UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22083

Fidelity Central Investment Portfolios II LLC

(Exact name of registrant as specified in charter)

245 Summer St., Boston, Massachusetts 02210

(Address of principal executive offices) (Zip code)

Marc Bryant, Secretary

245 Summer St.

Boston, Massachusetts 02210

(Name and address of agent for service)

Registrant's telephone number, including area code:

617-563-7000


Date of fiscal year end:	September 30

Date of reporting period:	September 30, 2017

Item 1.

Reports to Stockholders

Fidelity® Inflation-Protected Bond Index Central Fund

Annual Report

September 30, 2017

Contents

Performance
Management's Discussion of Fund Performance
Investment Summary
Investments
Financial Statements
Notes to Financial Statements
Report of Independent Registered Public Accounting Firm
Directors and Officers (Trustees and Officers)
Shareholder Expense Example
Distributions
Board Approval of Investment Advisory Contracts and Management Fees

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended September 30, 2017	Past 1 year	Past 5 years	Life of fund^A
Fidelity® Inflation-Protected Bond Index Central Fund	(0.27)%	0.06%	0.50%

^A From February 22, 2012

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Fidelity® Inflation-Protected Bond Index Central Fund on February 22, 2012, when the fund started.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. 1-10 Year Treasury Inflation-Protected Securities (TIPS) Index (Series-L) performed over the same period.

	Period Ending Values
	$10,284	Fidelity® Inflation-Protected Bond Index Central Fund
	$10,296	Bloomberg Barclays U.S. 1-10 Year Treasury Inflation-Protected Securities (TIPS) Index (Series-L)

Effective August 24, 2016, all Barclays benchmark indices were co-branded as the Bloomberg Barclays Indices for a period of five years.

Management's Discussion of Fund Performance

Market Recap: U.S. taxable investment-grade bonds rose very slightly for the 12 months ending September 30, 2017, as yields increased markedly following the U.S. presidential election, then moderated. The Bloomberg Barclays U.S. Aggregate Bond Index gained 0.07% for the year. Bond yields surged in November and December of 2016, as many investors viewed President Donald Trump’s economic agenda as stimulative and potentially inflationary. Yields also rode the Fed’s decision in December to raise policy interest rates. Longer-term bond yields declined slightly for much of 2017, despite two additional policy-rate hikes, as it became clear that changes to tax, health care and fiscal policies would take time to develop and implement. Yields then ticked higher in September, amid expectations for a policy rate hike in December, as well as proposed tax changes by Republicans that some investors believed had the potential to increase federal borrowing. Within the Bloomberg Barclays index, investment-grade corporate bonds led all major market segments, up 2.21%, while U.S. Treasuries returned -1.67%. Most securitized sectors rose only slightly. Outside the index, riskier, non-core fixed-income segments led the broader market, while Treasury Inflation-Protected Securities (TIPS) returned -0.73%, according to Bloomberg Barclays.

Comments from Co-Portfolio Managers Brandon Bettencourt and Jay Small: For the fiscal year, the fund returned -0.27%, nearly in line with the -0.14% return of the benchmark Bloomberg Barclays U.S. 1-10 Year Treasury Inflation-Protected Securities (TIPS) Index (Series-L). We attempt to hold all positions held by the index in the same relative proportions. Although TIPS experienced periods of comparative performance strength and weakness throughout the past year, their absolute returns were muted largely by two factors. First, investor demand for conservative, U.S. government investments was tepid overall as expectations for economic growth improved and investors increasingly flocked to riskier asset classes as a result. Second, consumer inflation as measured by CPI-U remained low and range-bound throughout much of the period, dampening investors’ appetite for inflation-protected securities. The final monthly CPI-U report of the period showed inflation rising 0.4% in August on a seasonally adjusted basis, with higher gasoline and shelter prices accounting for nearly all of the increase. For the 12-month period ending September 30, 2017, CPI-U rose 2.2%, again driven higher largely by a rise in energy prices.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such 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.

Investment Summary (Unaudited)

Coupon Distribution as of September 30, 2017

	% of fund's investments	% of fund's investments 6 months ago
0.01 - 0.99%	77.8	76.0
1 - 1.99%	12.2	14.0
2 - 2.99%	10.0	10.0

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

The coupon rates on inflation-protected securities tend to be lower than their nominal bond counterparts since inflation-protected securities get adjusted for actual inflation, while nominal bond coupon rates include a component for expected inflation. Please refer to the fund's prospectus for more information.

Asset Allocation (% of fund's net assets)

As of September 30, 2017^*
	U.S. Government and U.S. Government Agency Obligations	99.9%
	Short-Term Investments and Net Other Assets (Liabilities)	0.1%

* Inflation Protected Securities - 99.9%

As of March 31, 2017^*
	U.S. Government and U.S. Government Agency Obligations	99.9%
	Short-Term Investments and Net Other Assets (Liabilities)	0.1%

* Inflation Protected Securities - 99.9%

Investments September 30, 2017

Showing Percentage of Net Assets

U.S. Treasury Inflation-Protected Obligations - 99.9%
	Principal Amount	Value
U.S. Treasury Inflation-Indexed Bonds:
2% 1/15/26	$22,001,195	$24,743,072
2.375% 1/15/25	30,203,304	34,505,164
2.375% 1/15/27	17,701,283	20,695,691
U.S. Treasury Inflation-Indexed Notes:
0.125% 4/15/19	56,693,196	56,916,678
0.125% 4/15/20	56,737,296	57,018,352
0.125% 4/15/21	49,333,680	49,483,017
0.125% 1/15/22	45,537,400	45,689,295
0.125% 4/15/22	32,780,995	32,781,672
0.125% 7/15/22	46,968,233	47,203,758
0.125% 1/15/23	47,185,887	47,074,506
0.125% 7/15/24	45,884,773	45,427,501
0.125% 7/15/26	38,801,895	37,735,838
0.25% 1/15/25	45,999,606	45,543,497
0.375% 7/15/23	46,803,563	47,421,997
0.375% 7/15/25	45,943,525	45,949,605
0.375% 1/15/27	38,503,627	38,042,439
0.375% 7/15/27	26,071,977	25,818,157
0.625% 7/15/21	41,256,215	42,398,018
0.625% 1/15/24	46,694,392	47,685,527
0.625% 1/15/26	41,380,043	41,940,363
1.125% 1/15/21	38,865,455	40,408,021
1.25% 7/15/20	33,978,201	35,406,743
1.375% 1/15/20	22,110,965	22,904,803
1.875% 7/15/19	18,231,835	18,997,370
2.125% 1/15/19	16,046,190	16,552,329
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS
(Cost $965,967,878)		968,343,413
	Shares	Value

Money Market Funds - 0.0%
Fidelity Cash Central Fund, 1.09%(a)
(Cost $453,728)	453,637	453,728
TOTAL INVESTMENT IN SECURITIES - 99.9%
(Cost $966,421,606)		968,797,141
NET OTHER ASSETS (LIABILITIES) - 0.1%		573,830
NET ASSETS - 100%		$969,370,971

Legend

(a) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund	Income earned
Fidelity Cash Central Fund	$3,984
Total	$3,984

Investment Valuation

The following is a summary of the inputs used, as of September 30, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

	Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
U.S. Government and Government Agency Obligations	$968,343,413	$--	$968,343,413	$--
Money Market Funds	453,728	453,728	--	--
Total Investments in Securities:	$968,797,141	$453,728	$968,343,413	$--

Other Information

The composition of credit quality ratings as a percentage of Total Net Assets is as follows (Unaudited):

U.S. Government and U.S. Government Agency Obligations	99.9%
Short-Term Investments and Net Other Assets	0.1%
	100.0%

We have used ratings from Moody's Investors Service, Inc. Where Moody's^® ratings are not available, we have used S&P^® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

See accompanying notes which are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities

		September 30, 2017
Assets
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $965,967,878)	$968,343,413
Fidelity Central Funds (cost $453,728)	453,728
Total Investment in Securities (cost $966,421,606)		$968,797,141
Receivable for investments sold		11,304,227
Receivable for fund shares sold		169,851
Interest receivable		1,224,150
Distributions receivable from Fidelity Central Funds		187
Total assets		981,495,556
Liabilities
Payable for investments purchased	$11,707,396
Payable for fund shares redeemed	413,876
Distributions payable	97
Other payables and accrued expenses	3,216
Total liabilities		12,124,585
Net Assets		$969,370,971
Net Assets consist of:
Paid in capital		$960,159,323
Distributions in excess of net investment income		(165,149)
Accumulated undistributed net realized gain (loss) on investments		7,001,262
Net unrealized appreciation (depreciation) on investments		2,375,535
Net Assets, for 9,485,066 shares outstanding		$969,370,971
Net Asset Value, offering price and redemption price per share ($969,370,971 ÷ 9,485,066 shares)		$102.20

See accompanying notes which are an integral part of the financial statements.

Statement of Operations

		Year ended September 30, 2017
Investment Income
Interest		$17,907,428
Income from Fidelity Central Funds		3,984
Total income		17,911,412
Expenses
Custodian fees and expenses	$9,575
Independent directors' fees and expenses	3,790
Miscellaneous	20
Total expenses before reductions	13,385
Expense reductions	(3,833)	9,552
Net investment income (loss)		17,901,860
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(1,827,841)
Fidelity Central Funds	24
Total net realized gain (loss)		(1,827,817)
Change in net unrealized appreciation (depreciation) on:
Investment securities:
Unaffiliated issuers	(18,800,448)
Fidelity Central Funds	(14)
Total change in net unrealized appreciation (depreciation)		(18,800,462)
Net gain (loss)		(20,628,279)
Net increase (decrease) in net assets resulting from operations		$(2,726,419)

See accompanying notes which are an integral part of the financial statements.

Statement of Changes in Net Assets

	Year ended September 30, 2017	Year ended September 30, 2016
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$17,901,860	$10,668,138
Net realized gain (loss)	(1,827,817)	(895,538)
Change in net unrealized appreciation (depreciation)	(18,800,462)	31,432,054
Net increase (decrease) in net assets resulting from operations	(2,726,419)	41,204,654
Distributions to shareholders from net investment income	(1,586,941)	(160,468)
Distributions to shareholders from net realized gain	(4,139,159)	–
Total distributions	(5,726,100)	(160,468)
Affiliated share transactions
Proceeds from sales of shares	125,507,184	364,107,384
Reinvestment of distributions	5,726,014	160,453
Cost of shares redeemed	(114,931,748)	(63,924,946)
Net increase (decrease) in net assets resulting from share transactions	16,301,450	300,342,891
Total increase (decrease) in net assets	7,848,931	341,387,077
Net Assets
Beginning of period	961,522,040	620,134,963
End of period	$969,370,971	$961,522,040
Other Information
Distributions in excess of net investment income end of period	$(165,149)	$–
Shares
Sold	1,232,458	3,652,223
Issued in reinvestment of distributions	57,141	1,571
Redeemed	(1,130,759)	(637,185)
Net increase (decrease)	158,840	3,016,609

See accompanying notes which are an integral part of the financial statements.

Financial Highlights

Fidelity Inflation-Protected Bond Index Central Fund

Years ended September 30,	2017	2016	2015	2014	2013
Selected Per–Share Data
Net asset value, beginning of period	$103.10	$98.28	$99.13	$98.55	$102.53
Income from Investment Operations
Net investment income (loss)^A	1.870	1.322	.514	1.216	.964
Net realized and unrealized gain (loss)	(2.160)	3.516	(1.364)	(.636)	(4.944)
Total from investment operations	(.290)	4.838	(.850)	.580	(3.980)
Distributions from net investment income	(.165)	(.018)	–	–^B	–
Distributions from net realized gain	(.445)	–	–	–	–
Total distributions	(.610)	(.018)	–	–^B	–
Net asset value, end of period	$102.20	$103.10	$98.28	$99.13	$98.55
Total Return^C	(.27)%	4.92%	(.86)%	.59%	(3.88)%
Ratios to Average Net Assets^D,^E
Expenses before reductions^F	-%	-%	-%	-%	-%
Expenses net of fee waivers, if any^F	-%	-%	-%	-%	-%
Expenses net of all reductions^F	-%	-%	-%	-%	-%
Net investment income (loss)	1.84%	1.32%	.52%	1.22%	.95%
Supplemental Data
Net assets, end of period (000 omitted)	$969,371	$961,522	$620,135	$271,612	$294,750
Portfolio turnover rate^G	29%	28%	30%	54%	95%

^A Calculated based on average shares outstanding during the period.

^B Amount represents less than $.0005 per share.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

^E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

^F Amount represents less than .005%.

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Notes to Financial Statements

For the period ended September 30, 2017

1. Organization.

Fidelity Inflation-Protected Bond Index Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company (FMR), or its affiliates (the Investing Funds). The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Directors (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 Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 – 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 the Fund's 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 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. 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.

Investments in open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of September 30, 2017 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. For Treasury Inflation-Protected Securities (TIPS) the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Such adjustments may have a significant impact on the Fund's distributions.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, effective October 1, 2016, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of September 30, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Prior to October 1, 2016, the Fund was a partnership for tax purposes, and no provision was made for U.S. Federal income taxes because the Fund allocated, at least annually among its partners, each partner's share of the Fund's income and expenses and capital gains and losses as determined by income tax regulations for inclusion in each partner's tax return. Due to the Fund's previous partnership structure, paid in capital includes any accumulated net investment income/ (loss) and net realized gain/ (loss) on investments prior to October 1, 2016.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to certain losses related to deflation adjustments on U.S. Treasury inflation-indexed securities and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$5,247,181
Gross unrealized depreciation	(4,585,982)
Net unrealized appreciation (depreciation)	$661,199
Tax Cost	$968,135,942

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income	$11,002,725
Capital loss carryforward	$(2,452,275)
Net unrealized appreciation (depreciation) on securities and other investments	$661,199

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

No expiration
Short-term	$(728,258)
Long-term	(1,724,017)
Total capital loss carryforward	$(2,452,275)

The tax character of distributions paid was as follows:

	September 30, 2017
Ordinary Income	$5,726,100

New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.

4. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (the investment adviser), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with the investment adviser, FMR pays the investment adviser a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain exceptions such as interest expense.

5. Expense Reductions.

FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $3,790.

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $43.

6. Other.

The Fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

At the end of the period, mutual funds managed by FMR or its affiliates were the owners of record of all of the outstanding shares of the Fund.

Report of Independent Registered Public Accounting Firm

To the Directors of Fidelity Central Investment Portfolios II LLC and the Shareholders of Fidelity Inflation-Protected Bond Index Central Fund:

We have audited the accompanying statement of assets and liabilities of Fidelity Inflation-Protected Bond Index Central Fund (the Fund), a fund of Fidelity Central Investment Portfolios II LLC, including the schedule of investments, as of September 30, 2017, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Inflation-Protected Bond Index Central Fund as of September 30, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for the each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Boston, Massachusetts
November 13, 2017

Directors and Officers (Trustees and Officers)

The Trustees, Members of the Advisory Board (if any), and officers of the Fidelity Central Investments Portfolios II LLC and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 249 funds.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity^® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity^® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity^® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity^® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity^® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity^® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity^® funds (2001-2005), and managed a number of Fidelity^® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity^® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.

* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the Fidelity Central Investments Portfolios II LLC or various entities under common control with FMR.

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity^® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity^® funds (2013-2016).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity^® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity^® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Albert R. Gamper, Jr. (1942)

Year of Election or Appointment: 2007

Trustee

Mr. Gamper also serves as Trustee of other Fidelity^® funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity^® funds and as Chairman of the Board of Governors, Rutgers University (2004-2007).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity^® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007), and Chase Manhattan Bank (1975-1978).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Vice Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity^® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Mr. Kenneally also serves as Trustee of other Fidelity^® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2007

Trustee

Chairman of the Independent Trustees

Ms. Knowles also serves as Trustee of other Fidelity^® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity^® funds (2012-2015).

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity^® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (UK) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2013

President and Treasurer

Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello is an employee of Fidelity Investments (1995-present).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2017

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as Chief Investment Officer of FMR's Bond Group (2017-present) and is an employee of Fidelity Investments (2001-present).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity^® funds (2008-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity^® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity^® funds (2013-2016).

Christine J. Thompson (1958)

Year of Election or Appointment: 2015

Vice President of Fidelity's Bond Funds

Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012).

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2017 to September 30, 2017).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

	Annualized Expense Ratio-^A	Beginning Account Value April 1, 2017	Ending Account Value September 30, 2017	Expenses Paid During Period-^B April 1, 2017 to September 30, 2017
Actual	.0010%	$1,000.00	$1,002.90	$.01
Hypothetical-^C		$1,000.00	$1,025.06	$.01

^A Annualized expense ratio reflects expenses net of applicable fee waivers.

^B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).

^C 5% return per year before expenses

Distributions (Unaudited)

A total of 98.80% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $1,287,748 of distributions paid during the period January 1, 2017 to September 30, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2018 of amounts for use in preparing 2017 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Inflation-Protected Bond Index Central Fund

Each year, the Board of Directors, including the Independent Directors (together, the Board), votes on the renewal of the management contract with Fidelity Investments Money Management, Inc. (FIMM) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FIMM and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Directors' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Directors with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Directors are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2017 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Directors' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.

Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Directors also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer a liquid investment option for other Fidelity funds and accounts and ultimately to enhance the performance of those funds and accounts.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Competitiveness of Management Fee and Total Expense Ratio. The Board considered that while the fund does not pay a management fee, Fidelity Management & Research Company (FMR) pays FIMM a management fee for providing services to the fund and that FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR bears all expenses of the fund, except expenses related to the fund's investment activities (primarily custody expenses). Based on its review, the Board concluded that the management fee received for providing services to the fund and the fund's total expense ratio were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of the funds that invest in this fund.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.

Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities, economies of scale cannot be realized by the fund.

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) the terms of Fidelity's contractual and voluntary expense cap and waiver arrangements with the funds; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) Fidelity's long-term expectations for its offerings in the workplace investing channel; (ix) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (x) the approach to considering "fall-out" benefits; (xi) the impact of money market reform on Fidelity's money market funds, including with respect to costs and profitability; (xii) the funds' share class structures and distribution channels, including the impact of the Department of Labor's new fiduciary rule on the funds' distribution arrangements; and (xiii) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.

Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

IPB-ANN-1117
1.938133.105

Fidelity® Investment Grade Bond Central Fund

Annual Report

September 30, 2017

Contents

Performance
Management's Discussion of Fund Performance
Investment Summary
Investments
Financial Statements
Notes to Financial Statements
Report of Independent Registered Public Accounting Firm
Directors and Officers (Trustees and Officers)
Shareholder Expense Example
Distributions
Board Approval of Investment Advisory Contracts and Management Fees

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

Performance: The Bottom Line

Average Annual Total Returns

For the periods ended September 30, 2017	Past 1 year	Past 5 years	Past 10 years
Fidelity® Investment Grade Bond Central Fund	1.52%	2.74%	4.65%

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Investment Grade Bond Central Fund on September 30, 2007.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Aggregate Bond Index performed over the same period.

	Period Ending Values
	$15,757	Fidelity® Investment Grade Bond Central Fund
	$15,196	Bloomberg Barclays U.S. Aggregate Bond Index

Effective August 24, 2016, all Barclays benchmark indices were co-branded as the Bloomberg Barclays Indices for a period of five years.

Management's Discussion of Fund Performance

Market Recap: U.S. taxable investment-grade bonds were roughly flat for the 12 months ending September 30, 2017, as yields increased markedly following the U.S. presidential election, then moderated. The Bloomberg Barclays U.S. Aggregate Bond Index gained 0.07% for the year. Bond yields surged in November and December 2016, as many investors viewed President Donald Trump’s economic agenda as stimulative and potentially inflationary. Yields also rode the Fed’s decision in December to raise policy interest rates. Longer-term bond yields declined slightly through August, despite two additional policy-rate hikes, as it became clear that changes to tax, health care and fiscal policies proposed by the Trump administration would take time to develop and implement. Yields then ticked higher in September, amid expectations for a policy-rate hike in December, as well as proposed tax changes by Republicans that some investors believed had the potential to increase federal borrowing. Within the Bloomberg Barclays index, investment-grade corporate bonds led all major market segments, up 2.21%, while U.S. Treasuries returned -1.67%. Most securitized sectors rose only slightly. Outside the index, riskier, non-core fixed-income segments led the broader market, while Treasury Inflation-Protected Securities (TIPS) returned -0.73%, according to Bloomberg Barclays.

Comments from Co-Portfolio Manager Jeffrey Moore: For the fiscal year, the fund gained 1.52%, outperforming the benchmark Bloomberg Barclays U.S. Aggregate Bond Index, which advanced 0.07%. Owning higher-yielding assets, especially early in the period, helped. More specifically, the fund’s overweighting in investment-grade corporate bonds contributed to the relative return, especially in the financial sector. Investments in certain government-related bonds contributed versus the index, as well, with some of the strongest results coming from holdings in two state-owned oil companies: Pemex (Mexico) and Petrobras (Brazil). In contrast, it modestly hurt to have a roughly 3% allocation to cash, on average, which lagged the index. An underweighting in industrial bonds, especially in the basic industry and technology categories, also hampered results. We began to scale back our longtime overweighting in corporate bonds after the fourth quarter of 2016, redeploying more of the fund's assets into Treasuries, which at period end struck us as the better relative value. Although the fund finished the period modestly overweighted in Treasuries, our average underweighting during the 12-month time frame was a source of relative outperformance.

Note to Shareholders: On October 1, 2016, Michael Plage joined Jeffrey Moore as Co-Portfolio Manager of the fund.

Investment Summary (Unaudited)

Quality Diversification (% of fund's net assets)

As of September 30, 2017
	U.S. Government and U.S. Government Agency Obligations	60.3%
	AAA	0.2%
	AA	0.6%
	A	4.8%
	BBB	25.4%
	BB and Below	8.3%
	Not Rated	0.2%
	Short-Term Investments and Net Other Assets	0.2%

As of March 31, 2017
	U.S. Government and U.S. Government Agency Obligations	54.2%
	AAA	0.7%
	AA	0.7%
	A	5.0%
	BBB	26.4%
	BB and Below	8.5%
	Not Rated	0.2%
	Short-Term Investments and Net Other Assets	4.3%

Asset Allocation (% of fund's net assets)

As of September 30, 2017^,^*
	Corporate Bonds	34.8%
	U.S. Government and U.S. Government Agency Obligations	60.3%
	Asset-Backed Securities	0.8%
	CMOs and Other Mortgage Related Securities	0.8%
	Municipal Bonds	1.7%
	Other Investments	1.4%
	Short-Term Investments and Net Other Assets (Liabilities)	0.2%

* Foreign investments - 10.1%

** Futures and Swaps - 0.0%

As of March 31, 2017^,^*
	Corporate Bonds	35.3%
	U.S. Government and U.S. Government Agency Obligations	54.2%
	Asset-Backed Securities	0.9%
	CMOs and Other Mortgage Related Securities	2.0%
	Municipal Bonds	1.9%
	Other Investments	1.4%
	Short-Term Investments and Net Other Assets (Liabilities)	4.3%

* Foreign investments - 10.3%

** Futures and Swaps - 0.0%

Percentages shown as 0.0% may reflect amounts less than 0.05%.

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Investments September 30, 2017

Showing Percentage of Net Assets

Nonconvertible Bonds - 34.8%
	Principal Amount	Value
CONSUMER DISCRETIONARY - 2.5%
Automobiles - 1.0%
General Motors Co. 3.5% 10/2/18	$6,330,000	$6,432,584
General Motors Financial Co., Inc.:
3.15% 1/15/20	10,728,000	10,913,904
3.25% 5/15/18	3,325,000	3,354,737
3.5% 7/10/19	7,458,000	7,637,678
4.25% 5/15/23	3,750,000	3,916,498
4.375% 9/25/21	36,356,000	38,532,459
		70,787,860
Hotels, Restaurants & Leisure - 0.1%
McDonald's Corp.:
2.75% 12/9/20	1,416,000	1,442,470
3.7% 1/30/26	3,733,000	3,887,892
		5,330,362
Media - 1.4%
21st Century Fox America, Inc. 7.75% 12/1/45	3,776,000	5,715,994
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
4.464% 7/23/22	9,542,000	10,077,175
4.908% 7/23/25	6,415,000	6,855,409
5.375% 5/1/47 (a)	7,875,000	8,148,590
6.484% 10/23/45	2,345,000	2,755,844
Time Warner Cable, Inc.:
4% 9/1/21	17,166,000	17,830,354
4.5% 9/15/42	2,999,000	2,840,773
5.5% 9/1/41	2,836,000	2,943,259
6.55% 5/1/37	12,789,000	15,014,892
7.3% 7/1/38	4,675,000	5,865,549
8.25% 4/1/19	13,760,000	14,959,517
Time Warner, Inc.:
4.9% 6/15/42	5,000,000	5,082,140
6.2% 3/15/40	7,609,000	8,952,343
		107,041,839

TOTAL CONSUMER DISCRETIONARY		183,160,061

CONSUMER STAPLES - 2.2%
Beverages - 1.2%
Anheuser-Busch InBev Finance, Inc.:
2.65% 2/1/21	15,074,000	15,315,098
3.3% 2/1/23	16,234,000	16,825,613
3.65% 2/1/26	17,610,000	18,210,944
4.7% 2/1/36	15,370,000	17,013,698
4.9% 2/1/46	17,579,000	20,006,399
		87,371,752
Food & Staples Retailing - 0.3%
CVS Health Corp.:
3.5% 7/20/22	4,175,000	4,341,905
3.875% 7/20/25	6,993,000	7,291,231
Walgreens Boots Alliance, Inc.:
2.7% 11/18/19	4,256,000	4,313,591
3.3% 11/18/21	5,048,000	5,212,156
		21,158,883
Tobacco - 0.7%
Altria Group, Inc.:
4% 1/31/24	4,065,000	4,316,364
9.25% 8/6/19	1,502,000	1,700,896
Imperial Tobacco Finance PLC:
3.75% 7/21/22 (a)	7,942,000	8,255,446
4.25% 7/21/25 (a)	7,942,000	8,374,165
Reynolds American, Inc.:
2.3% 6/12/18	2,779,000	2,791,181
4% 6/12/22	5,439,000	5,744,166
5.7% 8/15/35	2,047,000	2,399,520
6.15% 9/15/43	7,130,000	8,936,392
7.25% 6/15/37	9,291,000	12,718,925
		55,237,055

TOTAL CONSUMER STAPLES		163,767,690

ENERGY - 6.3%
Energy Equipment & Services - 0.1%
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21	3,309,000	3,563,087
Noble Holding International Ltd.:
5.75% 3/16/18	569,000	573,637
7.7% 4/1/25 (b)	3,629,000	3,102,795
8.7% 4/1/45 (b)	3,503,000	2,907,490
		10,147,009
Oil, Gas & Consumable Fuels - 6.2%
Amerada Hess Corp. 7.875% 10/1/29	3,538,000	4,291,972
Anadarko Finance Co. 7.5% 5/1/31	5,962,000	7,416,246
Anadarko Petroleum Corp.:
4.85% 3/15/21	2,359,000	2,501,171
5.55% 3/15/26	4,842,000	5,398,372
6.6% 3/15/46	6,610,000	8,179,392
BP Capital Markets PLC 4.5% 10/1/20	3,295,000	3,526,844
Canadian Natural Resources Ltd. 5.85% 2/1/35	3,547,000	4,013,944
Cenovus Energy, Inc. 4.25% 4/15/27 (a)	7,623,000	7,554,924
Columbia Pipeline Group, Inc.:
2.45% 6/1/18	1,496,000	1,501,130
3.3% 6/1/20	7,369,000	7,541,281
4.5% 6/1/25	2,235,000	2,386,899
DCP Midstream LLC:
4.75% 9/30/21 (a)	5,140,000	5,268,500
5.35% 3/15/20 (a)	4,099,000	4,283,455
DCP Midstream Operating LP:
2.5% 12/1/17	2,739,000	2,739,274
2.7% 4/1/19	6,241,000	6,209,795
3.875% 3/15/23	9,216,000	9,031,680
5.6% 4/1/44	9,458,000	8,819,585
Enable Midstream Partners LP:
2.4% 5/15/19 (b)	2,382,000	2,374,742
3.9% 5/15/24 (b)	2,513,000	2,525,641
Enbridge Energy Partners LP 4.2% 9/15/21	791,000	826,494
Enbridge, Inc.:
4.25% 12/1/26	2,430,000	2,554,649
5.5% 12/1/46	2,804,000	3,219,168
Enterprise Products Operating LP:
1.65% 5/7/18	3,253,000	3,251,812
2.55% 10/15/19	1,568,000	1,582,285
3.7% 2/15/26	8,000,000	8,213,194
Marathon Petroleum Corp. 5.125% 3/1/21	2,718,000	2,956,942
Nakilat, Inc. 6.067% 12/31/33 (a)	2,653,000	3,123,908
Petrobras Global Finance BV:
4.375% 5/20/23	45,164,000	44,644,614
5.625% 5/20/43	20,715,000	18,488,138
6.25% 3/17/24	1,950,000	2,083,575
7.25% 3/17/44	14,448,000	15,043,980
Petrobras International Finance Co. Ltd. 5.375% 1/27/21	20,882,000	22,030,510
Petroleos Mexicanos:
3.5% 7/23/20	69,400,000	70,857,400
4.5% 1/23/26	11,975,000	11,954,643
4.625% 9/21/23	10,480,000	10,824,792
4.875% 1/18/24	5,463,000	5,665,131
5.625% 1/23/46	10,000,000	9,300,000
6.375% 1/23/45	21,014,000	21,381,745
6.5% 3/13/27 (a)	6,600,000	7,314,318
6.5% 6/2/41	22,489,000	23,512,250
6.75% 9/21/47 (a)	7,020,000	7,468,578
Phillips 66 Partners LP 2.646% 2/15/20	617,000	620,727
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22	8,636,000	8,679,274
Spectra Energy Capital, LLC 3.3% 3/15/23	5,000,000	5,017,586
Spectra Energy Partners LP 2.95% 9/25/18	1,225,000	1,237,496
The Williams Companies, Inc.:
3.7% 1/15/23	2,215,000	2,203,925
4.55% 6/24/24	24,070,000	24,912,450
Western Gas Partners LP:
2.6% 8/15/18	6,735,000	6,765,432
4.65% 7/1/26	1,646,000	1,724,568
5.375% 6/1/21	10,236,000	10,959,909
Williams Partners LP:
4% 11/15/21	1,074,000	1,121,075
4.125% 11/15/20	1,086,000	1,136,903
4.3% 3/4/24	5,461,000	5,759,255
		462,001,573

TOTAL ENERGY		472,148,582

FINANCIALS - 13.6%
Banks - 7.3%
Banco Nacional de Desenvolvimento Economico e Social 5.5% 7/12/20 (a)	32,172,000	33,820,815
Bank of America Corp.:
3.5% 4/19/26	16,328,000	16,596,908
3.705% 4/24/28 (b)	50,000,000	51,036,548
3.875% 8/1/25	3,792,000	3,970,743
3.95% 4/21/25	6,208,000	6,391,948
4.25% 10/22/26	7,558,000	7,903,875
5.65% 5/1/18	3,780,000	3,866,273
5.875% 1/5/21	3,255,000	3,604,038
Barclays PLC:
2.75% 11/8/19	6,297,000	6,363,074
4.375% 1/12/26	7,220,000	7,538,351
Citigroup, Inc.:
3.875% 3/26/25	15,450,000	15,802,714
4.05% 7/30/22	2,408,000	2,522,020
4.3% 11/20/26	17,000,000	17,699,660
5.5% 9/13/25	2,779,000	3,117,957
Citizens Bank NA 2.55% 5/13/21	2,275,000	2,284,002
Citizens Financial Group, Inc.:
4.15% 9/28/22 (a)	6,796,000	7,076,592
4.3% 12/3/25	14,216,000	14,875,771
Credit Suisse Group Funding Guernsey Ltd.:
2.75% 3/26/20	7,788,000	7,867,789
3.75% 3/26/25	7,780,000	7,922,125
3.8% 9/15/22	11,780,000	12,224,278
3.8% 6/9/23	12,499,000	12,933,924
Discover Bank 7% 4/15/20	5,075,000	5,596,317
Fifth Third Bancorp:
4.5% 6/1/18	2,119,000	2,157,910
8.25% 3/1/38	1,976,000	3,002,970
HBOS PLC 6.75% 5/21/18 (a)	3,118,000	3,210,693
HSBC Holdings PLC:
4.25% 3/14/24	3,929,000	4,106,305
5.25% 3/14/44	2,847,000	3,343,564
Huntington Bancshares, Inc. 7% 12/15/20	1,211,000	1,376,425
Intesa Sanpaolo SpA 5.017% 6/26/24 (a)	5,036,000	5,118,056
JPMorgan Chase & Co.:
2.95% 10/1/26	18,469,000	18,068,073
3.875% 9/10/24	50,822,000	52,882,468
4.125% 12/15/26	32,394,000	33,912,550
MUFG Americas Holdings Corp. 2.25% 2/10/20	7,416,000	7,428,600
Rabobank Nederland 4.375% 8/4/25	12,226,000	12,833,932
Regions Bank 6.45% 6/26/37	7,667,000	9,495,833
Regions Financial Corp. 3.2% 2/8/21	4,129,000	4,218,639
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	40,908,000	43,511,590
6% 12/19/23	41,227,000	45,844,708
6.1% 6/10/23	22,609,000	25,053,779
6.125% 12/15/22	11,163,000	12,301,017
Synchrony Bank 3% 6/15/22	6,289,000	6,271,607
		545,154,441
Capital Markets - 4.1%
Affiliated Managers Group, Inc.:
3.5% 8/1/25	9,033,000	9,105,037
4.25% 2/15/24	3,486,000	3,678,202
Credit Suisse AG 6% 2/15/18	13,023,000	13,222,285
Deutsche Bank AG:
4.25% 10/14/21	2,778,000	2,910,110
4.5% 4/1/25	17,307,000	17,358,635
Deutsche Bank AG London Branch:
1.875% 2/13/18	40,527,000	40,534,765
2.85% 5/10/19	10,792,000	10,898,675
Goldman Sachs Group, Inc.:
2.625% 1/31/19	17,288,000	17,435,788
2.9% 7/19/18	10,067,000	10,158,689
5.15% 5/22/45	9,000,000	10,297,135
5.25% 7/27/21	5,219,000	5,733,367
5.75% 1/24/22	5,977,000	6,707,398
6.75% 10/1/37	18,359,000	24,210,095
IntercontinentalExchange, Inc. 3.75% 12/1/25	4,530,000	4,751,347
Lazard Group LLC 4.25% 11/14/20	5,574,000	5,887,460
Moody's Corp.:
3.25% 1/15/28 (a)	3,317,000	3,293,081
4.875% 2/15/24	3,115,000	3,440,166
Morgan Stanley:
2.375% 7/23/19	8,748,000	8,802,739
3.125% 7/27/26	18,543,000	18,180,754
4% 7/23/25	10,033,000	10,573,630
4.875% 11/1/22	27,262,000	29,536,765
5% 11/24/25	15,331,000	16,796,316
5.75% 1/25/21	13,341,000	14,727,645
7.3% 5/13/19	3,747,000	4,055,683
Peachtree Corners Funding Trust 3.976% 2/15/25 (a)	8,000,000	8,144,946
UBS AG Stamford Branch 2.35% 3/26/20	3,650,000	3,672,831
		304,113,544
Consumer Finance - 0.7%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22	2,393,000	2,449,666
Discover Financial Services:
3.85% 11/21/22	4,015,000	4,122,893
3.95% 11/6/24	5,006,000	5,122,843
5.2% 4/27/22	3,503,000	3,806,718
Ford Motor Credit Co. LLC 2.24% 6/15/18	9,072,000	9,100,474
Hyundai Capital America:
2% 3/19/18 (a)	10,511,000	10,514,818
2.125% 10/2/17 (a)	7,543,000	7,543,000
Synchrony Financial:
3% 8/15/19	2,690,000	2,733,674
3.75% 8/15/21	4,062,000	4,189,064
4.25% 8/15/24	4,089,000	4,250,976
		53,834,126
Diversified Financial Services - 0.2%
Brixmor Operating Partnership LP 4.125% 6/15/26	6,959,000	7,014,452
Voya Financial, Inc. 3.125% 7/15/24	3,911,000	3,858,197
		10,872,649
Insurance - 1.3%
American International Group, Inc. 3.75% 7/10/25	13,815,000	14,261,844
Aon Corp. 5% 9/30/20	1,574,000	1,694,354
Aon PLC 4% 11/27/23	13,880,000	14,778,832
Great-West Life & Annuity Insurance Co. 3 month U.S. LIBOR + 2.538% 3.8522% 5/16/46 (a)(b)(c)	11,559,000	11,327,820
Liberty Mutual Group, Inc.:
5% 6/1/21 (a)	5,457,000	5,909,914
6.5% 3/15/35 (a)	4,626,000	5,744,096
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	2,958,000	3,202,853
Pacific Life Insurance Co. 9.25% 6/15/39 (a)	4,111,000	6,749,046
Pacific LifeCorp 6% 2/10/20 (a)	1,301,000	1,402,509
Prudential Financial, Inc. 7.375% 6/15/19	1,370,000	1,493,868
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (a)	13,676,000	15,436,621
TIAA Asset Management Finance LLC:
2.95% 11/1/19 (a)	2,167,000	2,202,776
4.125% 11/1/24 (a)	3,142,000	3,306,899
Unum Group:
5.625% 9/15/20	3,364,000	3,662,986
5.75% 8/15/42	6,479,000	7,709,380
		98,883,798

TOTAL FINANCIALS		1,012,858,558

HEALTH CARE - 1.6%
Health Care Equipment & Supplies - 0.0%
Becton, Dickinson & Co. 2.675% 12/15/19	1,950,000	1,973,150
Health Care Providers & Services - 0.9%
HCA Holdings, Inc.:
3.75% 3/15/19	11,294,000	11,533,998
4.25% 10/15/19	4,510,000	4,667,850
4.75% 5/1/23	360,000	379,800
5.875% 3/15/22	430,000	476,225
6.5% 2/15/20	38,271,000	41,667,551
Medco Health Solutions, Inc. 4.125% 9/15/20	3,053,000	3,204,544
		61,929,968
Life Sciences Tools & Services - 0.0%
Thermo Fisher Scientific, Inc. 4.15% 2/1/24	1,911,000	2,039,094
Pharmaceuticals - 0.7%
Actavis Funding SCS:
3% 3/12/20	6,503,000	6,638,152
3.45% 3/15/22	11,300,000	11,726,534
Mylan N.V.:
2.5% 6/7/19	5,537,000	5,558,283
3.15% 6/15/21	11,288,000	11,483,164
3.95% 6/15/26	3,635,000	3,699,391
Perrigo Finance PLC 3.5% 12/15/21	767,000	789,836
Teva Pharmaceutical Finance Netherlands III BV:
2.2% 7/21/21	5,242,000	5,041,240
3.15% 10/1/26	4,467,000	4,116,490
Zoetis, Inc. 3.25% 2/1/23	2,189,000	2,262,847
		51,315,937

TOTAL HEALTH CARE		117,258,149

INDUSTRIALS - 0.6%
Airlines - 0.0%
Continental Airlines, Inc. 6.545% 2/2/19	349,447	361,678
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	184,408	188,096
8.36% 1/20/19	1,039,666	1,039,666
		1,589,440
Trading Companies & Distributors - 0.5%
Air Lease Corp.:
2.125% 1/15/18	3,898,000	3,902,238
3.375% 6/1/21	3,658,000	3,772,295
3.75% 2/1/22	7,687,000	8,013,798
3.875% 4/1/21	7,380,000	7,706,139
4.25% 9/15/24	6,449,000	6,797,765
4.75% 3/1/20	6,486,000	6,860,831
		37,053,066
Transportation Infrastructure - 0.1%
BNSF Funding Trust I 6.613% 12/15/55 (b)	2,756,000	3,162,510

TOTAL INDUSTRIALS		41,805,016

INFORMATION TECHNOLOGY - 0.1%
Technology Hardware, Storage & Peripherals - 0.1%
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b)	7,460,000	7,947,521
MATERIALS - 0.2%
Chemicals - 0.0%
The Dow Chemical Co. 4.25% 11/15/20	1,596,000	1,684,896
Metals & Mining - 0.2%
Anglo American Capital PLC 4.125% 9/27/22 (a)	2,677,000	2,781,497
BHP Billiton Financial (U.S.A.) Ltd. 6.25% 10/19/75 (a)(b)	3,054,000	3,351,765
Corporacion Nacional del Cobre de Chile (Codelco):
3.625% 8/1/27 (a)	2,325,000	2,316,491
4.5% 8/1/47 (a)	2,360,000	2,396,037
		10,845,790

TOTAL MATERIALS		12,530,686

REAL ESTATE - 4.8%
Equity Real Estate Investment Trusts (REITs) - 2.8%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	1,599,000	1,614,624
4.6% 4/1/22	1,840,000	1,962,904
American Campus Communities Operating Partnership LP 3.75% 4/15/23	1,612,000	1,658,595
American Tower Corp. 2.8% 6/1/20	14,800,000	15,021,723
Camden Property Trust:
2.95% 12/15/22	2,214,000	2,211,153
4.25% 1/15/24	5,830,000	6,169,093
Corporate Office Properties LP 5% 7/1/25	3,811,000	4,090,278
DDR Corp.:
3.5% 1/15/21	21,013,000	21,320,352
3.625% 2/1/25	4,232,000	4,112,827
3.9% 8/15/24	1,037,000	1,041,906
4.25% 2/1/26	2,872,000	2,879,456
4.625% 7/15/22	3,879,000	4,109,961
Duke Realty LP:
3.25% 6/30/26	1,063,000	1,050,779
4.375% 6/15/22	13,137,000	14,033,149
Equity One, Inc. 3.75% 11/15/22	7,500,000	7,726,797
ERP Operating LP:
2.375% 7/1/19	4,920,000	4,959,390
4.75% 7/15/20	3,181,000	3,390,140
Federal Realty Investment Trust 5.9% 4/1/20	1,116,000	1,215,408
Government Properties Income Trust 3.75% 8/15/19	7,823,000	7,933,225
Health Care REIT, Inc. 2.25% 3/15/18	2,380,000	2,385,912
Highwoods/Forsyth LP 3.2% 6/15/21	4,698,000	4,760,101
Lexington Corporate Properties Trust 4.4% 6/15/24	2,739,000	2,756,909
Omega Healthcare Investors, Inc.:
4.375% 8/1/23	12,759,000	13,146,956
4.5% 1/15/25	4,308,000	4,370,135
4.5% 4/1/27	26,195,000	26,168,558
4.75% 1/15/28	8,836,000	8,867,369
4.95% 4/1/24	2,418,000	2,534,039
5.25% 1/15/26	9,242,000	9,755,631
Retail Opportunity Investments Partnership LP:
4% 12/15/24	1,683,000	1,633,388
5% 12/15/23	1,288,000	1,340,615
Weingarten Realty Investors 3.375% 10/15/22	1,137,000	1,157,086
WP Carey, Inc.:
4% 2/1/25	8,901,000	8,975,995
4.6% 4/1/24	14,578,000	15,274,296
		209,628,750
Real Estate Management & Development - 2.0%
Brandywine Operating Partnership LP:
3.95% 2/15/23	6,843,000	6,945,608
4.1% 10/1/24	7,694,000	7,724,596
4.55% 10/1/29	8,071,000	8,164,645
4.95% 4/15/18	4,871,000	4,936,666
CBRE Group, Inc. 4.875% 3/1/26	19,900,000	21,442,355
Digital Realty Trust LP 3.95% 7/1/22	5,514,000	5,812,226
Essex Portfolio LP 3.875% 5/1/24	5,285,000	5,493,265
Healthcare Trust of America Holdings LP 3.375% 7/15/21	11,576,000	11,892,267
Liberty Property LP:
3.25% 10/1/26	2,798,000	2,733,276
3.375% 6/15/23	3,033,000	3,073,931
4.125% 6/15/22	2,690,000	2,833,960
4.75% 10/1/20	4,767,000	5,057,438
Mack-Cali Realty LP:
2.5% 12/15/17	4,124,000	4,126,137
3.15% 5/15/23	10,776,000	10,232,234
4.5% 4/18/22	11,607,000	11,937,299
Mid-America Apartments LP 4% 11/15/25	1,859,000	1,931,171
Post Apartment Homes LP 3.375% 12/1/22	1,090,000	1,114,730
Tanger Properties LP:
3.125% 9/1/26	3,700,000	3,474,432
3.75% 12/1/24	5,090,000	5,101,458
3.875% 12/1/23	3,062,000	3,115,237
3.875% 7/15/27	10,856,000	10,762,312
Ventas Realty LP:
3.125% 6/15/23	1,879,000	1,885,427
3.5% 2/1/25	2,171,000	2,178,746
4.125% 1/15/26	2,587,000	2,693,332
4.375% 2/1/45	1,297,000	1,282,055
Ventas Realty LP/Ventas Capital Corp. 4% 4/30/19	2,187,000	2,242,788
		148,187,591

TOTAL REAL ESTATE		357,816,341

TELECOMMUNICATION SERVICES - 1.0%
Diversified Telecommunication Services - 1.0%
AT&T, Inc.:
2.45% 6/30/20	5,357,000	5,394,241
3.6% 2/17/23	9,669,000	9,945,123
5.875% 10/1/19	5,356,000	5,753,878
BellSouth Capital Funding Corp. 7.875% 2/15/30	255,000	338,659
CenturyLink, Inc. 6.15% 9/15/19	3,031,000	3,182,550
Verizon Communications, Inc.:
3.45% 3/15/21	20,069,000	20,859,378
4.522% 9/15/48	4,070,000	3,936,167
5.012% 4/15/49	24,694,000	25,446,522
		74,856,518
UTILITIES - 1.9%
Electric Utilities - 1.3%
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (a)	3,561,000	4,000,210
6.4% 9/15/20 (a)	11,762,000	13,067,547
Exelon Corp. 3.95% 6/15/25	7,417,000	7,744,994
FirstEnergy Corp.:
4.25% 3/15/23	28,183,000	29,807,182
7.375% 11/15/31	10,199,000	13,561,078
FirstEnergy Solutions Corp. 6.05% 8/15/21	12,455,000	5,916,125
IPALCO Enterprises, Inc.:
3.45% 7/15/20	13,000,000	13,130,000
3.7% 9/1/24 (a)	2,954,000	2,960,042
LG&E and KU Energy LLC 3.75% 11/15/20	612,000	636,350
TECO Finance, Inc. 5.15% 3/15/20	1,651,000	1,760,721
		92,584,249
Gas Utilities - 0.0%
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	1,578,000	1,671,433
Independent Power and Renewable Electricity Producers - 0.0%
Emera U.S. Finance LP:
2.15% 6/15/19	1,748,000	1,748,520
2.7% 6/15/21	1,721,000	1,729,870
		3,478,390
Multi-Utilities - 0.6%
Dominion Resources, Inc.:
3 month U.S. LIBOR + 2.300% 3.5964% 9/30/66 (b)(c)	21,923,000	20,103,391
3 month U.S. LIBOR + 2.825% 4.1214% 6/30/66 (b)(c)	5,100,000	4,972,500
Puget Energy, Inc.:
6% 9/1/21	8,731,000	9,775,512
6.5% 12/15/20	2,803,000	3,130,882
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 3.4275% 5/15/67 (b)(c)	3,850,000	3,695,962
		41,678,247

TOTAL UTILITIES		139,412,319

TOTAL NONCONVERTIBLE BONDS
(Cost $2,493,827,854)		2,583,561,441

U.S. Government and Government Agency Obligations - 40.6%
U.S. Treasury Inflation-Protected Obligations - 9.3%
U.S. Treasury Inflation-Indexed Bonds:
0.75% 2/15/45	$151,092,779	$144,151,251
1% 2/15/46	71,148,908	72,192,806
U.S. Treasury Inflation-Indexed Notes:
0.125% 4/15/19	70,306,291	70,583,435
0.125% 4/15/20	72,856,713	73,217,619
0.375% 7/15/25	330,189,732	330,233,424

TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS		690,378,535

U.S. Treasury Obligations - 31.3%
U.S. Treasury Bonds:
2.5% 2/15/46 (d)	98,520,000	91,577,419
3% 11/15/45	62,742,000	64,526,226
3% 2/15/47	110,439,000	113,523,527
U.S. Treasury Notes:
0.75% 9/30/18	385,000,000	382,668,944
0.875% 3/31/18	71,200,000	71,066,312
1.25% 10/31/21	466,359,000	455,793,054
1.75% 6/30/22	820,066,000	813,851,431
2% 9/30/24	106,631,000	106,297,778
2% 11/15/26	42,703,000	41,595,391
2.125% 7/31/24	96,039,000	95,847,672
2.375% 5/15/27	15,000,000	15,055,664
2.875% 3/31/18	69,606,000	70,165,969

TOTAL U.S. TREASURY OBLIGATIONS		2,321,969,387

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $3,023,701,321)		3,012,347,922

U.S. Government Agency - Mortgage Securities - 19.9%
Fannie Mae - 9.7%
12 month U.S. LIBOR + 1.479% 3.198% 5/1/33 (b)(c)	6,834	7,118
12 month U.S. LIBOR + 1.553% 3.322% 6/1/36 (b)(c)	73,446	75,858
12 month U.S. LIBOR + 1.650% 3.362% 7/1/35 (b)(c)	256,863	265,686
12 month U.S. LIBOR + 1.728% 3.378% 11/1/36 (b)(c)	569,422	600,494
12 month U.S. LIBOR + 1.745% 3.374% 7/1/35 (b)(c)	72,741	76,714
12 month U.S. LIBOR + 1.878% 3.563% 3/1/36 (b)(c)	200,459	212,553
12 month U.S. LIBOR + 1.900% 3.718% 7/1/37 (b)(c)	110,151	116,951
12 month U.S. LIBOR + 1.906% 3.654% 5/1/36 (b)(c)	235,915	248,700
6 month U.S. LIBOR + 1.313% 2.688% 5/1/34 (b)(c)	467,267	478,914
6 month U.S. LIBOR + 1.383% 2.697% 9/1/33 (b)(c)	366,116	375,111
6 month U.S. LIBOR + 1.535% 2.91% 12/1/34 (b)(c)	55,268	57,109
6 month U.S. LIBOR + 1.535% 2.91% 3/1/35 (b)(c)	27,059	27,973
6 month U.S. LIBOR + 2.460% 3.875% 3/1/36 (b)(c)	217,778	227,884
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (b)(c)	23,028	24,351
U.S. TREASURY 1 YEAR INDEX + 2.232% 3.022% 8/1/36 (b)(c)	1,039,071	1,101,840
U.S. TREASURY 1 YEAR INDEX + 2.295% 2.798% 10/1/33 (b)(c)	44,600	47,061
U.S. TREASURY 1 YEAR INDEX + 2.475% 3.188% 5/1/35 (b)(c)	101,033	107,269
2.5% 2/1/43 to 8/1/43	9,332,341	9,106,323
3% 8/1/27 to 1/1/47	278,591,299	282,192,724
3% 10/1/32 (e)	10,600,000	10,889,015
3% 10/1/32 (e)	4,100,000	4,211,789
3% 10/1/32 (e)	3,850,000	3,954,973
3% 10/1/47 (e)	5,250,000	5,262,992
3.5% 12/1/25 to 5/1/47	131,130,404	136,065,644
3.5% 10/1/47 (e)	8,250,000	8,500,832
3.5% 10/1/47 (e)	8,250,000	8,500,832
4% 11/1/31 to 8/1/46	125,840,550	133,277,468
4% 10/1/47 (e)	2,900,000	3,052,110
4.5% 7/1/33 to 2/1/45	23,077,282	24,964,682
5% 10/1/21 to 11/1/44	32,151,324	35,182,299
5.5% 10/1/17	340	340
5.5% 2/1/18 to 9/1/41	19,195,297	21,482,559
6% 7/1/19 to 1/1/42	26,276,943	29,833,603
7% 3/1/23 to 6/1/32	873,664	996,975
7.5% 2/1/22 to 11/1/31	761,557	889,249
8% 6/1/29	587	700

TOTAL FANNIE MAE		722,416,695

Freddie Mac - 5.5%
12 month U.S. LIBOR + 1.800% 3.55% 5/1/35 (b)(c)	249,726	263,984
6 month U.S. LIBOR + 1.655% 3.03% 4/1/35 (b)(c)	271,067	281,895
6 month U.S. LIBOR + 2.755% 4.096% 10/1/35 (b)(c)	96,267	102,209
U.S. TREASURY 1 YEAR INDEX + 2.248% 2.972% 1/1/35 (b)(c)	27,375	28,819
2.5% 7/1/31	2,668,020	2,690,636
3% 10/1/28 to 1/1/47	96,119,453	97,409,120
3.5% 6/1/27 to 9/1/46	138,174,097	143,577,865
3.5% 8/1/47	16,629,915	17,156,316
4% 6/1/24 to 4/1/46	85,440,246	90,575,735
4.5% 7/1/25 to 10/1/41	21,866,305	23,663,891
5% 4/1/38 to 7/1/41	12,414,485	13,750,361
5.5% 11/1/33 to 6/1/41	17,523,078	19,601,469
6% 7/1/37 to 8/1/37	563,096	640,923
6.5% 9/1/39	883,415	1,014,623
7.5% 9/1/18 to 6/1/32	287,042	330,631
8% 7/1/25 to 4/1/27	13,547	15,714
8.5% 6/1/20 to 5/1/22	1,122	1,224

TOTAL FREDDIE MAC		411,105,415

Ginnie Mae - 4.7%
3.5% 1/15/41 to 7/20/46	86,876,463	90,734,958
4.5% 5/15/39 to 5/20/41	30,694,226	33,248,192
5% 3/15/39 to 9/15/41	5,252,139	5,814,285
5.5% 3/15/38 to 12/15/38	952,833	1,085,101
7% 6/15/24 to 9/15/32	1,832,486	2,138,451
7.5% 3/15/22 to 8/15/28	405,103	458,358
8% 4/15/24 to 12/15/25	39,021	44,324
8.5% 8/15/29 to 11/15/31	69,230	82,886
3% 12/20/42 to 4/20/47	130,315,978	132,353,171
3.5% 10/1/47 (e)	10,870,000	11,296,805
4% 9/15/40 to 1/20/47	64,190,692	68,221,493
4% 10/1/47 (e)	900,000	947,487

TOTAL GINNIE MAE		346,425,511

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $1,479,689,955)		1,479,947,621

Asset-Backed Securities - 0.8%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1 month U.S. LIBOR + 0.705% 1.9422% 4/25/35 (b)(c)	$431,966	$428,028
Airspeed Ltd. Series 2007-1A Class C1, 1 month U.S. LIBOR + 2.500% 3.7344% 6/15/32 (a)(b)(c)(f)	3,217,363	1,528,248
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1 month U.S. LIBOR + 1.050% 2.2872% 12/25/33 (b)(c)	21,836	21,183
Series 2004-R2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0622% 4/25/34 (b)(c)	58,421	53,432
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1 month U.S. LIBOR + 0.780% 2.0172% 3/25/34 (b)(c)	31,145	29,620
Series 2006-W4 Class A2C, 1 month U.S. LIBOR + 0.160% 1.3972% 5/25/36 (b)(c)	706,576	273,824
Blackbird Capital Aircraft Series 2016-1A:
Class A, 4.213% 12/16/41 (a)	13,432,000	14,010,288
Class AA, 2.487% 12/16/41 (a)	3,246,833	3,242,011
Capital Auto Receivables Asset Trust Series 2014-2 Class D, 2.81% 8/20/19	3,022,000	3,033,831
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 1 month U.S. LIBOR + 0.140% 1.3744% 12/25/36 (b)(c)	1,172,000	992,789
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 1 month U.S. LIBOR + 5.250% 6.4872% 3/25/32 (b)(c)	16,339	16,319
Series 2004-3 Class M4, 1 month U.S. LIBOR + 1.455% 2.6922% 4/25/34 (b)(c)	33,248	31,334
Series 2004-4 Class M2, 1 month U.S. LIBOR + 0.795% 2.0294% 6/25/34 (b)(c)	51,128	51,003
Series 2004-7 Class AF5, 5.868% 1/25/35	728,681	738,911
Credit Suisse First Boston Mortgage Securities Corp. Series 2003-5 Class A2, 1 month U.S. LIBOR + 0.700%1.9344% 12/25/33 (b)(c)	21,396	20,755
DB Master Finance LLC Series 2017-1A:
Class A2I, 3.629% 11/20/47 (a)(e)	4,849,000	4,848,515
Class A2II, 4.03% 11/20/47 (a)(e)	6,943,000	6,942,306
Fannie Mae Series 2004-T5 Class AB3, 1 month U.S. LIBOR + 0.392% 2.0983% 5/28/35 (b)(c)	25,289	24,359
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 1 month U.S. LIBOR + 2.175% 3.4122% 8/25/34 (b)(c)	137,471	134,967
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0622% 3/25/34 (b)(c)	1,134	1,014
Ford Credit Floorplan Master Owner Trust Series 2015-1 Class B, 1.62% 1/15/20	8,969,000	8,969,361
Fremont Home Loan Trust Series 2005-A Class M4, 1 month U.S. LIBOR + 1.020% 2.2572% 1/25/35 (b)(c)(f)	225,345	129,726
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3 month U.S. LIBOR + 0.380% 1.6972% 2/25/47 (a)(b)(c)	219,539	208,352
Grain Spectrum Funding II LLC Series 2014-1 3.29% 10/10/34 (a)	6,317,839	6,294,147
Home Equity Asset Trust:
Series 2003-2 Class M1, 1 month U.S. LIBOR + 1.320% 2.5544% 8/25/33 (b)(c)	460,079	465,373
Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.290% 2.5272% 8/25/33 (b)(c)	221,681	217,369
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 1 month U.S. LIBOR + 0.190% 1.4244% 1/25/37 (b)(c)	770,927	543,898
Long Beach Mortgage Loan Trust Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.125% 2.3622% 7/25/33 (b)(c)	1,833,192	1,818,180
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1 month U.S. LIBOR + 0.975% 2.2122% 7/25/34 (b)(c)	12,917	12,598
Series 2006-FM1 Class A2B, 1 month U.S. LIBOR + 0.110% 1.3444% 4/25/37 (b)(c)	1,432	878
Series 2006-OPT1 Class A1A, 1 month U.S. LIBOR + 0.520% 1.7572% 6/25/35 (b)(c)	363,581	352,543
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 1 month U.S. LIBOR + 0.680% 1.9172% 8/25/34 (b)(c)	37,283	36,095
Series 2004-NC6 Class M3, 1 month U.S. LIBOR + 2.175% 3.4122% 7/25/34 (b)(c)	94,481	92,139
Series 2004-NC8 Class M6, 1 month U.S. LIBOR + 1.875% 3.1122% 9/25/34 (b)(c)	111,331	111,182
Series 2005-NC1 Class M1, 1 month U.S. LIBOR + 0.660% 1.8944% 1/25/35 (b)(c)	72,468	72,532
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 1.7472% 9/25/35 (b)(c)	928,000	919,451
Park Place Securities, Inc. Series 2004-WCW1:
Class M3, 1 month U.S. LIBOR + 1.875% 3.1094% 9/25/34 (b)(c)	307,442	307,307
Class M4, 1 month U.S. LIBOR + 2.175% 3.4094% 9/25/34 (b)(c)	444,000	355,295
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1 month U.S. LIBOR + 0.800% 2.0372% 4/25/33 (b)(c)	3,323	3,055
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3 month U.S. LIBOR + 0.950% 2.27% 6/15/33 (b)(c)	77,721	77,642
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1 month U.S. LIBOR + 1.725% 2.9622% 9/25/34 (b)(c)	21,036	19,513
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.0944% 9/25/34 (b)(c)	18,730	17,874
TOTAL ASSET-BACKED SECURITIES
(Cost $58,243,154)		57,447,247

Collateralized Mortgage Obligations - 0.0%
Private Sponsor - 0.0%
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.4022% 2/25/37 (b)(c)	186,159	181,815
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.5244% 7/25/35 (b)(c)	695,025	686,441
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 1 month U.S. LIBOR + 2.350% 3.5806% 6/10/35 (a)(b)(c)	67,572	48,115
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.3127% 7/20/34 (b)(c)	12,301	12,142

TOTAL PRIVATE SPONSOR		928,513

U.S. Government Agency - 0.0%
Fannie Mae planned amortization class:
Series 1999-54 Class PH, 6.5% 11/18/29	926,528	972,104
Series 1999-57 Class PH, 6.5% 12/25/29	988,596	1,120,412

TOTAL U.S. GOVERNMENT AGENCY		2,092,516

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $2,706,870)		3,021,029

Commercial Mortgage Securities - 0.8%
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.8557% 2/14/43 (b)(g)	155,529	1,418
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI:
Class C, 1 month U.S. LIBOR + 2.050% 3.3767% 5/15/32 (a)(b)(c)	4,902,000	4,912,169
Class D, 1 month U.S. LIBOR + 2.900% 4.2267% 5/15/32 (a)(b)(c)	3,103,000	3,104,444
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1 month U.S. LIBOR + 0.850% 2.5122% 12/25/33 (a)(b)(c)	12,813	12,581
Series 2005-3A:
Class A2, 1 month U.S. LIBOR + 0.400% 1.6372% 11/25/35 (a)(b)(c)	101,202	96,288
Class M2, 1 month U.S. LIBOR + 0.490% 1.7272% 11/25/35 (a)(b)(c)	22,071	20,819
Class M3, 1 month U.S. LIBOR + 0.510% 1.7472% 11/25/35 (a)(b)(c)	19,783	18,593
Class M4, 1 month U.S. LIBOR + 0.600% 1.8372% 11/25/35 (a)(b)(c)	24,687	23,116
Series 2005-4A:
Class A2, 1 month U.S. LIBOR + 0.390% 1.6272% 1/25/36 (a)(b)(c)	373,287	350,043
Class B1, 1 month U.S. LIBOR + 1.400% 2.6372% 1/25/36 (a)(b)(c)	15,782	12,924
Class M1, 1 month U.S. LIBOR + 0.450% 1.6872% 1/25/36 (a)(b)(c)	120,486	112,170
Class M2, 1 month U.S. LIBOR + 0.470% 1.7072% 1/25/36 (a)(b)(c)	36,037	33,272
Class M3, 1 month U.S. LIBOR + 0.500% 1.7372% 1/25/36 (a)(b)(c)	52,781	48,305
Class M4, 1 month U.S. LIBOR + 0.610% 1.8472% 1/25/36 (a)(b)(c)	27,482	25,250
Class M5, 1 month U.S. LIBOR + 0.650% 1.8872% 1/25/36 (a)(b)(c)	27,482	20,980
Class M6, 1 month U.S. LIBOR + 0.700% 1.9372% 1/25/36 (a)(b)(c)	29,302	22,518
Series 2006-1:
Class A2, 1 month U.S. LIBOR + 0.360% 1.5972% 4/25/36 (a)(b)(c)	54,684	51,946
Class M6, 1 month U.S. LIBOR + 0.640% 1.8772% 4/25/36 (a)(b)(c)	18,407	16,718
Series 2006-2A:
Class M1, 1 month U.S. LIBOR + 0.310% 1.5472% 7/25/36 (a)(b)(c)	46,814	41,826
Class M2, 1 month U.S. LIBOR + 0.330% 1.5672% 7/25/36 (a)(b)(c)	32,994	29,390
Class M3, 1 month U.S. LIBOR + 0.350% 1.5872% 7/25/36 (a)(b)(c)	25,912	23,012
Class M4, 1 month U.S. LIBOR + 0.420% 1.6572% 7/25/36 (a)(b)(c)	17,447	15,494
Class M5, 1 month U.S. LIBOR + 0.470% 1.7072% 7/25/36 (a)(b)(c)	21,420	19,000
Series 2006-3A Class M4, 1 month U.S. LIBOR + 0.430% 1.6644% 10/25/36 (a)(b)(c)	15,278	12,288
Series 2006-4A:
Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 12/25/36 (a)(b)(c)	827,310	761,592
Class M1, 1 month U.S. LIBOR + 0.290% 1.5244% 12/25/36 (a)(b)(c)	59,743	46,124
Class M2, 1 month U.S. LIBOR + 0.310% 1.5444% 12/25/36 (a)(b)(c)	37,924	29,320
Class M3, 1 month U.S. LIBOR + 0.340% 1.5744% 12/25/36 (a)(b)(c)	38,443	22,044
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 3/25/37 (a)(b)(c)	153,019	142,307
Series 2007-2A:
Class A1, 1 month U.S. LIBOR + 0.270% 1.5022% 7/25/37 (a)(b)(c)	659,963	623,700
Class A2, 1 month U.S. LIBOR + 0.320% 1.5522% 7/25/37 (a)(b)(c)	618,229	579,376
Class M1, 1 month U.S. LIBOR + 0.370% 1.6022% 7/25/37 (a)(b)(c)	206,902	166,330
Class M2, 1 month U.S. LIBOR + 0.410% 1.6422% 7/25/37 (a)(b)(c)	79,578	64,110
Class M3, 1 month U.S. LIBOR + 0.490% 1.7222% 7/25/37 (a)(b)(c)	62,065	51,970
Series 2007-3:
Class A2, 1 month U.S. LIBOR + 0.290% 1.5222% 7/25/37 (a)(b)(c)	224,132	208,946
Class M1, 1 month U.S. LIBOR + 0.310% 1.5422% 7/25/37 (a)(b)(c)	117,293	106,366
Class M2, 1 month U.S. LIBOR + 0.340% 1.5722% 7/25/37 (a)(b)(c)	124,433	112,112
Class M3, 1 month U.S. LIBOR + 0.370% 1.6022% 7/25/37 (a)(b)(c)	203,733	155,793
Class M4, 1 month U.S. LIBOR + 0.500% 1.7322% 7/25/37 (a)(b)(c)	319,496	219,230
Class M5, 1 month U.S. LIBOR + 0.600% 1.8322% 7/25/37 (a)(b)(c)	117,393	63,874
Series 2007-4A Class M1, 1 month U.S. LIBOR + 0.950% 2.1844% 9/25/37 (a)(b)(c)	49	14
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class D, 3.768% 4/10/28 (a)	6,311,000	6,388,428
CSMC Series 2015-TOWN:
Class B, 1 month U.S. LIBOR + 1.900% 3.1267% 3/15/28 (a)(b)(c)	1,452,000	1,451,878
Class C, 1 month U.S. LIBOR + 2.250% 3.4767% 3/15/28 (a)(b)(c)	1,415,000	1,415,344
Class D, 1 month U.S. LIBOR + 3.200% 4.4267% 3/15/28 (a)(b)(c)	2,141,000	2,141,000
GAHR Commercial Mortgage Trust Series 2015-NRF:
Class BFX, 3.4949% 12/15/34 (a)(b)	7,520,000	7,644,639
Class CFX, 3.4949% 12/15/34 (a)(b)	6,312,000	6,396,361
Class DFX, 3.4949% 12/15/34 (a)(b)	5,350,000	5,404,402
MSCG Trust Series 2016-SNR:
Class A, 3.4596% 11/15/34 (a)(b)	7,491,000	7,501,536
Class B, 4.181% 11/15/34 (a)	2,644,000	2,666,381
Class C, 5.205% 11/15/34 (a)	1,854,000	1,896,572
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $54,607,746)		55,284,313

Municipal Securities - 1.7%
Chicago Gen. Oblig. (Taxable Proj.) Series 2014 B, 6.314% 1/1/44	4,745,000	5,073,734
Illinois Gen. Oblig.:
Series 2003:	$	$
4.35% 6/1/18	1,730,000	1,750,397
4.95% 6/1/23	11,575,000	12,038,579
5.1% 6/1/33	24,540,000	24,817,302
Series 2010-1, 6.63% 2/1/35	19,115,000	21,427,533
Series 2010-3:
6.725% 4/1/35	16,145,000	18,171,198
7.35% 7/1/35	8,115,000	9,306,607
Series 2010-5, 6.2% 7/1/21	3,016,000	3,204,319
Series 2011:
5.665% 3/1/18	7,745,000	7,853,662
5.877% 3/1/19	19,560,000	20,449,198
Series 2013, 3.6% 12/1/19	4,360,000	4,406,652
TOTAL MUNICIPAL SECURITIES
(Cost $124,868,953)		128,499,181

Foreign Government and Government Agency Obligations - 0.2%
Brazilian Federative Republic 4.875% 1/22/21 (Cost $15,593,131)	$15,000,000	$16,050,600

Bank Notes - 1.2%
Capital One NA 2.95% 7/23/21	10,312,000	10,447,487
Citizens Bank NA 2.3% 12/3/18	5,669,000	5,689,848
Discover Bank:
(Delaware) 3.2% 8/9/21	$12,373,000	$12,620,364
3.1% 6/4/20	10,724,000	10,972,651
8.7% 11/18/19	1,160,000	1,296,034
KeyBank NA:
2.25% 3/16/20	20,000,000	20,072,266
6.95% 2/1/28	850,000	1,070,031
PNC Bank NA 2.3% 6/1/20	3,650,000	3,677,554
Regions Bank 7.5% 5/15/18	18,822,000	19,472,467
TOTAL BANK NOTES
(Cost $83,878,948)		85,318,702
	Shares	Value

Money Market Funds - 4.0%
Fidelity Cash Central Fund, 1.09%(h)
(Cost $296,850,608)	296,811,814	296,871,177
TOTAL INVESTMENT IN SECURITIES - 104.0%
(Cost $7,633,968,540)		7,718,349,233
NET OTHER ASSETS (LIABILITIES) - (4.0)%		(293,365,091)
NET ASSETS - 100%		$7,424,984,142

TBA Sale Commitments
	Principal Amount	Value
Fannie Mae
3% 10/1/32	$(2,400,000)	$(2,465,437)
3% 10/1/32	(8,900,000)	(9,142,664)
3% 10/1/32	(8,900,000)	(9,142,664)

TOTAL FANNIE MAE		(20,750,765)

Ginnie Mae
4% 10/1/47	(200,000)	(210,553)
4% 10/1/47	(100,000)	(105,276)
4% 10/1/47	(100,000)	(105,276)

TOTAL GINNIE MAE		(421,105)

TOTAL TBA SALE COMMITMENTS
(Proceeds $21,194,180)		$(21,171,870)

Swaps

Underlying Reference	Rating(1)	Maturity Date	Clearinghouse / Counterparty	Fixed Payment Received/(Paid)	Payment Frequency	Notional Amount(2)	Value(1)	Upfront Premium Received/(Paid)	Unrealized Appreciation/(Depreciation)
Credit Default Swaps
Sell Protection
Countrywide Home Loans Inc Series 2003-BC1 Class B1	B1	Apr. 2032	Merrill Lynch International	4.29%	Monthly	$8,098	$(137)	$0	$(137)

(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's^® ratings are not available, S&P^® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $313,872,032 or 4.2% of net assets.

(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(d) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $4,648.

(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(f) Level 3 instrument

(g) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(h) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund	Income earned
Fidelity Cash Central Fund	$2,584,686
Total	$2,584,686

Investment Valuation

	Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$2,583,561,441	$--	$2,583,561,441	$--
U.S. Government and Government Agency Obligations	3,012,347,922	--	3,012,347,922	--
U.S. Government Agency - Mortgage Securities	1,479,947,621	--	1,479,947,621	--
Asset-Backed Securities	57,447,247	--	55,789,273	1,657,974
Collateralized Mortgage Obligations	3,021,029	--	3,021,029	--
Commercial Mortgage Securities	55,284,313	--	55,284,313	--
Municipal Securities	128,499,181	--	128,499,181	--
Foreign Government and Government Agency Obligations	16,050,600	--	16,050,600	--
Bank Notes	85,318,702	--	85,318,702	--
Money Market Funds	296,871,177	296,871,177	--	--
Total Investments in Securities:	$7,718,349,233	$296,871,177	$7,419,820,082	$1,657,974
Derivative Instruments:
Liabilities
Swaps	$(137)	$--	$(137)	$--
Total Liabilities	$(137)	$--	$(137)	$--
Total Derivative Instruments:	$(137)	$--	$(137)	$--
Other Financial Instruments:
TBA Sale Commitments	$(21,171,870)	$--	$(21,171,870)	$--
Total Other Financial Instruments:	$(21,171,870)	$--	$(21,171,870)	$--

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of September 30, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type	Value
	Asset	Liability
Credit Risk
Swaps(a)	$0	$(137)
Total Credit Risk	0	(137)
Total Value of Derivatives	$0	$(137)

(a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

Other Information

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America	89.9%
United Kingdom	2.6%
Mexico	2.4%
Netherlands	1.7%
Germany	1.0%
Others (Individually Less Than 1%)	2.4%
	100.0%

See accompanying notes which are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities

		September 30, 2017
Assets
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $7,337,117,932)	$7,421,478,056
Fidelity Central Funds (cost $296,850,608)	296,871,177
Total Investment in Securities (cost $7,633,968,540)		$7,718,349,233
Cash		1,855,244
Receivable for investments sold		19,486,302
Receivable for TBA sale commitments		21,194,180
Receivable for fund shares sold		1,529,087
Interest receivable		46,162,840
Distributions receivable from Fidelity Central Funds		227,227
Total assets		7,808,804,113
Liabilities
Payable for investments purchased
Regular delivery	$290,822,030
Delayed delivery	68,542,448
TBA sale commitments, at value	21,171,870
Payable for fund shares redeemed	3,250,364
Bi-lateral OTC swaps, at value	137
Other payables and accrued expenses	33,122
Total liabilities		383,819,971
Net Assets		$7,424,984,142
Net Assets consist of:
Paid in capital		$7,347,256,673
Distributions in excess of net investment income		(6,058,409)
Accumulated undistributed net realized gain (loss) on investments		(616,988)
Net unrealized appreciation (depreciation) on investments		84,402,866
Net Assets, for 68,207,185 shares outstanding		$7,424,984,142
Net Asset Value, offering price and redemption price per share ($7,424,984,142 ÷ 68,207,185 shares)		$108.86

See accompanying notes which are an integral part of the financial statements.

Statement of Operations

		Year ended September 30, 2017
Investment Income
Interest		$178,267,547
Income from Fidelity Central Funds		2,584,686
Total income		180,852,233
Expenses
Custodian fees and expenses	$100,245
Independent directors' fees and expenses	27,343
Miscellaneous	147
Total expenses before reductions	127,735
Expense reductions	(55,772)	71,963
Net investment income (loss)		180,780,270
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	7,246,481
Fidelity Central Funds	89,443
Swaps	246
Total net realized gain (loss)		7,336,170
Change in net unrealized appreciation (depreciation) on:
Investment securities:
Unaffiliated issuers	(75,383,119)
Fidelity Central Funds	(141,991)
Swaps	136
Delayed delivery commitments	(17,832)
Total change in net unrealized appreciation (depreciation)		(75,542,806)
Net gain (loss)		(68,206,636)
Net increase (decrease) in net assets resulting from operations		$112,573,634

See accompanying notes which are an integral part of the financial statements.

Statement of Changes in Net Assets

	Year ended September 30, 2017	Year ended September 30, 2016
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$180,780,270	$225,137,624
Net realized gain (loss)	7,336,170	24,324,560
Change in net unrealized appreciation (depreciation)	(75,542,806)	230,253,425
Net increase (decrease) in net assets resulting from operations	112,573,634	479,715,609
Distributions to shareholders from net investment income	(187,351,432)	(217,358,539)
Distributions to shareholders from net realized gain	(6,966,647)	–
Total distributions	(194,318,079)	(217,358,539)
Affiliated share transactions
Proceeds from sales of shares	813,176,755	486,127,555
Reinvestment of distributions	194,316,702	217,356,861
Cost of shares redeemed	(549,788,903)	(1,349,074,081)
Net increase (decrease) in net assets resulting from share transactions	457,704,554	(645,589,665)
Total increase (decrease) in net assets	375,960,109	(383,232,595)
Net Assets
Beginning of period	7,049,024,033	7,432,256,628
End of period	$7,424,984,142	$7,049,024,033
Other Information
Distributions in excess of net investment income end of period	$(6,058,409)	$–
Shares
Sold	7,560,615	4,495,446
Issued in reinvestment of distributions	1,800,569	2,022,677
Redeemed	(5,101,743)	(12,702,566)
Net increase (decrease)	4,259,441	(6,184,443)

See accompanying notes which are an integral part of the financial statements.

Financial Highlights

Fidelity Investment Grade Bond Central Fund

Years ended September 30,	2017	2016	2015	2014	2013
Selected Per–Share Data
Net asset value, beginning of period	$110.23	$105.97	$107.08	$105.37	$109.14
Income from Investment Operations
Net investment income (loss)^A	2.761	3.479	3.267	2.918	2.588
Net realized and unrealized gain (loss)	(1.152)	4.135	(1.220)	1.591	(3.850)
Total from investment operations	1.609	7.614	2.047	4.509	(1.262)
Distributions from net investment income	(2.868)	(3.354)	(3.157)	(2.799)	(2.508)
Distributions from net realized gain	(.111)	–	–	–	–
Total distributions	(2.979)	(3.354)	(3.157)	(2.799)	(2.508)
Net asset value, end of period	$108.86	$110.23	$105.97	$107.08	$105.37
Total Return^B	1.52%	7.31%	1.90%	4.32%	(1.18)%
Ratios to Average Net Assets^C,^D
Expenses before reductions^E	-%	-%	-%	-%	-%
Expenses net of fee waivers, if any^E	-%	-%	-%	-%	-%
Expenses net of all reductions^E	-%	-%	-%	-%	-%
Net investment income (loss)	2.56%	3.24%	3.03%	2.74%	2.41%
Supplemental Data
Net assets, end of period (000 omitted)	$7,424,984	$7,049,024	$7,432,257	$7,666,801	$6,906,153
Portfolio turnover rate^F	98%	108%	395%	341%	321%

^A Calculated based on average shares outstanding during the period.

^B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

^D Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

^E Amount represents less than .005%.

^F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Notes to Financial Statements

For the period ended September 30, 2017

1. Organization.

Fidelity Investment Grade Bond Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company (FMR), or its affiliates (the Investing Funds). The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.

2. Investments in Fidelity Central Funds.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 – 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 the Fund's 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. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. 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. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency 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. 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, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including other Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Income Tax Information and Distributions to Shareholders. Each year, effective October 1, 2016, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of September 30, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Prior to October 1, 2016, the Fund was a partnership for tax purposes, and no provision was made for U.S. Federal income taxes because the Fund allocated, at least annually among its partners, each partner's share of the Fund's income and expenses and capital gains and losses as determined by income tax regulations for inclusion in each partner's tax return. Due to the Fund's previous partnership structure, paid in capital includes any accumulated net investment income/(loss) and net realized gain/(loss) on investments prior to October 1, 2016.

Book-tax differences are primarily due to swaps and losses deferred due to wash sales and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation	$141,166,573
Gross unrealized depreciation	(56,692,058)
Net unrealized appreciation (depreciation)	$84,474,515
Tax Cost	$7,633,896,888

The tax-based components of distributable earnings as of period end were as follows:

Net unrealized appreciation (depreciation) on securities and other investments

$84,474,515

The Fund intends to elect to defer to its next fiscal year $731,349 of capital losses recognized during the period November 1, 2016 to September 30, 2017.

The tax character of distributions paid was as follows:

	September 30, 2017
Ordinary Income	$188,167,345
Long-term Capital Gains	6,150,734
Total	$194,318,079

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. 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 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:

Credit Risk

Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.

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 and amounts recognized in the Statement of Assets and Liabilities. 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.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

Primary Risk Exposure / Derivative Type	Net Realized Gain (Loss)	Change in Net Unrealized Appreciation (Depreciation)
Credit Risk
Swaps	$246	$136
Total Credit Risk	246	136
Totals	$246	$136

A summary of the value of derivatives by primary risk exposure as of period end is included at the end of 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 bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $255,397,252 and $1,338,488,406, respectively.

6. Fees and Other Transactions with Affiliates.

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $494,216.

8. Expense Reductions.

FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $27,343.

9. Other.

At the end of the period, mutual funds managed by FMR or its affiliates were the owners of record of all of the outstanding shares of the Fund.

10. Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

Report of Independent Registered Public Accounting Firm

To the Directors of Fidelity Central Investment Portfolios II LLC and the Partners of Fidelity Investment Grade Bond Central Fund:

We have audited the accompanying statement of assets and liabilities of Fidelity Investment Grade Bond Central Fund (the Fund), a fund of Fidelity Central Investment Portfolios II LLC, including the schedule of investments, as of September 30, 2017, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Investment Grade Bond Central Fund as of September 30, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Boston, Massachusetts
November 16, 2017

Directors and Officers (Trustees and Officers)

The Trustees, Members of the Advisory Board (if any), and officers of the Fidelity Central Investment Portfolios II LLC and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees 249 funds.

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the Fidelity Central Investment Portfolios II LLC or various entities under common control with FMR.

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Albert R. Gamper, Jr. (1942)

Year of Election or Appointment: 2007

Trustee

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Vice Chairman of the Independent Trustees

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Marie L. Knowles (1946)

Year of Election or Appointment: 2007

Trustee

Chairman of the Independent Trustees

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2013

President and Treasurer

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello is an employee of Fidelity Investments (1995-present).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2017

Vice President

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

Christine J. Thompson (1958)

Year of Election or Appointment: 2015

Vice President of Fidelity's Bond Funds

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2017 to September 30, 2017).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio-^A	Beginning Account Value April 1, 2017	Ending Account Value September 30, 2017	Expenses Paid During Period-^B April 1, 2017 to September 30, 2017
Actual	.0014%	$1,000.00	$1,026.70	$.01
Hypothetical-^C		$1,000.00	$1,025.06	$.01

^A Annualized expense ratio reflects expenses net of applicable fee waivers.

^B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).

^C 5% return per year before expenses

Distributions (Unaudited)

The fund hereby designates as a capital gain dividend with respect to the taxable year ended September 30, 2017, $6,061,931, or, if subsequently determined to be different, the net capital gain of such year.

A total of 13.43% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $118,899,208 of distributions paid during the period January 1, 2017 to September 30, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2018 of amounts for use in preparing 2017 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Investment Grade Bond Central Fund

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of the funds that invest in this fund.

Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

TP1-ANN-1117
1.822351.112

Item 2.

Code of Ethics

As of the end of the period, September 30, 2017, Fidelity Central Investment Portfolios II LLC (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3.

Audit Committee Financial Expert

The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.

Item 4.

Principal Accountant Fees and Services

Fees and Services

The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Inflation-Protected Bond Index Central Fund and Fidelity Investment Grade Bond Central Fund (the “Funds”):

Services Billed by Deloitte Entities

September 30, 2017 Fees^A


	Audit Fees	Audit-Related Fees	Tax Fees	All Other Fees
Fidelity Inflation-Protected Bond Index Central Fund	$48,000	$100	$9,200	$1,400
Fidelity Investment Grade Bond Central Fund	$145,000	$200	$9,200	$4,000

September 30, 2016 Fees^A,B


	Audit Fees	Audit-Related Fees	Tax Fees	All Other Fees
Fidelity Inflation-Protected Bond Index Central Fund	$50,000	$100	$7,700	$1,300
Fidelity Investment Grade Bond Central Fund	$150,000	$100	$9,400	$3,300

^AAmounts may reflect rounding.

^BCertain amounts have been reclassified to align with current period presentation

The following table presents fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Funds and that are rendered on behalf of Fidelity Management & Research Company (“FMR”) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Funds (“Fund Service Providers”):

Services Billed by Deloitte Entities


	September 30, 2017^A	September 30, 2016^A
Audit-Related Fees	$-	$35,000
Tax Fees	$25,000	$-
All Other Fees	$-	$-

^A Amounts may reflect rounding.

“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.

“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.

“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.

Assurance services must be performed by an independent public accountant.

* * *

The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Funds are as follows:


Billed By	September 30, 2017^A	September 30, 2016^A
Deloitte Entities	$390,000	$85,000

^A Amounts may reflect rounding.

The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the Fund, taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Funds and their related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.

Audit Committee Pre-Approval Policies and Procedures

The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.

All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.

Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.

Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)

There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Funds’ last two fiscal years relating to services provided to (i) the Funds or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Funds.

Item 5.

Audit Committee of Listed Registrants

Not applicable.

Item 6.

Investments

(a)

Not applicable.

(b)

Not applicable

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9.

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10.

Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.

Item 11.

Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.

Item 12.

Exhibits


(a)	(1)	Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.
(a)	(2)	Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.
(a)	(3)	Not applicable.
(b)		Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Central Investment Portfolios II LLC


By:	/s/Stephanie J. Dorsey
	Stephanie J. Dorsey
	President and Treasurer

Date:	November 27, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:	/s/Stephanie J. Dorsey
	Stephanie J. Dorsey
	President and Treasurer

Date:	November 27, 2017


By:	/s/Howard J. Galligan III
	Howard J. Galligan III
	Chief Financial Officer

Date:	November 27, 2017