0001752724-24-011849.txt : 20240124 0001752724-24-011849.hdr.sgml : 20240124 20240124171542 ACCESSION NUMBER: 0001752724-24-011849 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20231130 FILED AS OF DATE: 20240124 DATE AS OF CHANGE: 20240124 PERIOD START: 20240831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY INCOME FUND /MA/ CENTRAL INDEX KEY: 0000751199 ORGANIZATION NAME: 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: 24557582 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 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Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX NPORT-EX 2 QTLY_3221_20231130.htm 010 - Quarterly Front Cover
Quarterly Holdings Report
for
Fidelity® Series Government Bond Index Fund
November 30, 2023
XGB-NPRT1-0124
1.9891227.105
U.S. Government and Government Agency Obligations - 99.2%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Government Agency Obligations - 2.6%
 
 
 
Fannie Mae:
 
 
 
 0.5% 6/17/25
 
5,000
4,675
 0.625% 4/22/25
 
814,000
767,083
 0.875% 12/18/26
 
1,200,000
1,072,941
 0.875% 8/5/30
 
1,057,000
832,996
 1.625% 1/7/25
 
15,000
14,445
 1.875% 9/24/26
 
674,000
626,999
 2.125% 4/24/26
 
221,000
208,746
 2.5% 2/5/24
 
690,000
686,379
 2.625% 9/6/24
 
9,000
8,821
 5.625% 7/15/37
 
163,000
177,195
 6.25% 5/15/29
 
71,000
77,114
 7.125% 1/15/30
 
6,000
6,802
 7.25% 5/15/30
 
866,000
997,188
Federal Farm Credit Bank:
 
 
 
 0.72% 10/27/26
 
500,000
446,203
 1% 10/7/26
 
1,000,000
905,040
 1.3% 3/30/27
 
130,000
116,614
 3% 8/3/26
 
1,560,000
1,497,131
 4.25% 9/30/25
 
800,000
790,259
Federal Home Loan Bank:
 
 
 
 1% 12/20/24
 
330,000
316,019
 1% 3/23/26
 
994,500
912,469
 1.25% 10/26/26
 
1,060,000
963,853
 3.25% 11/16/28
 
1,850,000
1,761,350
 3.375% 3/8/24
 
530,000
526,590
 5.5% 7/15/36
 
100,000
107,638
Freddie Mac:
 
 
 
 0.375% 9/23/25
 
3,210,000
2,964,750
 6.25% 7/15/32
 
585,000
657,018
 6.75% 9/15/29
 
185,000
205,783
 6.75% 3/15/31
 
173,000
195,923
Tennessee Valley Authority:
 
 
 
 4.625% 9/15/60
 
2,440,000
2,200,132
 4.875% 1/15/48
 
630,000
596,134
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
 
 
20,644,290
U.S. Treasury Obligations - 96.6%
 
 
 
U.S. Treasury Bonds:
 
 
 
 1.125% 5/15/40
 
2,221,000
1,316,637
 1.125% 8/15/40
 
1,674,000
983,737
 1.25% 5/15/50
 
5,591,000
2,745,487
 1.375% 11/15/40
 
12,447,000
7,619,412
 1.375% 8/15/50
 
2,035,000
1,033,955
 1.625% 11/15/50
 
9,504,000
5,173,740
 1.75% 8/15/41
 
6,178,000
3,975,881
 1.875% 2/15/41
 
3,726,000
2,480,264
 1.875% 2/15/51
 
4,353,000
2,531,031
 1.875% 11/15/51
 
4,779,000
2,768,460
 2% 11/15/41
 
4,351,000
2,915,000
 2% 2/15/50
 
5,143,000
3,108,702
 2% 8/15/51
 
7,701,000
4,612,779
 2.25% 5/15/41
 
3,180,000
2,248,608
 2.25% 8/15/46
 
1,070,000
701,561
 2.25% 8/15/49
 
3,614,000
2,323,266
 2.25% 2/15/52
 
8,250,000
5,256,152
 2.375% 2/15/42
 
10,260,000
7,310,250
 2.375% 11/15/49
 
259,000
171,244
 2.375% 5/15/51
 
6,619,000
4,348,373
 2.5% 2/15/45
 
930,000
652,271
 2.5% 2/15/46
 
2,660,000
1,844,648
 2.75% 8/15/42
 
3,058,000
2,308,671
 2.75% 11/15/42
 
370,000
278,468
 2.75% 8/15/47
 
9,501,000
6,840,349
 2.75% 11/15/47
 
450,000
323,807
 2.875% 5/15/43
 
4,159,000
3,177,411
 2.875% 8/15/45
 
66,000
49,348
 2.875% 11/15/46
 
2,801,000
2,076,241
 2.875% 5/15/49
 
1,675,000
1,230,994
 2.875% 5/15/52
 
6,670,000
4,898,542
 3% 5/15/42
 
3,768,000
2,971,274
 3% 11/15/44
 
265,000
203,895
 3% 5/15/45
 
303,000
232,162
 3% 11/15/45
 
3,672,000
2,801,908
 3% 2/15/47
 
5,955,000
4,507,191
 3% 5/15/47
 
8,000
6,049
 3% 2/15/48
 
1,326,000
999,783
 3% 8/15/48
 
519,000
391,014
 3% 2/15/49
 
420,000
316,362
 3% 8/15/52
 
8,700,000
6,563,742
 3.125% 11/15/41
 
1,240,000
1,004,109
 3.125% 2/15/43
 
137,000
109,209
 3.125% 8/15/44
 
533,000
419,633
 3.125% 5/15/48
 
5,311,000
4,098,183
 3.25% 5/15/42
 
2,120,000
1,735,419
 3.375% 8/15/42
 
3,690,000
3,069,330
 3.375% 5/15/44
 
3,819,000
3,138,144
 3.375% 11/15/48
 
710,000
573,380
 3.625% 8/15/43
 
2,541,000
2,181,488
 3.625% 2/15/44
 
600,000
513,422
 3.625% 5/15/53
 
1,040,000
887,738
 3.75% 8/15/41
 
275,000
244,396
 3.75% 11/15/43
 
4,495,000
3,923,643
 3.875% 8/15/40
 
2,366,000
2,154,077
 4% 11/15/42
 
1,710,000
1,555,098
 4% 11/15/52
 
4,980,000
4,552,226
 4.125% 8/15/53
 
1,190,000
1,112,836
 4.25% 11/15/40
 
92,000
87,655
 4.375% 2/15/38
 
410,000
406,204
 4.375% 11/15/39
 
523,000
509,598
 4.375% 8/15/43
 
1,570,000
1,500,577
 4.5% 2/15/36
 
1,391,000
1,413,441
 4.625% 2/15/40
 
1,569,000
1,572,739
 4.75% 2/15/41
 
12,000
12,148
 5% 5/15/37
 
1,471,000
1,559,260
 5.25% 11/15/28
 
2,005,000
2,084,338
 5.25% 2/15/29
 
3,824,000
3,979,499
 5.5% 8/15/28
 
4,187,000
4,391,607
 6.125% 8/15/29
 
443,000
481,624
 6.25% 5/15/30
 
6,070,000
6,698,577
 6.5% 11/15/26
 
980,000
1,034,436
 7.5% 11/15/24
 
1,230,000
1,259,933
U.S. Treasury Notes:
 
 
 
 0.25% 5/31/25
 
16,515,000
15,411,204
 0.25% 6/30/25
 
273,000
253,911
 0.25% 7/31/25
 
5,195,000
4,816,942
 0.25% 8/31/25
 
18,360,000
16,968,656
 0.25% 9/30/25 (b)
 
7,888,000
7,270,209
 0.25% 10/31/25
 
1,882,000
1,729,014
 0.375% 7/15/24
 
1,086,000
1,053,590
 0.375% 9/15/24
 
2,056,000
1,978,820
 0.375% 4/30/25
 
7,678,000
7,199,025
 0.375% 11/30/25
 
1,170,000
1,074,435
 0.375% 12/31/25
 
10,554,000
9,671,752
 0.375% 1/31/26
 
10,300,000
9,403,980
 0.375% 7/31/27
 
23,102,000
19,983,228
 0.375% 9/30/27
 
1,530,000
1,315,501
 0.5% 3/31/25
 
3,222,000
3,035,728
 0.5% 2/28/26
 
8,512,000
7,772,852
 0.5% 4/30/27
 
8,887,000
7,793,830
 0.5% 5/31/27
 
5,115,000
4,472,228
 0.5% 6/30/27
 
4,825,000
4,206,043
 0.5% 8/31/27
 
4,183,000
3,625,485
 0.5% 10/31/27
 
5,860,000
5,048,527
 0.625% 10/15/24
 
2,810,000
2,700,234
 0.625% 7/31/26
 
3,440,000
3,107,691
 0.625% 3/31/27
 
4,626,000
4,086,059
 0.625% 11/30/27
 
6,368,000
5,499,116
 0.625% 12/31/27
 
2,957,000
2,546,716
 0.625% 5/15/30
 
3,797,000
3,003,931
 0.625% 8/15/30
 
11,548,000
9,057,963
 0.75% 3/31/26
 
10,364,000
9,500,873
 0.75% 4/30/26
 
15,816,000
14,454,341
 0.75% 5/31/26
 
640,000
583,200
 0.75% 8/31/26
 
8,742,000
7,903,997
 0.75% 1/31/28
 
2,797,000
2,414,925
 0.875% 6/30/26
 
14,716,000
13,435,248
 0.875% 9/30/26
 
5,616,000
5,088,403
 0.875% 11/15/30
 
16,129,000
12,817,515
 1% 7/31/28
 
1,010,000
868,403
 1.125% 2/28/25
 
11,337,000
10,802,035
 1.125% 10/31/26
 
3,400,000
3,092,672
 1.125% 2/28/27
 
5,768,000
5,200,888
 1.125% 8/31/28
 
1,748,000
1,508,606
 1.125% 2/15/31
 
8,959,000
7,221,794
 1.25% 8/31/24
 
953,000
924,857
 1.25% 11/30/26
 
2,098,000
1,910,901
 1.25% 12/31/26
 
1,130,000
1,028,123
 1.25% 3/31/28
 
520,000
456,584
 1.25% 4/30/28
 
7,533,000
6,601,085
 1.25% 6/30/28
 
14,120,000
12,315,839
 1.25% 9/30/28
 
2,220,000
1,923,248
 1.25% 8/15/31
 
5,604,000
4,478,165
 1.375% 1/31/25
 
3,446,000
3,301,295
 1.375% 8/31/26
 
5,158,000
4,745,561
 1.375% 10/31/28
 
3,480,000
3,026,377
 1.375% 12/31/28
 
8,811,000
7,625,645
 1.375% 11/15/31
 
10,563,000
8,464,016
 1.5% 9/30/24
 
1,066,000
1,033,729
 1.5% 10/31/24
 
641,000
619,717
 1.5% 2/15/25
 
4,890,000
4,686,759
 1.5% 8/15/26
 
192,000
177,390
 1.5% 1/31/27
 
4,376,000
4,001,134
 1.5% 11/30/28
 
14,516,000
12,679,386
 1.5% 2/15/30
 
8,802,000
7,443,535
 1.625% 2/15/26
 
10,000
9,376
 1.625% 5/15/26
 
542,000
505,394
 1.625% 9/30/26
 
199,000
184,153
 1.625% 10/31/26
 
3,500,000
3,229,844
 1.625% 8/15/29
 
908,000
786,236
 1.625% 5/15/31
 
6,993,000
5,795,995
 1.75% 6/30/24
 
1,098,000
1,075,740
 1.75% 7/31/24
 
720,000
703,378
 1.75% 12/31/24
 
3,061,000
2,952,071
 1.75% 11/15/29
 
2,449,000
2,125,655
 1.875% 7/31/26
 
105,000
98,081
 1.875% 2/28/27
 
4,800,000
4,431,563
 1.875% 2/15/32
 
6,160,000
5,112,800
 2% 2/15/25
 
56,000
53,996
 2% 8/15/25
 
6,432,000
6,136,781
 2% 11/15/26
 
2,652,000
2,472,886
 2.125% 5/15/25
 
734,000
705,070
 2.25% 11/15/24
 
196,000
190,564
 2.25% 12/31/24
 
2,514,000
2,437,598
 2.25% 2/15/27
 
1,829,000
1,710,829
 2.25% 8/15/27
 
1,597,000
1,480,594
 2.25% 11/15/27
 
1,113,000
1,027,916
 2.375% 8/15/24
 
200,000
195,938
 2.375% 4/30/26
 
626,000
594,969
 2.375% 5/15/27
 
4,000
3,740
 2.375% 3/31/29
 
3,930,000
3,562,637
 2.375% 5/15/29
 
3,505,000
3,170,108
 2.5% 2/28/26
 
1,670,000
1,595,176
 2.625% 3/31/25
 
1,463,000
1,418,253
 2.625% 12/31/25
 
10,697,000
10,267,031
 2.625% 1/31/26
 
4,318,000
4,140,557
 2.625% 5/31/27
 
1,000,000
942,305
 2.625% 2/15/29
 
4,831,000
4,443,010
 2.625% 7/31/29
 
1,681,000
1,535,160
 2.75% 2/28/25
 
971,000
944,184
 2.75% 6/30/25
 
1,403,000
1,358,334
 2.75% 8/31/25
 
17,000
16,418
 2.75% 7/31/27
 
4,416,000
4,170,878
 2.75% 2/15/28
 
1,089,000
1,021,703
 2.75% 5/31/29
 
880,000
811,113
 2.75% 8/15/32
 
6,420,000
5,669,412
 2.875% 4/30/25
 
47,000
45,658
 2.875% 5/31/25
 
104,000
100,990
 2.875% 7/31/25
 
3,667,000
3,552,120
 2.875% 11/30/25
 
629,000
607,280
 2.875% 5/15/28
 
5,922,000
5,569,919
 2.875% 8/15/28
 
13,312,000
12,483,120
 2.875% 4/30/29
 
3,060,000
2,842,334
 2.875% 5/15/32
 
7,910,000
7,077,596
 3% 9/30/25
 
2,655,000
2,573,276
 3% 10/31/25
 
9,000
8,717
 3.125% 8/15/25
 
270,000
262,522
 3.125% 8/31/27
 
1,610,000
1,539,563
 3.125% 11/15/28
 
4,238,000
4,008,221
 3.125% 8/31/29
 
2,850,000
2,670,762
 3.25% 6/30/27
 
3,060,000
2,944,174
 3.25% 6/30/29
 
8,430,000
7,967,009
 3.375% 5/15/33
 
8,390,000
7,752,884
 3.5% 9/15/25
 
4,690,000
4,586,490
 3.5% 1/31/30
 
1,560,000
1,486,753
 3.5% 2/15/33
 
10,220,000
9,550,909
 3.625% 3/31/30
 
4,420,000
4,236,639
 3.75% 6/30/30
 
2,930,000
2,825,848
 3.875% 11/30/27
 
1,690,000
1,659,237
 3.875% 12/31/27
 
5,820,000
5,714,466
 3.875% 11/30/29
 
930,000
905,515
 3.875% 12/31/29
 
1,410,000
1,372,382
 3.875% 8/15/33
 
6,030,000
5,799,164
 4% 2/15/26
 
5,430,000
5,358,095
 4% 2/29/28 (b)
 
2,430,000
2,396,588
 4% 10/31/29
 
5,800,000
5,687,625
 4.125% 10/31/27
 
10,520,000
10,422,608
 4.125% 11/15/32
 
5,250,000
5,153,818
 4.25% 9/30/24
 
984,000
976,043
 4.25% 12/31/24
 
15,010,000
14,865,177
 4.25% 10/15/25
 
830,000
822,446
 4.375% 10/31/24
 
2,850,000
2,827,957
 4.375% 8/31/28
 
2,290,000
2,295,904
 4.5% 11/30/24
 
3,580,000
3,555,248
 4.5% 11/15/33
 
4,520,000
4,575,794
 4.875% 10/31/30
 
2,540,000
2,616,200
TOTAL U.S. TREASURY OBLIGATIONS
 
 
761,770,049
 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $866,508,787)
 
 
 
782,414,339
 
 
 
 
Money Market Funds - 1.8%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.40% (c)
 
6,032,769
6,033,975
Fidelity Securities Lending Cash Central Fund 5.39% (c)(d)
 
7,925,814
7,926,606
 
TOTAL MONEY MARKET FUNDS
 (Cost $13,960,581)
 
 
13,960,581
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 101.0%
 (Cost $880,469,368)
 
 
 
796,374,920
NET OTHER ASSETS (LIABILITIES) - (1.0)%  
(8,088,237)
NET ASSETS - 100.0%
788,286,683
 
 
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 5.40%
2,506,491
22,257,474
18,729,990
36,045
-
-
6,033,975
0.0%
Fidelity Securities Lending Cash Central Fund 5.39%
204,375
12,207,084
4,484,853
565
-
-
7,926,606
0.0%
Total
2,710,866
34,464,558
23,214,843
36,610
-
-
13,960,581
 
 
 
 
 
 
 
 
 
 
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.