N-MFP1 0000035315 XXXXXXXX 2016-04-30 0000035315 5493002EBMWB875CR416 S000053607 2 N N 002-41839 FIDELITY MANAGEMENT & RESEARCH COMPANY (FMR) 801-07884 FIDELITY INVESTMENTS MONEY MANAGEMENT, INC. 801-34590 FMR INVESTMENT MANAGEMENT (U.K.) LIMITED 801-28773 FIDELITY MANAGEMENT & RESEARCH (HONG KONG) LIMITED 801-69507 FIDELITY MANAGEMENT & RESEARCH (JAPAN) LIMITED 801-69571 PRICEWATERHOUSECOOPERS LLP Boston MA None FIDELITY INVESTMENTS INSTIT. OPERATIONS CO. 0000862124 084-01839 N N N Exempt Government N 44 44 0.00 0.00 0.00 4.00 133148327.84 0.00 0.00 0.00 4.00 284088581.32 0.0000 0.0000 0.0000 1.0000 0.3400 0.0000 0.0000 0.0000 1.0000 0.7300 327.84 359260106.75 359255636.65 25770632.53 19798.25 385006798.77 385006665.33 1.0000 0.0025 0.0000 0.0000 0.0000 1.0000 1.0000 C000168450 1.00 208840530.91 208840458.55 0.0000 0.0000 0.0000 1.0000 1.0000 0.00 0.00 0.00 0.00 0.00 0.00 2.00 0.00 208836843.21 0.00 208836845.21 0.00 0.0013 Y Fidelity Investments, Reimbursement, -4211.73; C000168451 1.00 176166267.86 176166206.78 0.0000 0.0000 0.0000 1.0000 1.0000 0.00 0.00 0.00 0.00 0.00 0.00 2.00 0.00 176163156.83 0.00 176163158.83 0.00 0.0013 Y Fidelity Investments, Reimbursement, -2957.93; Fannie Mae Fannie Mae, 0.25% 313588YL3 B1V7KEBTPIMZEU4LTD58 US313588YL38 U.S. Government Agency Debt N/A N/A 2016-06-22 2016-06-22 2016-06-22 N N N 0.0025 24991145.75 24991145.75 24991145.75 0.0649 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.28% 313384YN3 US313384YN32 U.S. Government Agency Debt N/A N/A 2016-06-24 2016-06-24 2016-06-24 N N N 0.0028 49979000.00 49979000.00 49979000.00 0.1298 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.29% 313384YL7 US313384YL75 U.S. Government Agency Debt N/A N/A 2016-06-22 2016-06-22 2016-06-22 N N N 0.0029 74969700.00 74969700.00 74969700.00 0.1947 N N Y N Federal Home Loan Bank Federal Home Loan Bank, 0.30% 313384YZ6 US313384YZ61 U.S. Government Agency Debt N/A N/A 2016-07-05 2016-07-05 2016-07-05 N N N 0.0030 24985775.00 24985775.00 24985775.00 0.0649 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.34% 313384ZX0 US313384ZX05 U.S. Government Agency Debt N/A N/A 2016-07-27 2016-07-27 2016-07-27 N N N 0.0034 50961036.00 50961036.00 50961036.00 0.1324 N N N N Federal Home Loan Bank Federal Home Loan Bank, 0.34% 313384ZZ5 US313384ZZ52 U.S. Government Agency Debt N/A N/A 2016-07-29 2016-07-29 2016-07-29 N N N 0.0034 24980450.00 24980450.00 24980450.00 0.0649 N N N N BNP Paribas, S.A In a joint trading account with BNP Paribas, S.A at 0.3%, dated 4/29/2016 due 05/02/2016 R0MUWSFPU8MPRO8K5P83 49R993TB9_07651 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2016-05-15 2046-02-15 0 - 8.75 1116879.46 1087058.73 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2036-07-15 2036-07-15 5.5 - 5.5 898.50 1243.81 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2017-05-01 2048-05-01 1.5 - 8.5 2597249.61 1178066.53 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 2023-04-15 2058-07-20 1.112 - 6.5 612357.51 401981.88 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2016-11-01 2054-07-25 2.227 - 8.5 2425076.90 1320366.59 Agency Debentures and Agency Strips N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 3904271.73 3904271.73 3904271.73 0.0101 N Y Y N BNY Mellon Capital Markets LLC In a joint trading account with BNY Mellon Capital Markets LLC at 0.3%, dated 4/29/2016 due 05/02/2016 VJW2DOOHGDT6PR0ZRO63 49R993TB9_08066 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2016-04-30 2046-02-15 0 - 9 429728.94 429805.42 U.S. Treasuries (including strips) FEDERAL FARM CREDIT 2016-08-25 2023-12-05 0.5 - 5.125 15344.41 15544.54 Agency Debentures and Agency Strips FEDERAL HOME LOAN BANK 2016-05-18 2022-12-21 0 - 5.625 214827.90 218086.52 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC 2016-06-01 2046-04-01 0.375 - 8.5 564913.37 236714.25 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2016-05-13 2046-04-01 0.5 - 8.5 476487.34 221636.02 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 2016-10-15 2046-04-20 2.5 - 9.5 373311.94 142874.57 Agency Mortgage-Backed Securities N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 1239451.34 1239451.34 1239451.34 0.0032 N Y Y N Citibank NA In a joint trading account with Citibank NA at 0.3%, dated 4/29/2016 due 05/02/2016 E57ODZWZ7FF32TWEFA76 49R993TB9_26602 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N RESOLUTION FUNDING CORP 2020-07-15 2028-10-15 0 - 0 37999.85 28671.47 Agency Debentures and Agency Strips US TREASURY 2016-06-30 2045-11-15 0 - 9.125 4619247.08 5006608.78 U.S. Treasuries (including strips) FEDERAL HOME LOAN BANK 2020-09-11 2020-09-11 1.375 - 1.375 45.10 45.21 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2027-10-01 2044-04-01 2.5 - 6 108566.70 77892.82 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 2022-02-20 2045-11-20 2 - 8 373173.34 202520.19 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2017-05-11 2051-04-01 1.875 - 7.95 182314.19 69699.25 Agency Debentures and Agency Strips N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 5261470.94 5261470.94 5261470.94 0.0137 N Y Y N Credit Agricole CIB New York Branch In a joint trading account with Credit Agricole CIB New York Branch at 0.3%, dated 4/29/2016 due 05/02/2016 1VUV7VQFKUOQSJ21A208 49R993TB9_04361 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2017-08-31 2044-02-15 0.625 - 3.625 12181222.56 12720211.80 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC 2035-05-01 2046-05-01 3 - 4 1786168.82 1817511.06 Agency Mortgage-Backed Securities N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 14247493.18 14247493.18 14247493.18 0.0370 N Y Y N Credit Suisse Securities (USA) LLC In a joint trading account with Credit Suisse Securities (USA) LLC at 0.3%, dated 4/29/2016 due 05/02/2016 1V8Y6QCX6YMJ2OELII46 49R993TB9_26252 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2016-04-30 2045-08-15 0.25 - 9.125 18931665.33 19948799.93 U.S. Treasuries (including strips) U.S. TREASURY 2017-07-31 2017-07-31 0.077 - 0.077 62777.01 62818.97 U.S. Treasuries (including strips) N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 19595936.42 19595936.42 19595936.42 0.0509 N Y Y N HSBC Securities (USA), Inc. In a joint trading account with HSBC Securities (USA), Inc. at 0.3%, dated 4/29/2016 due 05/02/2016 CYYGQCGNHMHPSMRL3R97 49R993TB9_39304 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2016-05-31 2042-05-15 0.375 - 8.75 904183.49 978898.65 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2022-05-01 2045-03-01 3 - 6.5 1539604.36 608768.40 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 2045-07-20 2045-09-20 4 - 4 38998.45 37828.98 Agency Mortgage-Backed Securities N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 1592694.98 1592694.98 1592694.98 0.0041 N Y Y N ING Financial Markets LLC In a joint trading account with ING Financial Markets LLC at 0.3%, dated 4/29/2016 due 05/02/2016 KBVRJ5K57JZ3E2AVWX40 49R993TB9_40488 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2026-08-01 2042-12-01 3.5 - 4.5 1166932.86 536185.33 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2031-01-01 2031-01-01 4 - 4 349223.47 114901.14 Agency Mortgage-Backed Securities N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 638317.44 638317.44 638317.44 0.0017 N Y Y N J.P. Morgan Securities, Inc. In a joint trading account with J.P. Morgan Securities, Inc. at 0.3%, dated 4/29/2016 due 05/02/2016 ZBUT11V806EZRVTWT807 49R993TB9_55502 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2016-04-30 2045-08-15 0.5 - 8.75 967990.99 1043112.17 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2017-03-01 2040-12-01 2.072 - 3.331 3560782.03 72943.78 Agency Mortgage-Backed Securities U.S. TREASURY 2016-04-30 2018-01-31 0.053 - 0.577 8187.90 8204.27 U.S. Treasuries (including strips) FEDERAL NATIONAL MORTGAGE ASSOC 2017-12-01 2048-04-01 0.992 - 8.042 15048228.73 4249826.60 Agency Mortgage-Backed Securities N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 5267668.20 5267668.20 5267668.20 0.0137 N Y Y N Mizuho Securities USA, Inc. In a joint trading account with Mizuho Securities USA, Inc. at 0.3%, dated 4/29/2016 due 05/02/2016 7TK5RJIZDFROZCA6XF66 49R993TB9_08126 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2016-05-15 2020-03-31 0.25 - 1.125 2252078.01 2255623.66 U.S. Treasuries (including strips) FEDERAL FARM CREDIT 2016-10-27 2031-05-21 0 - 4.75 373811.92 376801.90 Agency Debentures and Agency Strips FEDERAL HOME LOAN MORTGAGE CORP 2031-01-01 2035-08-01 3 - 4 351870.21 370793.99 Agency Mortgage-Backed Securities FEDERAL HOME LOAN BANK 2016-06-30 2026-03-13 0.45 - 2.375 428817.76 430346.32 Agency Debentures and Agency Strips FEDERAL AGRICULTURE MORTGAGE CORP 549300MS654K78GYF580 2018-12-03 2019-04-29 1.08 - 1.3 6381.93 6573.11 Agency Debentures and Agency Strips FEDERAL NATIONAL MORTGAGE ASSOC 2031-02-01 2046-03-01 3.5 - 4 1191844.46 1256644.00 Agency Mortgage-Backed Securities N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 4604561.74 4604561.74 4604561.74 0.0120 N Y Y N Societe Generale In a joint trading account with Societe Generale at 0.3%, dated 4/29/2016 due 05/02/2016 O2RNE8IBXP4R0TD8PU41 49R993TB9_74037 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2016-04-30 2045-08-15 0 - 8.75 5236291.19 5398731.34 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2032-05-01 2045-10-01 2.726 - 3.5 698391.00 372405.29 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 2026-01-20 2046-01-20 1.75 - 4.5 7748435.73 489372.96 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2018-05-01 2045-09-01 0.879 - 4.5 2019999.51 868378.96 Agency Mortgage-Backed Securities N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 6984308.32 6984308.32 6984308.32 0.0181 N Y Y N Wells Fargo Bank NA In a joint trading account with Wells Fargo Bank NA at 0.3%, dated 4/29/2016 due 05/02/2016 KB1H1DSPRFMYMCUFXT09 49R993TB9_81240 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N FEDERAL HOME LOAN MORTGAGE CORP 2035-07-01 2035-07-01 3 - 3 1164488.93 1150807.59 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2026-04-01 2043-02-01 3 - 3 4108781.20 2483977.37 Agency Mortgage-Backed Securities N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 3563422.61 3563422.61 3563422.61 0.0093 N Y Y N Wells Fargo Securities LLC In a joint trading account with Wells Fargo Securities LLC at 0.3%, dated 4/29/2016 due 05/02/2016 VYVVCKR63DVZZN70PB21 49R993TB9_08395 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N US TREASURY 2016-04-30 2046-02-15 0 - 6.25 13915171.07 14313370.34 U.S. Treasuries (including strips) FEDERAL HOME LOAN MORTGAGE CORP 2031-03-01 2046-05-01 3.5 - 5.5 5640576.91 6029277.50 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTAGE ASSOC 2016-08-15 2054-05-16 0.789 - 10.329 19601293.80 14126842.62 Agency Mortgage-Backed Securities FEDERAL NATIONAL MORTGAGE ASSOC 2028-11-01 2046-05-01 3.5 - 6 3514942.58 3786461.95 Agency Mortgage-Backed Securities N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0030 37493403.10 37493403.10 37493403.10 0.0974 N Y Y N Barclays Capital, Inc. Barclays Capital, Inc., 0.29% AC28XWWI3WIBK2824319 0000851376 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-02-29 2046-02-15 1.375 - 2.5 3026400.00 3060133.16 U.S. Treasuries (including strips) N/A N/A 2016-05-02 2016-05-02 2016-05-02 N N N 0.0029 3000000.00 3000000.00 3000000.00 0.0078 N Y Y N Mizuho Securities U.S.A., Inc. Mizuho Securities U.S.A., Inc., 0.29% 7TK5RJIZDFROZCA6XF66 0000812291 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY 2020-11-15 2.625 955000.00 1035220.96 U.S. Treasuries (including strips) N/A N/A 2016-05-05 2016-05-05 2016-05-05 N N N 0.0029 1000000.00 1000000.00 1000000.00 0.0026 N N Y N Fidelity Salem Street Trust: Fidelity Series Government Money Market Fund 2016-05-05 Stephanie Dorsey Stephanie Dorsey President and Treasurer