NPORT-EX 2 QTLY_452_20220531.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity® Intermediate Government Income Fund
May 31, 2022
SLM-NPRT3-0722
1.800340.118
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)
 
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
 
 
(2)Notional amount is stated in U.S. Dollars unless otherwise noted
 
 
(3)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).
 
 
(4)Represents floating rate.
 
 
 
 
Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.
 
Legend
 
(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.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate (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
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
 
Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
 
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. 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 inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. Government and Government Agency Obligations and Foreign 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. U.S. Government Agency - Mortgage Securities and Commercial Mortgage Securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
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, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. 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.
 
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
 
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. 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/or 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(s):
 
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.
 
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. 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.  
 
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
 
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
 
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
 
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.
 
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.
 
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
 
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
 
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