Fidelity Total Bond Fund

[Pages:7]QUARTERLY FUND REVIEW | AS OF SEPTEMBER 30, 2022

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

-3.86% -14.72% -14.59% -2.14% 0.41% 1.62%

Bloomberg US Universal Bond Index

-4.45% -14.90% -14.92% -3.11% -0.18% 1.17%

Bloomberg US Aggregate Bond Index

-4.75% -14.61% -14.60% -3.26% -0.27% 0.89%

Lipper Core Bond Funds Classification

Morningstar Fund Intermediate Core-Plus Bond

-4.58% -15.00% -15.16% -3.08% -4.34% -14.76% -15.09% -2.86%

-0.31% -0.15%

0.87% 1.15%

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): $28,062.05

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 SEPTEMBER 30, 2022

Taxable Bond Market Review

Asset prices around the world extended their synchronized downturn through September 2022, as a multitude of crosscurrents continued to challenge the global economy and financial markets. U.S. taxable investment-grade bonds notably struggled, returning 4.75% for the past three months ? the third-worst calendar quarter ever, per the Bloomberg U.S. Aggregate Bond Index ? as market interest rates moved sharply higher, credit spreads widened and the Federal Reserve took aggressive action to combat high inflation.

Persistent inflationary pressure, exacerbated by the fallout from Russia's war in Ukraine, and tighter financial conditions from hawkish central banks worldwide fueled concerns about a global recession and spawned a broad retreat from risk in the first nine months of 2022, with stocks and bonds both falling sharply. The weak third quarter brought the year-to-date loss for the Aggregate index to -14.61%.

Q3 began on an upbeat note, with bonds rallying after inflation data showed some signs of moderation and investors grew hopeful that inflation was peaking. Although the Federal Open Market Committee (FOMC) raised interest rates another 75 basis points (0.75%) in July, investors viewed comments from Fed Chair Jerome Powell as a signal of a sooner-than-expected end to the current ratehike cycle.

But hopes for a less-aggressive Fed were dashed by late August, when Chair Powell dismissed the notion that the end of the hiking cycle was near. In mid-September, the release of August CPI data showed that core inflation rose 0.6% for the month and 6.3% for the year. Both readings were higher than market expectations, causing bonds to sell off. The Fed then raised interest rates by another 75 basis points at the September FOMC meeting, and further escalation of the Russia-Ukraine conflict stoked fresh inflation worries, pressuring risk assets.

The final days of the month saw a dramatic increase in bond-market volatility when the U.K. government announced a spending and taxcut package designed to stimulate that nation's economy, while Japan maintained its ultra-low rate policy and intervened in the foreign-exchange market to shore up a weak yen. The moves were deemed likely to add to inflationary pressure, and further spiked global bond yields.

Monetary policy tightening helped push nominal and real (inflationadjusted) U.S. bond yields to their highest levels in more than a decade this quarter, with bond prices ? which move inversely to yields ? falling in sync across the market. The yield curve also inverted, with long-bond yields dropping below short yields, indicating that investors expected an economic slowdown that would drive rates lower in the future. By late September, 30-year Treasury yields were more than 50 basis points below two-year note yields, the biggest gap since the dot-com collapse in 2000. Yields on riskier debt climbed amid rising Treasury yields and uncertainty about the outlook for economic growth. Credit spreads widened slightly overall, but materially from their intra-quarter tights, as investors demanded more of a premium for buying corporate bonds and other credit-sensitive assets.

All major segments of the U.S. investment-grade bond market posted losses this period, with higher-quality, shorter-term bonds holding up best in this challenging environment. U.S. Treasuries returned -4.35%, outpacing several yield-advantaged "spread" sectors. The securitized segment (-5.20%) had a particularly difficult quarter, with agency mortgage-backed securities (-5.35%) substantially lagging similar-duration Treasuries. Corporate bonds (5.06%) and government-related securities (-3.90%) also had negative excess returns. Elsewhere, outside the index, U.S. corporate high-yield bonds held up comparatively well (-0.65%) this quarter, bolstered partly by a dearth of new-issue supply in that marketplace. Treasury Inflation-Protected Securities (-5.14%) trailed nominal Treasuries, according to Bloomberg.

Percent (%)

U.S. TREASURY YIELD CURVE

5.0 4.5 4.0 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0

02

5

10 Years

06/30/2022 Source: Bloomberg

09/30/2022

THREE-MONTH FIXED-INCOME SECTOR RETURNS

Sector

Total Return

Excess Return*

Government-Related

-3.90%

-0.31%

U.S. Mortgage-Backed Securities

-5.35%

-1.69%

Asset-Backed Securities

-1.34%

0.30%

Commercial Mortgage-Backed Securities

-3.85%

-0.26%

U.S. Corporate Investment Grade

-5.06%

-0.33%

U.S. Corporate High Yield

-0.65%

2.27%

Emerging Markets: Investment Grade

-4.35%

0.10%

Emerging Markets: High Yield

-3.52%

0.38%

U.S. Treasury Source: Bloomberg

-4.35%

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 SEPTEMBER 30, 2022

Performance Review

DETAILED FUND ATTRIBUTION RELATIVE TO BENCHMARK

Strategy: Asset Allocation

Market Environment

Despite the broad selloff in capital markets this quarter, shorter-duration, more 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 boosted results on a relative basis.

? Positioning in leveraged loans contributed to the fund's relative return. (Positive)

Strategy: Sector Allocation

Market Environment

All major market segments posted negative total returns, with U.S. Treasuries and government-related segments outpacing securitized bonds and investment-grade corporate bonds. High-yield bonds stood out to the upside, while inflation-protected securities were among the worst performers this quarter.

Fund Positioning (Impact vs. Benchmark)

Among investment-grade securities, sector allocation contributed versus the Aggregate index.

? Underweighting mortgage-backed securities helped. (Positive)

Strategy: Security Selection

Market Environment

Apart from corporates, higher-rated fixed-income securities generally outpaced lower-quality bonds, while shorter-term debt was broadly favored over intermediate- and long-term issues.

Fund Positioning (Impact vs. Benchmark)

Security selection contributed.

? Among corporates, overweighting the consumer non-cyclical holdings AB Inbev and JBS Food Group boosted the relative result. (Positive)

? Exposure to energy company Occidental Petroleum and government-related energy firm PEMEX added value. (Positive)

? Non-index exposure to technology company Rackspace hampered results. (Negative)

Strategy: Duration and Yield Curve

Market Environment

Yields moved significantly higher across the Treasury curve. The long end of the curve outperformed, as the yield curve inverted.

Fund Positioning (Impact vs. Benchmark)

? The fund's overall duration was shorter than that of the Aggregate index, which contributed to relative performance. (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 SEPTEMBER 30, 2022

Outlook and Positioning

As of September 30, the U.S. bond market continues to face challenges from high inflation, the expectation for more interest rate hikes and geopolitical uncertainty. The key question will be: When will inflation and the economy cool enough to spur the Fed to end its current rate-hiking regime

Amid this uncertainty, there will be both risks and opportunities for bond investors. We believe bonds may already reflect much of the "bad news" for this rate cycle, with some areas of the market offering what we believe to be an attractive risk/reward proposition. That said, we see risks related to rising yields that could threaten bond prices, and opportunities that may arise if the Fed signals a policy shift in the coming months by moderating the pace of interest rate increases.

In a dynamic market environment, we continue to find pockets of value, based on our view of pricing and fundamentals. That said, we remain cautious about reaching for yield.

As of September 30, the fund remains overweight risk assets, with a tilt toward short and intermediate investment-grade credit, highyield securities, international credit and leveraged loans.

We're roughly market-weight investment-grade credit overall. By credit rating, the fund is overweight BBB securities and underweight bonds rated AAA through A. At quarter's end, we remain underweight U.S. Treasuries and agency mortgage-backed securities, and did not hold Treasury Inflation-Protected Securities (TIPS). We kept our yield-curve positioning close to neutral versus the Aggregate benchmark.

Our goal remains to work with our experienced investment teams to try 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, logical and grounded in empirical data.

It is important to reiterate that the portfolio is constructed with a careful and intentional emphasis on security selection, especially with consideration to liquidity and financial resiliency.

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

22.23% 42.16% -19.93% -6.15%

Non-U.S. Government

1.76% 0.81% 0.95% 0.02%

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

1.59%

1.85%

-0.26%

0.03%

Corporate

45.07% 25.45% 19.62% 2.55%

MBS Pass-Through

15.94% 27.41% -11.47% 2.65%

ABS

6.51% 0.39% 6.12% 0.08%

CMBS

5.57% 1.94% 3.63% 0.63%

CMOs

0.73% 0.00% 0.73% 0.00%

Covered

0.00% 0.00% 0.00% 0.00%

Cash

8.95% 0.00% 8.95% 1.96%

USD

8.94% 0.00% 8.94% 1.96%

Non-USD

0.01% 0.00% 0.01% 0.00%

Net Other Assets

-8.35% -0.01% -8.34% -1.77%

Futures, Options & Swaps

-0.09% 0.00% -0.09% 0.09%

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

38.51% 70.28% -31.77% -3.46%

AAA

5.56%

4.01%

1.55%

0.36%

AA

4.09%

4.51%

-0.42%

1.30%

A

9.42%

10.62% -1.20%

0.90%

BBB

22.63% 10.57% 12.06%

0.17%

BB

7.60%

0.00%

7.60%

0.25%

B

6.32%

0.00%

6.32%

0.31%

CCC & Below

0.82%

0.00%

0.82%

-0.21%

Short-Term Rated

0.00%

0.00%

0.00%

0.00%

Not Rated/Not Available

2.36%

0.01%

2.35%

0.19%

Cash & Net Other Assets

2.69%

0.00%

2.69%

0.19%

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 SEPTEMBER 30, 2022

CHARACTERISTICS

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

Portfolio 5.95 years

4.87% --

$9.24

Index 6.15 years

----

ASSET ALLOCATION

Asset Class

Change From Prior

Portfolio Weight

Quarter

Investment-Grade Bonds

77.78%

-0.76%

High-Yield Investments

18.13%

0.51%

Emerging-Markets Investments

3.20%

-0.06%

Cash & Net Other Assets

0.89%

0.31%

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 SEPTEMBER 30, 2022

Definitions and Important Information

Information provided in this document is for informational and educational purposes only. To the extent any investment information in this material is deemed to be a recommendation, it is not meant to be impartial investment advice or advice in a fiduciary capacity and is not intended to be used as a primary basis for you or your client's investment decisions. Fidelity, and its representatives may have a conflict of interest in the products or services mentioned in this material because they have a financial interest in, 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 October 1, 2022, Matthew Torchia assumed co-management responsibilities for the fund's real estate high income sleeve. On October 1, 2022, Celso Mu?oz became co-lead manager of the fund, alongside Ford O'Neil. In addition, Franco Castagliuolo assumed co-management responsibilities for the fund.

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 dollar-

denominated, 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 ? 2022 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.

? 2022 FMR LLC. All rights reserved.

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

656386.40.0

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

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

Google Online Preview   Download