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 811-7139

Fidelity Hereford Street Trust
(Exact name of registrant as specified in charter)

245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices)       (Zip code)

Scott C. Goebel, 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:

April 30

 

 

Date of reporting period:

July 31, 2013

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Government
Money Market Fund

July 31, 2013

1.804856.109
SPU-QTLY-0913

Investments July 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Treasury Debt - 5.3%

 

 

Yield (a)

Principal
Amount

Value

U.S. Treasury Obligations - 5.3%

U.S. Treasury Notes

 

8/15/13 to 6/15/14
(Cost $683,899,351)

0.13 to 0.22%

$ 681,000,000

$ 683,899,351

Government Agency Debt - 37.7%

 

Federal Agencies - 37.7%

Fannie Mae

 

9/3/13 to 8/5/15

0.14 to 0.20 (b)

516,929,000

518,295,832

Federal Farm Credit Bank

 

8/13/13

0.18 (b)

30,000,000

29,991,279

 

8/20/13 to 1/12/15

0.12 to 0.35 (b)

151,000,000

150,986,498

Federal Home Loan Bank

 

9/6/13 to 11/14/14

0.11 to 0.25 (b)

3,123,145,000

3,124,033,025

Freddie Mac

 

9/4/13 to 7/17/15

0.10 to 0.23 (b)

1,002,521,000

1,002,416,041

TOTAL GOVERNMENT AGENCY DEBT

(Cost $4,825,722,675)


4,825,722,675

Government Agency Repurchase Agreement - 57.7%

Maturity
Amount

 

In a joint trading account at 0.09% dated 7/31/13 due 8/1/13 (Collateralized by U.S. Government Obligations) #

$ 5,312,132,191

5,312,119,000

With:

Credit Suisse Securities (USA) LLC at:

0.12%, dated 7/12/13 due 9/10/13 (Collateralized by U.S. Government Obligations valued at $73,136,335, 3% - 6.5%, 5/16/29 - 7/25/43)

71,014,200

71,000,000

0.13%, dated 7/2/13 due 8/30/13 (Collateralized by U.S. Government Obligations valued at $72,109,636, 3% - 4%, 5/20/41 - 7/25/43)

70,014,914

70,000,000

ING Financial Markets LLC at:

0.09%, dated 7/24/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $228,488,109, 3.5% - 4.5%, 7/1/26 - 12/1/42)

224,034,720

224,000,000

Government Agency Repurchase Agreement - continued

Maturity Amount

Value

With: - continued

ING Financial Markets LLC at:

0.13%, dated 6/19/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $82,634,366, 2.5% - 4.5%, 6/1/28 - 11/1/42)

$ 81,016,673

$ 81,000,000

0.14%, dated:

6/3/13 due 8/2/13 (Collateralized by U.S. Government Obligations valued at $39,790,919, 3%, 1/1/43)

39,009,100

39,000,000

6/5/13 due 8/6/13 (Collateralized by U.S. Government Obligations valued at $8,163,065, 3%, 3/1/43)

8,001,929

8,000,000

Merrill Lynch, Pierce, Fenner & Smith at:

0.11%, dated 7/12/13 due 8/7/13 (Collateralized by U.S. Treasury Obligations valued at $90,645,589, 0.13%, 4/15/16)

88,016,133

88,000,000

0.12%, dated 7/8/13 due 9/6/13 (Collateralized by U.S. Treasury Obligations valued at $122,409,824, 0.75%, 6/30/17)

120,024,000

120,000,000

Mitsubishi UFJ Securities (USA), Inc. at:

0.15%, dated 7/22/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $64,262,678, 2.5% - 4%, 5/1/25 - 4/1/43)

63,024,150

63,000,000

0.18%, dated:

6/13/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $53,053,003, 2.1% - 3.5%, 10/1/25 - 4/1/43)

52,023,400

52,000,000

6/24/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $129,564,613, 2.07% - 5%, 10/1/25 - 7/1/43)

127,055,880

127,000,000

0.19%, dated:

6/3/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $36,731,435, 2.1% - 4.5%, 7/1/19 - 6/1/43)

36,017,480

36,000,000

6/5/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $15,304,603, 2.8% - 4.5%, 5/1/25 - 2/1/43)

15,007,204

15,000,000

6/10/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $37,750,358, 2.1% - 4.5%, 4/1/25 - 7/1/43)

37,017,770

37,000,000

0.2%, dated 5/6/13 due 8/5/13 (Collateralized by U.S. Government Obligations valued at $58,168,111, 2.5% - 6%, 9/1/25 - 11/1/42)

57,028,817

57,000,000

Mizuho Securities USA, Inc. at 0.21%, dated 4/12/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $66,367,486, 1.5% - 6.5%, 12/31/13 - 12/16/43)

65,045,121

65,000,000

Government Agency Repurchase Agreement - continued

Maturity Amount

Value

With: - continued

RBC Capital Markets Corp. at:

0.06%, dated 7/23/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $152,675,754, 2.5% - 5.5%, 7/1/26 - 3/1/43)

$ 147,999,400

$ 147,992,000

0.07%, dated:

7/16/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $221,351,609, 2.39% - 7%, 10/15/22 - 8/25/43)

217,012,658

217,000,000

7/17/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $287,648,395, 1.73% - 7%, 1/1/17 - 7/1/43)

282,016,450

282,000,000

0.15%, dated 5/7/13 due 8/5/13 (Collateralized by U.S. Government Obligations valued at $65,303,478, 2.26% - 4.5%, 6/1/19 - 7/1/43)

64,024,000

64,000,000

UBS Securities LLC at 0.07%, dated 7/30/13 due 8/6/13 (Collateralized by U.S. Government Obligations valued at $229,610,578, 1.19% - 3.5%, 6/15/29 - 11/25/40)

222,917,034

222,914,000

TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENT

(Cost $7,399,025,000)


7,399,025,000

TOTAL INVESTMENT PORTFOLIO - 100.7%

(Cost $12,908,647,026)

12,908,647,026

NET OTHER ASSETS (LIABILITIES) - (0.7)%

(89,176,315 )

NET ASSETS - 100%

$ 12,819,470,711

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.

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

Repurchase Agreement / Counterparty

Value

$5,312,119,000 due 8/01/13 at 0.09%

Bank of America NA

$ 1,211,110,062

Bny Mellon Capital Mkts Llc

197,990,168

Commerz Markets LLC

1,024,438,333

Mizuho Securities USA, Inc.

1,755,231,974

Societe Generale

1,123,348,463

 

$ 5,312,119,000

Other Information

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.

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. For more information on valuation inputs, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At July 31, 2013, the cost of investment securities for income tax purposes was $12,908,647,026.

Investment Valuation

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.

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

Quarterly Holdings Report

for

Fidelity ® Treasury Only
Money Market Fund
(formerly Fidelity U.S. Treasury
Money Market Fund)

July 31, 2013

1.804868.109
TMM-QTLY-0913

Investments July 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Treasury Debt - 105.0%

 

Yield (a)

Principal Amount (000s)

 

Value (000s)

U.S. Treasury Obligations - 105.0%

U.S. Treasury Bills

8/1/13 to 1/2/14

0.01 to 0.14%

$ 3,634,369

$ 3,634,057

U.S. Treasury Notes

8/15/13 to 12/31/13

0.05 to 0.20

2,622,000

2,628,056

TOTAL INVESTMENT PORTFOLIO - 105.0%

(Cost $6,262,113)

6,262,113

NET OTHER ASSETS (LIABILITIES) - (5.0)%

(295,609 )

NET ASSETS - 100%

$ 5,966,504

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.

Other Information

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.

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. For more information on valuation inputs, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At July 31, 2013, the cost of investment securities for income tax purposes was $6,262,113,000.

Investment Valuation

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.

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

Quarterly Holdings Report

for
Fidelity
® Money Market Fund

July 31, 2013

1.804826.109
SPM-QTLY-0913


Investments July 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Certificate of Deposit - 48.1%

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

Domestic Certificates Of Deposit - 4.2%

Citibank NA

 

8/22/13 to 11/25/13

0.28 to 0.32%

$ 118,000

$ 118,000

London Branch, Eurodollar, Foreign Banks - 4.1%

Australia & New Zealand Banking Group Ltd.

 

8/16/13 to 8/23/13

0.22

10,000

10,000

HSBC Bank PLC

 

12/9/13

0.23

12,000

12,000

Mizuho Corporate Bank Ltd.

 

9/3/13

0.27

3,000

3,000

National Australia Bank Ltd.

 

8/16/13 to 10/7/13

0.20 to 0.22

92,000

92,000

 

 

117,000

New York Branch, Yankee Dollar, Foreign Banks - 39.8%

Bank of Montreal Chicago CD Program

 

9/6/13 to 4/17/14

0.18 to 0.37 (c)

82,000

82,000

Bank of Nova Scotia

 

9/12/13 to 1/8/14

0.18 to 0.50 (c)

129,000

129,000

Bank of Tokyo-Mitsubishi UFJ Ltd.

 

8/1/13 to 1/13/14

0.13 to 0.30 (c)

120,000

120,000

Canadian Imperial Bank of Commerce

 

9/17/13 to 4/11/14

0.24 to 0.40 (c)

96,000

96,000

Credit Agricole CIB

 

8/5/13

0.14

19,000

19,000

Credit Industriel et Commercial

 

8/2/13 to 8/7/13

0.15

47,000

47,000

Credit Suisse

 

10/29/13

0.25 (c)

16,000

16,000

Mitsubishi UFJ Trust & Banking Corp.

 

8/19/13

0.25

16,000

16,000

Mizuho Corporate Bank Ltd.

 

8/13/13 to 10/30/13

0.27 to 0.28

84,000

84,000

Natexis Banques Populaires New York Branch

 

8/2/13 to 8/7/13

0.14

113,000

113,000

National Bank of Canada

 

9/6/13 to 1/17/14

0.27 to 0.34 (c)

93,000

92,992

Certificate of Deposit - continued

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

New York Branch, Yankee Dollar, Foreign Banks - continued

Royal Bank of Canada

 

8/30/13

0.62% (c)

$ 56,000

$ 56,000

Sumitomo Mitsui Banking Corp.

 

8/6/13 to 1/15/14

0.12 to 0.31 (c)

108,000

108,000

Sumitomo Mitsui Trust Banking Corp.

 

8/12/13 to 11/5/13

0.27 to 0.30

68,000

68,000

Svenska Handelsbanken, Inc.

 

9/5/13 to 9/19/13

0.18

33,000

33,000

Toronto-Dominion Bank

 

9/13/13 to 12/20/13

0.24 to 0.32 (c)

30,000

30,000

UBS AG

 

10/31/13

0.32

25,000

25,000

 

 

1,134,992

TOTAL CERTIFICATE OF DEPOSIT

(Cost $1,369,992)

1,369,992

Financial Company Commercial Paper - 15.3%

 

Australia & New Zealand Banking Group Ltd.

 

9/25/13

0.18

6,000

5,998

Barclays Bank PLC/Barclays U.S. CCP Funding LLC

 

9/3/13

0.24

20,000

19,996

Barclays U.S. Funding Corp.

 

9/26/13 to 10/2/13

0.23

47,000

46,982

BAT International Finance PLC

 

8/9/13 to 8/23/13

0.28 to 0.29

9,000

8,999

Commonwealth Bank of Australia

 

12/20/13

0.25

2,000

1,998

Credit Suisse

 

9/3/13

0.27

10,000

9,998

DNB Bank ASA

 

8/1/13

0.25

13,000

13,000

General Electric Capital Corp.

 

9/25/13 to 12/23/13

0.18 to 0.22

18,000

17,988

JPMorgan Chase & Co.

 

9/3/13 to 2/3/14

0.29 to 0.30 (c)

75,000

74,981

Financial Company Commercial Paper - continued

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

Lloyds TSB Bank PLC

 

8/7/13

0.11%

$ 40,000

$ 39,999

Natexis Banques Populaires U.S. Finance Co. LLC

 

8/6/13

0.14

29,000

28,999

Skandinaviska Enskilda Banken AB

 

10/24/13 to 10/30/13

0.26

35,000

34,978

Svenska Handelsbanken, Inc.

 

9/5/13

0.24

6,000

5,999

Swedbank AB

 

9/18/13 to 9/27/13

0.24

44,000

43,985

Toronto Dominion Holdings (USA)

 

11/18/13 to 2/18/14

0.23 to 0.25

15,000

14,985

Toyota Motor Credit Corp.

 

9/5/13

0.25

8,000

7,998

UBS Finance, Inc.

 

8/12/13 to 10/16/13

0.33 to 0.35

59,000

58,982

TOTAL FINANCIAL COMPANY COMMERCIAL PAPER

(Cost $435,865)

435,865

Asset Backed Commercial Paper - 2.4%

 

Ciesco LP (Citibank NA Guaranteed)

 

9/3/13

0.30

5,000

4,999

 

9/11/13

0.30

1,000

1,000

 

9/26/13

0.30

2,000

1,999

 

11/1/13

0.30

26,000

25,980

Govco, Inc. (Liquidity Facility Citibank NA)

 

8/1/13

0.30

4,000

4,000

 

8/9/13

0.30

5,000

5,000

 

8/12/13

0.30

3,000

3,000

 

8/16/13

0.30

1,000

1,000

 

8/20/13

0.30

2,000

2,000

 

8/28/13

0.30

1,000

1,000

 

9/6/13

0.29

2,000

1,999

 

9/20/13

0.30

5,000

4,998

 

9/25/13

0.30

4,000

3,998

Asset Backed Commercial Paper - continued

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

Govco, Inc. (Liquidity Facility Citibank NA) - continued

 

9/25/13

0.30%

$ 3,000

$ 2,999

 

9/26/13

0.30

3,000

2,999

 

10/9/13

0.30

1,000

999

TOTAL ASSET BACKED COMMERCIAL PAPER

(Cost $67,970)

67,970

Other Commercial Paper - 2.1%

 

Credit Suisse

 

12/5/13

0.29 (c)

16,000

16,000

Devon Energy Corp.

 

8/30/13

0.34 (c)

14,500

14,500

Sempra Global

 

8/2/13 to 8/19/13

0.30

7,080

7,079

Tesco Treasury Services PLC

 

8/9/13 to 8/15/13

0.32

9,000

8,999

Verizon Communications, Inc.

 

8/14/13

0.23

9,000

8,999

Virginia Electric & Power Co.

 

8/12/13 to 9/3/13

0.28 to 0.30

5,000

4,999

TOTAL OTHER COMMERCIAL PAPER

(Cost $60,576)

60,576

Treasury Debt - 7.5%

 

U.S. Treasury Obligations - 7.5%

U.S. Treasury Bills

 

12/26/13 to 6/26/14

0.09 to 0.16

45,850

45,818

U.S. Treasury Notes

 

8/15/13 to 6/30/14

0.14 to 0.22

168,000

169,001

TOTAL TREASURY DEBT

(Cost $214,819)

214,819

Other Note - 3.3%

 

 

Yield (a)

Principal Amount (000s)

Value (000s)

Bank Notes - 1.2%

Bank of America NA

 

8/26/13 to 9/19/13

0.23 to 0.24%

$ 35,000

$ 35,000

Medium-Term Notes - 2.1%

Dominion Resources, Inc.

 

9/13/13

0.39 (b)(c)

8,000

8,000

Royal Bank of Canada

 

8/30/13

0.39 (b)(c)

26,300

26,300

Svenska Handelsbanken AB

 

1/15/14 to 1/27/14

0.28 (b)(c)

26,000

26,000

 

 

60,300

TOTAL OTHER NOTE

(Cost $95,300)

95,300

Variable Rate Demand Note - 0.4%

 

Delaware - 0.4%

LP Pinewood SPV LLC Taxable, LOC Wells Fargo Bank NA, VRDN

(Cost $11,700)

8/7/13

0.19 (c)

11,700

11,700

Government Agency Debt - 4.9%

 

Federal Agencies - 4.9%

Fannie Mae

 

9/11/14

0.17 (c)

20,000

19,996

Federal Home Loan Bank

 

8/23/13 to 7/25/14

0.17 to 0.23 (c)

65,000

64,995

Freddie Mac

 

6/26/15 to 7/17/15

0.18 (c)

54,000

53,990

TOTAL GOVERNMENT AGENCY DEBT

(Cost $138,981)

138,981

Other Instrument - 1.1%

 

Time Deposits - 1.1%

ING Bank NV

(Cost $30,000)

8/6/13

0.15

30,000

30,000

Other Municipal Debt - 0.5%

Principal Amount (000s)

Value (000s)

New Hampshire - 0.5%

New Hampshire Bus. Fin. Auth. Poll. Cont. Rev. Bonds (New England Pwr. Co. Proj.) Series 1990 A2, 0.45% tender 8/9/13, CP mode (d)

(Cost $14,100)

$ 14,100

$ 14,100

Government Agency Repurchase Agreement - 4.4%

Maturity Amount (000s)

 

In a joint trading account at 0.09% dated 7/31/13 due 8/1/13 (Collateralized by U.S. Government Obligations) #

$ 668

668

With:

ING Financial Markets LLC at 0.14%, dated:

6/3/13 due 8/2/13 (Collateralized by U.S. Government Obligations valued at $10,203,831, 3%, 3/1/43)

10,002

10,000

6/5/13 due 8/6/13 (Collateralized by U.S. Government Obligations valued at $2,040,766, 3%, 3/1/43)

2,000

2,000

Mitsubishi UFJ Securities (USA), Inc. at:

0.15%, dated 7/22/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $14,280,595, 2.1% - 3.5%, 11/1/27 - 7/1/43)

14,005

14,000

0.18%, dated:

6/13/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $13,263,304, 2.1% - 3.5%, 10/1/25 - 2/1/43)

13,006

13,000

6/24/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $31,626,009, 1.37% - 5.5%, 10/1/25 - 2/1/44)

31,014

31,000

0.19%, dated:

6/3/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $9,182,859, 2.25% - 4.5%, 10/1/25 - 7/1/43)

9,004

9,000

6/5/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $4,081,916, 2.1% - 4%, 2/1/27 - 2/1/43)

4,002

4,000

6/10/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $9,182,534, 2.1% - 6%, 3/1/32 - 2/1/43)

9,004

9,000

0.2%, dated 5/6/13 due 8/5/13 (Collateralized by U.S. Government Obligations valued at $15,307,468, 2.25% - 6%, 10/1/25 - 7/1/43)

15,008

15,000

Government Agency Repurchase Agreement - continued

Maturity Amount (000s)

Value (000s)

With: - continued

Mizuho Securities USA, Inc. at 0.21%, dated 4/12/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $18,476,556, 0% - 6.5%, 11/15/24 - 12/16/43)

$ 18,012

$ 18,000

TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENT

(Cost $125,668)

125,668

Other Repurchase Agreement - 10.0%

 

 

 

 

Other Repurchase Agreement - 10.0%

With:

BNP Paribas Securities Corp. at:

0.27%, dated 7/10/13 due 8/7/13 (Collateralized by Corporate Obligations valued at $3,152,253, 3.25% - 9.88%, 5/1/18 - 2/9/40)

3,001

3,000

0.47%, dated 7/2/13 due 8/1/13 (Collateralized by Corporate Obligations valued at $1,080,257, 4.75% - 11.25%, 8/1/15 - 7/15/22)

1,000

1,000

Citigroup Global Markets, Inc. at:

0.85%, dated:

6/21/13 due 8/20/13 (Collateralized by Equity Securities valued at $4,324,526)

4,006

4,000

7/29/13 due 9/27/13 (Collateralized by Corporate Obligations valued at $1,080,302, 1.13% - 3%, 1/15/20 - 2/1/33)

1,001

1,000

1.01%, dated 7/26/13 due 11/4/13 (Collateralized by Corporate Obligations valued at $4,320,742, 0.65% - 6.43%, 8/5/36 - 1/25/37)

4,020

4,000

Credit Suisse Securities (USA) LLC at:

0.2%, dated 7/31/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $4,121,423, 4%, 6/25/26 - 8/25/43)

4,000

4,000

0.66%, dated 7/22/13 due 10/22/13 (Collateralized by Mortgage Loan Obligations valued at $1,080,507, 0.33% - 0.74%, 3/15/19 - 11/3/51)

1,002

1,000

0.67%, dated:

7/2/13 due 10/1/13 (Collateralized by Mortgage Loan Obligations valued at $3,242,080, 0.3% - 6.04%, 10/25/29 - 9/25/37)

3,005

3,000

7/9/13 due 10/7/13 (Collateralized by Mortgage Loan Obligations valued at $5,402,970, 0.11% - 5.45%, 3/15/19 - 11/3/51)

5,008

5,000

Other Repurchase Agreement - continued

Maturity Amount (000s)

Value (000s)

Other Repurchase Agreement - continued

With: - continued

Credit Suisse Securities (USA) LLC at:

0.67%, dated:

7/15/13 due 10/15/13 (Collateralized by Mortgage Loan Obligations valued at $5,401,647, 0.11% - 5.45%, 3/15/19 - 11/3/51)

$ 5,009

$ 5,000

7/18/13 due 10/17/13 (Collateralized by Corporate Obligations valued at $5,401,538, 0.36% - 6.01%, 10/25/29 - 9/25/46)

5,008

5,000

0.72%, dated 5/2/13 due 11/4/13 (Collateralized by Mortgage Loan Obligations valued at $4,328,819, 0.33% - 5.77%, 6/15/20 - 11/3/51)

4,015

4,000

0.75%, dated 7/25/13 due 1/21/14 (Collateralized by Mortgage Loan Obligations valued at $1,082,698, 0.46%, 4/15/22)

1,004

1,000

0.77%, dated 5/16/13 due 11/12/13 (Collateralized by Mortgage Loan Obligations valued at $9,737,547, 0.3% - 5.71%, 6/11/17 - 7/25/46)

9,035

9,000

Deutsche Bank Securities, Inc. at 0.24%, dated 7/26/13 due 8/7/13 (Collateralized by Equity Securities valued at $6,480,286)

6,001

6,000

ING Financial Markets LLC at:

0.22%, dated 7/31/13 due 8/1/13 (Collateralized by Corporate Obligations valued at $19,951,439, 1.25% - 8.18%, 1/15/15 - 5/15/58)

19,000

19,000

0.32%, dated 7/31/13 due 8/1/13 (Collateralized by Corporate Obligations valued at $47,521,790, 4.63% - 14.75%, 5/15/15 - 6/15/58)

44,000

44,000

0.44%, dated 7/31/13 due 8/7/13 (Collateralized by Corporate Obligations valued at $3,150,816, 0.75% - 2.13%, 5/16/16 - 7/27/18)

3,001

3,000

0.5%, dated:

7/2/13 due 8/7/13 (Collateralized by Corporate Obligations valued at $1,053,743, 2.9%, 11/17/14)

1,001

1,000

7/15/13 due 8/7/13 (Collateralized by Corporate Obligations valued at $1,054,321, 0.9%, 10/1/15)

1,001

1,000

J.P. Morgan Clearing Corp. at:

0.6%, dated 4/17/13 due 11/1/13 (Collateralized by Equity Securities valued at $5,444,386)

5,017

5,000

0.62%, dated 4/11/13 due 8/9/13 (Collateralized by Corporate Obligations valued at $5,446,986, 2.5%, 4/15/15)

5,010

5,000

0.64%, dated 6/19/13 due 10/17/13 (Collateralized by Corporate Obligations valued at $6,527,598, 1.25%, 3/15/15)

6,013

6,000

Other Repurchase Agreement - continued

Maturity Amount (000s)

Value (000s)

Other Repurchase Agreement - continued

With: - continued

J.P. Morgan Clearing Corp. at:

0.65%, dated 5/10/13 due 10/29/13 (Collateralized by Corporate Obligations valued at $3,268,141, 1.25%, 3/15/15)

$ 3,013

$ 3,000

0.67%, dated 3/21/13 due 8/19/13 (Collateralized by Corporate Obligations valued at $15,255,080, 1.25%, 3/15/15)

14,039

14,000

J.P. Morgan Securities, Inc. at:

0.21%, dated 7/31/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $15,451,728, 0.87% - 2.09%, 3/16/48 - 2/16/53)

15,001

15,000

0.61%, dated 7/16/13 due 11/13/13 (Collateralized by Mortgage Loan Obligations valued at $5,401,781, 5.39% - 6%, 11/25/36 - 11/12/41)

5,010

5,000

0.65%, dated 7/19/13 due 10/29/13 (Collateralized by Mortgage Loan Obligations valued at $12,964,972, 6.14% - 6.15%, 4/15/41 - 12/12/49)

12,058

12,000

Merrill Lynch, Pierce, Fenner & Smith at:

0.24%, dated 7/31/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $11,330,076, 3%, 8/25/33)

11,001

11,000

0.59%, dated 7/30/13 due 8/6/13 (Collateralized by Mortgage Loan Obligations valued at $5,422,192, 0.52%, 11/20/35) (c)(e)

5,001

5,000

0.73%, dated 7/17/13 due 9/16/13 (Collateralized by Equity Securities valued at $12,964,082)

12,015

12,000

0.74%, dated 7/8/13 due 9/6/13 (Collateralized by Equity Securities valued at $4,343,251)

4,002

4,000

0.85%, dated 7/10/13 due 9/10/13 (Collateralized by Mortgage Loan Obligations valued at $3,244,605, 0.67% - 2.63%, 6/15/20 - 9/25/34)

3,004

3,000

Mitsubishi UFJ Securities (USA), Inc. at:

0.27%, dated 7/17/13 due 8/7/13 (Collateralized by Corporate Obligations valued at $2,100,378, 1.8% - 7.15%, 6/24/14 - 5/16/46)

2,000

2,000

0.31%, dated:

7/8/13 due 8/5/13 (Collateralized by Equity Securities valued at $2,160,487)

2,000

2,000

7/9/13 due 8/7/13 (Collateralized by Equity Securities valued at $2,160,479)

2,000

2,000

Other Repurchase Agreement - continued

Maturity Amount (000s)

Value (000s)

Other Repurchase Agreement - continued

With: - continued

Mizuho Securities USA, Inc. at:

0.31%, dated:

7/17/13 due 8/2/13 (Collateralized by Equity Securities valued at $2,184,565)

$ 2,000

$ 2,000

7/25/13 due 8/7/13 (Collateralized by Equity Securities valued at $2,160,140)

2,000

2,000

7/30/13 due 8/7/13 (Collateralized by Equity Securities valued at $2,160,139)

2,000

2,000

7/31/13 due 8/7/13 (Collateralized by Equity Securities valued at $2,160,140)

2,000

2,000

0.52%, dated 7/29/13 due 8/7/13 (Collateralized by U.S. Government Obligations valued at $2,059,522, 2.31% - 6.33%, 6/20/37 - 1/1/43)

2,001

2,000

0.92%, dated 7/22/13 due 10/23/13 (Collateralized by U.S. Treasury Obligations valued at $2,055,891, 1.5% - 6.88%, 12/31/13 - 6/1/41)

2,005

2,000

0.95%, dated:

5/3/13 due 8/1/13 (Collateralized by Corporate Obligations valued at $3,370,607, 1.69%, 10/1/37)

3,007

3,000

5/13/13 due 8/12/13 (Collateralized by Corporate Obligations valued at $2,773,627, 1.69%, 10/1/37)

2,005

2,000

6/4/13 due 9/4/13 (Collateralized by U.S. Government Obligations valued at $4,204,763, 2.5% - 6.56%, 1/25/37 - 1/1/43)

4,010

4,000

1.1%, dated 5/8/13 due 9/9/13 (Collateralized by U.S. Treasury Obligations valued at $2,147,132, 0.41% - 7.5%, 12/31/13 - 7/16/45)

2,008

2,000

1.4%, dated 5/3/13 due 10/30/13 (Collateralized by U.S. Government Obligations valued at $2,083,108, 0.81% - 6.25%, 12/25/34 - 5/25/43)

2,014

2,000

RBC Capital Markets Co. at 0.21%, dated 7/30/13 due 8/6/13 (Collateralized by U.S. Government Obligations valued at $3,097,980, 5.96%, 4/15/39)

3,000

3,000

RBS Securities, Inc. at:

1%, dated 7/2/13 due 8/1/13 (Collateralized by U.S. Government Obligations valued at $5,108,407, 3.46%, 7/1/43)

5,004

5,000

1.1%, dated 7/15/13 due 8/19/13 (Collateralized by U.S. Government Obligations valued at $13,271,186, 2.76%, 7/1/43)

13,014

13,000

Royal Bank of Scotland PLC at 1%, dated 7/9/13 due 8/8/13 (Collateralized by Mortgage Loan Obligations valued at $4,206,984, 0%, 10/25/33 - 6/20/44)

4,003

4,000

Other Repurchase Agreement - continued

Maturity Amount (000s)

Value (000s)

Other Repurchase Agreement - continued

With: - continued

UBS Securities LLC at 0.47%, dated:

7/10/13 due 8/7/13 (Collateralized by Corporate Obligations valued at $3,342,959, 6%, 6/15/17)

$ 3,004

$ 3,000

7/15/13 due 8/7/13 (Collateralized by Corporate Obligations valued at $2,195,595, 1.5% - 3.25%, 5/15/16 - 6/1/18)

2,002

2,000

TOTAL OTHER REPURCHASE AGREEMENT

(Cost $285,000)

285,000

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $2,849,971)

2,849,971

NET OTHER ASSETS (LIABILITIES) - 0.0%

1,164

NET ASSETS - 100%

$ 2,851,135

Security Type Abbreviations

CP

-

COMMERCIAL PAPER

VRDN

-

VARIABLE RATE DEMAND NOTE (A debt instrument that is payable upon demand, either daily, weekly or monthly)

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) 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 $60,300,000 or 2.1% of net assets.

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

(d) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

(e) The maturity amount is based on the rate at period end.

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$668,000 due 8/01/13 at 0.09%

Bank of America NA

$ 152

Bny Mellon Capital Mkts Llc

25

Commerz Markets LLC

129

Mizuho Securities USA, Inc.

221

Societe Generale

141

 

$ 668

Other Information

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.

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. For more information on valuation inputs, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At July 31, 2013, the cost of investment securities for income tax purposes was $2,849,971,000.

Investment Valuation

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.

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

Quarterly Holdings Report

for

Fidelity ® Treasury Money Market Fund

July 31, 2013

1.964322.100
FTM-QTLY-0913

Investments July 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Treasury Debt - 35.3%

 

 

Yield (a)

Principal
Amount

Value

U.S. Treasury Obligations - 35.3%

U.S. Treasury Bills

 

1/9/14

0.07%

$ 50,000

$ 49,984

U.S. Treasury Notes

 

8/15/13 to 4/30/14

0.04 to 0.15

1,720,000

1,728,794

TOTAL TREASURY DEBT

(Cost $1,778,778)


1,778,778

Treasury Repurchase Agreement - 64.6%

Maturity
Amount

 

In a joint trading account at 0.07% dated 7/31/13 due 8/1/13 (Collateralized by U.S. Treasury Obligations) #

$ 3,153,006

3,153,000

With BNP Paribas Securities Corp. at 0.06%, dated 7/19/13 due 8/7/13 (Collateralized by U.S. Treasury Obligations valued at $102,847, 4.25% - 8%, 11/15/21 - 11/15/40)

100,013

100,000

TOTAL TREASURY REPURCHASE AGREEMENT

(Cost $3,253,000)


3,253,000

TOTAL INVESTMENT PORTFOLIO - 99.9%

(Cost $5,031,778)

5,031,778

NET OTHER ASSETS (LIABILITIES) - 0.1%

5,838

NET ASSETS - 100%

$ 5,037,616

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.

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

Repurchase Agreement / Counterparty

Value

$3,153,000 due 8/01/13 at 0.07%

Citibank NA

$ 428,380

Deutsche Bank Securities, Inc.

535,475

HSBC Securities (USA), Inc.

829,679

J.P. Morgan Securities, Inc.

149,933

Merrill Lynch, Pierce, Fenner & Smith, Inc.

202,842

Societe Generale

856,758

Wells Fargo Securities LLC

149,933

 

$ 3,153,000

Other Information

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.

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. For more information on valuation inputs, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At July 31, 2013, the cost of investment securities for income tax purposes was $5,031,778.

Investment Valuation

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.

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.

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 Hereford Street Trust'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 Hereford Street Trust

By:

/s/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

September 27, 2013

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:

September 27, 2013

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

September 27, 2013

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