U.S. Government and Government Agency Obligations - 81.7%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
U.S. Government Agency Obligations - 0.1%
|
|||
Fannie Mae 0.625% 4/22/25
|
375
|
353
|
|
U.S. Treasury Obligations - 81.1%
|
|||
U.S. Treasury Bonds 3.25% 5/15/42
|
500
|
498
|
|
U.S. Treasury Notes:
|
|||
0.25% 7/31/25
|
23,839
|
22,031
|
|
0.25% 9/30/25
|
1,660
|
1,527
|
|
0.25% 10/31/25
|
3,300
|
3,029
|
|
0.375% 4/30/25
|
2,186
|
2,042
|
|
0.375% 12/31/25
|
4,210
|
3,864
|
|
0.5% 11/30/23
|
13,200
|
12,842
|
|
0.75% 8/31/26
|
6,800
|
6,237
|
|
0.875% 9/30/26
|
10,000
|
9,205
|
|
1.125% 8/31/28 (b)
|
68,556
|
61,650
|
|
1.25% 12/31/26
|
4,939
|
4,604
|
|
1.25% 9/30/28
|
580
|
525
|
|
1.5% 9/30/24
|
4,297
|
4,189
|
|
1.5% 1/31/27
|
5,049
|
4,756
|
|
1.75% 7/31/24
|
220
|
216
|
|
1.875% 2/28/27
|
5,600
|
5,365
|
|
1.875% 2/15/32
|
20,952
|
19,215
|
|
2% 8/15/25 (b)
|
39,301
|
38,381
|
|
2.125% 7/31/24
|
5,667
|
5,614
|
|
2.125% 5/15/25 (b)(c)
|
593
|
583
|
|
2.25% 4/30/24
|
11,454
|
11,399
|
|
2.25% 12/31/24
|
5,707
|
5,646
|
|
2.25% 3/31/26
|
3,325
|
3,259
|
|
2.5% 2/28/26
|
9,441
|
9,344
|
|
2.625% 6/30/23
|
11,432
|
11,482
|
|
2.75% 2/15/24
|
18,257
|
18,353
|
|
2.75% 6/30/25 (b)
|
2,770
|
2,771
|
|
2.75% 5/31/29
|
3,480
|
3,448
|
|
2.875% 11/30/25
|
8,513
|
8,539
|
|
2.875% 4/30/29
|
600
|
600
|
|
2.875% 5/15/32
|
3,960
|
3,965
|
|
3.125% 11/15/28
|
9,210
|
9,328
|
|
TOTAL U.S. TREASURY OBLIGATIONS
|
294,507
|
||
Other Government Related - 0.5%
|
|||
Private Export Funding Corp. Secured 1.75% 11/15/24
|
1,640
|
1,588
|
|
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $309,770)
|
296,448
|
||
U.S. Government Agency - Mortgage Securities - 9.0%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Fannie Mae - 3.0%
|
|||
1.5% 11/1/40 to 11/1/41
|
3,374
|
2,945
|
|
2.5% 9/1/51 to 12/1/51
|
2,471
|
2,285
|
|
3% 11/1/34 to 2/1/52
|
1,361
|
1,337
|
|
3.5% 11/1/51 to 3/1/52
|
4,419
|
4,347
|
|
TOTAL FANNIE MAE
|
10,914
|
||
Freddie Mac - 1.6%
|
|||
1.5% 12/1/40 to 4/1/41
|
927
|
812
|
|
2.5% 5/1/41 to 12/1/51
|
1,841
|
1,719
|
|
3% 9/1/34
|
431
|
429
|
|
3.5% 5/1/51 to 3/1/52
|
2,712
|
2,677
|
|
TOTAL FREDDIE MAC
|
5,637
|
||
Ginnie Mae - 2.1%
|
|||
2% 6/1/52 (d)
|
100
|
91
|
|
2% 6/1/52 (d)
|
100
|
91
|
|
2% 6/1/52 (d)
|
200
|
182
|
|
2% 6/1/52 (d)
|
50
|
45
|
|
2% 6/1/52 (d)
|
50
|
45
|
|
2% 6/1/52 (d)
|
100
|
91
|
|
2% 7/1/52 (d)
|
200
|
182
|
|
2% 7/1/52 (d)
|
50
|
45
|
|
2% 7/1/52 (d)
|
50
|
45
|
|
2% 7/1/52 (d)
|
50
|
45
|
|
2% 7/1/52 (d)
|
100
|
91
|
|
2% 7/1/52 (d)
|
50
|
45
|
|
2% 7/1/52 (d)
|
50
|
45
|
|
3% 6/1/52 (d)
|
950
|
916
|
|
3% 6/1/52 (d)
|
750
|
724
|
|
3% 6/1/52 (d)
|
625
|
603
|
|
3% 6/1/52 (d)
|
625
|
603
|
|
3.5% 11/20/50
|
533
|
530
|
|
3.5% 6/1/52 (d)
|
50
|
50
|
|
3.5% 6/1/52 (d)
|
25
|
25
|
|
3.5% 6/1/52 (d)
|
50
|
50
|
|
3.5% 6/1/52 (d)
|
25
|
25
|
|
4% 6/1/52 (d)
|
1,150
|
1,161
|
|
4% 6/1/52 (d)
|
1,150
|
1,161
|
|
4% 6/1/52 (d)
|
900
|
909
|
|
TOTAL GINNIE MAE
|
7,800
|
||
Uniform Mortgage Backed Securities - 2.3%
|
|||
3.5% 6/1/52 (d)
|
975
|
956
|
|
3.5% 6/1/52 (d)
|
600
|
588
|
|
3.5% 6/1/52 (d)
|
350
|
343
|
|
3.5% 6/1/52 (d)
|
50
|
49
|
|
3.5% 6/1/52 (d)
|
350
|
343
|
|
3.5% 7/1/52 (d)
|
350
|
342
|
|
4% 6/1/52 (d)
|
900
|
900
|
|
4% 6/1/52 (d)
|
2,600
|
2,601
|
|
4% 6/1/52 (d)
|
1,200
|
1,200
|
|
4% 7/1/52 (d)
|
1,200
|
1,197
|
|
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
|
8,519
|
||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $33,730)
|
32,870
|
||
Commercial Mortgage Securities - 1.7%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Freddie Mac:
|
|||
floater:
|
|||
Series 2021-F114 Class A/S, 0.507% 5/25/31 (e)
|
400
|
394
|
|
Series 2021-F120 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.487% 8/25/31 (e)(f)
|
1,948
|
1,919
|
|
Series 2021-F121 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.467% 8/25/28 (e)(f)
|
2,612
|
2,582
|
|
sequential payer Series 2021-K135 Class A2, 2.154% 10/25/31
|
1,400
|
1,257
|
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $6,401)
|
6,152
|
||
Foreign Government and Government Agency Obligations - 3.4%
|
|||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
||
Israeli State:
|
|||
(guaranteed by U.S. Government through Agency for International Development) 5.5% 12/4/23
|
10,710
|
11,170
|
|
5.5% 4/26/24
|
1,100
|
1,155
|
|
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $12,079)
|
12,325
|
||
Money Market Funds - 10.2%
|
|||
Shares
|
Value ($)
(000s)
|
||
Fidelity Cash Central Fund 0.82% (g)
(Cost $37,065)
|
37,057,817
|
37,065
|
|
TOTAL INVESTMENT IN SECURITIES - 106.0%
(Cost $399,045)
|
384,860
|
NET OTHER ASSETS (LIABILITIES) - (6.0)%
|
(21,827)
|
NET ASSETS - 100.0%
|
363,033
|
TBA Sale Commitments
|
||
Principal
Amount (a)
(000s)
|
Value ($)
(000s)
|
|
Ginnie Mae
|
||
2% 6/1/52
|
(50)
|
(45)
|
2% 6/1/52
|
(50)
|
(45)
|
2% 6/1/52
|
(50)
|
(45)
|
2% 6/1/52
|
(50)
|
(45)
|
2% 6/1/52
|
(100)
|
(91)
|
2% 6/1/52
|
(50)
|
(45)
|
4% 6/1/52
|
(2,600)
|
(2,626)
|
4% 6/1/52
|
(600)
|
(606)
|
TOTAL GINNIE MAE
|
(3,548)
|
|
Uniform Mortgage Backed Securities
|
||
3.5% 6/1/52
|
(900)
|
(882)
|
3.5% 6/1/52
|
(350)
|
(343)
|
3.5% 6/1/52
|
(1,075)
|
(1,054)
|
3.5% 7/1/52
|
(350)
|
(342)
|
4% 6/1/52
|
(1,200)
|
(1,200)
|
4% 6/1/52
|
(3,500)
|
(3,501)
|
4% 7/1/52
|
(1,200)
|
(1,197)
|
TOTAL UNIFORM MORTGAGE BACKED SECURITIES
|
(8,519)
|
|
TOTAL TBA SALE COMMITMENTS
(Proceeds $12,031)
|
(12,067)
|
Futures Contracts
|
|||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
(000s)
|
Value ($)
(000s)
|
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
|
|
Purchased
|
|||||
Treasury Contracts
|
|||||
CBOT 10-Year U.S. Treasury Note Contracts (United States)
|
115
|
Sep 2022
|
13,737
|
(61)
|
(61)
|
CBOT 2-Year U.S. Treasury Note Contracts (United States)
|
81
|
Sep 2022
|
17,099
|
(10)
|
(10)
|
CBOT 5-Year U.S. Treasury Note Contracts (United States)
|
93
|
Sep 2022
|
10,505
|
(21)
|
(21)
|
TOTAL PURCHASED
|
(92)
|
||||
Sold
|
|||||
Treasury Contracts
|
|||||
CBOT Long Term U.S. Treasury Bond Contracts (United States)
|
44
|
Sep 2022
|
6,135
|
66
|
66
|
TOTAL FUTURES CONTRACTS
|
(26)
|
||||
The notional amount of futures purchased as a percentage of Net Assets is 11.4%
|
|||||
The notional amount of futures sold as a percentage of Net Assets is 1.7%
|
Interest Rate Swaps
|
||||||||||
Payment Received
|
Payment
Frequency
|
Payment Paid
|
Payment
Frequency
|
Clearinghouse /
Counterparty(1)
|
Maturity
Date
|
Notional
Amount (000s)(2)
|
Value ($)
(000s)
|
Upfront
Premium
Received/
(Paid) ($) (000s)(3)
|
Unrealized
Appreciation/
(Depreciation) ($)
(000s)
|
|
U.S. Secured Overnight Fin. Rate (SOFR) Indx(4)
|
Annual
|
1.75%
|
Annual
|
LCH
|
Jun 2024
|
18
|
0
|
0
|
0
|
|
1.75%
|
Annual
|
U.S. Secured Overnight Fin. Rate (SOFR) Indx(4)
|
Annual
|
LCH
|
Jun 2029
|
27
|
(1)
|
0
|
(1)
|
|
TOTAL INTEREST RATE SWAPS
|
(1)
|
0
|
(1)
|
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $292,000.
|
(c)
|
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 $10,000.
|
(d)
|
Security or a portion of the security purchased on a delayed delivery or when-issued basis.
|
(e)
|
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
|
(f)
|
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
|
(g)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate (Amounts in thousands)
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
%ownership,
end
of period
|
Fidelity Cash Central Fund 0.82%
|
33,854
|
118,487
|
115,276
|
33
|
-
|
-
|
37,065
|
0.1%
|
Fidelity Mortgage Backed Securities Central Fund
|
2
|
-
|
2
|
-
|
-
|
-
|
-
|
0.0%
|
Fidelity Securities Lending Cash Central Fund 0.82%
|
-
|
213,869
|
213,869
|
18
|
-
|
-
|
-
|
0.0%
|
Total
|
33,856
|
332,356
|
329,147
|
51
|
-
|
-
|
37,065
|