0001752724-23-163347.txt : 20230726 0001752724-23-163347.hdr.sgml : 20230726 20230726104402 ACCESSION NUMBER: 0001752724-23-163347 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230531 FILED AS OF DATE: 20230726 DATE AS OF CHANGE: 20230726 PERIOD START: 20230831 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: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04085 FILM NUMBER: 231110898 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 S000062811 Fidelity Series Government Bond Index Fund C000203458 Fidelity Series Government Bond Index Fund FHNFX NPORT-P 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B1V7KEBTPIMZEU4LTD58 FANNIE MAE 2.5% 02/05/2024 3135G0V34 690000.00000000 PA USD 676882.27000000 0.094475687638 Long DBT USGSE US N 2 2024-02-05 Fixed 0.02500000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 FEDERAL HOME LOAN BANKS 1.25% 10/26/2026 3130APJ55 1060000.00000000 PA USD 951136.20000000 0.132754617037 Long DBT USGSE US N 2 2026-10-26 Fixed 0.01250000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 3.125% 08/31/2027 91282CFH9 1610000.00000000 PA USD 1562832.02000000 0.218131920863 Long DBT UST US N 2 2027-08-31 Fixed 0.03125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 2.25% 08/15/2046 912810RT7 1070000.00000000 PA USD 783733.21000000 0.109389383090 Long DBT UST US N 2 2046-08-15 Fixed 0.02250000 N N N N N N 2023-06-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX NPORT-EX 2 QTLY_3221_20230531.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity® Series Government Bond Index Fund
May 31, 2023
XGB-NPRT3-0723
1.9891228.104
U.S. Government and Government Agency Obligations - 99.5%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Government Agency Obligations - 2.9%
 
 
 
Fannie Mae:
 
 
 
 0.5% 6/17/25
 
5,000
4,617
 0.625% 4/22/25
 
814,000
757,070
 0.875% 12/18/26
 
1,200,000
1,055,845
 0.875% 8/5/30
 
1,057,000
859,117
 1.625% 1/7/25
 
15,000
14,296
 1.875% 9/24/26
 
674,000
629,368
 2.125% 4/24/26
 
221,000
209,236
 2.5% 2/5/24
 
690,000
676,882
 2.625% 9/6/24
 
9,000
8,759
 5.625% 7/15/37
 
163,000
189,750
 6.25% 5/15/29
 
71,000
79,712
 7.125% 1/15/30
 
6,000
7,149
 7.25% 5/15/30
 
866,000
1,046,439
Federal Farm Credit Bank:
 
 
 
 0.72% 10/27/26
 
500,000
440,498
 1% 10/7/26
 
1,000,000
890,981
 1.3% 3/30/27
 
130,000
116,017
 3% 8/3/26
 
1,560,000
1,504,465
 4.25% 9/30/25
 
800,000
797,100
Federal Home Loan Bank:
 
 
 
 1% 12/20/24
 
330,000
311,760
 1% 3/23/26
 
994,500
897,673
 1.25% 10/26/26
 
1,060,000
951,136
 3.25% 11/16/28
 
1,850,000
1,795,836
 3.375% 3/8/24
 
530,000
522,347
 5.5% 7/15/36
 
100,000
114,715
Freddie Mac:
 
 
 
 0.375% 9/23/25
 
3,210,000
2,929,580
 2.75% 6/19/23
 
11,000
10,983
 6.25% 7/15/32
 
585,000
688,512
 6.75% 9/15/29
 
185,000
213,125
 6.75% 3/15/31
 
173,000
206,396
Tennessee Valley Authority:
 
 
 
 4.625% 9/15/60
 
2,440,000
2,386,038
 4.875% 1/15/48
 
630,000
635,982
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
 
 
20,951,384
U.S. Treasury Obligations - 96.6%
 
 
 
U.S. Treasury Bonds:
 
 
 
 1.125% 5/15/40
 
301,000
195,615
 1.125% 8/15/40
 
2,054,000
1,323,145
 1.25% 5/15/50
 
5,591,000
3,134,454
 1.375% 11/15/40
 
12,447,000
8,344,838
 1.375% 8/15/50
 
2,035,000
1,178,869
 1.625% 11/15/50
 
8,814,000
5,460,204
 1.75% 8/15/41
 
6,178,000
4,357,662
 1.875% 2/15/41
 
3,726,000
2,715,177
 1.875% 2/15/51
 
3,943,000
2,604,536
 1.875% 11/15/51
 
4,779,000
3,144,433
 2% 11/15/41
 
4,351,000
3,197,305
 2% 2/15/50
 
5,143,000
3,520,343
 2% 8/15/51
 
5,091,000
3,462,477
 2.25% 5/15/41
 
3,180,000
2,459,283
 2.25% 8/15/46
 
1,070,000
783,733
 2.25% 8/15/49
 
3,614,000
2,625,373
 2.25% 2/15/52
 
5,390,000
3,887,538
 2.375% 2/15/42
 
10,260,000
8,015,467
 2.375% 11/15/49
 
259,000
193,370
 2.375% 5/15/51
 
7,199,000
5,349,476
 2.5% 2/15/45
 
160,000
124,250
 2.5% 2/15/46
 
2,660,000
2,053,915
 2.75% 8/15/42
 
3,058,000
2,535,751
 2.75% 11/15/42
 
370,000
305,973
 2.75% 8/15/47
 
9,501,000
7,665,377
 2.75% 11/15/47
 
450,000
363,059
 2.875% 5/15/43
 
2,399,000
2,019,190
 2.875% 8/15/45
 
66,000
54,690
 2.875% 11/15/46
 
2,801,000
2,315,967
 2.875% 5/15/49
 
1,675,000
1,386,586
 2.875% 5/15/52
 
2,080,000
1,722,338
 3% 5/15/42
 
3,768,000
3,260,056
 3% 11/15/44
 
265,000
225,322
 3% 5/15/45
 
303,000
256,923
 3% 11/15/45
 
3,672,000
3,108,864
 3% 2/15/47
 
5,955,000
5,030,114
 3% 5/15/47
 
8,000
6,760
 3% 2/15/48
 
1,326,000
1,120,833
 3% 8/15/48
 
519,000
438,960
 3% 2/15/49
 
420,000
355,819
 3% 8/15/52
 
5,970,000
5,073,800
 3.125% 11/15/41
 
1,240,000
1,100,403
 3.125% 2/15/43
 
137,000
120,218
 3.125% 8/15/44
 
533,000
463,606
 3.125% 5/15/48
 
5,311,000
4,593,185
 3.25% 5/15/42
 
2,120,000
1,904,108
 3.375% 8/15/42
 
3,690,000
3,371,593
 3.375% 5/15/44
 
3,819,000
3,463,206
 3.375% 11/15/48
 
10,000
9,060
 3.625% 8/15/43
 
481,000
455,127
 3.625% 2/15/44
 
600,000
566,039
 3.75% 8/15/41
 
275,000
267,749
 3.75% 11/15/43
 
985,000
948,678
 3.875% 8/15/40
 
2,366,000
2,367,571
 4% 11/15/42
 
1,710,000
1,711,069
 4% 11/15/52
 
5,380,000
5,530,472
 4.25% 11/15/40
 
92,000
96,388
 4.375% 2/15/38
 
410,000
440,045
 4.375% 11/15/39
 
523,000
558,384
 4.5% 2/15/36
 
1,391,000
1,519,341
 4.625% 2/15/40
 
1,569,000
1,725,287
 4.75% 2/15/41
 
12,000
13,362
 5% 5/15/37
 
1,471,000
1,682,916
 5.25% 11/15/28
 
2,005,000
2,143,784
 5.25% 2/15/29
 
3,824,000
4,101,838
 5.5% 8/15/28
 
5,037,000
5,426,974
 6.125% 8/15/29
 
443,000
499,898
 6.25% 5/15/30
 
6,070,000
7,005,634
 6.5% 11/15/26
 
980,000
1,058,936
 7.5% 11/15/24
 
1,230,000
1,277,759
U.S. Treasury Notes:
 
 
 
 0.125% 1/15/24
 
3,000
2,905
 0.125% 2/15/24
 
175,000
168,690
 0.25% 5/15/24
 
1,038,000
989,830
 0.25% 6/15/24
 
9,555,000
9,083,222
 0.25% 5/31/25
 
11,735,000
10,807,202
 0.25% 6/30/25
 
273,000
251,064
 0.25% 7/31/25
 
5,195,000
4,761,948
 0.25% 8/31/25
 
18,360,000
16,784,339
 0.25% 9/30/25
 
448,000
409,168
 0.25% 10/31/25
 
1,882,000
1,712,399
 0.375% 7/15/24
 
1,086,000
1,031,106
 0.375% 8/15/24
 
18,160,000
17,186,027
 0.375% 9/15/24
 
8,936,000
8,433,699
 0.375% 4/30/25
 
7,678,000
7,106,949
 0.375% 11/30/25
 
1,170,000
1,065,386
 0.375% 12/31/25
 
10,554,000
9,598,368
 0.375% 1/31/26
 
5,750,000
5,211,836
 0.375% 7/31/27
 
16,032,000
13,884,589
 0.375% 9/30/27
 
1,530,000
1,319,147
 0.5% 3/31/25 (b)
 
3,222,000
2,996,838
 0.5% 2/28/26
 
8,512,000
7,721,315
 0.5% 4/30/27
 
3,017,000
2,646,828
 0.5% 5/31/27
 
5,115,000
4,475,625
 0.5% 6/30/27
 
4,825,000
4,211,697
 0.5% 8/31/27
 
4,183,000
3,634,798
 0.5% 10/31/27
 
5,860,000
5,067,069
 0.625% 10/15/24
 
2,810,000
2,653,255
 0.625% 7/31/26
 
3,440,000
3,096,403
 0.625% 3/31/27
 
4,626,000
4,088,950
 0.625% 11/30/27
 
6,368,000
5,527,723
 0.625% 12/31/27
 
2,957,000
2,560,808
 0.625% 5/15/30
 
3,797,000
3,086,842
 0.625% 8/15/30
 
11,548,000
9,340,347
 0.75% 3/31/26
 
9,444,000
8,619,126
 0.75% 4/30/26
 
8,886,000
8,084,524
 0.75% 5/31/26
 
640,000
581,000
 0.75% 8/31/26
 
8,742,000
7,881,801
 0.75% 1/31/28
 
2,797,000
2,432,625
 0.875% 6/30/26
 
7,646,000
6,962,937
 0.875% 9/30/26
 
5,616,000
5,078,312
 0.875% 11/15/30
 
5,009,000
4,118,142
 1% 7/31/28
 
1,010,000
878,582
 1.125% 2/28/25
 
11,337,000
10,685,123
 1.125% 10/31/26
 
1,350,000
1,228,131
 1.125% 2/28/27
 
478,000
431,862
 1.125% 8/31/28
 
1,748,000
1,527,861
 1.125% 2/15/31
 
8,959,000
7,487,064
 1.25% 8/31/24
 
953,000
910,413
 1.25% 11/30/26
 
2,098,000
1,913,196
 1.25% 12/31/26
 
1,130,000
1,029,404
 1.25% 3/31/28
 
520,000
461,520
 1.25% 4/30/28
 
7,533,000
6,675,238
 1.25% 6/30/28
 
10,570,000
9,334,631
 1.25% 9/30/28
 
2,220,000
1,949,351
 1.25% 8/15/31
 
5,604,000
4,661,609
 1.375% 1/31/25
 
3,446,000
3,267,239
 1.375% 8/31/26
 
5,158,000
4,748,382
 1.375% 10/31/28
 
2,290,000
2,021,193
 1.375% 12/31/28
 
1,541,000
1,356,622
 1.375% 11/15/31
 
9,853,000
8,238,032
 1.5% 9/30/24
 
1,066,000
1,019,904
 1.5% 10/31/24
 
641,000
612,155
 1.5% 11/30/24
 
4,023,000
3,835,208
 1.5% 2/15/25
 
4,890,000
4,642,253
 1.5% 8/15/26
 
192,000
177,563
 1.5% 1/31/27
 
4,376,000
4,013,271
 1.5% 11/30/28
 
10,436,000
9,261,542
 1.5% 2/15/30
 
8,802,000
7,664,273
 1.625% 2/15/26
 
10,000
9,366
 1.625% 5/15/26
 
542,000
505,479
 1.625% 9/30/26
 
199,000
184,479
 1.625% 10/31/26
 
3,500,000
3,239,277
 1.625% 8/15/29
 
908,000
803,970
 1.625% 5/15/31
 
6,993,000
6,029,823
 1.75% 6/30/24
 
1,098,000
1,058,970
 1.75% 7/31/24
 
720,000
693,394
 1.75% 12/31/24
 
3,061,000
2,924,331
 1.75% 11/15/29
 
2,449,000
2,182,384
 1.875% 7/31/26
 
105,000
98,396
 1.875% 2/15/32
 
4,530,000
3,935,844
 2% 5/31/24
 
928,000
899,073
 2% 2/15/25
 
56,000
53,629
 2% 8/15/25
 
6,432,000
6,120,952
 2% 11/15/26
 
2,652,000
2,483,867
 2.125% 3/31/24
 
577,000
562,372
 2.125% 5/15/25
 
734,000
702,232
 2.25% 11/15/24
 
196,000
189,040
 2.25% 12/31/24
 
2,514,000
2,420,314
 2.25% 2/15/27
 
1,829,000
1,723,618
 2.25% 8/15/27
 
1,597,000
1,497,250
 2.25% 11/15/27
 
1,113,000
1,041,220
 2.375% 2/29/24
 
1,687,000
1,651,547
 2.375% 8/15/24
 
200,000
193,906
 2.375% 4/30/26
 
626,000
597,243
 2.375% 5/15/27
 
4,000
3,778
 2.375% 3/31/29
 
3,930,000
3,644,000
 2.375% 5/15/29
 
3,505,000
3,246,643
 2.5% 1/31/24
 
1,672,000
1,642,022
 2.5% 5/15/24
 
200,000
194,852
 2.5% 2/28/26
 
1,670,000
1,601,113
 2.625% 3/31/25
 
1,463,000
1,414,767
 2.625% 12/31/25
 
10,697,000
10,296,698
 2.625% 1/31/26
 
4,318,000
4,155,063
 2.625% 5/31/27
 
1,000,000
952,813
 2.625% 2/15/29
 
551,000
518,392
 2.625% 7/31/29
 
1,681,000
1,577,316
 2.75% 8/31/23
 
23,000
22,854
 2.75% 11/15/23
 
2,000
1,977
 2.75% 2/28/25
 
971,000
941,529
 2.75% 6/30/25
 
1,403,000
1,357,896
 2.75% 8/31/25
 
17,000
16,442
 2.75% 7/31/27
 
4,416,000
4,223,490
 2.75% 2/15/28
 
1,089,000
1,038,974
 2.75% 5/31/29
 
880,000
832,322
 2.75% 8/15/32
 
6,420,000
5,969,848
 2.875% 10/31/23
 
36,000
35,647
 2.875% 11/30/23
 
310,000
306,355
 2.875% 4/30/25
 
47,000
45,618
 2.875% 5/31/25
 
104,000
100,941
 2.875% 7/31/25
 
3,667,000
3,556,704
 2.875% 11/30/25
 
629,000
609,442
 2.875% 5/15/28
 
5,922,000
5,675,867
 2.875% 8/15/28
 
13,312,000
12,731,680
 2.875% 4/30/29
 
3,060,000
2,915,367
 2.875% 5/15/32
 
7,910,000
7,441,271
 3% 6/30/24
 
3,430,000
3,352,423
 3% 7/31/24
 
4,110,000
4,014,956
 3% 9/30/25
 
2,655,000
2,581,365
 3% 10/31/25
 
9,000
8,746
 3.125% 8/15/25
 
270,000
263,271
 3.125% 8/31/27
 
1,610,000
1,562,832
 3.125% 11/15/28
 
4,238,000
4,099,603
 3.125% 8/31/29
 
2,850,000
2,750,695
 3.25% 6/30/27
 
3,060,000
2,985,771
 3.25% 6/30/29
 
8,430,000
8,194,882
 3.375% 5/15/33
 
2,510,000
2,456,270
 3.5% 9/15/25
 
4,690,000
4,611,589
 3.5% 2/15/33
 
7,610,000
7,519,631
 3.875% 11/30/27
 
2,240,000
2,243,587
 3.875% 12/31/27
 
5,820,000
5,829,547
 3.875% 11/30/29
 
930,000
936,830
 4% 2/29/28
 
2,430,000
2,451,357
 4% 10/31/29
 
5,800,000
5,881,109
 4.125% 10/31/27
 
10,520,000
10,628,488
 4.125% 11/15/32
 
5,820,000
6,035,522
 4.25% 9/30/24
 
6,464,000
6,409,460
 4.25% 12/31/24
 
15,010,000
14,900,357
 4.25% 10/15/25
 
830,000
829,870
 4.375% 10/31/24
 
7,380,000
7,332,722
 4.5% 11/30/24
 
3,580,000
3,564,897
TOTAL U.S. TREASURY OBLIGATIONS
 
 
704,826,373
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $790,356,717)
 
 
 
725,777,757
 
 
 
 
Money Market Funds - 0.7%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.14% (c)
 
2,860,615
2,861,187
Fidelity Securities Lending Cash Central Fund 5.14% (c)(d)
 
2,444,684
2,444,929
 
TOTAL MONEY MARKET FUNDS
 (Cost $5,306,116)
 
 
5,306,116
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.2%
 (Cost $795,662,833)
 
 
 
731,083,873
NET OTHER ASSETS (LIABILITIES) - (0.2)%  
(1,616,245)
NET ASSETS - 100.0%
729,467,628
 
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Security or a portion of the security is on loan at period end.
 
(c)
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.
 
(d)
Investment made with cash collateral received from securities on loan.
 
 
 
 
 
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
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 5.14%
6,007,393
60,821,761
63,967,967
55,051
-
-
2,861,187
0.0%
Fidelity Securities Lending Cash Central Fund 5.14%
4,008,675
80,885,614
82,449,360
4,508
-
-
2,444,929
0.0%
Total
10,016,068
141,707,375
146,417,327
59,559
-
-
5,306,116
 
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
 
Amounts in the dividend income column 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. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.   
 
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 services or from brokers who make markets in such securities. U.S. Government and Government Agency Obligations are valued by pricing services 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 services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
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.
 
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.
 
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.