N-Q 1 main.htm

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 811-3737

Fidelity Advisor Series IV
 (Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

November 30

 

 

Date of reporting period:

February 28, 2011

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Institutional
Short-Intermediate Government Fund

February 28, 2011 

1.814090.106

ISIG-QTLY-0411

Investments February 28, 2011 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 86.5%

 

Principal Amount

Value

U.S. Government Agency Obligations - 11.4%

Fannie Mae:

0.375% 12/28/12

$ 4,090,000

$ 4,057,628

1.25% 8/20/13

2,500,000

2,511,910

1.25% 2/27/14

1,080,000

1,078,143

Federal Home Loan Bank:

0.875% 8/22/12

2,390,000

2,400,239

0.875% 12/27/13

350,000

346,367

1% 3/27/13

4,100,000

4,106,855

1.875% 6/21/13

10,650,000

10,876,802

Freddie Mac:

0.375% 11/30/12

3,252,000

3,235,268

0.625% 12/28/12

16,590,000

16,568,599

1.375% 2/25/14

5,967,000

5,975,485

4.5% 1/15/14

1,183,000

1,289,969

Israeli State (guaranteed by U.S. Government through Agency for International Development) 6.8% 2/15/12

689,013

715,657

Overseas Private Investment Corp. U.S. Government guaranteed participation certificates 6.77% 11/15/13

359,615

381,859

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

53,544,781

U.S. Treasury Inflation Protected Obligations - 4.0%

U.S. Treasury Inflation-Indexed Notes 2.375% 4/15/11

18,698,184

18,865,979

U.S. Treasury Obligations - 60.0%

U.S. Treasury Notes:

0.625% 1/31/13

28,000,000

27,985,776

1% 4/30/12

8,848,000

8,915,422

1% 1/15/14

10,293,000

10,260,032

1.25% 2/15/14 

42,436,000

42,542,092

1.25% 8/31/15

12,000,000

11,657,808

1.25% 10/31/15

5,500,000

5,318,671

1.375% 2/15/12

7,286,000

7,360,849

1.375% 4/15/12

5,350,000

5,412,279

1.375% 2/15/13

19,439,000

19,704,012

1.375% 11/30/15

26,607,000

25,819,193

1.5% 12/31/13

1,403,000

1,419,112

1.75% 4/15/13

14,416,000

14,722,340

1.875% 4/30/14

17,268,000

17,607,972

1.875% 6/30/15

8,900,000

8,920,167

2.125% 5/31/15

16,188,000

16,419,488

2.125% 2/29/16

1,000,000

999,531

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

2.375% 8/31/14

$ 11,687,000

$ 12,064,093

2.375% 9/30/14

11,425,000

11,789,172

2.375% 10/31/14

7,948,000

8,193,895

2.625% 7/31/14

7,703,000

8,026,164

3.375% 6/30/13

10,561,000

11,188,883

4.75% 5/31/12 (c)

4,500,000

4,746,974

TOTAL U.S. TREASURY OBLIGATIONS

281,073,925

Other Government Related - 11.1%

Bank of America Corp.:

2.1% 4/30/12 (FDIC Guaranteed) (a)

577,000

588,786

3.125% 6/15/12 (FDIC Guaranteed) (a)

161,000

166,365

Citibank NA:

1.75% 12/28/12 (FDIC Guaranteed) (a)

2,000,000

2,036,588

1.875% 5/7/12 (FDIC Guaranteed) (a)

12,500,000

12,756,913

Citigroup Funding, Inc.:

1.875% 11/15/12 (FDIC Guaranteed) (a)

1,600,000

1,631,989

2% 3/30/12 (FDIC Guaranteed) (a)

5,000,000

5,079,975

2.125% 7/12/12 (FDIC Guaranteed) (a)

934,000

954,395

General Electric Capital Corp.:

2% 9/28/12 (FDIC Guaranteed) (a)

4,000,000

4,088,848

2.625% 12/28/12 (FDIC Guaranteed) (a)

1,702,000

1,759,686

3% 12/9/11 (FDIC Guaranteed) (a)

420,000

428,720

GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (a)

6,000,000

6,112,146

Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (a)

162,000

167,679

JPMorgan Chase & Co.:

2.125% 12/26/12 (FDIC Guaranteed) (a)

7,000,000

7,184,233

2.2% 6/15/12 (FDIC Guaranteed) (a)

2,570,000

2,623,952

3.125% 12/1/11 (FDIC Guaranteed) (a)

70,000

71,473

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.6113% 12/7/20 (NCUA Guaranteed) (d)

1,139,595

1,140,814

Series 2010-R2 Class 1A, 0.635% 11/6/17 (NCUA Guaranteed) (d)

1,893,550

1,894,743

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

Other Government Related - continued

National Credit Union Administration Guaranteed Notes: - continued

Series 2011-C1 Class 1A, 0.764% 2/28/20 (NCUA Guaranteed) (d)

$ 1,720,000

$ 1,720,000

Series 2011-R1 Class 1A, 0.711% 1/8/20 (NCUA Guaranteed) (d)

1,683,444

1,687,130

TOTAL OTHER GOVERNMENT RELATED

52,094,435

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $402,654,210)

405,579,120

U.S. Government Agency - Mortgage Securities - 5.0%

 

Fannie Mae - 4.0%

2.073% 4/1/33 (d)

202,103

208,429

2.142% 3/1/35 (d)

17,707

18,315

2.165% 10/1/33 (d)

19,191

19,840

2.202% 2/1/33 (d)

20,396

21,044

2.213% 7/1/35 (d)

8,711

8,997

2.243% 12/1/34 (d)

21,979

22,671

2.295% 11/1/33 (d)

48,313

50,291

2.316% 3/1/35 (d)

3,507

3,637

2.474% 10/1/35 (d)

23,059

23,874

2.49% 7/1/36 (d)

79,705

83,429

2.532% 7/1/34 (d)

11,030

11,464

2.553% 10/1/33 (d)

19,195

20,210

2.573% 3/1/35 (d)

10,899

11,437

2.59% 6/1/36 (d)

12,240

12,795

2.62% 1/1/35 (d)

89,892

93,754

2.627% 3/1/33 (d)

47,872

50,050

2.642% 7/1/35 (d)

104,692

110,401

2.677% 12/1/32 (d)

67,622

71,198

2.682% 2/1/34 (d)

5,324

5,581

2.686% 11/1/36 (d)

104,523

109,771

2.733% 7/1/35 (d)

24,004

25,168

2.837% 9/1/36 (d)

48,963

51,367

2.882% 6/1/47 (d)

49,651

51,951

3.126% 8/1/35 (d)

238,834

252,830

3.142% 2/1/37 (d)

189,177

198,231

3.5% 11/1/25 to 2/1/26

7,000,099

7,026,061

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

3.5% 3/1/26 (b)

$ 8,200,000

$ 8,217,278

4% 9/1/13

62,782

64,598

4.156% 2/1/34 (d)

137,337

143,595

4.195% 2/1/36 (d)

34,669

36,430

5% 2/1/16

13,988

14,753

5.494% 4/1/36 (d)

164,585

172,085

5.816% 5/1/36 (d)

32,447

33,794

5.937% 12/1/32 (d)

776,339

822,676

5.963% 3/1/37 (d)

27,846

29,770

6% 6/1/16 to 10/1/16

35,405

38,367

6.5% 6/1/15 to 7/1/32

251,176

277,005

7% 6/1/12 to 11/1/14

56,447

59,555

9% 2/1/13 to 8/1/21

63,489

70,754

9.5% 11/1/21

294

329

10.5% 8/1/20

11,608

13,712

11.5% 7/15/19

36,789

40,858

12% 4/1/15

8,274

9,433

12.5% 3/1/16

690

782

 

18,608,570

Freddie Mac - 0.9%

2.041% 3/1/35 (d)

53,070

54,536

2.108% 5/1/37 (d)

30,160

31,226

2.349% 7/1/35 (d)

479,392

496,510

2.407% 6/1/33 (d)

100,112

104,399

2.461% 11/1/35 (d)

97,347

101,585

2.507% 12/1/36 (d)

364,183

380,738

2.528% 12/1/33 (d)

212,354

222,848

2.54% 6/1/37 (d)

95,224

100,299

2.552% 5/1/37 (d)

309,063

325,131

2.574% 10/1/35 (d)

114,402

119,611

2.579% 5/1/37 (d)

189,397

198,395

2.605% 4/1/34 (d)

379,027

397,944

2.615% 4/1/37 (d)

37,788

39,618

2.623% 3/1/37 (d)

11,012

11,358

2.631% 7/1/35 (d)

104,612

109,136

2.786% 1/1/35 (d)

269,890

283,657

3.022% 7/1/35 (d)

89,731

94,813

3.136% 5/1/37 (d)

28,023

29,318

3.147% 3/1/33 (d)

3,231

3,405

3.172% 10/1/36 (d)

131,426

137,428

3.342% 1/1/36 (d)

99,486

104,596

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Freddie Mac - continued

3.352% 10/1/35 (d)

$ 16,508

$ 17,488

3.396% 2/1/36 (d)

10,041

10,600

3.461% 3/1/36 (d)

354,488

370,210

5% 9/1/35

8,451

8,891

5.847% 6/1/37 (d)

11,740

12,437

6.141% 7/1/36 (d)

42,379

44,630

6.284% 8/1/37 (d)

64,523

68,959

6.473% 2/1/37 (d)

24,096

25,227

6.5% 12/1/21

196,615

215,170

7.22% 4/1/37 (d)

1,681

1,781

7.5% 11/1/12

23,740

24,791

9% 10/1/16 to 12/1/18

26,766

29,723

9.5% 2/1/17 to 12/1/22

36,888

41,882

10% 6/1/18 to 6/1/20

5,221

6,117

10.5% 9/1/20

115

136

11.5% 10/1/15

2,479

2,752

12% 10/1/13 to 11/1/19

6,537

7,246

12.25% 11/1/14

4,703

5,151

12.5% 1/1/13 to 6/1/19

24,345

27,312

 

4,267,054

Ginnie Mae - 0.1%

4% 9/15/25

218,203

228,086

8% 12/15/23

111,955

127,400

8.5% 1/15/17 to 3/15/17

23,421

26,088

10.5% 1/15/16 to 1/15/18

24,001

27,504

11% 10/20/13

778

843

 

409,921

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $22,866,971)

23,285,545

Collateralized Mortgage Obligations - 4.8%

 

U.S. Government Agency - 4.8%

Fannie Mae floater Series 1994-42 Class FK, 2.92% 4/25/24 (d)

784,162

792,043

Fannie Mae subordinate REMIC pass-thru certificates:

floater:

Series 2001-38 Class QF, 1.2415% 8/25/31 (d)

185,864

189,144

Series 2002-49 Class FB, 0.863% 11/18/31 (d)

262,773

263,774

Series 2002-60 Class FV, 1.2615% 4/25/32 (d)

58,020

59,208

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae subordinate REMIC pass-thru certificates: - continued

floater:

Series 2002-74 Class FV, 0.7115% 11/25/32 (d)

$ 1,158,355

$ 1,162,197

Series 2002-75 Class FA, 1.2615% 11/25/32 (d)

118,854

121,288

Series 2008-76 Class EF, 0.7615% 9/25/23 (d)

549,048

548,556

Series 2010-86 Class FE, 0.7115% 8/25/25 (d)

774,646

774,597

planned amortization class:

Series 2002-16 Class PG, 6% 4/25/17

300,634

324,573

Series 2002-9 Class PC, 6% 3/25/17

434,882

470,821

Series 2005-52 Class PB, 6.5% 12/25/34

240,747

258,067

sequential payer:

Series 2002-56 Class MC, 5.5% 9/25/17

67,871

72,750

Series 2002-57 Class BD, 5.5% 9/25/17

69,534

75,484

Series 2004-95 Class AN, 5.5% 1/25/25

241,503

258,496

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2448 Class FT, 1.2658% 3/15/32 (d)

258,719

263,806

Series 2526 Class FC, 0.6658% 11/15/32 (d)

169,063

169,242

Series 2530 Class FE, 0.8658% 2/15/32 (d)

140,477

141,449

Series 2630 Class FL, 0.7658% 6/15/18 (d)

22,905

23,113

Series 3346 Class FA, 0.4958% 2/15/19 (d)

2,614,508

2,617,142

planned amortization class:

Series 2356 Class GD, 6% 9/15/16

71,870

77,454

Series 2363 Class PF, 6% 9/15/16

90,929

97,838

Series 2376 Class JE, 5.5% 11/15/16

75,745

80,990

Series 2381 Class OG, 5.5% 11/15/16

51,028

54,422

Series 2425 Class JH, 6% 3/15/17

94,271

101,983

Series 2628 Class OE, 4.5% 6/15/18

335,000

357,598

Series 2695 Class DG, 4% 10/15/18

805,000

849,916

Series 3147 Class PF, 0.5658% 4/15/36 (d)

1,127,747

1,121,990

sequential payer:

Series 1929 Class EZ, 7.5% 2/17/27

648,221

708,260

Series 2570 Class CU, 4.5% 7/15/17

22,298

22,881

Series 2572 Class HK, 4% 2/15/17

17,754

17,963

Series 2668 Class AZ, 4% 9/15/18

753,034

784,218

Series 2672 Class HA, 4% 9/15/16

208,500

212,524

Series 2729 Class GB, 5% 1/15/19

418,242

445,524

Series 2860 Class CP, 4% 10/15/17

9,659

9,645

Series 3013 Class VJ, 5% 1/15/14

516,967

542,534

Ginnie Mae 0.761% 3/1/61 (d)(e)

1,500,000

1,500,000

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru securities:

floater:

Series 2010-H17 Class FA, 0.59% 7/20/60 (d)(e)

$ 1,264,733

$ 1,255,248

Series 2010-H18 Class AF, 0.5656% 9/1/60 (d)(e)

1,293,821

1,293,821

Series 2010-H19 Class FG, 0.5606% 8/20/60 (d)(e)

1,643,750

1,629,614

Series 2011-H03 Class FA, 0.7606% 1/20/61 (d)(e)

1,500,446

1,500,446

Series 2011-H05 Class FA, 0.7606% 12/20/60 (d)(e)

720,000

720,000

Series 2004-79 Class FA, 0.563% 1/20/31 (d)

391,814

392,124

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $22,087,448)

22,362,743

Cash Equivalents - 6.6%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at 0.21%, dated 2/28/11 due 3/1/11 (Collateralized by U.S. Government Obligations) #
(Cost $31,196,000)

$ 31,196,182

31,196,000

TOTAL INVESTMENT PORTFOLIO - 102.9%

(Cost $478,804,629)

482,423,408

NET OTHER ASSETS (LIABILITIES) - (2.9)%

(13,562,165)

NET ASSETS - 100%

$ 468,861,243

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Treasury Contracts

93 CBOT 2 Year U.S. Treasury Notes Contracts

July 2011

$ 20,301,609

$ 20,101

The face value of futures purchased as a percentage of net assets is 4.3%

Legend

(a) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $45,651,748 or 9.7% of net assets.

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

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $105,488.

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

(e) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

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

Repurchase Agreement / Counterparty

Value

$31,196,000 due 3/01/11 at 0.21%

BNP Paribas Securities Corp.

$ 2,607,211

Bank of America NA

2,317,521

Barclays Capital, Inc.

1,290,569

Credit Agricole Securities (USA), Inc.

1,158,760

Deutsche Bank Securities, Inc.

1,329,627

Goldman, Sachs & Co.

289,690

HSBC Securities (USA), Inc.

3,476,281

ING Financial Markets LLC

2,143,707

J.P. Morgan Securities, Inc.

3,476,281

Merrill Lynch Government Securities, Inc.

1,042,884

Merrill Lynch, Pierce, Fenner & Smith, Inc.

1,599,863

Mizuho Securities USA, Inc. 

6,373,182

RBC Capital Markets Corp.

289,690

Societe Generale, New York Branch

2,317,521

Wells Fargo Securities LLC

1,483,213

 

$ 31,196,000

Other Information

The following is a summary of the inputs used, as of February 28, 2011, 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 in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government and Government Agency Obligations

$ 405,579,120

$ -

$ 405,579,120

$ -

U.S. Government Agency - Mortgage Securities

23,285,545

-

23,285,545

-

Collateralized Mortgage Obligations

22,362,743

-

22,362,743

-

Cash Equivalents

31,196,000

-

31,196,000

-

Total Investments in Securities:

$ 482,423,408

$ -

$ 482,423,408

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 20,101

$ 20,101

$ -

$ -

Income Tax Information

At February 28, 2011, the cost of investment securities for income tax purposes was $478,665,427. Net unrealized appreciation aggregated $3,757,981, of which $5,447,178 related to appreciated investment securities and $1,689,197 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security 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 value used for net asset value calculation under these procedures may differ from published prices for the same securities. 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). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 independent pricing services or from dealers who make markets in such securities. For U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

For collateralized mortgage obligations and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Quarterly 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 Report

Item 2. Controls and Procedures

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

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

April 29, 2011

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/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

April 29, 2011

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

April 29, 2011