N-Q 1 filing853.htm PRIMARY DOCUMENT

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY


Investment Company Act file number   811-2861


Fidelity Money Market Trust

 (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:

August 31



Date of reporting period:

November 30, 2015


Item 1.

Schedule of Investments



Quarterly Holdings Report
for

Fidelity® Money Market Trust

Retirement Government Money Market Portfolio

November 30, 2015







RGM-QTLY-0116
1.810688.111





Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Treasury Debt - 5.8%    
 Yield(a) Principal Amount (000s) Value (000s) 
U.S. Treasury Obligations - 5.8%    
U.S. Treasury Bills    
12/17/15 0.05 % $75,000 $74,999 
U.S. Treasury Bonds    
5/15/16 0.38 to 0.39 70,000 72,186 
U.S. Treasury Notes    
12/15/15 to 4/30/16 0.10 to 0.30 42,000 42,336 
TOTAL TREASURY DEBT    
(Cost $189,521)   189,521 
Government Agency Debt - 70.4%    
Federal Agencies - 70.4%    
Fannie Mae    
2/1/16 to 2/24/16 0.23 to 0.28 97,000 96,952 
Federal Farm Credit Bank    
1/25/16 to 2/10/17 0.19 to 0.23 (b) 59,000 59,020 
Federal Home Loan Bank    
12/4/15 to 2/9/17 0.08 to 0.34 (b) 2,044,000 2,043,797 
Freddie Mac    
2/25/16 to 11/14/16 0.19 to 0.25 (b) 91,000 90,980 
TOTAL GOVERNMENT AGENCY DEBT    
(Cost $2,290,749)   2,290,749 

Government Agency Repurchase Agreement - 21.5%   
 Maturity Amount (000s) Value (000s) 
In a joint trading account at 0.12% dated 11/30/15 due 12/1/15 (Collateralized by U.S. Government Obligations) # $364,134 $364,133 
With:   
BNP Paribas Securities Corp. at 0.11%, dated 10/6/15 due 12/7/15 (Collateralized by U.S. Treasury Obligations valued at $67,806,584, 0.00% - 6.63%, 8/25/16 - 5/15/45) 66,013 66,000 
Citibank NA at:   
0.08%, dated 11/24/15 due 12/1/15 (Collateralized by U.S. Treasury Obligations valued at $4,103,133, 0.00% - 4.88%, 2/04/16 - 11/15/45) 4,000 4,000 
0.09%, dated 11/24/15 due 12/1/15 (Collateralized by U.S. Treasury Obligations valued at $24,480,681, 0.50% - 3.38%, 3/31/17 - 5/15/44) 24,000 24,000 
ING Financial Markets LLC at:   
0.23%, dated:   
10/16/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $19,387,736, 2.50%, 9/01/29) 19,011 19,000 
10/19/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $5,101,797, 4.00%, 8/01/26) 5,003 5,000 
10/20/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $9,183,664, 2.50%, 9/01/29) 9,005 9,000 
0.3%, dated:   
11/18/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $8,161,133, 2.50% - 4.00%, 8/01/26 - 9/01/29) 8,006 8,000 
11/19/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $5,101,797, 4.00%, 8/01/26) 5,004 5,000 
0.32%, dated 11/25/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $4,081,111, 3.50% - 4.00%, 8/01/26 - 10/01/42) 4,003 4,000 
Merrill Lynch, Pierce, Fenner & Smith at 0.14%, dated:   
10/16/15 due 12/7/15 (Collateralized by U.S. Treasury Obligations valued at $9,181,698, 1.38%, 4/30/20) 9,002 9,000 
10/19/15 due 12/7/15 (Collateralized by U.S. Treasury Obligations valued at $27,544,646, 1.00%, 11/30/19) 27,006 27,000 
Mitsubishi UFJ Securities (U.S.A.), Inc. at:   
0.2%, dated:   
10/6/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $9,182,856, 2.03% - 4.00%, 9/01/37 - 10/01/45) 9,005 9,000 
10/9/15 due 1/8/16 (Collateralized by U.S. Government Obligations valued at $9,182,704, 2.26% - 3.50%, 3/01/36 - 10/01/45) 9,005 9,000 
0.22%, dated 10/23/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $7,141,702, 2.49% - 4.50%, 9/01/37 - 10/01/45) 7,004 7,000 
0.3%, dated:   
11/3/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $5,101,191, 2.49% - 4.50%, 9/01/37 - 10/01/45) 5,003 5,000 
11/10/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $11,221,964, 2.26% - 4.50%, 10/01/25 - 10/01/45) 11,006 11,000 
11/13/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $2,040,307, 2.56%, 8/01/43) 2,001 2,000 
Mizuho Securities U.S.A., Inc. at 0.32%, dated 11/12/15 due 12/7/15 (Collateralized by U.S. Government Obligations valued at $11,222,060, 0.00%, 2/19/16) 11,009 11,000 
RBC Capital Markets Corp. at 0.35%, dated:   
8/13/15 due 12/7/15 (Collateralized by U.S. Government Obligations valued at $9,189,818, 2.23% - 4.50%, 9/01/26 - 11/01/45) 9,016 9,000 
9/8/15 due 12/7/15 (Collateralized by U.S. Government Obligations valued at $7,147,545, 1.50% - 5.00%, 11/01/30 - 9/20/63) 7,012 7,000 
9/9/15 due 12/7/15 (Collateralized by U.S. Government Obligations valued at $14,297,222, 0.72% - 4.50%, 10/01/28 - 9/20/63) 14,024 14,000 
9/15/15 due 12/7/15 (Collateralized by U.S. Government Obligations valued at $7,161,050, 0.60% - 8.00%, 9/15/21 - 9/20/63) 7,012 7,000 
Wells Fargo Securities, LLC at:   
0.09%, dated 11/24/15 due 12/1/15 (Collateralized by U.S. Government Obligations valued at $24,720,433, 3.50% - 5.50%, 4/25/35 - 11/25/45) 24,000 24,000 
0.13%, dated 11/27/15 due 12/4/15 (Collateralized by U.S. Government Obligations valued at $4,120,060, 3.50% - 4.50%, 4/15/42 - 9/25/42) 4,000 4,000 
0.17%, dated:   
10/5/15 due 1/6/16 (Collateralized by U.S. Government Obligations valued at $20,405,491, 4.00%, 8/15/45) 20,009 20,000 
10/6/15 due 1/7/16 (Collateralized by U.S. Government Obligations valued at $12,243,237, 4.00% , 10/15/45) 12,005 12,000 
10/13/15 due 1/11/16 (Collateralized by U.S. Government Obligations valued at $4,080,944, 4.00%, 8/15/45) 4,002 4,000 
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENT   
(Cost $699,133)  699,133 
Treasury Repurchase Agreement - 2.6%   
With:   
BNP Paribas Securities Corp. at:   
0.11%, dated 10/20/15 due 12/7/15 (Collateralized by U.S. Treasury Obligations valued at $18,362,376, 0.00% - 6.75%, 2/29/16 - 8/15/26) 18,003 18,000 
0.14%, dated 10/20/15 due 12/21/15 (Collateralized by U.S. Treasury Obligations valued at $32,647,286, 0.28% - 6.25%, 10/31/17 - 5/15/45) 32,008 32,000 
Mizuho Securities U.S.A., Inc. at 0.12%, dated 11/30/15 due 12/1/15 (Collateralized by U.S. Treasury Obligations valued at $36,964,350, 2.00%, 8/15/25) 36,000 36,000 
TOTAL TREASURY REPURCHASE AGREEMENT   
(Cost $86,000)  86,000 
TOTAL INVESTMENT PORTFOLIO - 100.3%   
(Cost $3,265,403)  3,265,403 
NET OTHER ASSETS (LIABILITIES) - (0.3)%  (11,075) 
NET ASSETS - 100%  $3,254,328 

The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.

Legend

 (a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

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


Investment Valuation

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. Additional information on valuation inputs is provided later in this section.

Security transactions are accounted for as of trade date. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: 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).

As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.

Other Information

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty Value 
$364,133,00 due 12/01/15 at 0.12%  
BNP Paribas Securities Corp. $5,396 
BNY Mellon Capital Markets LLC 6,175 
Bank of America NA 77,902 
Citibank NA 11,058 
Credit Agricole CIB New York Branch 31,522 
Credit Suisse Securities (USA) LLC 113,945 
HSBC Securities (USA) 5,415 
J.P. Morgan Securities 17,301 
Merrill Lynch, Pierce, Fenner & Smith Inc. 12,996 
Mizuho Securities USA 46,855 
Societe Generale 7,258 
Wells Fargo Bank NA 28,310 
 $364,133 

Income Tax Information

At November 30, 2015 the cost for Federal Income Tax Purposes was $3,265,403.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.





The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.


Quarterly Holdings Report
for

Fidelity® Money Market Trust

Retirement Government Money Market II Portfolio (formerly Retirement Money Market Portfolio)

November 30, 2015







RMM-QTLY-0116
1.810718.111





Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Treasury Debt - 13.8%    
 Yield(a) Principal Amount (000s) Value (000s) 
U.S. Treasury Obligations - 13.8%    
U.S. Treasury Bills    
12/17/15 to 3/3/16 0.08 to 0.27% $604,000 $603,860 
U.S. Treasury Bonds    
5/15/16 0.38 175,000 180,467 
U.S. Treasury Notes    
12/15/15 to 7/15/16 0.10 to 0.41 (b) 804,000 806,982 
TOTAL TREASURY DEBT    
(Cost $1,591,309)   1,591,309 
Government Agency Debt - 68.6%    
Federal Agencies - 68.6%    
Fannie Mae    
1/25/16 to 2/24/16 0.24 to 0.28 277,000 276,878 
Federal Farm Credit Bank    
7/6/16 0.14 (b) 11,000 11,000 
Federal Home Loan Bank    
12/4/15 to 2/9/17 0.08 to 0.41 (b) 7,197,000 7,195,809 
Freddie Mac    
2/19/16 to 9/16/16 0.14 to 0.21 (b) 416,000 415,949 
TOTAL GOVERNMENT AGENCY DEBT    
(Cost $7,899,636)   7,899,636 

Government Agency Repurchase Agreement - 17.3%   
 Maturity Amount (000s) Value (000s) 
In a joint trading account at 0.12% dated 11/30/15 due 12/1/15 (Collateralized by U.S. Government Obligations) # $1,108,774 $1,108,770 
With:   
Citibank NA at:   
0.08%, dated 11/24/15 due 12/1/15 (Collateralized by U.S. Treasury Obligations valued at $14,280,306, 1.13% - 3.38%, 6/15/18 - 5/15/44) 14,000 14,000 
0.09%, dated 11/24/15 due 12/1/15 (Collateralized by U.S. Treasury Obligations valued at $88,741,735, 0.18% - 7.50%, 7/31/16 - 5/15/44) 87,002 87,000 
ING Financial Markets LLC at:   
0.23%, dated:   
10/16/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $39,794,268, 3.50%, 8/01/42) 39,022 39,000 
10/19/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $20,408,143, 2.50%, 9/01/29) 20,012 20,000 
10/20/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $23,469,364, 2.50%, 9/01/29) 23,014 23,000 
0.3%, dated:   
11/18/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $30,607,071, 2.50% - 3.50%, 9/01/29 - 8/01/42) 30,023 30,000 
11/19/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $18,363,041, 2.50%, 9/01/29) 18,014 18,000 
0.32%, dated 11/25/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $17,342,634, 2.50%, 9/01/29) 17,014 17,000 
Merrill Lynch, Pierce, Fenner & Smith at 0.14%, dated:   
10/16/15 due 12/7/15 (Collateralized by U.S. Treasury Obligations valued at $33,666,092, 1.00%, 11/30/19) 33,008 33,000 
10/19/15 due 12/7/15 (Collateralized by U.S. Government Obligations valued at $102,017,120, 0.00% - 10.70%, 12/01/15 - 9/15/65) 100,023 100,000 
Mitsubishi UFJ Securities (U.S.A.), Inc. at:   
0.2%, dated:   
10/6/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $31,629,838, 2.49% - 6.04%, 11/01/23 - 10/01/45) 31,016 31,000 
10/9/15 due 1/8/16 (Collateralized by U.S. Government Obligations valued at $32,649,611, 2.29% - 5.63%, 8/01/19 - 10/01/45) 32,016 32,000 
0.22%, dated 10/23/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $24,485,835, 2.26% - 3.50%, 9/01/37 - 10/01/45) 24,013 24,000 
0.3%, dated:   
11/3/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $23,465,474, 1.97% - 4.74%, 5/01/20 - 10/01/45) 23,012 23,000 
11/10/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $38,766,783, 2.29% - 4.50%, 8/01/31 - 10/01/45) 38,020 38,000 
11/13/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $8,161,225, 2.56%, 8/01/43) 8,004 8,000 
11/16/15 due 1/4/16 (Collateralized by U.S. Government Obligations valued at $17,342,168, 2.29% - 3.50%, 4/01/27 - 10/01/45) 17,008 17,000 
0.32%, dated 11/16/15 due 1/15/16 (Collateralized by U.S. Government Obligations valued at $4,080,545, 3.50% - 4.00%, 10/01/44 - 10/01/45) 4,002 4,000 
Mizuho Securities U.S.A., Inc. at 0.32%, dated 11/12/15 due 12/7/15 (Collateralized by U.S. Government Obligations valued at $38,767,171, 0.00% - 4.63%, 2/19/16 - 3/08/24) 38,030 38,000 
RBC Capital Markets Corp. at 0.35%, dated:   
8/13/15 due 12/7/15 (Collateralized by U.S. Government Obligations valued at $34,717,088, 2.36% - 4.50%, 2/01/28 - 11/01/45) 34,060 34,000 
9/8/15 due 12/7/15 (Collateralized by U.S. Government Obligations valued at $24,500,788, 2.37% - 5.50%, 10/01/28 - 9/20/63) 24,041 24,000 
9/9/15 due 12/7/15 (Collateralized by U.S. Government Obligations valued at $52,277,300, 2.36% - 5.50%, 2/01/33 - 9/20/63) 51,087 51,000 
9/15/15 due 12/7/15 (Collateralized by U.S. Government Obligations valued at $27,561,074, 2.39% - 5.50%, 1/15/26 - 11/01/45) 27,047 27,000 
Wells Fargo Securities, LLC at:   
0.09%, dated 11/24/15 due 12/1/15 (Collateralized by U.S. Government Obligations valued at $89,611,568, 0.35% - 5.53%, 9/25/18 - 12/25/46) 87,002 87,000 
0.13%, dated 11/27/15 due 12/4/15 (Collateralized by U.S. Government Obligations valued at $14,420,208, 0.50% - 5.00%, 6/25/34 - 11/15/36) 14,000 14,000 
0.17%, dated:   
10/6/15 due 1/7/16 (Collateralized by U.S. Government Obligations valued at $46,362,257, 0.54% - 4.62%, 10/25/18 - 7/25/48) 45,020 45,000 
10/13/15 due 1/11/16 (Collateralized by U.S. Government Obligations valued at $13,393,099, 3.03% - 4.44%, 10/25/20 - 7/25/48) 13,006 13,000 
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENT   
(Cost $1,999,770)  1,999,770 
Treasury Repurchase Agreement - 1.7%   
With:   
BNP Paribas Securities Corp. at 0.11%, dated 10/20/15 due 12/7/15 (Collateralized by U.S. Treasury Obligations valued at $67,328,705, 2.00% - 8.13%, 9/30/20 - 11/15/24) 66,013 66,000 
Mizuho Securities U.S.A., Inc. at 0.12%, dated 11/30/15 due 12/1/15 (Collateralized by US Treasury Obligations valued at $130,401,463, 2.00%, 8/15/25) 127,000 127,000 
TOTAL TREASURY REPURCHASE AGREEMENT   
(Cost $193,000)  193,000 
TOTAL INVESTMENT PORTFOLIO - 101.4%   
(Cost $11,683,715)  11,683,715 
NET OTHER ASSETS (LIABILITIES) - (1.4)%  (162,215) 
NET ASSETS - 100%  $11,521,500 

The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.

Legend

 (a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

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


Investment Valuation

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. Additional information on valuation inputs is provided later in this section.

Security transactions are accounted for as of trade date. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: 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).

As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.

Other Information

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty Value 
$1,108,770,000 due 12/01/15 at 0.12%  
BNP Paribas Securities Corp. $16,431 
BNY Mellon Capital Markets LLC 18,803 
Bank of America NA 237,206 
Citibank NA 33,672 
Credit Agricole CIB New York Branch 95,982 
Credit Suisse Securities (USA) LLC 346,956 
HSBC Securities (USA), Inc. 16,489 
J.P. Morgan Securities, Inc. 52,682 
Merrill Lynch, Pierce, Fenner & Smith, Inc. 39,573 
Mizuho Securities USA, Inc. 142,671 
Societe Generale 22,101 
Wells Fargo Bank NA 86,204 
 $1,108,770 

Income Tax Information

At November 30, 2015 the cost for Federal Income Tax Purposes was $11,683,715,000.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.





The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.



Item 2.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Money Market Trusts (the Trust) 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 Trusts internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trusts last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trusts internal control over financial reporting.


Item 3.

Exhibits


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.




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 Money Market Trust



By:

/s/Stephanie J. Dorsey


Stephanie J. Dorsey


President and Treasurer



Date:

January 28, 2016


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:

January 28, 2016



By:

/s/Howard J. Galligan III


Howard J. Galligan III


Chief Financial Officer



Date:

January 28, 2016