Fidelity Total Bond Fund

[Pages:7]QUARTERLY FUND REVIEW | AS OF JUNE 30, 2023

Fidelity? Total Bond Fund

Investment Approach

? Fidelity? Total Bond Fund is a diversified fixed-income strategy seeking competitive risk-adjusted performance commensurate with investor expectations of a core bond fund.

? The fund invests at least 80% of its assets in investment-grade bonds and up to 20% in noninvestment-grade debt.

? The fund's primary benchmark, the Bloomberg U.S. Aggregate Bond Index, is the basis for this review. The fund also has a secondary benchmark, the Bloomberg U.S. Universal Bond Index, which is a broader measure of bond performance.

? Utilizing a team-based investment process, the fund relies on experienced portfolio managers, research analysts and traders. We concentrate on areas where we believe we can repeatedly add value, including asset allocation, sector and security selection, yield-curve positioning and opportunistic trading.

? Robust governance and risk management support the identification of both opportunities and risks.

PERFORMANCE SUMMARY

Cumulative

3 Month

YTD

1 Year

Annualized

3 Year

5 Year

10 Year/ LOF1

Fidelity Total Bond Fund Gross Expense Ratio: 0.45%2

-0.14% 3.13% 1.24% -2.34% 1.65% 2.32%

Bloomberg US Universal Bond Index

-0.59% 2.32% -0.04% -3.43% 0.98% 1.80%

Bloomberg US Aggregate Bond Index

-0.84% 2.09% -0.94% -3.96% 0.77% 1.52%

Lipper Core Bond Funds Classification

Morningstar Fund Intermediate Core-Plus Bond

-0.82% -0.61%

2.21% 2.38%

-0.73% -0.29%

-3.54% -2.99%

0.74% 0.91%

1.47% 1.69%

1 Life of Fund (LOF) if performance is less than 10 years. Fund inception date: 10/15/2002. 2 This expense ratio is from the most recent prospectus and generally is based on amounts incurred during the

most recent fiscal year, or estimated amounts for the current fiscal year in the case of a newly launched fund. It does not include any fee waivers or reimbursements, which would be reflected in the fund's net expense ratio.

Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate; therefore, you may have a gain or loss when you sell your shares. Current performance may be higher or lower than the performance stated. Performance shown is that of the fund's Retail Class shares (if multiclass). You may own another share class of the fund with a different expense structure and, thus, have different returns. To learn more or to obtain the most recent month-end or other share-class performance, visit performance, institutional., or . Total returns are historical and include change in share value and reinvestment of dividends and capital gains, if any. Cumulative total returns are reported as of the period indicated.

For definitions and other important information, please see the Definitions and Important Information section of this Fund Review.

FUND INFORMATION

Manager(s): Celso Munoz Ford O'Neil

Trading Symbol: FTBFX

Start Date: October 15, 2002

Size (in millions): $31,076.92

Morningstar Category: Fund Intermediate Core-Plus Bond In general the bond market is volatile, and fixed income securities carry interest rate risk. (As interest rates rise, bond prices usually fall, and vice versa. This effect is usually more pronounced for longer-term securities.) Fixed income securities also carry inflation risk, liquidity risk, call risk and credit and default risks for both issuers and counterparties. Unlike individual bonds, most bond funds do not have a maturity date, so avoiding losses caused by price volatility by holding them until maturity is not possible. Lower-quality bonds can be more volatile and have greater risk of default than higher-quality bonds. Foreign securities are subject to interest rate, currency exchange rate, economic, and political risks, all of which are magnified in emerging markets. Leverage can increase market exposure and magnify investment risk.

Not FDIC Insured ? May Lose Value ? No Bank Guarantee

QUARTERLY FUND REVIEW: Fidelity? Total Bond Fund | AS OF JUNE 30, 2023

Taxable Bond Market Review

U.S. taxable investment-grade bonds, as measured by the Bloomberg U.S. Aggregate Bond Index, returned -0.84% in the second quarter, giving back some of Q1's solid 2.96% gain. Year to date, the market has advanced 2.09%, following a historically poor 2022.

During the three months, monetary tightening by the U.S. Federal Reserve and other global central banks continued amid signs of decelerating core inflation, a closely watched measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 10 times, by 5.0 percentage points, while also shrinking its agency mortgage and Treasury portfolio. The latest increase came in early May, a third consecutive rise of 25 basis points, or 0.25 percentage points, following multiple hikes of 50 or 75 basis points in 2022.

Investors entered Q2 with the expectation that the Fed would stop raising rates by midyear and possibly begin lowering them by the end of this year or early 2024. But as of June 30, inflation, while easing, is proving stickier than policymakers hoped and the U.S. employment market remains remarkably resilient.

Shifting market sentiment was evident in the quarter's month-tomonth results: after gaining 0.61% in April, in a continuation of the bond market upturn that began late last year, the Aggregate index returned -1.09% in May, when worries about the U.S. debt ceiling and the prospect of a U.S. government default unnerved investors, and -0.36% in June, when persistently strong economic data suggested that the central bank might need to keep raising rates, and to keep them higher, for longer than previously anticipated.

At its most recent committee meeting in June, the Fed held interest rates steady ? its first pause since the beginning of the hiking cycle in March 2022 ? but signaled it was prepared to raise rates at its next meeting in late July and to continue raising them as needed to ensure inflation moves back to the central bank's 2% target.

Against this backdrop, most major segments of the bond market finished in negative territory for the three months. In general, shortterm bonds outperformed longer-term issues, while riskier, creditsensitive assets outpaced higher-quality debt. Yield-advantaged, investment-grade corporate bonds (-0.29%) notably bettered U.S. Treasuries (-1.38%); within corporates, the debt of financial institutions outperformed that of industrial and utility names, reversing the previous quarter's trend, when financials were hurt after the failure of two U.S. regional banks in March.

Securitized segments like mortgage-backed securities (-0.64%) and commercial mortgage-backed securities (-0.60%) underperformed corporates. Asset-backed securities (-0.12%) ? such as credit card receivables, auto loans and leases, and home-equity debt ? outpaced, while government-related debt returned -0.47%.

Outside the Aggregate index, Treasury Inflation-Protected Securities (-1.42%) struggled, while U.S. corporate high-yield bonds (+1.75%) and high-yield emerging-markets debt (+2.26%) delivered some of the bond market's best returns, per Bloomberg.

U.S. TREASURY YIELD CURVE

6

5

4

Percent (%)

3

2

1

0

02

5

10 Years

03/31/2023 Source: Bloomberg

06/30/2023

THREE-MONTH FIXED-INCOME SECTOR RETURNS

Sector

Total Return

Excess Return*

Government-Related

-0.47%

0.83%

U.S. Mortgage-Backed Securities

-0.64%

0.76%

Asset-Backed Securities

-0.12%

0.58%

Commercial Mortgage-Backed Securities

-0.60%

0.81%

U.S. Corporate Investment Grade

-0.29%

1.31%

U.S. Corporate High Yield

1.75%

2.79%

Emerging Markets: Investment Grade

0.49%

2.04%

Emerging Markets: High Yield

2.26%

3.59%

U.S. Treasury Source: Bloomberg

-1.38%

0.00%

*Over similar-duration Treasuries

30

2 | For definitions and other important information, please see Definitions and Important Information section of this Fund Review.

QUARTERLY FUND REVIEW: Fidelity? Total Bond Fund | AS OF JUNE 30, 2023

Performance Review

DETAILED FUND ATTRIBUTION RELATIVE TO BENCHMARK

Strategy: Asset Allocation

Strategy: Sector Allocation

Market Environment

Credit-sensitive fixed-income categories, such as high-yield and leveraged loans, exhibited relative strength.

Fund Positioning (Impact vs. Benchmark)

The fund's overweight in certain "plus" sectors, including high yield, emerging markets and leveraged loans, boosted results on a relative basis. (Positive)

Strategy: Security Selection

Market Environment

Market gains skewed toward shorterduration, lower-quality securities.

Fund Positioning (Impact vs. Benchmark)

Overall, security selection contributed.

? Overweight holdings in European bank bonds, particularly UBS and Deutsche Bank, aided performance. (Positive)

? Larger-than-benchmark exposure to communications companies Charter Communications and Warner Bros. Discovery added value. (Positive)

? Conversely, an overweight in communications holding Altice France detracted from the relative result. (Negative)

Market Environment

Most major market segments posted a negative total return, with the prices for U.S. Treasuries notably lagging amid rising yields. Risk assets like U.S. investment-grade corporate bonds outperformed, with corporate highyield debt and high-yield emergingmarkets debt among the few categories to deliver positive returns.

Fund Positioning (Impact vs. Benchmark)

Overall, sector allocation contributed to performance, relative to the benchmark Bloomberg U.S. Aggregate Bond Index.

? Out-of-benchmark exposure to highyield bonds, leveraged loans and emerging markets debt contributed. (Positive)

? Within investment-grade corporates, an overweight to financials aided relative performance. (Positive)

? In contrast, an underweight to investment-grade corporate bonds in the industrials sector detracted. (Negative)

Strategy: Duration and Yield Curve

Market Environment

U.S. Treasury yields rose in Q2, most notably among short-term maturities. The yield curve remained inverted for the fourth full quarter in a row, with the gap between two-year and 10-year yields nearing historic wides.

Fund Positioning (Impact vs. Benchmark)

? The fund's overall duration was shorter than that of the Aggregate index, which boosted relative performance. (Positive)

? An underweight to the front end of the yield curve also contributed, as short-term rates rose. (Positive)

3 | For definitions and other important information, please see Definitions and Important Information section of this Fund Review.

QUARTERLY FUND REVIEW: Fidelity? Total Bond Fund | AS OF JUNE 30, 2023

Outlook and Positioning

The U.S. is in the late-cycle expansion phase. As of June 30, there is still the possibility of a U.S. recession in the second half of the year, but the resiliency of the economic data has surprised market observers to date. Via the Federal Reserve's monetary tightening program, short-term interest rates are at their highest level since 2006. While lagging indicators such as the unemployment rate are holding up, leading indicators in the housing, manufacturing and credit sectors are signaling a growth slowdown.

The pace of inflation has meaningfully decelerated, helped by falling commodity prices and easing manufacturing supply-related pressures. However, tight labor markets have kept certain categories of inflation elevated, suggesting core inflation may remain at higher levels than experienced in many years.

The Fed faces a difficult challenge in bringing core inflation back near its target without further hampering the larger economy. The central bank is likely on course to end its rate-hiking cycle in the second half of 2023, but a sharp pivot to easing seems unlikely. As is typical during a late cycle, the yield curve is inverted and credit standards have tightened.

Versus the benchmark index, as of June 30 the fund remained overweight risk assets ? with a tilt toward intermediate investmentgrade corporate credit, high-yield securities, international credit and leveraged loans. The fund also favors intermediate Treasuries, which could benefit if inflation declines faster than market expectations. The fund is underweight agency mortgage-backed securities

By credit rating, the fund was overweight BBB securities and underweight bonds rated AAA through A. Overall, the portfolio was underweight the front end of the yield curve while maintaining an overall shorter duration than the Aggregate index.

Going forward, our goal remains to work with our experienced investment teams to find attractively priced bonds for the portfolio while maintaining a disciplined approach to risk management. In all markets, we seek to outperform and find areas of value without taking on undue risk. We remain focused on the long term and follow a process that is analytical and grounded in empirical data.

Investing is a long-term endeavor, and we're focused on generating strong risk-adjusted performance over a full market cycle through our disciplined, risk-aware approach.

MARKET-SEGMENT DIVERSIFICATION

Market Segment

Portfolio Weight

Index Weight

Relative Change Relative From Prior Weight Quarter

U.S. Government

28.43% 42.11% -13.68% -0.41%

Non-U.S. Government

1.78% 0.76% 1.02% -0.17%

Other Government Related (U.S. & Non-U.S.)

1.42%

1.87%

-0.45% -0.09%

Corporate

38.78% 26.54% 12.24% -2.27%

MBS Pass-Through

18.27% 26.52% -8.25% 2.64%

ABS

6.42% 0.46% 5.96% 0.28%

CMBS

5.25% 1.74% 3.51% 0.14%

CMOs

1.42% 0.00% 1.42% 0.79%

Covered

0.00% 0.00% 0.00% 0.00%

Cash

4.01% 0.00% 4.01% -0.13%

USD

3.99% 0.00% 3.99% -0.14%

Non-USD

0.02% 0.00% 0.02% 0.01%

Net Other Assets

-5.78% 0.00% -5.78% -0.78%

Futures, Options & Swaps

-0.58% 0.00% -0.58% -0.50%

Net Other Assets can include fund receivables, fund payables, and offsets to other derivative positions, as well as certain assets that do not fall into any of the portfolio composition categories. Depending on the extent to which the fund invests in derivatives and the number of positions that are held for future settlement, Net Other Assets can be a negative number.

CREDIT-QUALITY DIVERSIFICATION

Credit Quality

Portfolio Weight

Index Weight

Relative Weight

Relative Change From Prior Quarter

U.S. Government

48.02% 69.78% -21.76% 3.24%

AAA

7.49%

3.65%

3.84%

0.36%

AA

3.43%

4.56%

-1.13%

-0.31%

A

8.71%

11.27%

-2.56%

-0.26%

BBB

19.08% 10.73%

8.35%

-1.90%

BB

7.06%

0.00%

7.06%

-0.40%

B

5.23%

0.00%

5.23%

0.18%

CCC & Below

0.85%

0.00%

0.85%

0.05%

Short-Term Rated

0.00%

0.00%

0.00%

0.00%

Not Rated/Not Available

0.08%

0.01%

0.07%

0.28%

Cash & Net Other Assets

0.05%

0.00%

0.05%

-1.24%

Net Other Assets can include fund receivables, fund payables, and offsets to other derivative positions, as well as certain assets that do not fall into any of the portfolio composition categories. Depending on the extent to which the fund invests in derivatives and the number of positions that are held for future settlement, Net Other Assets can be a negative number.

Credit ratings for a rated issuer or security are categorized using the highest credit rating among the following three Nationally Recognized Statistical Rating Organizations ("NRSRO"): Moody's Investors Service (Moody's); Standard & Poor's Rating Services (S&P); or Fitch, Inc. Securities that are not rated by any of these three NRSRO's (e.g. equity securities) are categorized as Not Rated. All U.S. government securities are included in the U.S. Government category. The table information is based on the combined investments of the fund and its pro-rata share of any investments in other Fidelity funds.

4 | For definitions and other important information, please see Definitions and Important Information section of this Fund Review.

QUARTERLY FUND REVIEW: Fidelity? Total Bond Fund | AS OF JUNE 30, 2023

CHARACTERISTICS

Duration 30-Day SEC Yield 30-Day SEC Restated Yield Net Asset Value

Portfolio 6.00 years

5.38% --

$9.43

Index 6.19 years

----

ASSET ALLOCATION

Asset Class

Change From Prior

Portfolio Weight

Quarter

Investment-Grade Bonds

84.64%

1.60%

High-Yield Investments

14.10%

-0.25%

Emerging-Markets Investments

3.12%

-0.17%

Cash & Net Other Assets

-1.86%

-1.18%

Net Other Assets can include fund receivables, fund payables, and offsets to other derivative positions, as well as certain assets that do not fall into any of the portfolio composition categories. Depending on the extent to which the fund invests in derivatives and the number of positions that are held for future settlement, Net Other Assets can be a negative number.

5 | For definitions and other important information, please see Definitions and Important Information section of this Fund Review.

QUARTERLY FUND REVIEW: Fidelity? Total Bond Fund | AS OF JUNE 30, 2023

Definitions and Important Information

Information provided in, and presentation of, this document are for informational and educational purposes only and are not a recommendation to take any particular action, or any action at all, nor an offer or solicitation to buy or sell any securities or services presented. It is not investment advice. Fidelity does not provide legal or tax advice.

Before making any investment decisions, you should consult with your own professional advisers and take into account all of the particular facts and circumstances of your individual situation. Fidelity and its representatives may have a conflict of interest in the products or services mentioned in these materials because they have a financial interest in them, and receive compensation, directly or indirectly, in connection with the management, distribution, and/or servicing of these products or services, including Fidelity funds, certain third-party funds and products, and certain investment services.

CHARACTERISTICS Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

30-day SEC Yield is a standard yield calculation developed by the Securities and Exchange Commission for bond funds. The yield is calculated by dividing the net investment income per share earned during the 30-day period by the maximum offering price per share on the last day of the period. The yield figure reflects the dividends and interest earned during the 30-day period, after the deduction of the fund's expenses. It is sometimes referred to as "SEC 30-Day Yield" or "standardized yield".

30-Day SEC Restated Yield is the fund's 30-day yield without applicable waivers or reimbursements, stated as of month-end.

Net Asset Value is the dollar value of one share of a fund; determined by taking the total assets of a fund, subtracting the total liabilities, and dividing by the total number of shares outstanding.

IMPORTANT FUND INFORMATION Relative positioning data presented in this commentary is based on the fund's primary benchmark (index).

On June 7, 2023, Benjamin Harrison assumed co-management responsibilities for the fund, succeeding Michael Weaver.

INDICES It is not possible to invest directly in an index. All indices represented are unmanaged. All indices include reinvestment of dividends and interest income unless otherwise noted.

Bloomberg U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollardenominated, fixed-rate taxable bond market. The index includes

Treasuries, government-related and corporate securities, mortgage-back securities (agency fixed-rate pass-throughs), assetbacked securities and collateralized mortgage-backed securities (agency and non-agency).

Bloomberg U.S. Universal Bond Index represents the union of the Bloomberg U.S. Aggregate Bond Index, the Bloomberg U.S. Corporate High Yield Bond Index, the Bloomberg 144A Bond Index, the Bloomberg Eurodollar Bond Index, the Bloomberg U.S. Emerging Markets Bond Index, and the non-ERISA portion of the Bloomberg U.S. CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the index. The only constituent of the index that includes floating-rate debt is the Bloomberg U.S. Emerging Markets Bond Index.

LIPPER INFORMATION Lipper Averages are averages of the performance of all mutual funds with their respective investment classification category. The number of funds in each category periodically changes. Lipper, a Refinitiv company, is a nationally recognized organization that ranks the performance of mutual funds.

MARKET-SEGMENT WEIGHTS Market-segment weights illustrate examples of sectors or industries in which the fund may invest, and may not be representative of the fund's current or future investments. They should not be construed or used as a recommendation for any sector or industry.

MORNINGSTAR INFORMATION ? 2023 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or redistributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Fidelity does not review the Morningstar data and, for mutual fund performance, you should check the fund's current prospectus for the most up-to-date information concerning applicable loads, fees and expenses.

6 |

YIELD CURVE

The relationship at a given point in time between yields on a group of fixed-income securities with varying maturities commonly, Treasury bills, notes, and bonds. The curve typically slopes upward since longer maturities normally have higher yields, although it can be flat or even inverted.

Before investing in any mutual fund, please carefully consider the investment objectives, risks, charges, and expenses. For this and other information, call or write Fidelity for a free prospectus or, if available, a summary prospectus. Read it carefully before you invest.

Past performance is no guarantee of future results.

Views expressed are through the end of the period stated and do not necessarily represent the views of Fidelity. Views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund. The securities mentioned are not necessarily holdings invested in by the portfolio manager(s) or FMR LLC. References to specific company securities should not be construed as recommendations or investment advice.

Diversification does not ensure a profit or guarantee against a loss.

S&P 500 is a registered service mark of Standard & Poor's Financial Services LLC.

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.

Fidelity Brokerage Services LLC, Member NYSE, SIPC, 900 Salem Street, Smithfield, RI 02917.

Fidelity Distributors Company LLC, 500 Salem Street, Smithfield, RI 02917.

? 2023 FMR LLC. All rights reserved.

Not NCUA or NCUSIF insured. May lose value. No credit union guarantee.

656386.43.0

 ................
................

In order to avoid copyright disputes, this page is only a partial summary.

Google Online Preview   Download