment - 0.0%   
NBCUniversal, Inc.:   
4.45% 1/15/43 11,000 13,557 
5.95% 4/1/41 8,000 11,653 
  25,210 
Media - 1.0%   
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.908% 7/23/25 45,000 50,421 
5.375% 5/1/47 55,000 63,285 
5.75% 4/1/48 100,000 119,252 
Comcast Corp.:   
3.9% 3/1/38 6,000 7,001 
4.6% 8/15/45 15,000 19,109 
4.65% 7/15/42 14,000 17,603 
6.45% 3/15/37 15,000 22,150 
Fox Corp.:   
3.666% 1/25/22 (a) 4,000 4,165 
4.03% 1/25/24 (a) 6,000 6,489 
4.709% 1/25/29 (a) 9,000 10,553 
5.476% 1/25/39 (a) 9,000 11,541 
5.576% 1/25/49 (a) 6,000 8,065 
Time Warner Cable, Inc.:   
4% 9/1/21 80,000 82,218 
5.875% 11/15/40 100,000 119,588 
7.3% 7/1/38 120,000 162,911 
  704,351 
TOTAL COMMUNICATION SERVICES  1,277,500 
CONSUMER DISCRETIONARY - 0.3%   
Automobiles - 0.3%   
General Motors Financial Co., Inc. 4.375% 9/25/21 200,000 206,727 
Leisure Products - 0.0%   
Hasbro, Inc.:   
2.6% 11/19/22 15,000 15,434 
3% 11/19/24 34,000 35,661 
  51,095 
TOTAL CONSUMER DISCRETIONARY  257,822 
CONSUMER STAPLES - 1.5%   
Beverages - 0.7%   
Anheuser-Busch InBev Finance, Inc. 4.7% 2/1/36 125,000 146,861 
Anheuser-Busch InBev Worldwide, Inc.:   
4.75% 4/15/58 27,000 32,639 
5.45% 1/23/39 20,000 26,050 
5.55% 1/23/49 204,000 276,346 
5.8% 1/23/59 (Reg. S) 34,000 48,033 
  529,929 
Food Products - 0.1%   
Conagra Brands, Inc. 3.8% 10/22/21 8,000 8,316 
JBS U.S.A. Lux SA / JBS Food Co. 6.5% 4/15/29 (a) 70,000 75,929 
  84,245 
Tobacco - 0.7%   
Altria Group, Inc.:   
3.875% 9/16/46 30,000 29,189 
4.25% 8/9/42 27,000 27,491 
4.5% 5/2/43 80,000 83,273 
4.8% 2/14/29 216,000 247,103 
Reynolds American, Inc. 7.25% 6/15/37 75,000 99,403 
  486,459 
TOTAL CONSUMER STAPLES  1,100,633 
ENERGY - 5.0%   
Oil, Gas & Consumable Fuels - 5.0%   
Alberta Energy Co. Ltd.:   
7.375% 11/1/31 28,000 34,007 
8.125% 9/15/30 26,000 32,744 
Amerada Hess Corp. 7.125% 3/15/33 100,000 126,771 
Canadian Natural Resources Ltd.:   
3.9% 2/1/25 25,000 27,165 
5.85% 2/1/35 25,000 32,190 
Cenovus Energy, Inc. 4.25% 4/15/27 24,000 25,727 
Columbia Pipeline Group, Inc.:   
4.5% 6/1/25 25,000 27,867 
5.8% 6/1/45 10,000 13,523 
DCP Midstream LLC 5.85% 5/21/43(a)(b) 105,000 94,500 
DCP Midstream Operating LP 3.875% 3/15/23 20,000 19,910 
Enbridge, Inc.:   
4% 10/1/23 20,000 21,392 
4.25% 12/1/26 25,000 27,884 
Encana Corp.:   
5.15% 11/15/41 148,000 144,096 
6.625% 8/15/37 15,000 16,497 
Energy Transfer Partners LP:   
3.75% 5/15/30 22,000 22,296 
4.2% 9/15/23 6,000 6,427 
4.25% 3/15/23 7,000 7,413 
4.95% 6/15/28 172,000 189,540 
5% 5/15/50 49,000 49,670 
5.8% 6/15/38 12,000 13,403 
6% 6/15/48 8,000 8,985 
Enterprise Products Operating LP 3.75% 2/15/25 20,000 21,778 
Hess Corp. 4.3% 4/1/27 8,000 8,435 
Kinder Morgan Energy Partners LP:   
3.45% 2/15/23 10,000 10,442 
6.55% 9/15/40 65,000 84,146 
Kinder Morgan, Inc. 5.55% 6/1/45 12,000 14,278 
Marathon Petroleum Corp. 5.125% 3/1/21 35,000 35,995 
MPLX LP:   
3 month U.S. LIBOR + 0.900% 2.785% 9/9/21 (b)(c) 12,000 12,034 
3 month U.S. LIBOR + 1.100% 2.985% 9/9/22 (b)(c) 18,000 18,066 
4.5% 7/15/23 10,000 10,798 
4.8% 2/15/29 6,000 6,723 
4.875% 12/1/24 14,000 15,529 
5.5% 2/15/49 17,000 19,095 
Occidental Petroleum Corp.:   
2.6% 8/13/21 12,000 12,153 
2.7% 8/15/22 11,000 11,209 
2.9% 8/15/24 35,000 35,473 
3.2% 8/15/26 5,000 5,091 
3.5% 8/15/29 104,000 104,935 
4.3% 8/15/39 2,000 1,920 
4.4% 8/15/49 92,000 87,530 
5.55% 3/15/26 50,000 56,488 
6.2% 3/15/40 10,000 11,338 
6.6% 3/15/46 36,000 43,704 
7.5% 5/1/31 40,000 50,824 
Petrobras Global Finance BV:   
5.093% 1/15/30 (a) 53,000 56,644 
6.9% 3/19/49 125,000 149,688 
7.25% 3/17/44 110,000 135,655 
Petroleos Mexicanos:   
5.95% 1/28/31 (a) 130,000 126,217 
6.35% 2/12/48 246,000 227,722 
6.49% 1/23/27 (a) 20,000 20,950 
6.5% 3/13/27 20,000 20,925 
6.75% 9/21/47 210,000 201,093 
6.84% 1/23/30 (a) 378,000 395,010 
6.95% 1/28/60 (a) 88,000 84,832 
7.69% 1/23/50 (a) 15,000 15,660 
Plains All American Pipeline LP/PAA Finance Corp.:   
3.55% 12/15/29 200,000 196,755 
3.6% 11/1/24 10,000 10,363 
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 10,000 10,676 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 51,000 54,066 
The Williams Companies, Inc.:   
4.55% 6/24/24 70,000 76,693 
5.75% 6/24/44 35,000 41,481 
Western Gas Partners LP:   
4.65% 7/1/26 35,000 36,738 
4.75% 8/15/28 6,000 6,146 
Williams Partners LP 4.3% 3/4/24 100,000 108,267 
  3,595,572 
FINANCIALS - 10.5%   
Banks - 4.1%   
Bank of America Corp.:   
3.004% 12/20/23 (b) 114,000 118,134 
3.5% 4/19/26 160,000 174,772 
3.705% 4/24/28 (b) 29,000 31,748 
3.974% 2/7/30 (b) 325,000 368,426 
Barclays PLC 4.375% 1/12/26 200,000 220,690 
Citigroup, Inc.:   
3.142% 1/24/23 (b) 23,000 23,579 
3.352% 4/24/25 (b) 36,000 38,116 
4.3% 11/20/26 9,000 9,964 
4.4% 6/10/25 81,000 90,138 
4.45% 9/29/27 393,000 444,160 
Credit Suisse Group Funding Guernsey Ltd. 3.8% 6/9/23 250,000 265,642 
JPMorgan Chase & Co.:   
2.95% 10/1/26 135,000 143,118 
3.797% 7/23/24 (b) 35,000 37,412 
4.452% 12/5/29 (b) 300,000 349,793 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 165,000 180,633 
6% 12/19/23 175,000 196,209 
6.1% 6/10/23 150,000 165,963 
6.125% 12/15/22 80,000 87,274 
Westpac Banking Corp. 4.11% 7/24/34 (b) 27,000 29,554 
  2,975,325 
Capital Markets - 2.6%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 22,000 23,903 
Ares Capital Corp. 4.2% 6/10/24 63,000 66,904 
Deutsche Bank AG New York Branch:   
3.15% 1/22/21 100,000 100,907 
4.1% 1/13/26 100,000 103,691 
5% 2/14/22 48,000 50,514 
Goldman Sachs Group, Inc.:   
2.876% 10/31/22 (b) 170,000 173,366 
3.2% 2/23/23 35,000 36,600 
3.691% 6/5/28 (b) 170,000 185,850 
3.75% 5/22/25 50,000 54,114 
3.814% 4/23/29 (b) 75,000 82,612 
6.75% 10/1/37 113,000 161,916 
Moody's Corp.:   
3.25% 1/15/28 10,000 10,889 
4.875% 2/15/24 9,000 10,017 
Morgan Stanley:   
3.125% 7/27/26 271,000 288,816 
3.737% 4/24/24 (b) 115,000 122,136 
4.431% 1/23/30 (b) 197,000 228,785 
5% 11/24/25 35,000 40,387 
5.75% 1/25/21 150,000 155,353 
  1,896,760 
Consumer Finance - 2.0%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.875% 8/14/24 150,000 152,801 
4.45% 4/3/26 150,000 163,939 
Capital One Financial Corp.:   
2.5% 5/12/20 125,000 125,093 
3.8% 1/31/28 22,000 24,007 
Discover Financial Services:   
3.95% 11/6/24 80,000 86,687 
4.1% 2/9/27 76,000 83,008 
4.5% 1/30/26 74,000 82,400 
Ford Motor Credit Co. LLC:   
4.063% 11/1/24 200,000 203,800 
5.584% 3/18/24 200,000 213,990 
Synchrony Financial:   
2.85% 7/25/22 11,000 11,249 
3.95% 12/1/27 217,000 232,867 
4.375% 3/19/24 13,000 14,010 
5.15% 3/19/29 34,000 39,643 
  1,433,494 
Diversified Financial Services - 0.8%   
AXA Equitable Holdings, Inc. 3.9% 4/20/23 6,000 6,380 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 35,000 36,810 
3.85% 2/1/25 85,000 92,006 
4.125% 5/15/29 37,000 41,314 
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) 145,000 159,447 
Pine Street Trust I:   
4.572% 2/15/29 (a) 100,000 113,297 
5.568% 2/15/49 (a) 100,000 124,808 
Voya Financial, Inc. 3.125% 7/15/24 12,000 12,693 
  586,755 
Insurance - 1.0%   
Marsh & McLennan Companies, Inc.:   
4.375% 3/15/29 20,000 23,308 
4.9% 3/15/49 18,000 24,134 
Metropolitan Life Global Funding I U.S. SOFR SEC OVRN FIN RATE INDX + 0.500% 2.08% 5/28/21 (a)(b)(c) 195,000 195,386 
Pacific LifeCorp 5.125% 1/30/43 (a) 50,000 65,649 
Pricoa Global Funding I 5.375% 5/15/45 (b) 45,000 49,135 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) 80,000 89,147 
Unum Group:   
3.875% 11/5/25 175,000 191,487 
4% 6/15/29 31,000 34,300 
  672,546 
TOTAL FINANCIALS  7,564,880 
HEALTH CARE - 1.7%   
Health Care Providers & Services - 1.4%   
Centene Corp.:   
3.375% 2/15/30 (a) 35,000 35,000 
4.25% 12/15/27 (a) 35,000 36,008 
4.625% 12/15/29 (a) 55,000 58,850 
4.75% 1/15/25 (a) 30,000 30,761 
Cigna Corp.:   
3.75% 7/15/23 27,000 28,744 
4.125% 11/15/25 43,000 47,841 
4.375% 10/15/28 133,000 151,273 
4.8% 8/15/38 21,000 25,253 
4.9% 12/15/48 21,000 26,055 
CVS Health Corp.:   
3% 8/15/26 5,000 5,241 
3.25% 8/15/29 11,000 11,538 
4.1% 3/25/25 61,000 66,854 
4.3% 3/25/28 214,000 239,477 
4.78% 3/25/38 29,000 34,201 
5.05% 3/25/48 82,000 100,920 
Toledo Hospital:   
5.325% 11/15/28 12,000 13,979 
6.015% 11/15/48 51,000 66,064 
  978,059 
Pharmaceuticals - 0.3%   
Actavis Funding SCS 3.45% 3/15/22 40,000 41,436 
Elanco Animal Health, Inc.:   
4.662% 8/27/21 (b) 5,000 5,242 
5.022% 8/28/23 (b) 18,000 19,280 
5.65% 8/28/28 (b) 7,000 8,018 
Mylan NV:   
3.15% 6/15/21 50,000 50,796 
3.95% 6/15/26 20,000 21,745 
4.55% 4/15/28 20,000 22,466 
Shire Acquisitions Investments Ireland DAC 2.4% 9/23/21 55,000 55,707 
Zoetis, Inc. 3.45% 11/13/20 15,000 15,184 
  239,874 
TOTAL HEALTH CARE  1,217,933 
INDUSTRIALS - 0.4%   
Aerospace & Defense - 0.0%   
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) 40,000 43,621 
Road & Rail - 0.1%   
Avolon Holdings Funding Ltd.:   
2.875% 2/15/25 (a) 30,000 29,969 
3.625% 5/1/22 (a) 10,000 10,237 
3.95% 7/1/24 (a) 13,000 13,524 
4.375% 5/1/26 (a) 10,000 10,647 
  64,377 
Trading Companies & Distributors - 0.3%   
Air Lease Corp.:   
2.25% 1/15/23 10,000 10,075 
3.875% 7/3/23 38,000 40,083 
4.25% 2/1/24 29,000 31,261 
International Lease Finance Corp. 5.875% 8/15/22 100,000 108,959 
  190,378 
TOTAL INDUSTRIALS  298,376 
INFORMATION TECHNOLOGY - 0.2%   
Electronic Equipment & Components - 0.2%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
5.45% 6/15/23 (a) 100,000 110,063 
6.02% 6/15/26 (a) 25,000 29,278 
  139,341 
REAL ESTATE - 2.0%   
Equity Real Estate Investment Trusts (REITs) - 1.4%   
Boston Properties, Inc. 4.5% 12/1/28 19,000 22,433 
Corporate Office Properties LP 5.25% 2/15/24 157,000 172,631 
Duke Realty LP 3.625% 4/15/23 50,000 52,980 
HCP, Inc.:   
3.25% 7/15/26 4,000 4,315 
3.5% 7/15/29 5,000 5,501 
Healthcare Trust of America Holdings LP:   
3.1% 2/15/30 10,000 10,455 
3.5% 8/1/26 10,000 10,836 
Hudson Pacific Properties LP 4.65% 4/1/29 54,000 62,974 
Omega Healthcare Investors, Inc.:   
3.625% 10/1/29 154,000 161,952 
4.375% 8/1/23 165,000 178,164 
4.5% 1/15/25 6,000 6,540 
4.75% 1/15/28 59,000 66,308 
SITE Centers Corp. 4.625% 7/15/22 21,000 22,365 
Store Capital Corp. 4.625% 3/15/29 9,000 10,413 
Ventas Realty LP:   
3% 1/15/30 59,000 61,356 
3.5% 2/1/25 65,000 69,646 
4% 3/1/28 11,000 12,251 
WP Carey, Inc.:   
4% 2/1/25 28,000 30,154 
4.6% 4/1/24 50,000 54,670 
  1,015,944 
Real Estate Management & Development - 0.6%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 103,000 109,366 
3.95% 11/15/27 24,000 26,357 
4.1% 10/1/24 6,000 6,549 
4.55% 10/1/29 10,000 11,591 
Digital Realty Trust LP 4.75% 10/1/25 45,000 51,614 
Liberty Property LP 4.4% 2/15/24 40,000 44,521 
Mack-Cali Realty LP 3.15% 5/15/23 50,000 50,385 
Tanger Properties LP 3.875% 12/1/23 140,000 147,728 
  448,111 
TOTAL REAL ESTATE  1,464,055 
UTILITIES - 0.9%   
Electric Utilities - 0.7%   
Cleco Corporate Holdings LLC 3.375% 9/15/29 (a) 226,000 232,237 
Edison International 5.75% 6/15/27 100,000 118,328 
FirstEnergy Corp.:   
4.25% 3/15/23 45,000 48,162 
7.375% 11/15/31 77,000 112,422 
IPALCO Enterprises, Inc. 3.7% 9/1/24 10,000 10,534 
  521,683 
Independent Power and Renewable Electricity Producers - 0.1%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 53,000 54,855 
Multi-Utilities - 0.1%   
NiSource, Inc. 2.95% 9/1/29 65,000 68,130 
TOTAL UTILITIES  644,668 
TOTAL NONCONVERTIBLE BONDS   
(Cost $16,407,254)  17,560,780 
U.S. Government and Government Agency Obligations - 35.5%   
U.S. Treasury Inflation-Protected Obligations - 3.7%   
U.S. Treasury Inflation-Indexed Bonds:   
0.875% 2/15/47 $266,138 $318,084 
1% 2/15/49 200,670 250,275 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 1/15/30 100,000 103,910 
0.25% 7/15/29 276,268 290,627 
0.375% 1/15/27 377,653 395,152 
0.375% 7/15/27 441,214 464,471 
0.625% 1/15/26 151,409 159,899 
0.75% 7/15/28 204,746 223,176 
0.875% 1/15/29 440,872 485,657 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  2,691,251 
U.S. Treasury Obligations - 31.8%   
U.S. Treasury Bonds:   
2.875% 5/15/49 894,000 1,145,403 
3% 2/15/49 1,287,000 1,683,758 
U.S. Treasury Notes:   
1.125% 2/28/27 196,000 197,026 
1.5% 10/31/24 1,500,000 1,539,434 
1.5% 1/31/27 3,608,000 3,717,083 
1.5% 2/15/30 1,000,000 1,034,063 
1.625% 9/30/26 1,267,000 1,314,809 
1.625% 8/15/29 925,000 965,722 
1.75% 12/31/24 2,590,000 2,690,767 
1.75% 11/15/29 1,332,800 1,407,249 
2.125% 3/31/24 1,156,000 1,212,084 
2.125% 11/30/24 2,211,000 2,333,469 
2.125% 5/31/26 990,000 1,056,361 
2.25% 12/31/24 595,000 631,955 
2.375% 4/30/26 608,000 657,471 
2.5% 2/28/26 731,000 794,706 
2.75% 2/28/25 582,000 633,493 
TOTAL U.S. TREASURY OBLIGATIONS  23,014,853 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $24,094,672)  25,706,104 
U.S. Government Agency - Mortgage Securities - 7.7%   
Fannie Mae - 0.0%   
4.5% 1/1/49 16,103 17,226 
Freddie Mac - 0.1%   
4% 9/1/48 (d)(e) 65,566 69,268 
Ginnie Mae - 4.6%   
2.5% 3/1/50 (f) 475,000 487,581 
2.5% 4/1/50 (f) 250,000 256,387 
3% 3/1/50 (f) 50,000 51,662 
3% 3/1/50 (f) 300,000 309,970 
3% 3/1/50 (f) 100,000 103,323 
3% 4/1/50 (f) 100,000 103,218 
3% 4/1/50 (f) 100,000 103,218 
3% 4/1/50 (f) 50,000 51,609 
3.5% 3/1/50 (f) 200,000 207,200 
3.5% 3/1/50 (f) 200,000 207,200 
3.5% 3/1/50 (f) 100,000 103,600 
3.5% 3/1/50 (f) 50,000 51,800 
3.5% 3/1/50 (f) 150,000 155,400 
3.5% 3/1/50 (f) 100,000 103,600 
3.5% 3/1/50 (f) 100,000 103,600 
3.5% 3/1/50 (f) 100,000 103,600 
3.5% 3/1/50 (f) 100,000 103,600 
3.5% 4/1/50 (f) 500,000 517,571 
3.5% 4/1/50 (f) 100,000 103,514 
3.5% 4/1/50 (f) 100,000 103,514 
TOTAL GINNIE MAE  3,331,167 
Uniform Mortgage Backed Securities - 3.0%   
2.5% 3/1/35 (f) 400,000 410,566 
3% 3/1/50 (f) 50,000 51,489 
3% 3/1/50 (f) 50,000 51,489 
3.5% 3/1/50 (f) 375,000 389,406 
3.5% 3/1/50 (f) 700,000 726,891 
3.5% 3/1/50 (f) 200,000 207,683 
3.5% 3/1/50 (f) 100,000 103,842 
3.5% 3/1/50 (f) 100,000 103,842 
3.5% 3/1/50 (f) 100,000 103,842 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  2,149,050 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $5,528,198)  5,566,711 
Asset-Backed Securities - 3.3%   
AASET Trust Series 2019-1 Class A, 3.844% 5/15/39 (a) $27,060 $27,665 
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 3.2332% 1/17/33 (a)(b)(c) 250,000 250,075 
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 2.6167% 4/15/29(a)(b)(c) 250,000 250,000 
Cedar Funding Ltd. Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 3.2638% 5/29/32 (a)(b)(c) 250,000 250,025 
Consumer Loan Underlying Bond Credit Trust Series 2019-P1 Class A, 2.94% 7/15/26 (a) 61,062 61,567 
DB Master Finance LLC Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (a) 48,875 50,193 
Class A2II, 4.03% 11/20/47 (a) 48,875 51,936 
Dryden Senior Loan Fund Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 3.0218% 5/15/32 (a)(b)(c) 250,000 249,900 
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 30,000 34,441 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) 84,820 89,427 
Nationstar HECM Loan Trust Series 2018-2A Class A, 3.1877% 7/25/28 (a) 15,007 15,013 
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (a) 52,000 54,332 
Prosper Marketplace Issuance Trust Series 2019-2A Class A, 3.2% 9/15/25 (a) 40,295 40,496 
Provident Funding Mortgage Trust Series 2020-1 Class A3, 3% 2/25/50 (a) 100,000 102,344 
Sapphire Aviation Finance Series 2020-1A Class A, 3.228% 3/15/40 (a) 250,000 249,996 
SBA Tower Trust Series 2019, 2.836% 1/15/50 (a) 46,000 48,225 
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) 224,702 233,156 
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) 245,536 248,278 
Towd Point Mortgage Trust Series 2018-6 Class A1A, 3.75% 3/25/58 (a) 79,402 83,195 
Upgrade Receivables Trust Series 2018-1A Class A, 3.76% 11/15/24 (a) 13,257 13,284 
TOTAL ASSET-BACKED SECURITIES   
(Cost $2,375,312)  2,403,548 
Collateralized Mortgage Obligations - 0.3%   
Private Sponsor - 0.3%   
Citigroup Mortgage Loan Trust sequential payer Series 2009-5 Class 5A1, 4.3541% 1/25/37 (a)(b) 6,475 6,546 
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) 10,982 11,104 
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (a) 200,000 203,363 
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (a) 2,160 2,159 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $219,807)   223,172 
Commercial Mortgage Securities - 2.3%   
BAMLL Commercial Mortgage Securities Trust sequential payer Series 2019-BPR Class AMP, 3.287% 11/5/32 (a) 100,000 105,529 
BX Commercial Mortgage Trust floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 2.4585% 12/15/29 (a)(b)(c) 100,000 100,046 
BX Trust:   
floater:   
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.620% 4.2835% 9/15/37 (a)(b)(c) 9,981 9,985 
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 3.4585% 11/15/35 (a)(b)(c) 70,000 70,112 
Series 2019-XL Class E, 1 month U.S. LIBOR + 1.800% 3.4585% 10/15/36 (a)(b)(c) 95,540 95,962 
floater, sequential payer:   
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 2.6585% 4/15/34 (a)(b)(c) 100,000 99,940 
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 2.5785% 10/15/36 (a)(b)(c) 191,080 191,935 
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 2.7785% 6/15/34 (a)(b)(c) 100,000 99,953 
COMM Mortgage Trust Series 2014-CR17 Class XA, 0.9735% 5/10/47 (b)(g) 76,963 2,688 
Credit Suisse Mortgage Trust:   
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 2.6385% 5/15/36 (a)(b)(c) 100,000 100,000 
Series 2018-SITE Class D, 4.782% 4/15/36 (a)(b) 100,000 105,623 
CSMC Trust Series 2017-PFHP Class D, 1 month U.S. LIBOR + 2.250% 3.9085% 12/15/30 (a)(b)(c) 76,000 75,977 
JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT:   
Class DFX, 5.3503% 7/5/33 (a) 10,000 10,873 
Class EFX, 5.5422% 7/5/33 (a) 10,000 10,786 
Morgan Stanley Capital I Trust:   
floater:   
Series 2018-BOP:   
Class B, 1 month U.S. LIBOR + 1.250% 2.9085% 8/15/33 (a)(b)(c) 23,000 22,913 
Class C, 1 month U.S. LIBOR + 1.500% 3.1585% 8/15/33 (a)(b)(c) 56,000 55,826 
Series 2019-AGLN Class A, 1 month U.S. LIBOR + 0.950% 2.6085% 3/15/34 (a)(b)(c) 50,000 49,874 
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) 65,000 68,471 
Series 2018-H4 Class A4, 4.31% 12/15/51 11,000 12,980 
Series 2019-MEAD:   
Class B, 3.1771% 11/10/36 (a) 10,000 10,382 
Class C, 3.1771% 11/10/36 (a) 10,000 10,248 
MSCG Trust Series 2016-SNR Class C, 5.205% 11/15/34 (a) 21,250 21,812 
RETL floater Series 2019-RVP:   
Class A, 1 month U.S. LIBOR + 1.150% 2.8085% 3/15/36 (a)(b)(c) 21,449 21,456 
Class C, 1 month U.S. LIBOR + 2.100% 3.7585% 3/15/36 (a)(b)(c) 50,000 50,110 
Symphony CLO Ltd. floater Series 2020-22A Class A1A, 3 month U.S. LIBOR + 1.290% 0% 4/18/33(a)(b)(c)(f) 250,000 250,000 
Wells Fargo Commercial Mortgage Trust Series 2018-C48 Class A5, 4.302% 1/15/52 10,000 11,758 
WF-RBS Commercial Mortgage Trust Series 2014-C21 Class XA, 1.0362% 8/15/47 (b)(g) 789,733 29,672 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $1,698,890)  1,694,911 
Municipal Securities - 0.5%   
California Gen. Oblig. Series 2009, 7.35% 11/1/39 90,000 146,642 
Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 125,000 146,250 
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) 68,000 88,789 
TOTAL MUNICIPAL SECURITIES   
(Cost $325,952)  381,681 
Foreign Government and Government Agency Obligations - 0.2%   
Argentine Republic 5.875% 1/11/28 $100,000 $40,719 
Dominican Republic 5.95% 1/25/27 (a) 100,000 109,375 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $204,217)  150,094 
 Shares Value 
Fixed-Income Funds - 30.5%   
Fidelity Emerging Markets Debt Central Fund (h) 206,227 1,930,283 
Fidelity Floating Rate Central Fund (h) 37,013 3,679,492 
Fidelity Mortgage Backed Securities Central Fund (h) 111,669 12,422,109 
Fidelity Specialized High Income Central Fund (h) 40,051 4,004,677 
TOTAL FIXED-INCOME FUNDS   
(Cost $21,873,252)  22,036,561 
Money Market Funds - 4.3%   
Fidelity Cash Central Fund 1.60% (i)   
(Cost $3,072,519) 3,071,905 3,072,519 

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 1.7375% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 300,000 $5,046 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 150,000 3,705 
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 3,038 
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 1/28/22 100,000 156 
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 76 
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 1,752 
TOTAL PUT OPTIONS   13,773 
Call Options - 0.1%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.7375% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/20/24 300,000 12,334 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 2/26/25 150,000 4,783 
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 17,042 
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 11,538 
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 8,981 
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 12,233 
TOTAL CALL OPTIONS   66,911 
TOTAL PURCHASED SWAPTIONS    
(Cost $64,070)   80,684 
TOTAL INVESTMENT IN SECURITIES - 109.0%    
(Cost $75,864,143)   78,876,765 
NET OTHER ASSETS (LIABILITIES) - (9.0)%   (6,545,457) 
NET ASSETS - 100%   $72,331,308 

TBA Sale Commitments   
 Principal Amount Value 
Ginnie Mae   
2.5% 3/1/50 $(250,000) $(256,621) 
3% 3/1/50 (100,000) (103,323) 
3% 3/1/50 (100,000) (103,323) 
3% 3/1/50 (50,000) (51,662) 
3.5% 3/1/50 (200,000) (207,200) 
3.5% 3/1/50 (100,000) (103,600) 
3.5% 3/1/50 (100,000) (103,600) 
3.5% 3/1/50 (500,000) (518,001) 
3.5% 3/1/50 (100,000) (103,600) 
3.5% 3/1/50 (100,000) (103,600) 
TOTAL GINNIE MAE  (1,654,530) 
Uniform Mortgage Backed Securities   
3% 3/1/50 (100,000) (102,979) 
3.5% 3/1/50 (100,000) (103,842) 
3.5% 3/1/50 (100,000) (103,842) 
3.5% 3/1/50 (50,000) (51,921) 
3.5% 3/1/50 (50,000) (51,921) 
3.5% 3/1/50 (100,000) (103,842) 
TOTAL UNIFORM MORTGAGE BACKED SECURITIES  (518,347) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $2,161,504)  $(2,172,877) 

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 1.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/4/24 300,000 $(6,558) 
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 (1,028) 
TOTAL PUT SWAPTIONS   (7,586) 
Call Swaptions    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2029 9/4/24 300,000 (9,824) 
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 (5,568) 
TOTAL CALL SWAPTIONS   (15,392) 
TOTAL WRITTEN SWAPTIONS   $(22,978) 

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) June 2020 $1,309,969 $(11,621) $(11,621) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) June 2020 368,250 (7,459) (7,459) 
TOTAL FUTURES CONTRACTS     $(19,080) 

The notional amount of futures sold as a percentage of Net Assets is 2.3%

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 12 Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly $350,000 $2,832 $(5) $2,827 
CMBX N.A. AAA Index Series 12 Aug. 2061 Citigroup Global Markets Ltd. (0.5%) Monthly 100,000 809 (18) 791 
TOTAL CREDIT DEFAULT SWAPS      $3,641 $(23) $3,618 

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          
1.75% Semi - annual 3-month LIBOR(3) Quarterly LCH Mar. 2022 $420,000 $6,357 $0 $6,357 
3-month LIBOR(3) Quarterly 1.75% Semi - annual LCH Mar. 2025 40,000 (1,324) (1,324) 
3-month LIBOR(3) Quarterly 2% Semi - annual LCH Mar. 2030 165,000 (7,880) (7,880) 
TOTAL INTEREST RATE SWAPS       $(2,847) $0 $(2,847) 

 (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 $6,637,951 or 9.2% 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 $13,286.

 (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 $8,636.

 (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 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 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 $15,558 
Fidelity Emerging Markets Debt Central Fund 47,910 
Fidelity Floating Rate Central Fund 91,974 
Fidelity Mortgage Backed Securities Central Fund 138,291 
Fidelity Specialized High Income Central Fund 105,252 
Total $398,985 

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 $1,446,075 $464,253 $-- $-- $19,955 $1,930,283 0.1% 
Fidelity Floating Rate Central Fund 2,616,405 1,121,584 -- -- (58,497) 3,679,492 0.2% 
Fidelity Mortgage Backed Securities Central Fund 8,573,408 3,738,287 40,000 24 150,390 12,422,109 0.6% 
Fidelity Specialized High Income Central Fund 3,598,954 1,120,604 625,000 (5,864) (84,017) 4,004,677 1.0% 
Total $16,234,842 $6,444,728 $665,000 $(5,840) $27,831 $22,036,561  

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2020, 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 $17,560,780 $-- $17,560,780 $-- 
U.S. Government and Government Agency Obligations 25,706,104 -- 25,706,104 -- 
U.S. Government Agency - Mortgage Securities 5,566,711 -- 5,566,711 -- 
Asset-Backed Securities 2,403,548 -- 2,403,548 -- 
Collateralized Mortgage Obligations 223,172 -- 223,172 -- 
Commercial Mortgage Securities 1,694,911 -- 1,694,911 -- 
Municipal Securities 381,681 -- 381,681 -- 
Foreign Government and Government Agency Obligations 150,094 -- 150,094 -- 
Fixed-Income Funds 22,036,561 22,036,561 -- -- 
Money Market Funds 3,072,519 3,072,519 -- -- 
Purchased Swaptions 80,684 -- 80,684 -- 
Total Investments in Securities: $78,876,765 $25,109,080 $53,767,685 $-- 
Derivative Instruments:     
Assets     
Swaps $9,998 $-- $9,998 $-- 
Total Assets $9,998 $-- $9,998 $-- 
Liabilities     
Futures Contracts $(19,080) $(19,080) $-- $-- 
Swaps (9,204) -- (9,204) -- 
Written Swaptions (22,978) -- (22,978) -- 
Total Liabilities $(51,262) $(19,080) $(32,182) $-- 
Total Derivative Instruments: $(41,264) $(19,080) $(22,184) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(2,172,877) $-- $(2,172,877) $-- 
Total Other Financial Instruments: $(2,172,877) $-- $(2,172,877) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2020. 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) $3,641 $-- 
Total Credit Risk 3,641 -- 
Interest Rate Risk   
Futures Contracts(b) -- (19,080) 
Purchased Swaptions(c) 80,684 -- 
Swaps(d) 6,357 (9,204) 
Written Swaptions(e) -- (22,978) 
Total Interest Rate Risk 87,041 (51,262) 
Total Value of Derivatives $90,682 $(51,262) 

 (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 Total accumulated earnings (loss).

 (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 Total accumulated earnings (loss).

 (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 88.7% 
Cayman Islands 2.1% 
Mexico 1.8% 
United Kingdom 1.7% 
Netherlands 1.1% 
Others (Individually Less Than 1%) 4.6% 
 100.0% 

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


Financial Statements

Statement of Assets and Liabilities

  February 29, 2020 (Unaudited) 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $50,918,372) 
$53,767,685  
Fidelity Central Funds (cost $24,945,771) 25,109,080  
Total Investment in Securities (cost $75,864,143)  $78,876,765 
Cash  501 
Receivable for investments sold  527 
Receivable for premium on written options  23,215 
Receivable for TBA sale commitments  2,161,504 
Receivable for fund shares sold  138,695 
Interest receivable  297,392 
Distributions receivable from Fidelity Central Funds  3,772 
Receivable for daily variation margin on centrally cleared OTC swaps  906 
Bi-lateral OTC swaps, at value  3,641 
Total assets  81,506,918 
Liabilities   
Payable for investments purchased   
Regular delivery $259,227  
Delayed delivery 5,694,585  
TBA sale commitments, at value 2,172,877  
Payable for fund shares redeemed 1,016,461  
Payable for daily variation margin on futures contracts 9,482  
Written options, at value (premium receivable $23,215) 22,978  
Total liabilities  9,175,610 
Net Assets  $72,331,308 
Net Assets consist of:   
Paid in capital  $69,063,053 
Total accumulated earnings (loss)  3,268,255 
Net Assets  $72,331,308 
Net Asset Value, offering price and redemption price per share ($72,331,308 ÷ 6,812,859 shares)  $10.62 

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


Statement of Operations

  Six months ended February 29, 2020 (Unaudited) 
Investment Income   
Interest  $632,048 
Income from Fidelity Central Funds  334,491 
Total income  966,539 
Expenses   
Independent trustees' fees and expenses $91  
Commitment fees 64  
Total expenses  155 
Net investment income (loss)  966,384 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 346,123  
Fidelity Central Funds (5,840)  
Futures contracts (7,385)  
Swaps 318  
Capital gain distributions from Fidelity Central Funds 64,494  
Total net realized gain (loss)  397,710 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 975,422  
Fidelity Central Funds 27,831  
Futures contracts (18,603)  
Swaps 2,451  
Written options 1,080  
Delayed delivery commitments (11,373)  
Total change in net unrealized appreciation (depreciation)  976,808 
Net gain (loss)  1,374,518 
Net increase (decrease) in net assets resulting from operations  $2,340,902 

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


Statement of Changes in Net Assets

 Six months ended February 29, 2020 (Unaudited) Year ended August 31, 2019 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $966,384 $1,380,431 
Net realized gain (loss) 397,710 (10,354) 
Change in net unrealized appreciation (depreciation) 976,808 2,631,457 
Net increase (decrease) in net assets resulting from operations 2,340,902 4,001,534 
Distributions to shareholders (983,361) (1,376,622) 
Share transactions   
Proceeds from sales of shares 38,118,422 30,723,941 
Reinvestment of distributions 983,361 1,376,622 
Cost of shares redeemed (19,302,542) (17,824,194) 
Net increase (decrease) in net assets resulting from share transactions 19,799,241 14,276,369 
Total increase (decrease) in net assets 21,156,782 16,901,281 
Net Assets   
Beginning of period 51,174,526 34,273,245 
End of period $72,331,308 $51,174,526 
Other Information   
Shares   
Sold 3,663,295 3,078,850 
Issued in reinvestment of distributions 94,242 138,011 
Redeemed (1,851,347) (1,800,399) 
Net increase (decrease) 1,906,190 1,416,462 

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


Financial Highlights

Fidelity Flex Core Bond Fund

 Six months ended (Unaudited) February 29, Years endedAugust 31,   
 2020 2019 2018 2017 A 
Selected Per–Share Data     
Net asset value, beginning of period $10.43 $9.82 $10.22 $10.00 
Income from Investment Operations     
Net investment income (loss)B .167 .355 .323 .145 
Net realized and unrealized gain (loss) .192 .614 (.355) .209 
Total from investment operations .359 .969 (.032) .354 
Distributions from net investment income (.169) (.359) (.316) (.134) 
Distributions from net realized gain – – (.052) – 
Total distributions (.169) (.359) (.368) (.134) 
Net asset value, end of period $10.62 $10.43 $9.82 $10.22 
Total ReturnC,D 3.49% 10.11% (.30)% 3.55% 
Ratios to Average Net AssetsE,F     
Expenses before reductionsG - %H -% -% - %H 
Expenses net of fee waivers, if anyG - %H -% -% - %H 
Expenses net of all reductionsG - %H -% -% - %H 
Net investment income (loss) 3.23%H 3.59% 3.26% 2.94%H 
Supplemental Data     
Net assets, end of period (000 omitted) $72,331 $51,175 $34,273 $28,803 
Portfolio turnover rateI 165%H 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 ranged from less than .005% to .01%.

 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 (Unaudited)

For the period ended February 29, 2020

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.

Effective January 1, 2020:

Investment advisers Fidelity Investments Money Management, Inc., FMR Co., Inc., and Fidelity SelectCo, LLC, merged with and into Fidelity Management & Research Company. In connection with the merger transactions, the resulting, merged investment adviser was then redomiciled from Massachusetts to Delaware, changed its corporate structure from a corporation to a limited liability company, and changed its name to "Fidelity Management & Research Company LLC".

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 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 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 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 FMR 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 
.01% 
Fidelity Specialized High Income Central Fund FMR 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 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 February 29, 2020 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. 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 wash sales, futures contracts 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 $3,393,969 
Gross unrealized depreciation (398,570) 
Net unrealized appreciation (depreciation) $2,990,399 
Tax cost $75,851,922 

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

No expiration  
Long-term $(128,393) 

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.

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 $(3,363) $5,403 
Total Credit Risk $(3,363) $5,403 
Interest Rate Risk   
Futures Contracts $(7,385) $(18,603) 
Purchased Options 52 3,566 
Swaps 3,681 (2,952) 
Written Options – 1,080 
Total Interest Rate Risk $(3,652) $(16,909) 
Totals $(7,015) $(11,506) 

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 Fundwill 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 and U.S. government securities, are noted in the table below.

 Purchases ($) Sales ($) 
Fidelity Flex Core Bond Fund 25,791,582 13,227,507 

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (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. Funds 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.

Certain Funds participate 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 participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Commitment fees on the Statement of Operations, and are as follows:

 Amount 
Fidelity Flex Core Bond Fund $64 

During the period, there were no borrowings 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.

9. Coronavirus (COVID-19) Pandemic.

An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.

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 (September 1, 2019 to February 29, 2020).

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
September 1, 2019 
Ending
Account Value
February 29, 2020 
Expenses Paid
During Period-B
September 1, 2019
to February 29, 2020 
Actual - %-C $1,000.00 $1,034.90 $--D 
Hypothetical-E  $1,000.00 $1,024.86 $--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 182/366 (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 Amount represents less than .005%.

 D Amount represents less than $.005.

 E 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Flex Core Bond Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2019 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.

Approval of Amended and Restated Advisory Contracts. At its September 2019 meeting, the Board also unanimously determined to approve an amended and restated management contract and sub-advisory agreements (Amended and Restated Contracts) in connection with an upcoming consolidation of certain of Fidelity's advisory businesses. The Board considered that, on or about January 1, 2020, Fidelity Investments Money Management, Inc. (FIMM) and FMR Co., Inc. (FMRC) expect to merge with and into FMR and, after the merger, FMR expects to redomicile as a Delaware limited liability company. The Board also approved the termination of the sub-advisory agreements with FIMM and FMRC upon the completion of the merger. The Board noted that references to FMR in the Amended and Restated Contracts would be updated to reflect FMR's new form of organization and domicile. The Board also approved amendments that clarify that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable. The Board also noted Fidelity's assurance that neither the planned consolidation nor the Amended and Restated Contracts will change the investment processes, the level or nature of services provided, the resources and personnel allocated, trading and compliance operations, or any fees or expenses paid by the fund.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services.  The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers, liquidations, and share class consolidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. The Board considered the Investment Advisers' strength in fundamental, research-driven security selection, with which the Board is familiar through its supervision of other Fidelity funds.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio.  The Board noted that the fund is available exclusively to certain Fidelity fee-based programs. The Board considered that the fund does not pay FMR a management fee for investment advisory services, but that FMR is indirectly compensated for its services out of the program fees. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except Independent Trustee fees and expenses, proxy and shareholder meeting expenses, interest, taxes, brokerage expenses, and extraordinary expenses (such as litigation expenses).

Based on its review, the Board considered that the fund does not pay a management fee and concluded that the total expense ratio of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability.  The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.

PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses. The Board considered that a joint ad hoc committee created by it and the boards of other Fidelity funds had recently been established, and meets periodically, to evaluate potential fall-out benefits. The Board noted that the committee was expected to, among other things: (i) discuss the legal framework surrounding potential fall-out benefits; (ii) review the Board's responsibilities and approach to potential fall-out benefits; and (iii) review practices employed by competitor funds regarding the review of potential fall-out benefits. The Board noted that it would consider the committee's findings in connection with future consideration of contract renewals.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.

Economies of Scale.  The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contract.

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the practices of certain sub-advisers regarding their receipt of research from broker-dealers that execute the funds' portfolio transactions; (vi) the terms of Fidelity's voluntary expense limitation agreements; (vii) the methodology with respect to competitive fund data and peer group classifications; (viii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (ix) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (x) the impact on fund profitability of recent changes in total net assets for Fidelity's money market funds, anticipated changes to the competitive landscape for money market funds, and the level of investor comfort with gates, fees, and floating NAVs; (xi) the funds' share class structures and distribution channels; and (xii) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed and the fund's Amended and Restated Contracts should be approved.

Liquidity Risk Management Program

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program pursuant to the Liquidity Rule (the Program) effective December 1, 2018. The Program is reasonably designed to assess and manage the Fund’s liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund’s Board of Trustees (the Board) has designated the Fund’s investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund’s liquidity risk based on a variety of factors including (1) the Fund’s investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) in the case of exchange-traded funds, certain additional factors including the effect of the Fund’s prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund’s portfolio, as applicable.

In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories described below based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

  • Highly liquid investments – cash or convertible to cash within three business days or less
  • Moderately liquid investments – convertible to cash in three to seven calendar days
  • Less liquid investments – can be sold or disposed of, but not settled, within seven calendar days
  • Illiquid investments – cannot not be sold or disposed of within seven calendar days

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund’s illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund’s net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund’s Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of implementation of the Program for the annual period from December 1, 2018 through November 30, 2019. The report concluded that the Program has been implemented and is operating effectively and is reasonably designed to assess and manage the Fund’s liquidity risk.





Fidelity Investments

ZCD-SANN-0420
1.9881606.102


Item 2.

Code of Ethics


Not applicable.

 

Item 3.

Audit Committee Financial Expert


Not applicable.


Item 4.

Principal Accountant Fees and Services


Not applicable.


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 Fidelity Income Funds Board of Trustees.


Item 11.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Income Funds (the Trust) 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 Trusts 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 Trusts 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)

Not applicable.

(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:

April 23, 2020


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:

April 23, 2020



By:

/s/John J. Burke III


John J. Burke III


Chief Financial Officer



Date:

April 23, 2020

 






EX-99.CERT 2 ex99cert.htm EX99CERT.HTM Form of Certification required from Principal Executive Officer and Principal Financial Officer in connection with each Form N

                                                      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:

 April 23, 2020

/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:

April 23, 2020

/s/John J. Burke III

John J. Burke III

Chief Financial Officer








EX-99.906 CERT 3 ex99906cert.htm EX99906CERT.HTM Exhibit 99

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: April 23, 2020



/s/Laura M. Del Prato

Laura M. Del Prato

President and Treasurer



 

Dated: April 23, 2020



/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.




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