UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-02105
Fidelity Salem Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Margaret Carey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
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Date of fiscal year end: | July 31 |
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Date of reporting period: | July 31, 2023 |
Item 1.
Reports to Stockholders
Fidelity® SAI U.S. Momentum Index Fund
Annual Report
July 31, 2023
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns |
| | | | |
Periods ended July 31, 2023 | Past 1 year | Past 5 years | Life of Fund A |
| Fidelity® SAI U.S. Momentum Index Fund | 5.99% | 9.37% | 12.16% |
A From February 9, 2017
| $10,000 Over Life of Fund |
| |
Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Momentum Index Fund, on February 9, 2017, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the MSCI USA Custom Momentum Composite Index performed over the same period. |
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Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the fund gained 5.99%, roughly in line with the 6.20% result of the benchmark MSCI USA Custom Momentum Composite Index. By sector, energy gained 11% and contributed most. Industrials stocks also helped (+8%). Information technology rose 18%, health care gained 3%, lifted by pharmaceuticals, biotechnology & life sciences (+8%), and communication services advanced approximately 5%. Other notable contributors included the consumer discretionary (-3%), materials (+2%) and financials (+3%) sectors. Conversely, utilities returned about 0% and detracted most. Real estate (-7%) and consumer staples (-1%), especially in the consumer staples distribution & retail industry (-3%), also hurt. Turning to individual stocks, the top contributor was Lilly Eli & (+38%), from the pharmaceuticals, biotechnology & life sciences category. Also in pharmaceuticals, biotechnology & life sciences, Merck & (+22%) helped. Another notable contributor was Nvidia (+27%), a stock in the semiconductors & semiconductor equipment industry. Exxon Mobil, within the energy industry, gained 12% and lifted the fund. Lastly, another notable contributor was Meta Platforms (+33%), a stock in the media & entertainment industry. In contrast, the biggest individual detractor was UnitedHealth (-12%), from the health care equipment & services group. In technology hardware & equipment, Apple returned approximately -18% and detracted. Tesla (-42%), from the automobiles & components category, also hurt. Microsoft, within the software & services industry, returned -16% and hindered the fund. Lastly, another notable detractor was Pfizer (-22%), a stock in the pharmaceuticals, biotechnology & life sciences group.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Top Holdings (% of Fund's net assets) |
| |
| NVIDIA Corp. | 4.9 | |
| Eli Lilly & Co. | 4.1 | |
| Meta Platforms, Inc. Class A | 3.8 | |
| Broadcom, Inc. | 3.1 | |
| Merck & Co., Inc. | 3.0 | |
| Exxon Mobil Corp. | 2.9 | |
| Microsoft Corp. | 2.4 | |
| General Electric Co. | 2.2 | |
| Oracle Corp. | 2.2 | |
| Netflix, Inc. | 1.9 | |
| | 30.5 | |
| |
| Market Sectors (% of Fund's net assets) |
| |
| Information Technology | 25.0 | |
| Health Care | 17.6 | |
| Industrials | 14.5 | |
| Consumer Discretionary | 13.0 | |
| Communication Services | 7.9 | |
| Energy | 7.3 | |
| Financials | 6.2 | |
| Materials | 3.6 | |
| Consumer Staples | 3.5 | |
| Utilities | 0.9 | |
| Real Estate | 0.2 | |
| |
Asset Allocation (% of Fund's net assets) |
|
Futures - 0.6% |
|
Showing Percentage of Net Assets
| Common Stocks - 99.7% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 7.9% | | | |
| Diversified Telecommunication Services - 0.2% | | | |
| AT&T, Inc. | | 35,223 | 511,438 |
| Entertainment - 2.1% | | | |
| Liberty Media Corp. Liberty Formula One Series C (a) | | 5,280 | 383,328 |
| Netflix, Inc. (a) | | 14,581 | 6,400,622 |
| Roblox Corp. (a) | | 2,626 | 103,071 |
| Take-Two Interactive Software, Inc. (a) | | 865 | 132,293 |
| | | | 7,019,314 |
| Interactive Media & Services - 4.6% | | | |
| Alphabet, Inc.: | | | |
| Class A (a) | | 11,379 | 1,510,221 |
| Class C (a) | | 10,258 | 1,365,442 |
| Meta Platforms, Inc. Class A (a) | | 39,796 | 12,679,006 |
| | | | 15,554,669 |
| Media - 0.7% | | | |
| Comcast Corp. Class A | | 24,259 | 1,097,962 |
| Interpublic Group of Companies, Inc. | | 2,158 | 73,868 |
| Omnicom Group, Inc. | | 8,278 | 700,484 |
| The Trade Desk, Inc. (a) | | 4,580 | 417,971 |
| | | | 2,290,285 |
| Wireless Telecommunication Services - 0.3% | | | |
| T-Mobile U.S., Inc. (a) | | 8,388 | 1,155,615 |
TOTAL COMMUNICATION SERVICES | | | 26,531,321 |
| CONSUMER DISCRETIONARY - 13.0% | | | |
| Automobile Components - 0.1% | | | |
| BorgWarner, Inc. | | 7,246 | 336,939 |
| Automobiles - 0.8% | | | |
| Tesla, Inc. (a) | | 9,575 | 2,560,642 |
| Broadline Retail - 2.3% | | | |
| Amazon.com, Inc. (a) | | 41,840 | 5,593,171 |
| MercadoLibre, Inc. (a) | | 1,722 | 2,131,922 |
| | | | 7,725,093 |
| Distributors - 0.2% | | | |
| Genuine Parts Co. | | 3,926 | 611,357 |
| LKQ Corp. | | 1,266 | 69,364 |
| | | | 680,721 |
| Hotels, Restaurants & Leisure - 4.7% | | | |
| Airbnb, Inc. Class A (a) | | 2,531 | 385,193 |
| ARAMARK Holdings Corp. | | 3,121 | 125,995 |
| Booking Holdings, Inc. (a) | | 1,246 | 3,701,617 |
| Carnival Corp. (a) | | 9,082 | 171,105 |
| Chipotle Mexican Grill, Inc. (a) | | 633 | 1,242,123 |
| Darden Restaurants, Inc. | | 1,769 | 298,819 |
| Doordash, Inc. (a) | | 1,392 | 126,380 |
| Hyatt Hotels Corp. Class A | | 451 | 56,984 |
| Las Vegas Sands Corp. | | 18,913 | 1,131,187 |
| McDonald's Corp. | | 7,974 | 2,337,977 |
| MGM Resorts International | | 3,007 | 152,665 |
| Royal Caribbean Cruises Ltd. (a) | | 7,360 | 803,050 |
| Starbucks Corp. | | 41,532 | 4,218,405 |
| Wynn Resorts Ltd. | | 5,263 | 573,562 |
| Yum! Brands, Inc. | | 3,344 | 460,368 |
| | | | 15,785,430 |
| Household Durables - 1.3% | | | |
| D.R. Horton, Inc. | | 14,603 | 1,854,873 |
| Lennar Corp. Class A | | 6,924 | 878,171 |
| NVR, Inc. (a) | | 109 | 687,402 |
| PulteGroup, Inc. | | 11,388 | 961,033 |
| | | | 4,381,479 |
| Specialty Retail - 3.1% | | | |
| AutoZone, Inc. (a) | | 580 | 1,439,398 |
| Burlington Stores, Inc. (a) | | 1,675 | 297,514 |
| Dick's Sporting Goods, Inc. | | 753 | 106,173 |
| O'Reilly Automotive, Inc. (a) | | 2,578 | 2,386,687 |
| Ross Stores, Inc. | | 10,771 | 1,234,787 |
| TJX Companies, Inc. | | 43,295 | 3,746,316 |
| Tractor Supply Co. | | 1,242 | 278,196 |
| Ulta Beauty, Inc. (a) | | 1,709 | 760,163 |
| | | | 10,249,234 |
| Textiles, Apparel & Luxury Goods - 0.5% | | | |
| Deckers Outdoor Corp. (a) | | 672 | 365,360 |
| NIKE, Inc. Class B | | 13,244 | 1,462,005 |
| | | | 1,827,365 |
TOTAL CONSUMER DISCRETIONARY | | | 43,546,903 |
| CONSUMER STAPLES - 3.5% | | | |
| Beverages - 1.4% | | | |
| Molson Coors Beverage Co. Class B | | 1,649 | 115,051 |
| Monster Beverage Corp. | | 28,698 | 1,649,848 |
| PepsiCo, Inc. | | 14,964 | 2,805,151 |
| | | | 4,570,050 |
| Consumer Staples Distribution & Retail - 0.4% | | | |
| Costco Wholesale Corp. | | 1,208 | 677,289 |
| Walmart, Inc. | | 4,595 | 734,557 |
| | | | 1,411,846 |
| Food Products - 1.6% | | | |
| Campbell Soup Co. | | 4,088 | 187,312 |
| Conagra Brands, Inc. | | 2,141 | 70,246 |
| General Mills, Inc. | | 17,175 | 1,283,660 |
| Lamb Weston Holdings, Inc. | | 7,957 | 824,584 |
| Mondelez International, Inc. | | 25,790 | 1,911,813 |
| The Hershey Co. | | 3,561 | 823,695 |
| The J.M. Smucker Co. | | 2,394 | 360,656 |
| | | | 5,461,966 |
| Household Products - 0.1% | | | |
| Church & Dwight Co., Inc. | | 1,462 | 139,870 |
| Kimberly-Clark Corp. | | 1,621 | 209,271 |
| The Clorox Co. | | 613 | 92,857 |
| | | | 441,998 |
TOTAL CONSUMER STAPLES | | | 11,885,860 |
| ENERGY - 7.3% | | | |
| Energy Equipment & Services - 0.9% | | | |
| Baker Hughes Co. Class A | | 7,960 | 284,888 |
| Halliburton Co. | | 14,167 | 553,646 |
| Schlumberger Ltd. | | 37,964 | 2,214,820 |
| | | | 3,053,354 |
| Oil, Gas & Consumable Fuels - 6.4% | | | |
| APA Corp. | | 2,443 | 98,917 |
| Cheniere Energy, Inc. | | 1,795 | 290,539 |
| Chevron Corp. | | 14,929 | 2,443,280 |
| ConocoPhillips Co. | | 12,532 | 1,475,267 |
| Devon Energy Corp. | | 3,704 | 200,016 |
| Diamondback Energy, Inc. | | 1,081 | 159,253 |
| EOG Resources, Inc. | | 4,461 | 591,216 |
| Exxon Mobil Corp. | | 89,844 | 9,634,871 |
| Hess Corp. | | 7,830 | 1,188,046 |
| HF Sinclair Corp. | | 2,754 | 143,456 |
| Marathon Oil Corp. | | 5,002 | 131,403 |
| Marathon Petroleum Corp. | | 16,835 | 2,239,392 |
| Occidental Petroleum Corp. | | 5,873 | 370,762 |
| Phillips 66 Co. | | 5,301 | 591,327 |
| Targa Resources Corp. | | 2,578 | 211,370 |
| Texas Pacific Land Corp. (b) | | 133 | 200,338 |
| Valero Energy Corp. | | 10,049 | 1,295,417 |
| | | | 21,264,870 |
TOTAL ENERGY | | | 24,318,224 |
| FINANCIALS - 6.2% | | | |
| Banks - 1.0% | | | |
| First Citizens Bancshares, Inc. | | 274 | 392,176 |
| First Horizon National Corp. | | 4,858 | 66,215 |
| JPMorgan Chase & Co. | | 18,922 | 2,988,919 |
| | | | 3,447,310 |
| Capital Markets - 0.9% | | | |
| Ameriprise Financial, Inc. | | 2,645 | 921,650 |
| Ares Management Corp. | | 3,372 | 334,570 |
| Cboe Global Markets, Inc. | | 1,579 | 220,555 |
| Coinbase Global, Inc. (a)(b) | | 2,419 | 238,538 |
| LPL Financial | | 1,343 | 308,030 |
| MarketAxess Holdings, Inc. | | 1,163 | 313,103 |
| MSCI, Inc. | | 398 | 218,136 |
| Raymond James Financial, Inc. | | 1,316 | 144,852 |
| State Street Corp. | | 2,683 | 194,357 |
| | | | 2,893,791 |
| Financial Services - 1.2% | | | |
| Apollo Global Management, Inc. | | 4,853 | 396,539 |
| Fiserv, Inc. (a) | | 14,729 | 1,858,947 |
| Toast, Inc. (a)(b) | | 5,894 | 130,081 |
| Visa, Inc. Class A | | 7,148 | 1,699,294 |
| | | | 4,084,861 |
| Insurance - 3.1% | | | |
| AFLAC, Inc. | | 8,503 | 615,107 |
| American Financial Group, Inc. | | 457 | 55,576 |
| Aon PLC | | 870 | 277,095 |
| Arch Capital Group Ltd. (a) | | 21,110 | 1,640,036 |
| Arthur J. Gallagher & Co. | | 7,142 | 1,534,102 |
| Chubb Ltd. | | 3,755 | 767,560 |
| Erie Indemnity Co. Class A | | 668 | 148,269 |
| Everest Re Group Ltd. | | 1,568 | 565,280 |
| Globe Life, Inc. | | 1,963 | 220,190 |
| Hartford Financial Services Group, Inc. | | 2,246 | 161,442 |
| Marsh & McLennan Companies, Inc. | | 4,878 | 919,113 |
| Principal Financial Group, Inc. | | 4,570 | 365,006 |
| Progressive Corp. | | 19,773 | 2,491,003 |
| The Travelers Companies, Inc. | | 2,154 | 371,802 |
| W.R. Berkley Corp. | | 1,862 | 114,867 |
| Willis Towers Watson PLC | | 941 | 198,862 |
| | | | 10,445,310 |
TOTAL FINANCIALS | | | 20,871,272 |
| HEALTH CARE - 17.6% | | | |
| Biotechnology - 4.8% | | | |
| AbbVie, Inc. | | 6,223 | 930,836 |
| Alnylam Pharmaceuticals, Inc. (a) | | 2,857 | 558,258 |
| Biogen, Inc. (a) | | 4,844 | 1,308,800 |
| BioMarin Pharmaceutical, Inc. (a) | | 4,795 | 421,624 |
| Exact Sciences Corp. (a) | | 8,163 | 796,219 |
| Gilead Sciences, Inc. | | 52,464 | 3,994,609 |
| Horizon Therapeutics PLC (a) | | 8,007 | 802,862 |
| Neurocrine Biosciences, Inc. (a) | | 1,060 | 108,003 |
| Regeneron Pharmaceuticals, Inc. (a) | | 3,649 | 2,707,230 |
| Seagen, Inc. (a) | | 4,582 | 878,736 |
| United Therapeutics Corp. (a) | | 861 | 208,982 |
| Vertex Pharmaceuticals, Inc. (a) | | 9,266 | 3,264,782 |
| | | | 15,980,941 |
| Health Care Equipment & Supplies - 3.1% | | | |
| Align Technology, Inc. (a) | | 1,249 | 471,985 |
| Boston Scientific Corp. (a) | | 32,669 | 1,693,888 |
| Dentsply Sirona, Inc. | | 1,180 | 48,994 |
| DexCom, Inc. (a) | | 6,508 | 810,636 |
| Hologic, Inc. (a) | | 5,190 | 412,190 |
| IDEXX Laboratories, Inc. (a) | | 1,849 | 1,025,696 |
| Insulet Corp. (a) | | 1,016 | 281,178 |
| Intuitive Surgical, Inc. (a) | | 6,094 | 1,976,894 |
| Masimo Corp. (a) | | 877 | 107,257 |
| Novocure Ltd. (a)(b) | | 841 | 27,450 |
| Stryker Corp. | | 10,600 | 3,004,146 |
| The Cooper Companies, Inc. | | 734 | 287,185 |
| Zimmer Biomet Holdings, Inc. | | 1,170 | 161,636 |
| | | | 10,309,135 |
| Health Care Providers & Services - 2.4% | | | |
| AmerisourceBergen Corp. | | 4,423 | 826,659 |
| Cardinal Health, Inc. | | 12,603 | 1,152,796 |
| Cigna Group | | 5,123 | 1,511,797 |
| DaVita HealthCare Partners, Inc. (a) | | 230 | 23,458 |
| Elevance Health, Inc. | | 1,451 | 684,335 |
| HCA Holdings, Inc. | | 4,882 | 1,331,858 |
| Humana, Inc. | | 1,654 | 755,597 |
| McKesson Corp. | | 4,168 | 1,677,203 |
| Universal Health Services, Inc. Class B | | 1,710 | 237,622 |
| | | | 8,201,325 |
| Life Sciences Tools & Services - 0.2% | | | |
| Mettler-Toledo International, Inc. (a) | | 131 | 164,729 |
| West Pharmaceutical Services, Inc. | | 1,483 | 545,803 |
| | | | 710,532 |
| Pharmaceuticals - 7.1% | | | |
| Eli Lilly & Co. | | 29,987 | 13,630,591 |
| Merck & Co., Inc. | | 93,755 | 9,998,971 |
| | | | 23,629,562 |
TOTAL HEALTH CARE | | | 58,831,495 |
| INDUSTRIALS - 14.5% | | | |
| Aerospace & Defense - 2.3% | | | |
| Axon Enterprise, Inc. (a) | | 3,992 | 742,233 |
| HEICO Corp. | | 689 | 121,250 |
| HEICO Corp. Class A | | 509 | 71,438 |
| Howmet Aerospace, Inc. | | 13,554 | 693,152 |
| Huntington Ingalls Industries, Inc. | | 251 | 57,647 |
| Lockheed Martin Corp. | | 4,524 | 2,019,378 |
| The Boeing Co. (a) | | 10,716 | 2,559,517 |
| TransDigm Group, Inc. | | 1,791 | 1,611,399 |
| | | | 7,876,014 |
| Air Freight & Logistics - 0.3% | | | |
| Expeditors International of Washington, Inc. | | 1,534 | 195,278 |
| FedEx Corp. | | 2,930 | 790,954 |
| | | | 986,232 |
| Building Products - 0.8% | | | |
| A.O. Smith Corp. | | 2,124 | 154,266 |
| Builders FirstSource, Inc. (a) | | 3,843 | 555,044 |
| Fortune Brands Home & Security, Inc. | | 628 | 44,632 |
| Johnson Controls International PLC | | 5,468 | 380,299 |
| Lennox International, Inc. | | 571 | 209,808 |
| Owens Corning | | 1,677 | 234,763 |
| Trane Technologies PLC | | 6,405 | 1,277,413 |
| | | | 2,856,225 |
| Commercial Services & Supplies - 0.5% | | | |
| Copart, Inc. (a) | | 17,608 | 1,556,371 |
| Rollins, Inc. | | 1,795 | 73,290 |
| | | | 1,629,661 |
| Construction & Engineering - 0.5% | | | |
| AECOM | | 2,198 | 191,226 |
| Quanta Services, Inc. | | 6,624 | 1,335,531 |
| | | | 1,526,757 |
| Electrical Equipment - 1.4% | | | |
| AMETEK, Inc. | | 6,910 | 1,095,926 |
| Eaton Corp. PLC | | 10,572 | 2,170,643 |
| Hubbell, Inc. Class B | | 2,070 | 645,840 |
| Rockwell Automation, Inc. | | 2,788 | 937,577 |
| | | | 4,849,986 |
| Ground Transportation - 0.7% | | | |
| Knight-Swift Transportation Holdings, Inc. Class A | | 869 | 52,792 |
| Old Dominion Freight Lines, Inc. | | 2,430 | 1,019,361 |
| Uber Technologies, Inc. (a) | | 24,890 | 1,231,059 |
| | | | 2,303,212 |
| Industrial Conglomerates - 2.2% | | | |
| General Electric Co. | | 64,865 | 7,410,178 |
| Machinery - 4.5% | | | |
| Caterpillar, Inc. | | 13,871 | 3,678,173 |
| Cummins, Inc. | | 2,858 | 745,366 |
| Deere & Co. | | 4,410 | 1,894,536 |
| Graco, Inc. | | 2,897 | 229,819 |
| IDEX Corp. | | 1,588 | 358,586 |
| Illinois Tool Works, Inc. | | 7,557 | 1,989,909 |
| Ingersoll Rand, Inc. | | 11,709 | 764,246 |
| Otis Worldwide Corp. | | 5,049 | 459,257 |
| PACCAR, Inc. | | 22,333 | 1,923,541 |
| Parker Hannifin Corp. | | 3,326 | 1,363,693 |
| Pentair PLC | | 3,766 | 261,737 |
| Snap-On, Inc. | | 1,706 | 464,783 |
| Toro Co. | | 3,049 | 309,931 |
| Westinghouse Air Brake Tech Co. | | 1,177 | 139,404 |
| Xylem, Inc. | | 3,770 | 425,068 |
| | | | 15,008,049 |
| Passenger Airlines - 0.0% | | | |
| Delta Air Lines, Inc. | | 998 | 46,167 |
| Professional Services - 0.2% | | | |
| Booz Allen Hamilton Holding Corp. Class A | | 1,957 | 236,954 |
| Verisk Analytics, Inc. | | 1,590 | 364,015 |
| | | | 600,969 |
| Trading Companies & Distributors - 1.1% | | | |
| Ferguson PLC | | 3,717 | 600,742 |
| United Rentals, Inc. | | 2,495 | 1,159,377 |
| W.W. Grainger, Inc. | | 2,141 | 1,581,107 |
| Watsco, Inc. (b) | | 701 | 265,111 |
| | | | 3,606,337 |
TOTAL INDUSTRIALS | | | 48,699,787 |
| INFORMATION TECHNOLOGY - 25.0% | | | |
| Communications Equipment - 0.9% | | | |
| Arista Networks, Inc. (a) | | 7,998 | 1,240,410 |
| Motorola Solutions, Inc. | | 5,941 | 1,702,869 |
| | | | 2,943,279 |
| Electronic Equipment, Instruments & Components - 0.2% | | | |
| Amphenol Corp. Class A | | 2,657 | 234,640 |
| Arrow Electronics, Inc. (a) | | 889 | 126,718 |
| CDW Corp. | | 1,626 | 304,176 |
| Cognex Corp. | | 697 | 38,070 |
| | | | 703,604 |
| IT Services - 0.5% | | | |
| Cloudflare, Inc. (a) | | 1,263 | 86,857 |
| Gartner, Inc. (a) | | 2,180 | 770,826 |
| MongoDB, Inc. Class A (a) | | 896 | 379,366 |
| Okta, Inc. (a) | | 895 | 68,790 |
| Snowflake, Inc. (a) | | 1,259 | 223,737 |
| VeriSign, Inc. (a) | | 994 | 209,684 |
| | | | 1,739,260 |
| Semiconductors & Semiconductor Equipment - 12.7% | | | |
| Advanced Micro Devices, Inc. (a) | | 35,159 | 4,022,190 |
| Analog Devices, Inc. | | 10,616 | 2,118,210 |
| Applied Materials, Inc. | | 12,758 | 1,933,985 |
| Broadcom, Inc. | | 11,397 | 10,241,914 |
| Enphase Energy, Inc. (a) | | 804 | 122,071 |
| Entegris, Inc. | | 1,473 | 161,603 |
| First Solar, Inc. (a) | | 6,486 | 1,345,196 |
| KLA Corp. | | 1,917 | 985,242 |
| Lam Research Corp. | | 2,048 | 1,471,468 |
| Lattice Semiconductor Corp. (a) | | 3,011 | 273,820 |
| Marvell Technology, Inc. | | 4,518 | 294,257 |
| Microchip Technology, Inc. | | 9,735 | 914,506 |
| Monolithic Power Systems, Inc. | | 706 | 395,000 |
| NVIDIA Corp. | | 35,372 | 16,528,973 |
| ON Semiconductor Corp. (a) | | 15,541 | 1,674,543 |
| | | | 42,482,978 |
| Software - 9.0% | | | |
| Adobe, Inc. (a) | | 2,426 | 1,325,008 |
| ANSYS, Inc. (a) | | 2,079 | 711,226 |
| Atlassian Corp. PLC (a) | | 657 | 119,535 |
| Bentley Systems, Inc. Class B | | 2,726 | 146,877 |
| Cadence Design Systems, Inc. (a) | | 9,884 | 2,312,955 |
| Crowdstrike Holdings, Inc. (a) | | 978 | 158,103 |
| Dynatrace, Inc. (a) | | 1,182 | 64,644 |
| Fair Isaac Corp. (a) | | 1,490 | 1,248,575 |
| Fortinet, Inc. (a) | | 7,026 | 546,061 |
| HubSpot, Inc. (a) | | 908 | 527,139 |
| Microsoft Corp. | | 23,812 | 7,998,927 |
| Oracle Corp. | | 62,353 | 7,309,642 |
| Palantir Technologies, Inc. (a) | | 34,902 | 692,456 |
| Palo Alto Networks, Inc. (a)(b) | | 4,998 | 1,249,300 |
| PTC, Inc. (a) | | 536 | 78,154 |
| Salesforce, Inc. (a) | | 12,022 | 2,705,070 |
| ServiceNow, Inc. (a) | | 1,045 | 609,235 |
| Splunk, Inc. (a) | | 636 | 68,898 |
| Synopsys, Inc. (a) | | 3,682 | 1,663,528 |
| Tyler Technologies, Inc. (a) | | 180 | 71,393 |
| UiPath, Inc. Class A (a) | | 1,893 | 34,225 |
| Unity Software, Inc. (a) | | 1,127 | 51,662 |
| Workday, Inc. Class A (a) | | 2,286 | 542,079 |
| | | | 30,234,692 |
| Technology Hardware, Storage & Peripherals - 1.7% | | | |
| Apple, Inc. | | 28,733 | 5,644,598 |
TOTAL INFORMATION TECHNOLOGY | | | 83,748,411 |
| MATERIALS - 3.6% | | | |
| Chemicals - 2.3% | | | |
| Air Products & Chemicals, Inc. | | 6,710 | 2,048,764 |
| Albemarle Corp. | | 1,533 | 325,425 |
| Corteva, Inc. | | 10,860 | 612,830 |
| DuPont de Nemours, Inc. | | 5,738 | 445,441 |
| FMC Corp. | | 2,003 | 192,749 |
| Linde PLC | | 10,494 | 4,099,691 |
| Westlake Corp. | | 352 | 48,400 |
| | | | 7,773,300 |
| Construction Materials - 0.2% | | | |
| Martin Marietta Materials, Inc. | | 691 | 308,504 |
| Vulcan Materials Co. | | 1,489 | 328,325 |
| | | | 636,829 |
| Metals & Mining - 1.1% | | | |
| Freeport-McMoRan, Inc. | | 13,813 | 616,750 |
| Nucor Corp. | | 7,774 | 1,337,828 |
| Reliance Steel & Aluminum Co. | | 2,879 | 843,144 |
| Steel Dynamics, Inc. | | 7,869 | 838,678 |
| | | | 3,636,400 |
TOTAL MATERIALS | | | 12,046,529 |
| REAL ESTATE - 0.2% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.1% | | | |
| Gaming & Leisure Properties | | 1,045 | 49,596 |
| VICI Properties, Inc. | | 8,795 | 276,867 |
| | | | 326,463 |
| Real Estate Management & Development - 0.1% | | | |
| CoStar Group, Inc. (a) | | 1,633 | 137,123 |
| Zillow Group, Inc. Class C (a) | | 770 | 41,703 |
| | | | 178,826 |
TOTAL REAL ESTATE | | | 505,289 |
| UTILITIES - 0.9% | | | |
| Electric Utilities - 0.8% | | | |
| Constellation Energy Corp. | | 11,649 | 1,125,876 |
| Edison International | | 3,586 | 258,049 |
| PG&E Corp. (a) | | 66,240 | 1,166,486 |
| | | | 2,550,411 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| The AES Corp. | | 6,326 | 136,831 |
| Vistra Corp. | | 1,149 | 32,241 |
| | | | 169,072 |
| Multi-Utilities - 0.0% | | | |
| Consolidated Edison, Inc. | | 1,443 | 136,883 |
TOTAL UTILITIES | | | 2,856,366 |
| TOTAL COMMON STOCKS (Cost $281,723,386) | | | 333,841,457 |
| | | | |
| U.S. Treasury Obligations - 0.1% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.18% 9/7/23 (d) (Cost $298,418) | | 300,000 | 298,377 |
| | | | |
| Money Market Funds - 0.6% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.32% (e) | | 1,483,016 | 1,483,312 |
| Fidelity Securities Lending Cash Central Fund 5.32% (e)(f) | | 690,206 | 690,275 |
| TOTAL MONEY MARKET FUNDS (Cost $2,173,587) | | | 2,173,587 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.4% (Cost $284,195,391) | 336,313,421 |
NET OTHER ASSETS (LIABILITIES) - (0.4)% | (1,403,333) |
| NET ASSETS - 100.0% | 334,910,088 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P 500 Index Contracts (United States) | 8 | Sep 2023 | 1,845,800 | 30,679 | 30,679 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 0.6% |
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (d) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $119,351. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.32% | 4,991,361 | 89,521,471 | 93,029,520 | 51,254 | - | - | 1,483,312 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.32% | 2,360,785 | 41,779,077 | 43,449,587 | 17,750 | - | - | 690,275 | 0.0% |
| Total | 7,352,146 | 131,300,548 | 136,479,107 | 69,004 | - | - | 2,173,587 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 26,531,321 | 26,531,321 | - | - |
Consumer Discretionary | 43,546,903 | 43,546,903 | - | - |
Consumer Staples | 11,885,860 | 11,885,860 | - | - |
Energy | 24,318,224 | 24,318,224 | - | - |
Financials | 20,871,272 | 20,871,272 | - | - |
Health Care | 58,831,495 | 58,831,495 | - | - |
Industrials | 48,699,787 | 48,699,787 | - | - |
Information Technology | 83,748,411 | 83,748,411 | - | - |
Materials | 12,046,529 | 12,046,529 | - | - |
Real Estate | 505,289 | 505,289 | - | - |
Utilities | 2,856,366 | 2,856,366 | - | - |
|
| U.S. Government and Government Agency Obligations | 298,377 | - | 298,377 | - |
|
| Money Market Funds | 2,173,587 | 2,173,587 | - | - |
| Total Investments in Securities: | 336,313,421 | 336,015,044 | 298,377 | - |
Derivative Instruments: | | | | |
|
| Assets | | | | |
Futures Contracts | 30,679 | 30,679 | - | - |
| Total Assets | 30,679 | 30,679 | - | - |
| Total Derivative Instruments: | 30,679 | 30,679 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Futures Contracts (a) | 30,679 | 0 |
| Total Equity Risk | 30,679 | 0 |
| Total Value of Derivatives | 30,679 | 0 |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
| Statement of Assets and Liabilities |
| | | | July 31, 2023 |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $681,808) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $282,021,804) | $ | 334,139,834 | | |
Fidelity Central Funds (cost $2,173,587) | | 2,173,587 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $284,195,391) | | | $ | 336,313,421 |
| Receivable for investments sold | | | | 43,864,265 |
| Receivable for fund shares sold | | | | 68,213 |
| Dividends receivable | | | | 129,187 |
| Distributions receivable from Fidelity Central Funds | | | | 5,119 |
| Receivable for daily variation margin on futures contracts | | | | 3,200 |
Total assets | | | | 380,383,405 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 44,496,969 | | |
| Payable for fund shares redeemed | | 209,299 | | |
| Accrued management fee | | 27,497 | | |
| Other payables and accrued expenses | | 49,277 | | |
| Collateral on securities loaned | | 690,275 | | |
| Total Liabilities | | | | 45,473,317 |
| Net Assets | | | $ | 334,910,088 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 238,951,194 |
| Total accumulated earnings (loss) | | | | 95,958,894 |
| Net Assets | | | $ | 334,910,088 |
Net Asset Value, offering price and redemption price per share ($334,910,088 ÷ 23,122,512 shares) | | | $ | 14.48 |
| Statement of Operations |
| | | | Year ended July 31, 2023 |
| Investment Income | | | | |
| Dividends | | | $ | 37,895,832 |
| Interest | | | | 10,947 |
| Income from Fidelity Central Funds (including $17,750 from security lending) | | | | 69,004 |
| Total Income | | | | 37,975,783 |
| Expenses | | | | |
| Management fee | $ | 1,650,392 | | |
| Custodian fees and expenses | | 57,795 | | |
| Independent trustees' fees and expenses | | 7,931 | | |
| Registration fees | | 35,358 | | |
| Audit | | 53,833 | | |
| Legal | | 7,846 | | |
| Interest | | 72,707 | | |
| Miscellaneous | | 18,197 | | |
| Total Expenses | | | | 1,904,059 |
| Net Investment income (loss) | | | | 36,071,724 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 250,574,422 | | |
| Futures contracts | | 320,393 | | |
| Total net realized gain (loss) | | | | 250,894,815 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (238,110,982) | | |
| Futures contracts | | (636,561) | | |
| Total change in net unrealized appreciation (depreciation) | | | | (238,747,543) |
| Net gain (loss) | | | | 12,147,272 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 48,218,996 |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2023 | | Year ended July 31, 2022 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 36,071,724 | $ | 42,515,461 |
| Net realized gain (loss) | | 250,894,815 | | (109,569,656) |
| Change in net unrealized appreciation (depreciation) | | (238,747,543) | | (275,243,396) |
| Net increase (decrease) in net assets resulting from operations | | 48,218,996 | | (342,297,591) |
| Distributions to shareholders | | (61,615,588) | | (545,772,044) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 56,880,947 | | 2,470,011,092 |
| Reinvestment of distributions | | 60,451,730 | | 528,193,833 |
| Cost of shares redeemed | | (4,293,261,374) | | (494,759,472) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (4,175,928,697) | | 2,503,445,453 |
| Total increase (decrease) in net assets | | (4,189,325,289) | | 1,615,375,818 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 4,524,235,377 | | 2,908,859,559 |
| End of period | $ | 334,910,088 | $ | 4,524,235,377 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 4,142,276 | | 172,552,413 |
| Issued in reinvestment of distributions | | 4,354,609 | | 31,671,872 |
| Redeemed | | (309,624,256) | | (32,697,591) |
| Net increase (decrease) | | (301,127,371) | | 171,526,694 |
| | | | | |
| Fidelity® SAI U.S. Momentum Index Fund |
| |
| Years ended July 31, | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 13.95 | $ | 19.05 | $ | 15.74 | $ | 13.77 | $ | 13.31 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .30 | | .19 | | .10 | | .19 | | .20 |
| Net realized and unrealized gain (loss) | | .52 C | | (1.81) | | 4.66 | | 2.07 | | .71 D |
| Total from investment operations | | .82 | | (1.62) | | 4.76 | | 2.26 | | .91 |
| Distributions from net investment income | | (.29) | | (.10) | | (.18) | | (.22) | | (.12) |
| Distributions from net realized gain | | - | | (3.38) | | (1.27) | | (.08) | | (.33) |
| Total distributions | | (.29) | | (3.48) | | (1.45) | | (.29) E | | (.45) |
| Net asset value, end of period | $ | 14.48 | $ | 13.95 | $ | 19.05 | $ | 15.74 | $ | 13.77 |
Total Return F | | 5.99% C | | (11.06)% | | 32.98% | | 16.76% | | 6.94% D |
Ratios to Average Net Assets B,G,H | | | | | | | | | | |
| Expenses before reductions | | .11% | | .11% | | .11% | | .11% | | .21% |
| Expenses net of fee waivers, if any | | .11% | | .11% | | .11% | | .11% | | .15% |
| Expenses net of all reductions | | .11% | | .11% | | .11% | | .11% | | .15% |
| Net investment income (loss) | | 2.15% | | 1.25% | | .58% | | 1.36% | | 1.54% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 334,910 | $ | 4,524,235 | $ | 2,908,860 | $ | 1,798,387 | $ | 3,655,491 |
Portfolio turnover rate I | | 85% | | 138% | | 128% | | 163% | | 161% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CAmount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 5.95%.
DAmount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 6.91%.
ETotal distributions per share do not sum due to rounding.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended July 31, 2023
1. Organization.
Fidelity SAI U.S. Momentum Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities 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. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2023 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, passive foreign investment companies(PFIC)and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $53,647,248 |
| Gross unrealized depreciation | (1,878,105) |
| Net unrealized appreciation (depreciation) | $51,769,143 |
| Tax Cost | $284,544,278 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $1,174,116 |
| Undistributed long-term capital gain | $43,015,637 |
| Net unrealized appreciation (depreciation) on securities and other investments | $51,769,143 |
The tax character of distributions paid was as follows:
| | July 31, 2023 | July 31, 2022 |
| Ordinary Income | $61,615,588 | $138,747,010 |
| Long-term Capital Gains | - | 407,025,034 |
| Total | $61,615,588 | $545,772,044 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI U.S. Momentum Index Fund | 1,463,245,481 | 5,642,262,258 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
Fidelity SAI U.S. Momentum Index Fund | Borrower | $42,094,769 | 2.85% | $43,307 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
Other. During the period, FMR reimbursed the Fund $693,014 for an operational error which is included in Net Realized Gain (Loss) in the accompanying Statement of Operations.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Fidelity SAI U.S. Momentum Index Fund | $5,379 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End |
| Fidelity SAI U.S. Momentum Index Fund | $1,735 | $268 | - |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
| | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Fidelity SAI U.S. Momentum Index Fund | $208,345,000 | 5.08% | $29,400 |
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity SAI U.S. Momentum Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Momentum Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2023, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2023, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 12, 2023
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 313 funds. Mr. Chiel oversees 191 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's alternative investment, high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Jonathan Chiel (1957)
Year of Election or Appointment: 2016
Trustee
Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney's Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and an international banker at Chemical Bank NA (now JPMorgan Chase & Co.). Ms. McAuliffe also currently serves as director or trustee of several not-for-profit entities.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as a member of the Board, Chair of Nomination Committee and a member of the Corporate Governance Committee of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as President of First to Four LLC (leadership and mentoring services, 2012-2022), a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). General Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of the Noble Reach Foundation (formerly Logistics Management Institute) (consulting non-profit, 2012-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). Previously, General Dunwoody served as a member of the Board of Florida Institute of Technology (2015-2022) and a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-2021). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Previously, Mr. Engler served as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-2022), a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Laura M. Bishop (1961)
Year of Election or Appointment: 2022
Member of the Advisory Board
Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations, including as a Trustee and member of the Executive Committee of the Baltimore Council on Foreign Affairs, a member of the Board of Directors of the St. Vincent de Paul Society of Baltimore and a member of the Life Guard Society of Mt. Vernon.
Carol J. Zierhoffer (1960)
Year of Election or Appointment: 2023
Member of the Advisory Board
Ms. Zierhoffer also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Zierhoffer held a variety of positions at Bechtel Corporation (engineering company, 2013-2019), including Principal Vice President and Chief Information Officer (2013-2016) and Senior Vice President and Chief Information Officer (2016-2019). Ms. Zierhoffer currently serves as a member of the Board of Directors, Audit Committee and Compensation Committee of Allscripts Healthcare Solutions, Inc. (healthcare technology, 2020-present) and as a member of the Board of Directors, Audit and Finance Committee and Nominating and Governance Committee of Atlas Air Worldwide Holdings, Inc. (aviation operating services, 2021-present). Previously, Ms. Zierhoffer served as a member of the Board of Directors and Audit Committee and as the founding Chair of the Information Technology Committee of MedAssets, Inc. (healthcare technology, 2013-2016).
Heather Bonner (1977)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Secretary and Chief Legal Officer (CLO)
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Robin Foley (1964)
Year of Election or Appointment: 2023
Vice President
Ms. Foley also serves as Vice President of other funds. Ms. Foley serves as Head of Fidelity's Fixed Income division (2023-present) and is an employee of Fidelity Investments. Previously, Ms. Foley served as Chief Investment Officer of Bonds (2017-2023).
Christopher M. Gouveia (1973)
Year of Election or Appointment: 2023
Chief Compliance Officer
Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value February 1, 2023 | | Ending Account Value July 31, 2023 | | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 |
| | | | | | | | | | |
| Fidelity® SAI U.S. Momentum Index Fund | | | | .15% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,044.70 | | $ .76 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.05 | | $ .75 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2023, $46,346,296, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 100% and 95% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 99.99% and 99.16% of the dividends distributed September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 0.02% and 0.84% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
1.9878817.106
SY1-ANN-0923
Fidelity® SAI Small-Mid Cap 500 Index Fund
Annual Report
July 31, 2023
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
A fund is not in any way connected to or sponsored, endorsed, sold or promoted by the London Stock Exchange Group plc and its group undertakings (collectively, the "LSE Group"). The LSE Group does not accept any liability whatsoever to any person arising out of the use of a fund or the underlying data.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns |
| | | | |
Periods ended July 31, 2023 | Past 1 year | Past 5 years | Life of Fund A |
| Fidelity® SAI Small-Mid Cap 500 Index Fund | 8.32% | 8.82% | 9.44% |
A From August 12, 2015
| $10,000 Over Life of Fund |
| |
Let's say hypothetically that $10,000 was invested in Fidelity® SAI Small-Mid Cap 500 Index Fund, on August 12, 2015, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Russell SMID 500™ Index performed over the same period. |
|
|
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the fund gained 8.32%, versus the 8.18% result of the benchmark Russell SMID 500 Index. By sector, industrials gained 22% and contributed most. Consumer discretionary stocks also helped, gaining 15%. The information technology sector rose 15%. Materials (+10%) also contributed. Conversely, health care returned -5% and detracted most. This group was hampered by the pharmaceuticals, biotechnology & life sciences industry (-8%). Real estate (-5%) also hurt. Other detractors were the utilities (-8%) sector and the energy (-4%) sector. Turning to individual stocks, the top contributor was Builders FirstSource (+111%), from the capital goods category. Another notable contributor was PulteGroup (+94%), a stock in the consumer durables & apparel group. Exact Sciences (+117%), a stock in the pharmaceuticals, biotechnology & life sciences category, also contributed. In contrast, the biggest individual detractor was Signature Bank (-100%), from the banks group. Apellis Pharmaceuticals (-70%), from the pharmaceuticals, biotechnology & life sciences group, and First Horizon (-37%), a stock in the banks industry, also both detracted.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Top Holdings (% of Fund's net assets) |
| |
| PulteGroup, Inc. | 0.6 | |
| Builders FirstSource, Inc. | 0.6 | |
| Exact Sciences Corp. | 0.5 | |
| Reliance Steel & Aluminum Co. | 0.5 | |
| Hubbell, Inc. Class B | 0.5 | |
| FactSet Research Systems, Inc. | 0.5 | |
| Entegris, Inc. | 0.5 | |
| PTC, Inc. | 0.5 | |
| Booz Allen Hamilton Holding Corp. Class A | 0.5 | |
| Textron, Inc. | 0.5 | |
| | 5.2 | |
| |
| Market Sectors (% of Fund's net assets) |
| |
| Industrials | 21.3 | |
| Financials | 15.4 | |
| Consumer Discretionary | 14.4 | |
| Information Technology | 12.2 | |
| Health Care | 10.2 | |
| Real Estate | 7.9 | |
| Materials | 6.2 | |
| Energy | 3.6 | |
| Consumer Staples | 3.1 | |
| Communication Services | 3.0 | |
| Utilities | 2.5 | |
| |
Asset Allocation (% of Fund's net assets) |
|
Futures - 0.1% |
|
Showing Percentage of Net Assets
| Common Stocks - 99.8% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 3.0% | | | |
| Diversified Telecommunication Services - 0.3% | | | |
| Frontier Communications Parent, Inc. (a)(b) | | 118,127 | 2,151,093 |
| Iridium Communications, Inc. | | 60,170 | 3,161,934 |
| | | | 5,313,027 |
| Entertainment - 0.7% | | | |
| AMC Entertainment Holdings, Inc. Class A (a)(b) | | 250,374 | 1,244,359 |
| Madison Square Garden Sports Corp. | | 8,969 | 1,908,155 |
| Playtika Holding Corp. (a) | | 11,339 | 135,388 |
| Roku, Inc. Class A (a) | | 59,469 | 5,725,081 |
| World Wrestling Entertainment, Inc. Class A (b) | | 20,800 | 2,184,000 |
| | | | 11,196,983 |
| Interactive Media & Services - 0.5% | | | |
| IAC, Inc. (a) | | 37,106 | 2,582,578 |
| TripAdvisor, Inc. (a) | | 53,567 | 999,025 |
| Zoominfo Technologies, Inc. (a) | | 150,528 | 3,849,001 |
| | | | 7,430,604 |
| Media - 1.5% | | | |
| Cable One, Inc. | | 2,723 | 1,971,289 |
| DISH Network Corp. Class A (a) | | 119,385 | 946,723 |
| Interpublic Group of Companies, Inc. | | 186,063 | 6,368,936 |
| Liberty Media Corp. Liberty SiriusXM: | | | |
| Series A (a) | | 35,816 | 1,135,367 |
| Series C (a) | | 74,111 | 2,358,953 |
| News Corp.: | | | |
| Class A | | 183,783 | 3,642,579 |
| Class B | | 56,184 | 1,129,860 |
| Nexstar Broadcasting Group, Inc. Class A | | 16,509 | 3,082,560 |
| The New York Times Co. Class A | | 77,919 | 3,175,978 |
| | | | 23,812,245 |
TOTAL COMMUNICATION SERVICES | | | 47,752,859 |
| CONSUMER DISCRETIONARY - 14.4% | | | |
| Automobile Components - 1.0% | | | |
| BorgWarner, Inc. | | 112,568 | 5,234,412 |
| Gentex Corp. | | 113,077 | 3,797,126 |
| Lear Corp. | | 28,333 | 4,384,815 |
| Phinia, Inc. | | 22,490 | 638,041 |
| QuantumScape Corp. Class A (a)(b) | | 141,957 | 1,889,448 |
| | | | 15,943,842 |
| Automobiles - 0.3% | | | |
| Harley-Davidson, Inc. | | 63,224 | 2,441,079 |
| Thor Industries, Inc. (b) | | 24,715 | 2,854,335 |
| | | | 5,295,414 |
| Broadline Retail - 0.4% | | | |
| Kohl's Corp. | | 53,324 | 1,517,068 |
| Macy's, Inc. (b) | | 130,560 | 2,165,990 |
| Nordstrom, Inc. | | 55,058 | 1,272,390 |
| Ollie's Bargain Outlet Holdings, Inc. (a)(b) | | 29,740 | 2,167,451 |
| | | | 7,122,899 |
| Distributors - 0.4% | | | |
| Pool Corp. | | 18,336 | 7,054,593 |
| Diversified Consumer Services - 0.8% | | | |
| ADT, Inc. (b) | | 101,306 | 646,332 |
| Bright Horizons Family Solutions, Inc. (a)(b) | | 27,702 | 2,687,925 |
| Grand Canyon Education, Inc. (a) | | 14,580 | 1,582,659 |
| H&R Block, Inc. | | 73,287 | 2,463,176 |
| Mister Car Wash, Inc. (a)(b) | | 36,103 | 358,503 |
| Service Corp. International | | 71,803 | 4,785,670 |
| | | | 12,524,265 |
| Hotels, Restaurants & Leisure - 3.1% | | | |
| ARAMARK Holdings Corp. | | 113,002 | 4,561,891 |
| Boyd Gaming Corp. | | 35,461 | 2,422,696 |
| Choice Hotels International, Inc. (b) | | 14,662 | 1,917,057 |
| Churchill Downs, Inc. | | 34,311 | 3,974,929 |
| Hyatt Hotels Corp. Class A | | 22,441 | 2,835,420 |
| Marriott Vacations Worldwide Corp. | | 17,624 | 2,264,860 |
| Norwegian Cruise Line Holdings Ltd. (a)(b) | | 203,983 | 4,501,905 |
| Penn Entertainment, Inc. (a) | | 73,958 | 1,944,356 |
| Planet Fitness, Inc. (a) | | 41,121 | 2,777,312 |
| Texas Roadhouse, Inc. Class A | | 32,258 | 3,598,380 |
| Travel+Leisure Co. | | 35,817 | 1,458,826 |
| Vail Resorts, Inc. | | 19,301 | 4,545,192 |
| Wendy's Co. | | 83,463 | 1,793,620 |
| Wingstop, Inc. | | 14,448 | 2,435,644 |
| Wyndham Hotels & Resorts, Inc. | | 40,561 | 3,160,513 |
| Wynn Resorts Ltd. | | 50,126 | 5,462,731 |
| | | | 49,655,332 |
| Household Durables - 2.0% | | | |
| Leggett & Platt, Inc. (b) | | 63,924 | 1,870,416 |
| Mohawk Industries, Inc. (a) | | 25,514 | 2,713,159 |
| Newell Brands, Inc. | | 183,526 | 2,048,150 |
| PulteGroup, Inc. | | 107,065 | 9,035,218 |
| Tempur Sealy International, Inc. | | 80,507 | 3,593,027 |
| Toll Brothers, Inc. | | 53,280 | 4,279,982 |
| TopBuild Corp. (a) | | 15,286 | 4,187,294 |
| Whirlpool Corp. | | 25,818 | 3,724,505 |
| | | | 31,451,751 |
| Leisure Products - 1.1% | | | |
| Brunswick Corp. | | 34,215 | 2,953,097 |
| Hasbro, Inc. | | 63,053 | 4,070,702 |
| Mattel, Inc. (a) | | 169,851 | 3,617,826 |
| Peloton Interactive, Inc. Class A (a) | | 148,740 | 1,444,265 |
| Polaris, Inc. | | 26,012 | 3,533,470 |
| YETI Holdings, Inc. (a) | | 41,799 | 1,780,637 |
| | | | 17,399,997 |
| Specialty Retail - 3.2% | | | |
| Advance Auto Parts, Inc. | | 28,649 | 2,131,199 |
| AutoNation, Inc. (a)(b) | | 14,692 | 2,365,118 |
| Bath & Body Works, Inc. | | 110,565 | 4,097,539 |
| Dick's Sporting Goods, Inc. | | 29,003 | 4,089,423 |
| Five Below, Inc. (a) | | 26,440 | 5,508,510 |
| Floor & Decor Holdings, Inc. Class A (a)(b) | | 50,222 | 5,767,997 |
| GameStop Corp. Class A (a)(b) | | 129,222 | 2,868,728 |
| Gap, Inc. (b) | | 93,741 | 965,532 |
| Lithia Motors, Inc. Class A (sub. vtg.) | | 13,058 | 4,054,901 |
| Murphy U.S.A., Inc. | | 9,534 | 2,927,224 |
| Penske Automotive Group, Inc. (b) | | 9,689 | 1,563,998 |
| Petco Health & Wellness Co., Inc. (a) | | 39,548 | 322,712 |
| RH (a)(b) | | 7,847 | 3,045,970 |
| Valvoline, Inc. | | 82,810 | 3,144,296 |
| Victoria's Secret & Co. (a) | | 37,707 | 772,616 |
| Wayfair LLC Class A (a)(b) | | 39,684 | 3,090,193 |
| Williams-Sonoma, Inc. | | 31,448 | 4,359,951 |
| | | | 51,075,907 |
| Textiles, Apparel & Luxury Goods - 2.1% | | | |
| Capri Holdings Ltd. (a) | | 59,038 | 2,179,093 |
| Carter's, Inc. (b) | | 17,752 | 1,331,578 |
| Columbia Sportswear Co. | | 17,243 | 1,355,472 |
| Crocs, Inc. (a) | | 29,356 | 3,180,723 |
| Deckers Outdoor Corp. (a) | | 12,648 | 6,876,591 |
| PVH Corp. | | 30,081 | 2,696,461 |
| Ralph Lauren Corp. | | 19,614 | 2,575,907 |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | | 66,296 | 3,684,732 |
| Tapestry, Inc. | | 113,884 | 4,914,095 |
| Under Armour, Inc.: | | | |
| Class A (sub. vtg.) (a) | | 90,933 | 732,920 |
| Class C (non-vtg.) (a) | | 89,427 | 663,548 |
| VF Corp. | | 168,687 | 3,341,689 |
| | | | 33,532,809 |
TOTAL CONSUMER DISCRETIONARY | | | 231,056,809 |
| CONSUMER STAPLES - 3.1% | | | |
| Beverages - 0.3% | | | |
| Boston Beer Co., Inc. Class A (a) | | 4,535 | 1,684,480 |
| Celsius Holdings, Inc. (a) | | 26,237 | 3,796,494 |
| | | | 5,480,974 |
| Consumer Staples Distribution & Retail - 1.5% | | | |
| Albertsons Companies, Inc. | | 201,009 | 4,367,926 |
| BJ's Wholesale Club Holdings, Inc. (a) | | 64,187 | 4,256,240 |
| Casey's General Stores, Inc. | | 17,971 | 4,540,553 |
| Grocery Outlet Holding Corp. (a) | | 45,796 | 1,531,876 |
| Performance Food Group Co. (a) | | 73,937 | 4,418,475 |
| U.S. Foods Holding Corp. (a) | | 109,342 | 4,672,184 |
| | | | 23,787,254 |
| Food Products - 1.0% | | | |
| Darling Ingredients, Inc. (a) | | 76,471 | 5,295,617 |
| Flowers Foods, Inc. | | 90,668 | 2,240,406 |
| Freshpet, Inc. (a)(b) | | 22,034 | 1,620,380 |
| Ingredion, Inc. | | 31,824 | 3,540,738 |
| Pilgrim's Pride Corp. (a) | | 19,838 | 491,387 |
| Post Holdings, Inc. (a)(b) | | 25,818 | 2,202,275 |
| Seaboard Corp. | | 123 | 443,415 |
| | | | 15,834,218 |
| Household Products - 0.1% | | | |
| Reynolds Consumer Products, Inc. | | 26,185 | 724,801 |
| Spectrum Brands Holdings, Inc. | | 19,372 | 1,518,959 |
| | | | 2,243,760 |
| Personal Care Products - 0.2% | | | |
| Coty, Inc. Class A (a) | | 173,850 | 2,093,154 |
| Olaplex Holdings, Inc. (a) | | 62,960 | 226,656 |
| | | | 2,319,810 |
TOTAL CONSUMER STAPLES | | | 49,666,016 |
| ENERGY - 3.6% | | | |
| Energy Equipment & Services - 0.5% | | | |
| NOV, Inc. | | 189,292 | 3,800,983 |
| TechnipFMC PLC | | 211,822 | 3,884,815 |
| | | | 7,685,798 |
| Oil, Gas & Consumable Fuels - 3.1% | | | |
| Antero Midstream GP LP | | 163,581 | 1,953,157 |
| Antero Resources Corp. (a) | | 136,449 | 3,650,011 |
| APA Corp. | | 149,743 | 6,063,094 |
| Chesapeake Energy Corp. | | 61,222 | 5,163,463 |
| DT Midstream, Inc. | | 46,828 | 2,506,235 |
| EQT Corp. | | 173,993 | 7,339,025 |
| HF Sinclair Corp. (b) | | 68,122 | 3,548,475 |
| New Fortress Energy, Inc. | | 31,235 | 891,759 |
| Ovintiv, Inc. | | 117,070 | 5,395,756 |
| PDC Energy, Inc. | | 41,829 | 3,174,403 |
| Range Resources Corp. | | 112,956 | 3,550,207 |
| Southwestern Energy Co. (a) | | 529,321 | 3,430,000 |
| Texas Pacific Land Corp. (b) | | 2,789 | 4,201,071 |
| | | | 50,866,656 |
TOTAL ENERGY | | | 58,552,454 |
| FINANCIALS - 15.4% | | | |
| Banks - 3.8% | | | |
| Bank OZK | | 53,169 | 2,325,080 |
| BOK Financial Corp. | | 13,670 | 1,217,724 |
| Columbia Banking Systems, Inc. | | 100,316 | 2,242,063 |
| Comerica, Inc. | | 63,490 | 3,425,920 |
| Commerce Bancshares, Inc. | | 55,133 | 2,931,973 |
| Cullen/Frost Bankers, Inc. | | 28,560 | 3,101,045 |
| East West Bancorp, Inc. | | 67,765 | 4,215,661 |
| First Citizens Bancshares, Inc. | | 5,237 | 7,495,718 |
| First Hawaiian, Inc. | | 61,372 | 1,269,787 |
| First Horizon National Corp. | | 257,846 | 3,514,441 |
| FNB Corp., Pennsylvania | | 172,520 | 2,206,531 |
| New York Community Bancorp, Inc. | | 343,622 | 4,766,037 |
| Pinnacle Financial Partners, Inc. | | 36,289 | 2,754,335 |
| Popular, Inc. | | 33,951 | 2,463,145 |
| Prosperity Bancshares, Inc. | | 42,012 | 2,660,200 |
| Synovus Financial Corp. | | 69,773 | 2,365,305 |
| Webster Financial Corp. | | 83,764 | 3,963,712 |
| Western Alliance Bancorp. | | 52,148 | 2,709,089 |
| Wintrust Financial Corp. | | 29,355 | 2,476,388 |
| Zions Bancorp NA | | 70,184 | 2,684,538 |
| | | | 60,788,692 |
| Capital Markets - 3.7% | | | |
| Affiliated Managers Group, Inc. | | 17,198 | 2,384,331 |
| Carlyle Group LP | | 101,798 | 3,629,099 |
| Cboe Global Markets, Inc. | | 50,764 | 7,090,716 |
| Evercore, Inc. Class A | | 17,175 | 2,319,656 |
| FactSet Research Systems, Inc. | | 18,523 | 8,058,246 |
| Houlihan Lokey | | 23,979 | 2,394,303 |
| Invesco Ltd. | | 178,992 | 3,007,066 |
| Janus Henderson Group PLC | | 64,588 | 1,895,658 |
| Jefferies Financial Group, Inc. | | 96,961 | 3,567,195 |
| Lazard Ltd. Class A | | 52,806 | 1,853,491 |
| MarketAxess Holdings, Inc. | | 17,877 | 4,812,846 |
| Morningstar, Inc. | | 12,406 | 2,859,335 |
| Robinhood Markets, Inc. (a) | | 320,347 | 4,119,662 |
| SEI Investments Co. | | 49,091 | 3,092,242 |
| Stifel Financial Corp. | | 49,527 | 3,146,946 |
| TPG, Inc. (b) | | 30,950 | 910,859 |
| Virtu Financial, Inc. Class A | | 43,082 | 799,602 |
| XP, Inc. Class A (a) | | 160,286 | 4,329,325 |
| | | | 60,270,578 |
| Consumer Finance - 0.9% | | | |
| Ally Financial, Inc. | | 130,567 | 3,987,516 |
| Credit Acceptance Corp. (a)(b) | | 3,089 | 1,719,337 |
| OneMain Holdings, Inc. | | 54,137 | 2,462,151 |
| SLM Corp. | | 116,335 | 1,882,300 |
| SoFi Technologies, Inc. (a)(b) | | 442,633 | 5,068,148 |
| | | | 15,119,452 |
| Financial Services - 2.1% | | | |
| Affirm Holdings, Inc. (a)(b) | | 104,970 | 2,035,368 |
| Corebridge Financial, Inc. | | 71,376 | 1,335,445 |
| Equitable Holdings, Inc. | | 172,511 | 4,949,341 |
| Euronet Worldwide, Inc. (a) | | 22,827 | 2,005,808 |
| Jack Henry & Associates, Inc. | | 35,099 | 5,881,539 |
| MGIC Investment Corp. | | 139,015 | 2,327,111 |
| Shift4 Payments, Inc. (a) | | 26,224 | 1,809,194 |
| TFS Financial Corp. | | 23,977 | 347,906 |
| The Western Union Co. | | 180,557 | 2,199,184 |
| Toast, Inc. (a) | | 170,952 | 3,772,911 |
| UWM Holdings Corp. Class A | | 44,839 | 294,144 |
| Voya Financial, Inc. | | 47,270 | 3,510,270 |
| WEX, Inc. (a) | | 20,632 | 3,906,669 |
| | | | 34,374,890 |
| Insurance - 4.1% | | | |
| American Financial Group, Inc. | | 35,105 | 4,269,119 |
| Assurant, Inc. | | 25,518 | 3,432,426 |
| Assured Guaranty Ltd. | | 27,419 | 1,639,108 |
| Axis Capital Holdings Ltd. | | 37,504 | 2,067,220 |
| Brighthouse Financial, Inc. (a) | | 32,157 | 1,676,344 |
| Everest Re Group Ltd. | | 20,427 | 7,364,138 |
| First American Financial Corp. | | 48,346 | 3,064,169 |
| Globe Life, Inc. | | 42,822 | 4,803,344 |
| Hanover Insurance Group, Inc. | | 17,125 | 1,943,345 |
| Kemper Corp. | | 29,042 | 1,480,271 |
| Kinsale Capital Group, Inc. (b) | | 10,532 | 3,924,539 |
| Lincoln National Corp. | | 81,552 | 2,286,718 |
| Old Republic International Corp. | | 131,178 | 3,616,577 |
| Primerica, Inc. | | 17,502 | 3,722,675 |
| Reinsurance Group of America, Inc. | | 32,084 | 4,502,989 |
| RenaissanceRe Holdings Ltd. | | 23,697 | 4,425,652 |
| RLI Corp. | | 19,399 | 2,588,021 |
| Ryan Specialty Group Holdings, Inc. (a) | | 44,763 | 1,940,028 |
| Unum Group | | 94,822 | 4,609,297 |
| White Mountains Insurance Group Ltd. | | 1,195 | 1,848,689 |
| | | | 65,204,669 |
| Mortgage Real Estate Investment Trusts - 0.8% | | | |
| AGNC Investment Corp. | | 276,659 | 2,819,155 |
| Annaly Capital Management, Inc. | | 238,249 | 4,786,422 |
| Rithm Capital Corp. | | 232,497 | 2,343,570 |
| Starwood Property Trust, Inc. (b) | | 142,165 | 2,948,502 |
| | | | 12,897,649 |
TOTAL FINANCIALS | | | 248,655,930 |
| HEALTH CARE - 10.2% | | | |
| Biotechnology - 2.8% | | | |
| Apellis Pharmaceuticals, Inc. (a) | | 48,119 | 1,239,064 |
| Exact Sciences Corp. (a) | | 86,170 | 8,405,022 |
| Exelixis, Inc. (a) | | 154,745 | 3,050,024 |
| Ionis Pharmaceuticals, Inc. (a)(b) | | 68,694 | 2,845,992 |
| Karuna Therapeutics, Inc. (a) | | 17,158 | 3,427,654 |
| Mirati Therapeutics, Inc. (a) | | 22,000 | 665,940 |
| Natera, Inc. (a) | | 49,963 | 2,259,327 |
| Neurocrine Biosciences, Inc. (a) | | 46,638 | 4,751,946 |
| Repligen Corp. (a)(b) | | 26,791 | 4,596,264 |
| Roivant Sciences Ltd. (a) | | 117,724 | 1,410,334 |
| Sarepta Therapeutics, Inc. (a) | | 43,164 | 4,678,546 |
| Ultragenyx Pharmaceutical, Inc. (a) | | 32,637 | 1,407,307 |
| United Therapeutics Corp. (a) | | 21,784 | 5,287,412 |
| | | | 44,024,832 |
| Health Care Equipment & Supplies - 2.2% | | | |
| Dentsply Sirona, Inc. | | 102,008 | 4,235,372 |
| Enovis Corp. (a) | | 25,302 | 1,616,798 |
| Envista Holdings Corp. (a) | | 78,982 | 2,717,771 |
| Globus Medical, Inc. (a) | | 38,248 | 2,305,207 |
| ICU Medical, Inc. (a)(b) | | 9,755 | 1,738,146 |
| Inspire Medical Systems, Inc. (a) | | 13,873 | 3,992,788 |
| Integra LifeSciences Holdings Corp. (a) | | 34,467 | 1,567,214 |
| Masimo Corp. (a) | | 22,921 | 2,803,238 |
| Novocure Ltd. (a)(b) | | 50,630 | 1,652,563 |
| Penumbra, Inc. (a)(b) | | 17,504 | 5,310,013 |
| QuidelOrtho Corp. (a) | | 25,781 | 2,252,228 |
| Shockwave Medical, Inc. (a) | | 17,498 | 4,559,979 |
| Tandem Diabetes Care, Inc. (a) | | 31,084 | 1,085,453 |
| | | | 35,836,770 |
| Health Care Providers & Services - 2.0% | | | |
| Acadia Healthcare Co., Inc. (a) | | 43,276 | 3,420,102 |
| agilon health, Inc. (a)(b) | | 133,281 | 2,552,331 |
| Amedisys, Inc. (a) | | 15,458 | 1,404,205 |
| Chemed Corp. | | 7,082 | 3,690,359 |
| DaVita HealthCare Partners, Inc. (a) | | 26,052 | 2,657,043 |
| Encompass Health Corp. | | 47,642 | 3,145,801 |
| Henry Schein, Inc. (a) | | 62,896 | 4,955,576 |
| Premier, Inc. | | 57,218 | 1,587,800 |
| R1 RCM, Inc. (a) | | 73,766 | 1,274,676 |
| Tenet Healthcare Corp. (a) | | 48,706 | 3,639,799 |
| Universal Health Services, Inc. Class B | | 29,240 | 4,063,190 |
| | | | 32,390,882 |
| Health Care Technology - 0.3% | | | |
| Certara, Inc. (a) | | 57,613 | 1,121,725 |
| Doximity, Inc. (a)(b) | | 52,492 | 1,875,539 |
| Teladoc Health, Inc. (a)(b) | | 78,614 | 2,340,339 |
| | | | 5,337,603 |
| Life Sciences Tools & Services - 1.9% | | | |
| 10X Genomics, Inc. (a) | | 44,285 | 2,789,069 |
| Azenta, Inc. (a) | | 32,865 | 1,543,998 |
| Bio-Techne Corp. | | 75,100 | 6,263,340 |
| Bruker Corp. | | 51,240 | 3,521,213 |
| Charles River Laboratories International, Inc. (a) | | 24,493 | 5,132,263 |
| Maravai LifeSciences Holdings, Inc. (a) | | 52,984 | 599,249 |
| Medpace Holdings, Inc. (a) | | 11,240 | 2,845,631 |
| QIAGEN NV (a) | | 109,739 | 5,137,980 |
| Sotera Health Co. (a) | | 47,624 | 903,904 |
| Syneos Health, Inc. (a) | | 49,777 | 2,111,043 |
| | | | 30,847,690 |
| Pharmaceuticals - 1.0% | | | |
| Catalent, Inc. (a) | | 86,789 | 4,211,002 |
| Elanco Animal Health, Inc. (a) | | 236,419 | 2,853,577 |
| Jazz Pharmaceuticals PLC (a) | | 29,457 | 3,841,782 |
| Organon & Co. | | 123,232 | 2,708,639 |
| Perrigo Co. PLC | | 65,105 | 2,385,447 |
| | | | 16,000,447 |
TOTAL HEALTH CARE | | | 164,438,224 |
| INDUSTRIALS - 21.3% | | | |
| Aerospace & Defense - 2.1% | | | |
| Axon Enterprise, Inc. (a) | | 33,574 | 6,242,414 |
| BWX Technologies, Inc. | | 44,055 | 3,039,795 |
| Curtiss-Wright Corp. | | 18,404 | 3,521,789 |
| Hexcel Corp. | | 40,661 | 2,873,919 |
| Huntington Ingalls Industries, Inc. | | 18,913 | 4,343,749 |
| Mercury Systems, Inc. (a) | | 23,910 | 908,102 |
| Spirit AeroSystems Holdings, Inc. Class A | | 50,435 | 1,604,842 |
| Textron, Inc. | | 97,189 | 7,558,389 |
| Woodward, Inc. | | 28,541 | 3,435,766 |
| | | | 33,528,765 |
| Air Freight & Logistics - 0.2% | | | |
| GXO Logistics, Inc. (a)(b) | | 56,462 | 3,786,906 |
| Building Products - 3.3% | | | |
| A.O. Smith Corp. | | 59,218 | 4,301,003 |
| Advanced Drain Systems, Inc. (b) | | 30,054 | 3,666,287 |
| Allegion PLC | | 42,347 | 4,948,670 |
| Armstrong World Industries, Inc. | | 21,600 | 1,670,976 |
| Builders FirstSource, Inc. (a) | | 61,452 | 8,875,512 |
| Carlisle Companies, Inc. | | 24,451 | 6,777,817 |
| Fortune Brands Home & Security, Inc. | | 61,000 | 4,335,270 |
| Hayward Holdings, Inc. (a)(b) | | 53,275 | 711,754 |
| Lennox International, Inc. | | 15,425 | 5,667,762 |
| Owens Corning | | 43,331 | 6,065,907 |
| The AZEK Co., Inc. (a) | | 59,145 | 1,845,324 |
| Trex Co., Inc. (a) | | 52,403 | 3,623,143 |
| | | | 52,489,425 |
| Commercial Services & Supplies - 0.9% | | | |
| Clean Harbors, Inc. (a) | | 24,766 | 4,117,595 |
| Driven Brands Holdings, Inc. (a) | | 29,959 | 775,039 |
| MSA Safety, Inc. | | 17,778 | 2,951,148 |
| Stericycle, Inc. (a)(b) | | 44,430 | 1,887,831 |
| Tetra Tech, Inc. | | 25,571 | 4,326,869 |
| | | | 14,058,482 |
| Construction & Engineering - 1.4% | | | |
| AECOM | | 63,175 | 5,496,225 |
| EMCOR Group, Inc. | | 22,623 | 4,864,850 |
| MasTec, Inc. (a) | | 29,994 | 3,531,794 |
| MDU Resources Group, Inc. | | 97,494 | 2,156,567 |
| Valmont Industries, Inc. | | 10,008 | 2,649,618 |
| Willscot Mobile Mini Holdings (a) | | 94,904 | 4,550,647 |
| | | | 23,249,701 |
| Electrical Equipment - 2.3% | | | |
| Acuity Brands, Inc. | | 15,360 | 2,538,086 |
| ChargePoint Holdings, Inc. Class A (a)(b) | | 134,876 | 1,168,026 |
| Generac Holdings, Inc. (a) | | 29,347 | 4,510,634 |
| Hubbell, Inc. Class B | | 25,856 | 8,067,072 |
| nVent Electric PLC | | 79,377 | 4,197,456 |
| Plug Power, Inc. (a)(b) | | 250,673 | 3,288,830 |
| Regal Rexnord Corp. | | 31,915 | 4,984,485 |
| Sensata Technologies, Inc. PLC | | 72,779 | 3,074,913 |
| Sunrun, Inc. (a)(b) | | 101,832 | 1,932,771 |
| Vertiv Holdings Co. | | 155,974 | 4,056,884 |
| | | | 37,819,157 |
| Ground Transportation - 1.7% | | | |
| Avis Budget Group, Inc. (a) | | 9,862 | 2,172,500 |
| Hertz Global Holdings, Inc. (a) | | 64,877 | 1,093,177 |
| Knight-Swift Transportation Holdings, Inc. Class A | | 75,360 | 4,578,120 |
| Landstar System, Inc. | | 17,252 | 3,512,335 |
| Lyft, Inc. (a) | | 147,930 | 1,880,190 |
| Ryder System, Inc. | | 22,138 | 2,261,397 |
| Saia, Inc. (a) | | 12,814 | 5,422,116 |
| Schneider National, Inc. Class B | | 26,409 | 813,661 |
| U-Haul Holding Co. (b) | | 4,300 | 261,698 |
| U-Haul Holding Co. (non-vtg.) | | 39,000 | 2,231,190 |
| XPO, Inc. (a) | | 54,962 | 3,805,569 |
| | | | 28,031,953 |
| Machinery - 4.5% | | | |
| AGCO Corp. | | 30,196 | 4,019,088 |
| Allison Transmission Holdings, Inc. | | 43,817 | 2,571,620 |
| Crane Co. | | 23,150 | 2,168,924 |
| Crane Nxt Co. | | 23,211 | 1,372,931 |
| Donaldson Co., Inc. | | 58,422 | 3,670,654 |
| ESAB Corp. | | 27,222 | 1,870,151 |
| Flowserve Corp. | | 63,123 | 2,383,524 |
| Gates Industrial Corp. PLC (a) | | 57,100 | 777,702 |
| Graco, Inc. | | 80,639 | 6,397,092 |
| ITT, Inc. | | 39,872 | 3,971,251 |
| Lincoln Electric Holdings, Inc. | | 26,933 | 5,405,722 |
| Middleby Corp. (a) | | 25,665 | 3,897,230 |
| Nordson Corp. | | 27,601 | 6,944,688 |
| Oshkosh Corp. | | 31,449 | 2,895,509 |
| Pentair PLC | | 79,177 | 5,502,802 |
| RBC Bearings, Inc. (a) | | 13,640 | 3,083,322 |
| Snap-On, Inc. | | 25,119 | 6,843,420 |
| Timken Co. | | 30,149 | 2,799,636 |
| Toro Co. | | 50,228 | 5,105,676 |
| | | | 71,680,942 |
| Marine Transportation - 0.1% | | | |
| Kirby Corp. (a) | | 28,738 | 2,341,572 |
| Passenger Airlines - 0.5% | | | |
| Alaska Air Group, Inc. (a) | | 60,486 | 2,941,434 |
| American Airlines Group, Inc. (a) | | 313,456 | 5,250,388 |
| | | | 8,191,822 |
| Professional Services - 2.9% | | | |
| Booz Allen Hamilton Holding Corp. Class A | | 62,764 | 7,599,465 |
| CACI International, Inc. Class A (a) | | 10,888 | 3,815,591 |
| Ceridian HCM Holding, Inc. (a) | | 71,179 | 5,040,185 |
| Clarivate Analytics PLC (a)(b) | | 227,120 | 2,159,911 |
| Concentrix Corp. | | 21,184 | 1,763,356 |
| Dun & Bradstreet Holdings, Inc. | | 131,437 | 1,553,585 |
| FTI Consulting, Inc. (a)(b) | | 16,056 | 2,812,369 |
| Genpact Ltd. | | 86,509 | 3,122,110 |
| KBR, Inc. | | 65,262 | 4,012,960 |
| Manpower, Inc. | | 24,303 | 1,917,021 |
| Paycor HCM, Inc. (a)(b) | | 26,644 | 715,658 |
| Paylocity Holding Corp. (a) | | 20,267 | 4,597,569 |
| Robert Half, Inc. | | 50,750 | 3,763,113 |
| Science Applications International Corp. | | 25,928 | 3,146,104 |
| | | | 46,018,997 |
| Trading Companies & Distributors - 1.4% | | | |
| Air Lease Corp. Class A | | 49,916 | 2,113,443 |
| Core & Main, Inc. (a)(b) | | 40,905 | 1,293,007 |
| MSC Industrial Direct Co., Inc. Class A | | 22,164 | 2,236,791 |
| SiteOne Landscape Supply, Inc. (a) | | 21,445 | 3,645,650 |
| Univar Solutions, Inc. (a) | | 74,834 | 2,704,501 |
| Watsco, Inc. (b) | | 16,021 | 6,058,982 |
| WESCO International, Inc. | | 21,350 | 3,748,420 |
| | | | 21,800,794 |
TOTAL INDUSTRIALS | | | 342,998,516 |
| INFORMATION TECHNOLOGY - 12.2% | | | |
| Communications Equipment - 0.9% | | | |
| Ciena Corp. (a) | | 71,569 | 3,020,212 |
| F5, Inc. (a) | | 29,086 | 4,602,569 |
| Juniper Networks, Inc. | | 153,604 | 4,270,191 |
| Lumentum Holdings, Inc. (a) | | 32,959 | 1,725,733 |
| ViaSat, Inc. (a)(b) | | 34,711 | 1,073,958 |
| | | | 14,692,663 |
| Electronic Equipment, Instruments & Components - 2.1% | | | |
| Arrow Electronics, Inc. (a) | | 27,646 | 3,940,661 |
| Avnet, Inc. | | 43,843 | 2,126,386 |
| Cognex Corp. | | 83,353 | 4,552,741 |
| Coherent Corp. (a) | | 57,495 | 2,722,963 |
| IPG Photonics Corp. (a) | | 14,469 | 1,901,950 |
| Jabil, Inc. | | 62,411 | 6,907,025 |
| Littelfuse, Inc. | | 11,675 | 3,556,205 |
| National Instruments Corp. | | 63,219 | 3,729,921 |
| TD SYNNEX Corp. | | 20,054 | 1,979,530 |
| Vontier Corp. | | 75,107 | 2,323,060 |
| | | | 33,740,442 |
| IT Services - 0.8% | | | |
| Amdocs Ltd. | | 57,407 | 5,375,591 |
| DXC Technology Co. (a) | | 109,600 | 3,030,440 |
| Globant SA (a) | | 19,893 | 3,475,904 |
| Kyndryl Holdings, Inc. (a) | | 98,941 | 1,351,534 |
| | | | 13,233,469 |
| Semiconductors & Semiconductor Equipment - 2.1% | | | |
| Allegro MicroSystems LLC (a)(b) | | 32,254 | 1,664,629 |
| Cirrus Logic, Inc. (a) | | 26,634 | 2,152,027 |
| Entegris, Inc. | | 72,070 | 7,906,800 |
| Lattice Semiconductor Corp. (a) | | 65,739 | 5,978,305 |
| MKS Instruments, Inc. | | 32,024 | 3,496,060 |
| Qorvo, Inc. (a) | | 48,094 | 5,291,302 |
| Universal Display Corp. | | 22,541 | 3,288,281 |
| Wolfspeed, Inc. (a)(b) | | 59,833 | 3,942,995 |
| | | | 33,720,399 |
| Software - 6.0% | | | |
| Alteryx, Inc. Class A (a)(b) | | 29,547 | 1,225,019 |
| AppLovin Corp. (a)(b) | | 109,921 | 3,451,519 |
| Aspen Technology, Inc. (a)(b) | | 13,466 | 2,403,681 |
| Bentley Systems, Inc. Class B | | 92,729 | 4,996,239 |
| Bill Holdings, Inc. (a)(b) | | 49,499 | 6,204,205 |
| Black Knight, Inc. (a) | | 74,817 | 5,261,131 |
| CCC Intelligent Solutions Holdings, Inc. Class A (a) | | 97,049 | 1,069,480 |
| Confluent, Inc. (a) | | 89,301 | 3,084,457 |
| Dolby Laboratories, Inc. Class A | | 28,538 | 2,528,752 |
| DoubleVerify Holdings, Inc. (a) | | 54,252 | 2,284,009 |
| Dropbox, Inc. Class A (a) | | 126,345 | 3,404,998 |
| Dynatrace, Inc. (a) | | 105,474 | 5,768,373 |
| Elastic NV (a) | | 37,535 | 2,494,201 |
| Five9, Inc. (a) | | 34,303 | 3,010,088 |
| Gen Digital, Inc. | | 267,354 | 5,200,035 |
| GitLab, Inc. (a) | | 23,578 | 1,170,176 |
| Guidewire Software, Inc. (a) | | 39,355 | 3,338,091 |
| HashiCorp, Inc. (a) | | 44,802 | 1,326,587 |
| Informatica, Inc. (a) | | 20,493 | 390,187 |
| Manhattan Associates, Inc. (a) | | 29,740 | 5,669,039 |
| nCino, Inc. (a)(b) | | 33,652 | 1,088,642 |
| NCR Corp. (a) | | 61,556 | 1,654,625 |
| New Relic, Inc. (a) | | 26,569 | 2,231,265 |
| Nutanix, Inc. Class A (a) | | 110,846 | 3,347,549 |
| Pegasystems, Inc. | | 20,227 | 1,066,974 |
| Procore Technologies, Inc. (a) | | 37,861 | 2,871,757 |
| PTC, Inc. (a) | | 52,475 | 7,651,380 |
| RingCentral, Inc. (a) | | 41,165 | 1,702,584 |
| SentinelOne, Inc. (a) | | 90,819 | 1,513,953 |
| Smartsheet, Inc. (a) | | 60,552 | 2,688,509 |
| Teradata Corp. (a) | | 49,061 | 2,789,118 |
| UiPath, Inc. Class A (a) | | 181,264 | 3,277,253 |
| | | | 96,163,876 |
| Technology Hardware, Storage & Peripherals - 0.3% | | | |
| Pure Storage, Inc. Class A (a) | | 135,714 | 5,020,061 |
TOTAL INFORMATION TECHNOLOGY | | | 196,570,910 |
| MATERIALS - 6.2% | | | |
| Chemicals - 1.7% | | | |
| Ashland, Inc. | | 24,233 | 2,213,927 |
| Axalta Coating Systems Ltd. (a) | | 106,764 | 3,416,448 |
| Element Solutions, Inc. | | 107,695 | 2,257,287 |
| Ginkgo Bioworks Holdings, Inc. Class A (a)(b) | | 740,782 | 1,859,363 |
| Huntsman Corp. | | 84,257 | 2,508,331 |
| NewMarket Corp. | | 3,005 | 1,357,359 |
| Olin Corp. | | 62,308 | 3,593,925 |
| RPM International, Inc. | | 61,371 | 6,340,238 |
| The Chemours Co. LLC | | 71,712 | 2,651,910 |
| The Scotts Miracle-Gro Co. Class A | | 19,921 | 1,395,267 |
| | | | 27,594,055 |
| Construction Materials - 0.2% | | | |
| Eagle Materials, Inc. | | 17,223 | 3,175,405 |
| Containers & Packaging - 2.6% | | | |
| Aptargroup, Inc. | | 31,562 | 3,833,521 |
| Ardagh Group SA (a) | | 5,444 | 32,283 |
| Ardagh Metal Packaging SA | | 69,323 | 262,041 |
| Avery Dennison Corp. | | 38,969 | 7,170,686 |
| Berry Global Group, Inc. | | 58,598 | 3,842,271 |
| Crown Holdings, Inc. | | 51,193 | 4,748,663 |
| Graphic Packaging Holding Co. | | 146,925 | 3,555,585 |
| Packaging Corp. of America | | 42,701 | 6,548,198 |
| Sealed Air Corp. | | 69,374 | 3,164,842 |
| Silgan Holdings, Inc. | | 40,304 | 1,767,330 |
| Sonoco Products Co. | | 47,162 | 2,765,580 |
| WestRock Co. | | 122,592 | 4,081,088 |
| | | | 41,772,088 |
| Metals & Mining - 1.5% | | | |
| Alcoa Corp. | | 85,772 | 3,104,089 |
| Cleveland-Cliffs, Inc. (a) | | 245,238 | 4,328,451 |
| MP Materials Corp. (a)(b) | | 50,183 | 1,196,865 |
| Reliance Steel & Aluminum Co. | | 28,220 | 8,264,509 |
| Royal Gold, Inc. | | 31,638 | 3,800,989 |
| SSR Mining, Inc. | | 99,525 | 1,449,084 |
| United States Steel Corp. | | 108,516 | 2,767,158 |
| | | | 24,911,145 |
| Paper & Forest Products - 0.2% | | | |
| Louisiana-Pacific Corp. | | 31,010 | 2,360,791 |
TOTAL MATERIALS | | | 99,813,484 |
| REAL ESTATE - 7.9% | | | |
| Equity Real Estate Investment Trusts (REITs) - 7.3% | | | |
| Agree Realty Corp. | | 42,936 | 2,781,394 |
| American Homes 4 Rent Class A | | 160,696 | 6,022,886 |
| Americold Realty Trust | | 130,304 | 4,224,456 |
| Apartment Income (REIT) Corp. | | 71,770 | 2,478,936 |
| Boston Properties, Inc. | | 75,695 | 5,043,558 |
| Brixmor Property Group, Inc. | | 144,441 | 3,284,588 |
| Camden Property Trust (SBI) | | 50,073 | 5,462,464 |
| Cousins Properties, Inc. | | 73,016 | 1,783,781 |
| CubeSmart | | 107,935 | 4,680,062 |
| EastGroup Properties, Inc. | | 21,161 | 3,749,306 |
| EPR Properties | | 35,812 | 1,598,648 |
| Equity Lifestyle Properties, Inc. | | 85,738 | 6,102,831 |
| Federal Realty Investment Trust (SBI) | | 39,012 | 3,960,498 |
| First Industrial Realty Trust, Inc. | | 63,687 | 3,292,618 |
| Gaming & Leisure Properties | | 121,440 | 5,763,542 |
| Healthcare Trust of America, Inc. | | 183,285 | 3,579,556 |
| Highwoods Properties, Inc. (SBI) | | 50,204 | 1,268,655 |
| Host Hotels & Resorts, Inc. | | 341,221 | 6,278,466 |
| Kilroy Realty Corp. | | 56,283 | 2,009,303 |
| Kimco Realty Corp. | | 292,037 | 5,916,670 |
| Lamar Advertising Co. Class A | | 41,932 | 4,138,688 |
| Medical Properties Trust, Inc. (b) | | 286,390 | 2,889,675 |
| National Storage Affiliates Trust | | 38,514 | 1,301,388 |
| NNN (REIT), Inc. | | 87,539 | 3,736,165 |
| Omega Healthcare Investors, Inc. | | 113,014 | 3,605,147 |
| Park Hotels & Resorts, Inc. | | 105,987 | 1,444,603 |
| Rayonier, Inc. | | 70,839 | 2,346,188 |
| Regency Centers Corp. | | 82,163 | 5,384,141 |
| Rexford Industrial Realty, Inc. | | 96,672 | 5,325,660 |
| Spirit Realty Capital, Inc. | | 67,975 | 2,741,432 |
| Stag Industrial, Inc. | | 86,640 | 3,145,032 |
| Vornado Realty Trust | | 85,288 | 1,917,274 |
| | | | 117,257,611 |
| Real Estate Management & Development - 0.6% | | | |
| Howard Hughes Corp. (a) | | 16,243 | 1,371,396 |
| Jones Lang LaSalle, Inc. (a) | | 22,866 | 3,808,332 |
| Zillow Group, Inc.: | | | |
| Class A (a) | | 26,610 | 1,416,184 |
| Class C (a) | | 74,601 | 4,040,390 |
| | | | 10,636,302 |
TOTAL REAL ESTATE | | | 127,893,913 |
| UTILITIES - 2.5% | | | |
| Electric Utilities - 1.0% | | | |
| Hawaiian Electric Industries, Inc. | | 52,877 | 2,029,948 |
| IDACORP, Inc. | | 24,370 | 2,505,723 |
| NRG Energy, Inc. | | 111,374 | 4,231,098 |
| OGE Energy Corp. | | 96,462 | 3,487,101 |
| Pinnacle West Capital Corp. | | 54,638 | 4,525,119 |
| | | | 16,778,989 |
| Gas Utilities - 0.3% | | | |
| National Fuel Gas Co. | | 42,867 | 2,276,666 |
| UGI Corp. | | 100,792 | 2,720,376 |
| | | | 4,997,042 |
| Independent Power and Renewable Electricity Producers - 0.5% | | | |
| Brookfield Renewable Corp. | | 61,625 | 1,920,851 |
| Clearway Energy, Inc.: | | | |
| Class A | | 16,731 | 412,754 |
| Class C | | 39,515 | 1,043,591 |
| Vistra Corp. | | 181,157 | 5,083,265 |
| | | | 8,460,461 |
| Multi-Utilities - 0.4% | | | |
| NiSource, Inc. | | 199,520 | 5,554,637 |
| Water Utilities - 0.3% | | | |
| Essential Utilities, Inc. | | 117,156 | 4,954,527 |
TOTAL UTILITIES | | | 40,745,656 |
| TOTAL COMMON STOCKS (Cost $1,392,589,942) | | | 1,608,144,771 |
| | | | |
| U.S. Treasury Obligations - 0.0% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.18% 9/7/23 (d) (Cost $99,473) | | 100,000 | 99,459 |
| | | | |
| Money Market Funds - 5.9% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.32% (e) | | 1,445,059 | 1,445,348 |
| Fidelity Securities Lending Cash Central Fund 5.32% (e)(f) | | 92,888,089 | 92,897,377 |
| TOTAL MONEY MARKET FUNDS (Cost $94,342,725) | | | 94,342,725 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 105.7% (Cost $1,487,032,140) | 1,702,586,955 |
NET OTHER ASSETS (LIABILITIES) - (5.7)% | (91,649,992) |
| NET ASSETS - 100.0% | 1,610,936,963 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P MidCap 400 Index Contracts (United States) | 7 | Sep 2023 | 1,920,380 | 113,539 | 113,539 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 0.1% |
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (d) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $99,459. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.32% | 413,829 | 490,214,698 | 489,183,179 | 193,596 | - | - | 1,445,348 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.32% | 12,727,695 | 286,806,553 | 206,636,871 | 1,218,689 | - | - | 92,897,377 | 0.3% |
| Total | 13,141,524 | 777,021,251 | 695,820,050 | 1,412,285 | - | - | 94,342,725 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 47,752,859 | 47,752,859 | - | - |
Consumer Discretionary | 231,056,809 | 231,056,809 | - | - |
Consumer Staples | 49,666,016 | 49,666,016 | - | - |
Energy | 58,552,454 | 58,552,454 | - | - |
Financials | 248,655,930 | 248,655,930 | - | - |
Health Care | 164,438,224 | 164,438,224 | - | - |
Industrials | 342,998,516 | 342,998,516 | - | - |
Information Technology | 196,570,910 | 196,570,910 | - | - |
Materials | 99,813,484 | 99,813,484 | - | - |
Real Estate | 127,893,913 | 127,893,913 | - | - |
Utilities | 40,745,656 | 40,745,656 | - | - |
|
| U.S. Government and Government Agency Obligations | 99,459 | - | 99,459 | - |
|
| Money Market Funds | 94,342,725 | 94,342,725 | - | - |
| Total Investments in Securities: | 1,702,586,955 | 1,702,487,496 | 99,459 | - |
Derivative Instruments: | | | | |
|
| Assets | | | | |
Futures Contracts | 113,539 | 113,539 | - | - |
| Total Assets | 113,539 | 113,539 | - | - |
| Total Derivative Instruments: | 113,539 | 113,539 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Futures Contracts (a) | 113,539 | 0 |
| Total Equity Risk | 113,539 | 0 |
| Total Value of Derivatives | 113,539 | 0 |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
| Statement of Assets and Liabilities |
| | | | July 31, 2023 |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $92,640,903) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $1,392,689,415) | $ | 1,608,244,230 | | |
Fidelity Central Funds (cost $94,342,725) | | 94,342,725 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $1,487,032,140) | | | $ | 1,702,586,955 |
| Segregated cash with brokers for derivative instruments | | | | 31,155 |
| Receivable for investments sold | | | | 149 |
| Receivable for fund shares sold | | | | 1,000,000 |
| Dividends receivable | | | | 787,463 |
| Distributions receivable from Fidelity Central Funds | | | | 196,105 |
| Receivable for daily variation margin on futures contracts | | | | 10,538 |
| Prepaid expenses | | | | 1,199 |
| Receivable from investment adviser for expense reductions | | | | 116,144 |
| Other receivables | | | | 115,437 |
Total assets | | | | 1,704,845,145 |
| Liabilities | | | | |
| Payable to custodian bank | $ | 134 | | |
| Payable for fund shares redeemed | | 766,718 | | |
| Accrued management fee | | 143,982 | | |
| Other payables and accrued expenses | | 109,300 | | |
| Collateral on securities loaned | | 92,888,048 | | |
| Total Liabilities | | | | 93,908,182 |
| Net Assets | | | $ | 1,610,936,963 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 1,404,247,024 |
| Total accumulated earnings (loss) | | | | 206,689,939 |
| Net Assets | | | $ | 1,610,936,963 |
Net Asset Value, offering price and redemption price per share ($1,610,936,963 ÷ 265,506,621 shares) | | | $ | 6.07 |
| Statement of Operations |
| | | | Year ended July 31, 2023 |
| Investment Income | | | | |
| Dividends | | | $ | 16,354,849 |
| Interest | | | | 7,054 |
| Income from Fidelity Central Funds (including $1,218,689 from security lending) | | | | 1,412,285 |
| Total Income | | | | 17,774,188 |
| Expenses | | | | |
| Management fee | $ | 1,080,968 | | |
| Custodian fees and expenses | | 154,298 | | |
| Independent trustees' fees and expenses | | 2,913 | | |
| Registration fees | | 26,945 | | |
| Audit | | 54,821 | | |
| Legal | | 6,446 | | |
| Interest | | 95,503 | | |
| Miscellaneous | | 3,333 | | |
| Total expenses before reductions | | 1,425,227 | | |
| Expense reductions | | (843,916) | | |
| Total expenses after reductions | | | | 581,311 |
| Net Investment income (loss) | | | | 17,192,877 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (9,815,129) | | |
| Foreign currency transactions | | 69 | | |
| Futures contracts | | 238,993 | | |
| Total net realized gain (loss) | | | | (9,576,067) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 138,110,428 | | |
| Assets and liabilities in foreign currencies | | (43) | | |
| Futures contracts | | 78,625 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 138,189,010 |
| Net gain (loss) | | | | 128,612,943 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 145,805,820 |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2023 | | Year ended July 31, 2022 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 17,192,877 | $ | 9,379,452 |
| Net realized gain (loss) | | (9,576,067) | | 291,515,558 |
| Change in net unrealized appreciation (depreciation) | | 138,189,010 | | (300,936,029) |
| Net increase (decrease) in net assets resulting from operations | | 145,805,820 | | (41,019) |
| Distributions to shareholders | | (110,768,589) | | (379,158,551) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 1,860,933,035 | | 681,080,180 |
| Reinvestment of distributions | | 110,367,799 | | 377,431,403 |
| Cost of shares redeemed | | (641,896,678) | | (1,520,231,280) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 1,329,404,156 | | (461,719,697) |
| Total increase (decrease) in net assets | | 1,364,441,387 | | (840,919,267) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 246,495,576 | | 1,087,414,843 |
| End of period | $ | 1,610,936,963 | $ | 246,495,576 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 336,949,020 | | 62,603,625 |
| Issued in reinvestment of distributions | | 19,549,412 | | 34,100,959 |
| Redeemed | | (116,031,798) | | (137,731,803) |
| Net increase (decrease) | | 240,466,634 | | (41,027,219) |
| | | | | |
| Fidelity® SAI Small-Mid Cap 500 Index Fund |
| |
| Years ended July 31, | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 9.84 | $ | 16.46 | $ | 12.19 | $ | 12.80 | $ | 12.95 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .10 | | .16 | | .20 | | .20 | | .19 |
| Net realized and unrealized gain (loss) | | .38 | | (1.07) | | 5.09 | | (.20) C | | .46 |
| Total from investment operations | | .48 | | (.91) | | 5.29 | | - | | .65 |
| Distributions from net investment income | | (.11) | | (.22) | | (.17) | | (.22) | | (.18) |
| Distributions from net realized gain | | (4.15) | | (5.48) | | (.85) | | (.39) | | (.63) |
| Total distributions | | (4.25) D | | (5.71) D | | (1.02) | | (.61) | | (.80) D |
| Net asset value, end of period | $ | 6.07 | $ | 9.84 | $ | 16.46 | $ | 12.19 | $ | 12.80 |
Total Return E | | 8.32% | | (8.94)% | | 46.99% | | (.03)% C | | 5.26% |
Ratios to Average Net Assets B,F,G | | | | | | | | | | |
| Expenses before reductions | | .15% | | .14% | | .13% | | .13% | | .22% |
| Expenses net of fee waivers, if any | | .06% | | .05% | | .05% | | .05% | | .08% |
| Expenses net of all reductions | | .06% | | .05% | | .05% | | .05% | | .08% |
| Net investment income (loss) | | 1.77% | | 1.35% | | 1.37% | | 1.66% | | 1.53% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 1,610,937 | $ | 246,496 | $ | 1,087,415 | $ | 1,921,810 | $ | 1,862,285 |
Portfolio turnover rate H | | 76% | | 93% | | 69% | | 79% | | 41% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CAmount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.02 per share. Excluding this reimbursement, the total return would have been (.16)%.
DTotal distributions per share do not sum due to rounding.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended July 31, 2023
1. Organization.
Fidelity SAI Small-Mid Cap 500 Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities 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. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2023 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, partnerships and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $255,475,766 |
| Gross unrealized depreciation | (73,187,828) |
| Net unrealized appreciation (depreciation) | $182,287,938 |
| Tax Cost | $1,520,299,017 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $16,789,091 |
| Undistributed long-term capital gain | $7,612,953 |
| Net unrealized appreciation (depreciation) on securities and other investments | $182,287,895 |
The tax character of distributions paid was as follows:
| | July 31, 2023 | July 31, 2022 |
| Ordinary Income | $6,412,901 | $14,893,150 |
| Long-term Capital Gains | 104,355,688 | 364,265,401 |
| Total | $110,768,589 | $379,158,551 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI Small-Mid Cap 500 Index Fund | 1,997,070,711 | 744,317,157 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .11% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
Fidelity SAI Small-Mid Cap 500 Index Fund | Borrower | $20,860,069 | 4.88% | $82,076 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Fidelity SAI Small-Mid Cap 500 Index Fund | $1,814 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End |
| Fidelity SAI Small-Mid Cap 500 Index Fund | $133,604 | $36,309 | $61,486 |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
| | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Fidelity SAI Small-Mid Cap 500 Index Fund | $42,700,500 | 2.83% | $13,427 |
10. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .05% of average net assets. This reimbursement will remain in place through November 30, 2024. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $841,910.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $2,006.
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| | Strategic Advisers Fidelity U.S. Total Stock Fund | Strategic Advisers Small-Mid Cap Fund |
| Fidelity SAI Small-Mid Cap 500 Index Fund | 71% | 29% |
12. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity SAI Small-Mid Cap 500 Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI Small-Mid Cap 500 Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2023, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2023, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 13, 2023
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 313 funds. Mr. Chiel oversees 191 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's alternative investment, high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Jonathan Chiel (1957)
Year of Election or Appointment: 2016
Trustee
Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney's Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and an international banker at Chemical Bank NA (now JPMorgan Chase & Co.). Ms. McAuliffe also currently serves as director or trustee of several not-for-profit entities.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as a member of the Board, Chair of Nomination Committee and a member of the Corporate Governance Committee of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as President of First to Four LLC (leadership and mentoring services, 2012-2022), a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). General Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of the Noble Reach Foundation (formerly Logistics Management Institute) (consulting non-profit, 2012-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). Previously, General Dunwoody served as a member of the Board of Florida Institute of Technology (2015-2022) and a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-2021). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Previously, Mr. Engler served as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-2022), a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Laura M. Bishop (1961)
Year of Election or Appointment: 2022
Member of the Advisory Board
Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations, including as a Trustee and member of the Executive Committee of the Baltimore Council on Foreign Affairs, a member of the Board of Directors of the St. Vincent de Paul Society of Baltimore and a member of the Life Guard Society of Mt. Vernon.
Carol J. Zierhoffer (1960)
Year of Election or Appointment: 2023
Member of the Advisory Board
Ms. Zierhoffer also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Zierhoffer held a variety of positions at Bechtel Corporation (engineering company, 2013-2019), including Principal Vice President and Chief Information Officer (2013-2016) and Senior Vice President and Chief Information Officer (2016-2019). Ms. Zierhoffer currently serves as a member of the Board of Directors, Audit Committee and Compensation Committee of Allscripts Healthcare Solutions, Inc. (healthcare technology, 2020-present) and as a member of the Board of Directors, Audit and Finance Committee and Nominating and Governance Committee of Atlas Air Worldwide Holdings, Inc. (aviation operating services, 2021-present). Previously, Ms. Zierhoffer served as a member of the Board of Directors and Audit Committee and as the founding Chair of the Information Technology Committee of MedAssets, Inc. (healthcare technology, 2013-2016).
Heather Bonner (1977)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Secretary and Chief Legal Officer (CLO)
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Robin Foley (1964)
Year of Election or Appointment: 2023
Vice President
Ms. Foley also serves as Vice President of other funds. Ms. Foley serves as Head of Fidelity's Fixed Income division (2023-present) and is an employee of Fidelity Investments. Previously, Ms. Foley served as Chief Investment Officer of Bonds (2017-2023).
Christopher M. Gouveia (1973)
Year of Election or Appointment: 2023
Chief Compliance Officer
Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value February 1, 2023 | | Ending Account Value July 31, 2023 | | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 |
| | | | | | | | | | |
| Fidelity® SAI Small-Mid Cap 500 Index Fund | | | | .06% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,034.10 | | $ .30 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.50 | | $ .30 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2023, $9,403,680, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 100% and 67% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 99.89% and 67.93% of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 0.11% and 28.69% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.
The fund designates $49,318 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
1.9868212.107
SV3-ANN-0923
Fidelity® SAI U.S. Quality Index Fund
Annual Report
July 31, 2023
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by Fidelity Product Services LLC (FPS), and FPS bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the relationship between FPS and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns |
| | | | |
Periods ended July 31, 2023 | Past 1 year | Past 5 years | Life of Fund A |
| Fidelity® SAI U.S. Quality Index Fund | 14.97% | 13.43% | 14.26% |
A From October 8, 2015
| $10,000 Over Life of Fund |
| |
Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Quality Index Fund, on October 8, 2015, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Fidelity U.S. Quality Focus Index℠, Fidelity SAI U.S. Quality Index Fund Linked Index and S&P 500® Index performed over the same period. |
|
|
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
Comments from Portfolio Manager Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the fund gained 14.97%, roughly in line with the 15.18% result of the benchmark Fidelity U.S. Quality Focus Index TR. By sector, information technology gained approximately 22% and contributed most. Communication services stocks also helped (+45%). Financials rose about 10%, industrials gained approximately 9%, and consumer discretionary advanced 27%. In contrast, energy returned 6% and detracted most. Materials (-12%) also hurt. Turning to individual stocks, the top contributor was Meta Platforms (+100%), from the media & entertainment group. Also in media & entertainment, Alphabet (+14%) helped. Apple (+22%), a stock in the technology hardware & equipment group, contributed. Lastly, Microsoft (+21%) and Adobe (+33%), within the software & services category, also helped the fund's performance. Conversely, the biggest individual detractor was Pfizer (-26%), from the pharmaceuticals, biotechnology & life sciences industry. Also in pharmaceuticals, biotechnology & life sciences, Danaher (-6%) hurt. In financial services, Blackstone returned about -25% and detracted.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Top Holdings (% of Fund's net assets) |
| |
| Apple, Inc. | 9.6 | |
| Microsoft Corp. | 8.7 | |
| Alphabet, Inc. Class A | 6.8 | |
| Meta Platforms, Inc. Class A | 4.7 | |
| Adobe, Inc. | 4.1 | |
| Broadcom, Inc. | 4.0 | |
| Visa, Inc. Class A | 3.8 | |
| MasterCard, Inc. Class A | 3.7 | |
| The Coca-Cola Co. | 3.2 | |
| AbbVie, Inc. | 3.1 | |
| | 51.7 | |
| |
| Market Sectors (% of Fund's net assets) |
| |
| Information Technology | 36.2 | |
| Health Care | 19.4 | |
| Communication Services | 12.2 | |
| Financials | 10.4 | |
| Industrials | 8.4 | |
| Consumer Staples | 6.0 | |
| Consumer Discretionary | 3.9 | |
| Real Estate | 1.5 | |
| Energy | 1.4 | |
| Materials | 0.3 | |
| |
Asset Allocation (% of Fund's net assets) |
|
Futures - 0.3% |
|
Showing Percentage of Net Assets
| Common Stocks - 99.7% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 12.2% | | | |
| Entertainment - 0.7% | | | |
| Activision Blizzard, Inc. | | 948,478 | 87,980,819 |
| Interactive Media & Services - 11.5% | | | |
| Alphabet, Inc. Class A (a) | | 6,648,639 | 882,407,368 |
| Meta Platforms, Inc. Class A (a) | | 1,941,692 | 618,623,071 |
| | | | 1,501,030,439 |
TOTAL COMMUNICATION SERVICES | | | 1,589,011,258 |
| CONSUMER DISCRETIONARY - 3.9% | | | |
| Hotels, Restaurants & Leisure - 1.9% | | | |
| Booking Holdings, Inc. (a) | | 82,424 | 244,865,219 |
| Household Durables - 0.3% | | | |
| NVR, Inc. (a) | | 6,382 | 40,247,700 |
| Specialty Retail - 1.7% | | | |
| AutoZone, Inc. (a) | | 40,410 | 100,286,305 |
| O'Reilly Automotive, Inc. (a) | | 135,039 | 125,017,756 |
| | | | 225,304,061 |
TOTAL CONSUMER DISCRETIONARY | | | 510,416,980 |
| CONSUMER STAPLES - 6.0% | | | |
| Beverages - 3.2% | | | |
| The Coca-Cola Co. | | 6,672,536 | 413,230,154 |
| Food Products - 0.5% | | | |
| The Hershey Co. | | 309,357 | 71,557,368 |
| Household Products - 1.0% | | | |
| Colgate-Palmolive Co. | | 1,718,099 | 131,022,230 |
| Tobacco - 1.3% | | | |
| Altria Group, Inc. | | 3,817,616 | 173,396,119 |
TOTAL CONSUMER STAPLES | | | 789,205,871 |
| ENERGY - 1.4% | | | |
| Oil, Gas & Consumable Fuels - 1.4% | | | |
| EOG Resources, Inc. | | 1,261,663 | 167,208,197 |
| Texas Pacific Land Corp. (b) | | 12,584 | 18,955,279 |
| | | | 186,163,476 |
| FINANCIALS - 10.4% | | | |
| Banks - 0.3% | | | |
| First Citizens Bancshares, Inc. | | 25,575 | 36,605,498 |
| Capital Markets - 1.1% | | | |
| Ameriprise Financial, Inc. | | 223,120 | 77,746,164 |
| FactSet Research Systems, Inc. | | 77,164 | 33,569,427 |
| LPL Financial | | 168,829 | 38,722,619 |
| | | | 150,038,210 |
| Financial Services - 7.5% | | | |
| MasterCard, Inc. Class A | | 1,226,871 | 483,730,698 |
| Visa, Inc. Class A | | 2,087,972 | 496,373,584 |
| | | | 980,104,282 |
| Insurance - 1.5% | | | |
| Aon PLC | | 443,260 | 141,178,310 |
| Principal Financial Group, Inc. | | 474,405 | 37,890,727 |
| RLI Corp. | | 95,370 | 12,723,312 |
| | | | 191,792,349 |
TOTAL FINANCIALS | | | 1,358,540,339 |
| HEALTH CARE - 19.4% | | | |
| Biotechnology - 7.7% | | | |
| AbbVie, Inc. | | 2,666,007 | 398,781,327 |
| Amgen, Inc. | | 1,092,448 | 255,796,699 |
| Regeneron Pharmaceuticals, Inc. (a) | | 220,009 | 163,226,877 |
| Vertex Pharmaceuticals, Inc. (a) | | 528,314 | 186,146,155 |
| | | | 1,003,951,058 |
| Health Care Equipment & Supplies - 1.6% | | | |
| Edwards Lifesciences Corp. (a) | | 1,313,127 | 107,768,333 |
| IDEXX Laboratories, Inc. (a) | | 175,875 | 97,563,139 |
| | | | 205,331,472 |
| Health Care Technology - 0.5% | | | |
| Doximity, Inc. (a)(b) | | 212,763 | 7,602,022 |
| Veeva Systems, Inc. Class A (a) | | 286,337 | 58,475,742 |
| | | | 66,077,764 |
| Life Sciences Tools & Services - 3.2% | | | |
| Danaher Corp. | | 1,346,848 | 343,527,051 |
| Medpace Holdings, Inc. (a) | | 53,196 | 13,467,631 |
| Mettler-Toledo International, Inc. (a) | | 46,633 | 58,639,599 |
| | | | 415,634,281 |
| Pharmaceuticals - 6.4% | | | |
| Merck & Co., Inc. | | 3,352,853 | 357,581,772 |
| Pfizer, Inc. | | 8,342,694 | 300,837,546 |
| Zoetis, Inc. Class A | | 987,272 | 185,695,990 |
| | | | 844,115,308 |
TOTAL HEALTH CARE | | | 2,535,109,883 |
| INDUSTRIALS - 8.4% | | | |
| Air Freight & Logistics - 0.3% | | | |
| Expeditors International of Washington, Inc. | | 336,501 | 42,836,577 |
| Ground Transportation - 0.7% | | | |
| Landstar System, Inc. | | 84,832 | 17,270,947 |
| Old Dominion Freight Lines, Inc. | | 182,043 | 76,365,218 |
| | | | 93,636,165 |
| Industrial Conglomerates - 1.0% | | | |
| 3M Co. | | 1,125,055 | 125,443,633 |
| Machinery - 2.0% | | | |
| Illinois Tool Works, Inc. | | 590,734 | 155,552,077 |
| Otis Worldwide Corp. | | 874,783 | 79,570,262 |
| Snap-On, Inc. | | 116,754 | 31,808,460 |
| | | | 266,930,799 |
| Professional Services - 3.3% | | | |
| Automatic Data Processing, Inc. | | 889,640 | 219,972,386 |
| Paychex, Inc. | | 680,924 | 85,435,534 |
| Paycom Software, Inc. | | 96,375 | 35,539,245 |
| Robert Half, Inc. | | 218,906 | 16,231,880 |
| Verisk Analytics, Inc. | | 325,471 | 74,513,331 |
| | | | 431,692,376 |
| Trading Companies & Distributors - 1.1% | | | |
| Fastenal Co. | | 1,216,523 | 71,300,413 |
| W.W. Grainger, Inc. | | 93,607 | 69,127,833 |
| | | | 140,428,246 |
TOTAL INDUSTRIALS | | | 1,100,967,796 |
| INFORMATION TECHNOLOGY - 36.2% | | | |
| Electronic Equipment, Instruments & Components - 0.2% | | | |
| Cognex Corp. | | 434,743 | 23,745,663 |
| IT Services - 0.4% | | | |
| VeriSign, Inc. (a) | | 217,089 | 45,794,925 |
| Semiconductors & Semiconductor Equipment - 10.3% | | | |
| Applied Materials, Inc. | | 688,699 | 104,399,881 |
| Broadcom, Inc. | | 586,290 | 526,869,509 |
| KLA Corp. | | 296,717 | 152,497,702 |
| Lam Research Corp. | | 288,383 | 207,200,302 |
| Texas Instruments, Inc. | | 1,950,324 | 351,058,320 |
| | | | 1,342,025,714 |
| Software - 15.7% | | | |
| Adobe, Inc. (a) | | 977,444 | 533,850,589 |
| Autodesk, Inc. (a) | | 454,896 | 96,433,403 |
| Cadence Design Systems, Inc. (a) | | 261,476 | 61,187,999 |
| Check Point Software Technologies Ltd. (a) | | 232,096 | 30,685,412 |
| Dolby Laboratories, Inc. Class A | | 140,885 | 12,483,820 |
| Fair Isaac Corp. (a) | | 55,234 | 46,284,435 |
| Fortinet, Inc. (a) | | 1,383,578 | 107,531,682 |
| Manhattan Associates, Inc. (a) | | 134,214 | 25,583,873 |
| Microsoft Corp. | | 3,377,347 | 1,134,518,404 |
| Qualys, Inc. (a) | | 68,740 | 9,541,112 |
| | | | 2,058,100,729 |
| Technology Hardware, Storage & Peripherals - 9.6% | | | |
| Apple, Inc. | | 6,407,204 | 1,258,695,224 |
TOTAL INFORMATION TECHNOLOGY | | | 4,728,362,255 |
| MATERIALS - 0.3% | | | |
| Chemicals - 0.3% | | | |
| CF Industries Holdings, Inc. | | 412,400 | 33,849,792 |
| REAL ESTATE - 1.5% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.0% | | | |
| Iron Mountain, Inc. | | 622,415 | 38,216,281 |
| Public Storage | | 336,606 | 94,838,741 |
| | | | 133,055,022 |
| Real Estate Management & Development - 0.5% | | | |
| CoStar Group, Inc. (a) | | 825,208 | 69,292,716 |
TOTAL REAL ESTATE | | | 202,347,738 |
| TOTAL COMMON STOCKS (Cost $9,218,996,434) | | | 13,033,975,388 |
| | | | |
| U.S. Treasury Obligations - 0.0% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.18% 9/7/23 (d) (Cost $1,989,456) | | 2,000,000 | 1,989,180 |
| | | | |
| Money Market Funds - 0.4% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.32% (e) | | 26,912,233 | 26,917,616 |
| Fidelity Securities Lending Cash Central Fund 5.32% (e)(f) | | 24,273,522 | 24,275,950 |
| TOTAL MONEY MARKET FUNDS (Cost $51,193,566) | | | 51,193,566 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.1% (Cost $9,272,179,456) | 13,087,158,134 |
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (13,628,858) |
| NET ASSETS - 100.0% | 13,073,529,276 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P 500 Index Contracts (United States) | 172 | Sep 2023 | 39,684,700 | 2,116,700 | 2,116,700 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 0.3% |
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (d) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,979,234. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.32% | 10,085,438 | 2,637,562,635 | 2,620,730,457 | 1,251,539 | - | - | 26,917,616 | 0.1% |
| Fidelity Securities Lending Cash Central Fund 5.32% | 186,604,050 | 1,617,882,506 | 1,780,210,606 | 164,168 | - | - | 24,275,950 | 0.1% |
| Total | 196,689,488 | 4,255,445,141 | 4,400,941,063 | 1,415,707 | - | - | 51,193,566 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 1,589,011,258 | 1,589,011,258 | - | - |
Consumer Discretionary | 510,416,980 | 510,416,980 | - | - |
Consumer Staples | 789,205,871 | 789,205,871 | - | - |
Energy | 186,163,476 | 186,163,476 | - | - |
Financials | 1,358,540,339 | 1,358,540,339 | - | - |
Health Care | 2,535,109,883 | 2,535,109,883 | - | - |
Industrials | 1,100,967,796 | 1,100,967,796 | - | - |
Information Technology | 4,728,362,255 | 4,728,362,255 | - | - |
Materials | 33,849,792 | 33,849,792 | - | - |
Real Estate | 202,347,738 | 202,347,738 | - | - |
|
| U.S. Government and Government Agency Obligations | 1,989,180 | - | 1,989,180 | - |
|
| Money Market Funds | 51,193,566 | 51,193,566 | - | - |
| Total Investments in Securities: | 13,087,158,134 | 13,085,168,954 | 1,989,180 | - |
Derivative Instruments: | | | | |
|
| Assets | | | | |
Futures Contracts | 2,116,700 | 2,116,700 | - | - |
| Total Assets | 2,116,700 | 2,116,700 | - | - |
| Total Derivative Instruments: | 2,116,700 | 2,116,700 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Futures Contracts (a) | 2,116,700 | 0 |
| Total Equity Risk | 2,116,700 | 0 |
| Total Value of Derivatives | 2,116,700 | 0 |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
| Statement of Assets and Liabilities |
| | | | July 31, 2023 |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $23,854,647) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $9,220,985,890) | $ | 13,035,964,568 | | |
Fidelity Central Funds (cost $51,193,566) | | 51,193,566 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $9,272,179,456) | | | $ | 13,087,158,134 |
| Receivable for fund shares sold | | | | 128,906 |
| Dividends receivable | | | | 12,336,346 |
| Distributions receivable from Fidelity Central Funds | | | | 168,895 |
| Receivable for daily variation margin on futures contracts | | | | 69,515 |
| Prepaid expenses | | | | 8,947 |
Total assets | | | | 13,099,870,743 |
| Liabilities | | | | |
| Payable for fund shares redeemed | $ | 953,992 | | |
| Accrued management fee | | 1,060,292 | | |
| Other payables and accrued expenses | | 64,558 | | |
| Collateral on securities loaned | | 24,262,625 | | |
| Total Liabilities | | | | 26,341,467 |
| Net Assets | | | $ | 13,073,529,276 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 9,157,051,402 |
| Total accumulated earnings (loss) | | | | 3,916,477,874 |
| Net Assets | | | $ | 13,073,529,276 |
Net Asset Value, offering price and redemption price per share ($13,073,529,276 ÷ 699,260,819 shares) | | | $ | 18.70 |
| Statement of Operations |
| | | | Year ended July 31, 2023 |
| Investment Income | | | | |
| Dividends | | | $ | 170,037,242 |
| Interest | | | | 70,847 |
| Income from Fidelity Central Funds (including $164,168 from security lending) | | | | 1,415,707 |
| Total Income | | | | 171,523,796 |
| Expenses | | | | |
| Management fee | $ | 11,200,646 | | |
| Custodian fees and expenses | | 77,526 | | |
| Independent trustees' fees and expenses | | 39,546 | | |
| Registration fees | | 48,285 | | |
| Audit | | 54,304 | | |
| Legal | | 14,187 | | |
| Interest | | 466,364 | | |
| Miscellaneous | | 60,313 | | |
| Total expenses before reductions | | 11,961,171 | | |
| Expense reductions | | (4,907) | | |
| Total expenses after reductions | | | | 11,956,264 |
| Net Investment income (loss) | | | | 159,567,532 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 84,729,690 | | |
| Futures contracts | | (12,320,224) | | |
| Total net realized gain (loss) | | | | 72,409,466 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 1,424,748,625 | | |
| Futures contracts | | 476,521 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 1,425,225,146 |
| Net gain (loss) | | | | 1,497,634,612 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 1,657,202,144 |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2023 | | Year ended July 31, 2022 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 159,567,532 | $ | 140,945,176 |
| Net realized gain (loss) | | 72,409,466 | | 42,477,229 |
| Change in net unrealized appreciation (depreciation) | | 1,425,225,146 | | (902,155,752) |
| Net increase (decrease) in net assets resulting from operations | | 1,657,202,144 | | (718,733,347) |
| Distributions to shareholders | | (151,433,952) | | (866,284,891) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 2,689,324,785 | | 3,106,087,211 |
| Reinvestment of distributions | | 148,959,461 | | 855,254,434 |
| Cost of shares redeemed | | (2,679,474,559) | | (1,103,462,543) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 158,809,687 | | 2,857,879,102 |
| Total increase (decrease) in net assets | | 1,664,577,879 | | 1,272,860,864 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 11,408,951,397 | | 10,136,090,533 |
| End of period | $ | 13,073,529,276 | $ | 11,408,951,397 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 165,452,298 | | 179,579,431 |
| Issued in reinvestment of distributions | | 9,395,183 | | 47,131,336 |
| Redeemed | | (167,559,660) | | (61,543,934) |
| Net increase (decrease) | | 7,287,821 | | 165,166,833 |
| | | | | |
| Fidelity® SAI U.S. Quality Index Fund |
| |
| Years ended July 31, | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 16.49 | $ | 19.24 | $ | 15.96 | $ | 15.19 | $ | 14.23 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .23 | | .23 | | .22 | | .26 | | .25 |
| Net realized and unrealized gain (loss) | | 2.20 | | (1.36) | | 4.58 | | 2.45 | | 1.10 |
| Total from investment operations | | 2.43 | | (1.13) | | 4.80 | | 2.71 | | 1.35 |
| Distributions from net investment income | | (.22) | | (.20) | | (.28) | | (.24) | | (.19) |
| Distributions from net realized gain | | - | | (1.42) | | (1.25) | | (1.69) | | (.20) |
| Total distributions | | (.22) | | (1.62) | | (1.52) C | | (1.94) C | | (.39) |
| Net asset value, end of period | $ | 18.70 | $ | 16.49 | $ | 19.24 | $ | 15.96 | $ | 15.19 |
Total Return D | | 14.97% | | (6.55)% | | 32.64% | | 20.14% | | 9.70% |
Ratios to Average Net Assets B,E,F | | | | | | | | | | |
| Expenses before reductions | | .11% | | .10% | | .10% | | .11% | | .19% |
| Expenses net of fee waivers, if any | | .11% | | .10% | | .10% | | .11% | | .15% |
| Expenses net of all reductions | | .11% | | .10% | | .10% | | .11% | | .15% |
| Net investment income (loss) | | 1.43% | | 1.30% | | 1.30% | | 1.83% | | 1.76% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 13,073,529 | $ | 11,408,951 | $ | 10,136,091 | $ | 8,332,335 | $ | 8,732,756 |
Portfolio turnover rate G | | 58% | | 47% | | 71% | | 60% | | 99% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CTotal distributions per share do not sum due to rounding.
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
FExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended July 31, 2023
1. Organization.
Fidelity SAI U.S. Quality Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities 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. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2023 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, partnerships and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $3,926,982,275 |
| Gross unrealized depreciation | (130,894,094) |
| Net unrealized appreciation (depreciation) | $3,796,088,181 |
| Tax Cost | $9,291,069,953 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $90,260,773 |
| Undistributed long-term capital gain | $30,128,921 |
| Net unrealized appreciation (depreciation) on securities and other investments | $3,796,088,181 |
The tax character of distributions paid was as follows:
| | July 31, 2023 | July 31, 2022 |
| Ordinary Income | $151,433,952 | $178,230,786 |
| Long-term Capital Gains | - | 688,054,105 |
| Total | $151,433,952 | $866,284,891 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI U.S. Quality Index Fund | 6,692,425,665 | 6,550,468,418 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Fidelity SAI U.S. Quality Index Fund | Borrower | $ 71,942,620 | 4.63% | $462,630 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Fidelity SAI U.S. Quality Index Fund | $25,228 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End |
| Fidelity SAI U.S. Quality Index Fund | $17,447 | $2 | $- |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
| | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Fidelity SAI U.S. Quality Index Fund | $37,552,000 | 3.58% | $3,734 |
10. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $4,907.
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| | Strategic Advisers Fidelity U.S. Total Stock Fund |
| Fidelity SAI U.S. Quality Index Fund | 84% |
Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.
| Fund | % of shares held |
| Fidelity SAI U.S. Quality Index Fund | 90% |
12. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity SAI U.S. Quality Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Quality Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2023, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2023, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 13, 2023
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 313 funds. Mr. Chiel oversees 191 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's alternative investment, high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Jonathan Chiel (1957)
Year of Election or Appointment: 2016
Trustee
Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney's Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and an international banker at Chemical Bank NA (now JPMorgan Chase & Co.). Ms. McAuliffe also currently serves as director or trustee of several not-for-profit entities.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as a member of the Board, Chair of Nomination Committee and a member of the Corporate Governance Committee of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as President of First to Four LLC (leadership and mentoring services, 2012-2022), a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). General Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of the Noble Reach Foundation (formerly Logistics Management Institute) (consulting non-profit, 2012-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). Previously, General Dunwoody served as a member of the Board of Florida Institute of Technology (2015-2022) and a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-2021). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Previously, Mr. Engler served as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-2022), a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Laura M. Bishop (1961)
Year of Election or Appointment: 2022
Member of the Advisory Board
Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations, including as a Trustee and member of the Executive Committee of the Baltimore Council on Foreign Affairs, a member of the Board of Directors of the St. Vincent de Paul Society of Baltimore and a member of the Life Guard Society of Mt. Vernon.
Carol J. Zierhoffer (1960)
Year of Election or Appointment: 2023
Member of the Advisory Board
Ms. Zierhoffer also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Zierhoffer held a variety of positions at Bechtel Corporation (engineering company, 2013-2019), including Principal Vice President and Chief Information Officer (2013-2016) and Senior Vice President and Chief Information Officer (2016-2019). Ms. Zierhoffer currently serves as a member of the Board of Directors, Audit Committee and Compensation Committee of Allscripts Healthcare Solutions, Inc. (healthcare technology, 2020-present) and as a member of the Board of Directors, Audit and Finance Committee and Nominating and Governance Committee of Atlas Air Worldwide Holdings, Inc. (aviation operating services, 2021-present). Previously, Ms. Zierhoffer served as a member of the Board of Directors and Audit Committee and as the founding Chair of the Information Technology Committee of MedAssets, Inc. (healthcare technology, 2013-2016).
Heather Bonner (1977)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Secretary and Chief Legal Officer (CLO)
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Robin Foley (1964)
Year of Election or Appointment: 2023
Vice President
Ms. Foley also serves as Vice President of other funds. Ms. Foley serves as Head of Fidelity's Fixed Income division (2023-present) and is an employee of Fidelity Investments. Previously, Ms. Foley served as Chief Investment Officer of Bonds (2017-2023).
Christopher M. Gouveia (1973)
Year of Election or Appointment: 2023
Chief Compliance Officer
Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value February 1, 2023 | | Ending Account Value July 31, 2023 | | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 |
| | | | | | | | | | |
| Fidelity® SAI U.S. Quality Index Fund | | | | .11% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,170.90 | | $ .59 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.25 | | $ .55 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2023, $39,775,474, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates $457,292 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 100% and 93% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 99.99% and 98.80% of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 0.02% and 1.20% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
1.9868208.107
SV4-ANN-0923
Fidelity® Real Estate Index Fund
Annual Report
July 31, 2023
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns |
| | | | |
Periods ended July 31, 2023 | Past 1 year | Past 5 years | Past 10 years |
| Fidelity® Real Estate Index Fund | -9.70% | 2.31% | 5.20% |
| $10,000 Over 10 Years |
| |
Let's say hypothetically that $10,000 was invested in Fidelity® Real Estate Index Fund on July 31, 2013. The chart shows how the value of your investment would have changed, and also shows how the MSCI US IMI Real Estate 25/25 Index and Fidelity Real Estate Linked Index performed over the same period. |
|
|
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the fund returned -9.70%, versus -9.66% for the benchmark MSCI US IMI Real Estate 25/25 Index. By industry, telecom tower REITs returned about -32% and detracted most, followed by office REITs, which returned roughly -25%. Exposure to multi-family residential REITs returned about -13% and further weighed on performance. Self-storage REITs (-13%) also hurt. The health care REITs (-9%) and broadline retail (-23%) industries hampered the portfolio's result as well. Other notable detractors included single-family residential REITs (-8%) and diversified REITs (-13%). Holdings in real estate operating companies (-29%), real estate services (-2%), timber REITs (-1%) and hotel & resort REITs (-1%) also hurt. In contrast, data center REITs gained 10% and contributed most. Stakes in retail REIT stocks also helped, gaining approximately 1%. The industrial REITs industry returned about -2% and was another plus. Other notable contributors included the real estate development (+27%), diversified real estate activities (+37%) and other specialized REITs (+1%) categories. Turning to individual stocks, the biggest detractor was American Tower (-28%), within the telecom tower REITs industry. Exposure to Crown Castle (-37%) and SBA (-34%) also proved detrimental. Extra Space Storage (-23%), in the self-storage REITs industry, was another negative. Lastly, Realty Income (-14%), a stock in the retail REITs group, further detracted. Conversely, the top individual contributor was Equinix (+17%), from the data center REITs segment. Simon Property Group, within the retail REITs industry, gained roughly 22% and lifted the fund as well. Iron Mountain (+32%), a stock in the other specialized REITs group, also proved beneficial. Another notable contributor was Zillow (+55%), a stock in the real estate services category. Lastly, among industrial REITs, Prologis returned roughly -3% and also helped.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Top Holdings (% of Fund's net assets) |
| |
| Prologis (REIT), Inc. | 8.6 | |
| American Tower Corp. | 6.6 | |
| Equinix, Inc. | 5.7 | |
| Crown Castle International Corp. | 3.5 | |
| Public Storage | 3.4 | |
| Welltower, Inc. | 3.1 | |
| Simon Property Group, Inc. | 3.0 | |
| Realty Income Corp. | 3.0 | |
| Digital Realty Trust, Inc. | 2.7 | |
| CoStar Group, Inc. | 2.6 | |
| | 42.2 | |
| |
| Top REIT Sectors (% of Fund's net assets) |
| |
| REITs - Diversified | 21.8 | |
| REITs - Warehouse/Industrial | 11.7 | |
| REITs - Apartments | 11.1 | |
| REITs - Management/Investment | 10.0 | |
| REITs - Storage | 7.8 | |
| |
Asset Allocation (% of Fund's net assets) |
|
Futures - 0.3% |
|
Showing Percentage of Net Assets
| Common Stocks - 99.7% |
| | | Shares | Value ($) |
| Equity Real Estate Investment Trusts (REITs) - 92.0% | | | |
| REITs - Apartments - 11.1% | | | |
| American Homes 4 Rent Class A | | 605,893 | 22,708,870 |
| Apartment Investment & Management Co. Class A | | 245,158 | 2,042,166 |
| AvalonBay Communities, Inc. | | 260,874 | 49,213,880 |
| Camden Property Trust (SBI) | | 199,608 | 21,775,237 |
| Centerspace | | 28,757 | 1,786,672 |
| Equity Residential (SBI) | | 670,856 | 44,236,245 |
| Essex Property Trust, Inc. | | 120,267 | 29,291,028 |
| Independence Realty Trust, Inc. | | 424,919 | 7,240,620 |
| Invitation Homes, Inc. | | 1,141,626 | 40,527,723 |
| Mid-America Apartment Communities, Inc. | | 217,787 | 32,594,002 |
| UDR, Inc. | | 583,634 | 23,858,958 |
| | | | 275,275,401 |
| REITs - Diversified - 21.8% | | | |
| Alexander & Baldwin, Inc. | | 138,330 | 2,655,936 |
| Apartment Income (REIT) Corp. | | 279,405 | 9,650,649 |
| Apple Hospitality (REIT), Inc. | | 410,622 | 6,364,641 |
| Armada Hoffler Properties, Inc. | | 131,394 | 1,631,913 |
| Broadstone Net Lease, Inc. | | 353,517 | 5,762,327 |
| Cousins Properties, Inc. | | 286,094 | 6,989,276 |
| Crown Castle International Corp. | | 808,958 | 87,602,062 |
| Digital Realty Trust, Inc. | | 543,456 | 67,725,487 |
| Elme Communities (SBI) | | 162,661 | 2,643,241 |
| EPR Properties | | 141,376 | 6,311,025 |
| Equinix, Inc. | | 174,340 | 141,201,453 |
| Gaming & Leisure Properties | | 489,079 | 23,211,689 |
| Gladstone Commercial Corp. | | 80,484 | 1,070,437 |
| Gladstone Land Corp. | | 63,149 | 1,057,114 |
| Global Net Lease, Inc. | | 200,383 | 2,142,094 |
| InvenTrust Properties Corp. | | 126,095 | 3,069,152 |
| Lamar Advertising Co. Class A | | 163,192 | 16,107,050 |
| Necessity Retail (REIT), Inc./The | | 254,513 | 1,807,042 |
| NexPoint Diversified Real Estate Trust | | 62,081 | 725,727 |
| NexPoint Residential Trust, Inc. | | 43,292 | 1,799,216 |
| One Liberty Properties, Inc. | | 33,687 | 688,225 |
| Outfront Media, Inc. | | 281,769 | 4,356,149 |
| Potlatch Corp. | | 149,329 | 8,008,514 |
| SBA Communications Corp. Class A | | 201,993 | 44,226,367 |
| Uniti Group, Inc. | | 454,567 | 2,536,484 |
| VICI Properties, Inc. | | 1,876,261 | 59,064,696 |
| Vornado Realty Trust | | 306,022 | 6,879,375 |
| WP Carey, Inc. | | 399,184 | 26,956,896 |
| | | | 542,244,237 |
| REITs - Health Care - 7.4% | | | |
| CareTrust (REIT), Inc. | | 186,818 | 3,883,946 |
| Community Healthcare Trust, Inc. | | 47,200 | 1,663,328 |
| Diversified Healthcare Trust (SBI) | | 449,832 | 940,149 |
| Global Medical REIT, Inc. | | 123,980 | 1,227,402 |
| Healthcare Trust of America, Inc. | | 708,945 | 13,845,696 |
| Healthpeak Properties, Inc. | | 1,021,514 | 22,299,651 |
| LTC Properties, Inc. | | 77,405 | 2,597,712 |
| Medical Properties Trust, Inc. (a) | | 1,122,065 | 11,321,636 |
| Physicians Realty Trust | | 447,973 | 6,603,122 |
| Sabra Health Care REIT, Inc. | | 434,566 | 5,645,012 |
| Universal Health Realty Income Trust (SBI) | | 25,314 | 1,208,237 |
| Ventas, Inc. | | 744,246 | 36,110,816 |
| Welltower, Inc. | | 924,657 | 75,960,573 |
| | | | 183,307,280 |
| REITs - Health Care Facilities - 0.7% | | | |
| National Health Investors, Inc. | | 81,299 | 4,464,128 |
| Omega Healthcare Investors, Inc. | | 437,745 | 13,964,066 |
| | | | 18,428,194 |
| REITs - Hotels - 2.4% | | | |
| Chatham Lodging Trust | | 90,487 | 868,675 |
| DiamondRock Hospitality Co. | | 397,806 | 3,381,351 |
| Host Hotels & Resorts, Inc. | | 1,330,911 | 24,488,762 |
| Park Hotels & Resorts, Inc. | | 417,753 | 5,693,973 |
| Pebblebrook Hotel Trust | | 234,137 | 3,617,417 |
| RLJ Lodging Trust | | 302,900 | 3,119,870 |
| Ryman Hospitality Properties, Inc. | | 97,637 | 9,303,830 |
| Service Properties Trust | | 308,988 | 2,623,308 |
| Summit Hotel Properties, Inc. | | 204,039 | 1,314,011 |
| Sunstone Hotel Investors, Inc. | | 371,730 | 3,787,929 |
| Xenia Hotels & Resorts, Inc. | | 209,211 | 2,656,980 |
| | | | 60,856,106 |
| REITs - Industrial Buildings - 0.5% | | | |
| Stag Industrial, Inc. | | 336,073 | 12,199,450 |
| REITs - Management/Investment - 10.0% | | | |
| American Assets Trust, Inc. | | 99,338 | 2,235,105 |
| American Tower Corp. | | 868,647 | 165,312,211 |
| Empire State Realty Trust, Inc. | | 255,219 | 2,284,210 |
| LXP Industrial Trust (REIT) | | 545,452 | 5,492,702 |
| NNN (REIT), Inc. | | 337,813 | 14,417,859 |
| Rayonier, Inc. | | 261,271 | 8,653,296 |
| Safehold, Inc. (a) | | 71,562 | 1,769,728 |
| UMH Properties, Inc. | | 108,962 | 1,814,217 |
| Weyerhaeuser Co. | | 1,367,159 | 46,565,436 |
| | | | 248,544,764 |
| REITs - Manufactured Homes - 2.2% | | | |
| Equity Lifestyle Properties, Inc. | | 329,234 | 23,434,876 |
| Sun Communities, Inc. | | 232,288 | 30,267,126 |
| | | | 53,702,002 |
| REITs - Office Buildings - 0.0% | | | |
| Office Properties Income Trust | | 96,804 | 745,391 |
| REITs - Office Property - 4.2% | | | |
| Alexandria Real Estate Equities, Inc. | | 306,848 | 38,564,657 |
| Boston Properties, Inc. | | 278,816 | 18,577,510 |
| Brandywine Realty Trust (SBI) | | 339,934 | 1,716,667 |
| City Office REIT, Inc. | | 84,126 | 460,169 |
| Corporate Office Properties Trust (SBI) | | 210,422 | 5,470,972 |
| Douglas Emmett, Inc. | | 331,798 | 4,877,431 |
| Easterly Government Properties, Inc. | | 177,448 | 2,619,132 |
| Equity Commonwealth | | 197,690 | 3,872,747 |
| Franklin Street Properties Corp. | | 180,272 | 302,857 |
| Highwoods Properties, Inc. (SBI) | | 200,654 | 5,070,527 |
| Hudson Pacific Properties, Inc. | | 244,654 | 1,436,119 |
| JBG SMITH Properties | | 203,978 | 3,412,552 |
| Kilroy Realty Corp. | | 209,500 | 7,479,150 |
| Orion Office (REIT), Inc. | | 105,018 | 682,617 |
| Paramount Group, Inc. | | 303,637 | 1,591,058 |
| Piedmont Office Realty Trust, Inc. Class A | | 241,279 | 1,795,116 |
| SL Green Realty Corp. (a) | | 121,128 | 4,567,737 |
| Veris Residential, Inc. | | 133,141 | 2,487,074 |
| | | | 104,984,092 |
| REITs - Regional Malls - 3.4% | | | |
| CBL & Associates Properties, Inc. | | 19,386 | 422,033 |
| Simon Property Group, Inc. | | 608,717 | 75,846,138 |
| Tanger Factory Outlet Centers, Inc. | | 198,107 | 4,637,685 |
| The Macerich Co. | | 403,654 | 5,146,589 |
| | | | 86,052,445 |
| REITs - Shopping Centers - 7.3% | | | |
| Acadia Realty Trust (SBI) | | 178,736 | 2,807,943 |
| Alexanders, Inc. | | 4,441 | 858,756 |
| Brixmor Property Group, Inc. | | 560,730 | 12,751,000 |
| Federal Realty Investment Trust (SBI) | | 136,964 | 13,904,585 |
| Kimco Realty Corp. | | 1,158,552 | 23,472,264 |
| Kite Realty Group Trust | | 412,416 | 9,436,078 |
| Phillips Edison & Co., Inc. | | 221,958 | 7,837,337 |
| Realty Income Corp. | | 1,232,705 | 75,158,024 |
| Regency Centers Corp. | | 287,708 | 18,853,505 |
| Retail Opportunity Investments Corp. | | 235,917 | 3,475,057 |
| RPT Realty | | 165,107 | 1,794,713 |
| Saul Centers, Inc. | | 24,979 | 962,940 |
| SITE Centers Corp. | | 355,164 | 4,990,054 |
| Urban Edge Properties | | 219,492 | 3,733,559 |
| Urstadt Biddle Properties, Inc. Class A | | 55,103 | 1,249,736 |
| | | | 181,285,551 |
| REITs - Single Tenant - 1.5% | | | |
| Agree Realty Corp. | | 168,557 | 10,919,122 |
| Essential Properties Realty Trust, Inc. | | 281,154 | 6,902,331 |
| Four Corners Property Trust, Inc. | | 160,565 | 4,222,860 |
| Getty Realty Corp. | | 82,597 | 2,669,535 |
| NETSTREIT Corp. | | 115,207 | 2,061,053 |
| Spirit Realty Capital, Inc. | | 264,956 | 10,685,675 |
| | | | 37,460,576 |
| REITs - Storage - 7.8% | | | |
| CubeSmart | | 421,392 | 18,271,557 |
| Extra Space Storage, Inc. | | 393,960 | 54,984,997 |
| Iron Mountain, Inc. | | 542,440 | 33,305,816 |
| National Storage Affiliates Trust | | 159,199 | 5,379,334 |
| Public Storage | | 295,065 | 83,134,564 |
| | | | 195,076,268 |
| REITs - Warehouse/Industrial - 11.7% | | | |
| Americold Realty Trust | | 502,552 | 16,292,736 |
| EastGroup Properties, Inc. | | 82,793 | 14,669,264 |
| First Industrial Realty Trust, Inc. | | 246,548 | 12,746,532 |
| Industrial Logistics Properties Trust | | 123,626 | 524,174 |
| Plymouth Industrial REIT, Inc. | | 73,752 | 1,679,333 |
| Prologis (REIT), Inc. | | 1,722,242 | 214,849,686 |
| Rexford Industrial Realty, Inc. | | 376,501 | 20,741,440 |
| Terreno Realty Corp. | | 155,526 | 9,228,913 |
| | | | 290,732,078 |
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | | | 2,290,893,835 |
| Real Estate Management & Development - 7.7% | | | |
| Diversified Real Estate Activities - 0.2% | | | |
| The RMR Group, Inc. | | 29,604 | 698,062 |
| The St. Joe Co. | | 65,363 | 4,149,243 |
| | | | 4,847,305 |
| Real Estate Development - 0.3% | | | |
| Forestar Group, Inc. (b) | | 36,487 | 1,075,637 |
| Howard Hughes Corp. (b) | | 64,764 | 5,468,025 |
| | | | 6,543,662 |
| Real Estate Operating Companies - 0.3% | | | |
| Digitalbridge Group, Inc. | | 302,575 | 4,847,252 |
| Kennedy-Wilson Holdings, Inc. | | 178,959 | 2,952,824 |
| WeWork, Inc. (a)(b) | | 325,123 | 70,389 |
| | | | 7,870,465 |
| Real Estate Services - 6.9% | | | |
| Anywhere Real Estate, Inc. (b) | | 185,810 | 1,557,088 |
| CBRE Group, Inc. (b) | | 579,235 | 48,256,068 |
| Compass, Inc. (b) | | 536,473 | 2,247,822 |
| CoStar Group, Inc. (b) | | 758,368 | 63,680,161 |
| Cushman & Wakefield PLC (b) | | 299,322 | 2,942,335 |
| Doma Holdings, Inc. Class A (a)(b) | | 9,663 | 79,913 |
| Douglas Elliman, Inc. | | 153,120 | 338,395 |
| eXp World Holdings, Inc. | | 140,488 | 3,503,771 |
| Jones Lang LaSalle, Inc. (b) | | 88,665 | 14,767,156 |
| Marcus & Millichap, Inc. (a) | | 47,701 | 1,749,673 |
| Newmark Group, Inc. | | 273,247 | 1,890,869 |
| Offerpad Solutions, Inc. (a)(b) | | 11,155 | 132,075 |
| Opendoor Technologies, Inc. (a)(b) | | 962,598 | 4,918,876 |
| RE/MAX Holdings, Inc. | | 33,941 | 668,977 |
| Redfin Corp. (a)(b) | | 205,376 | 3,076,532 |
| Zillow Group, Inc.: | | | |
| Class A (b) | | 111,800 | 5,949,996 |
| Class C (b) | | 282,028 | 15,274,636 |
| | | | 171,034,343 |
| REITs - Shopping Centers - 0.0% | | | |
| Seritage Growth Properties (a)(b) | | 66,848 | 627,703 |
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | | | 190,923,478 |
| TOTAL COMMON STOCKS (Cost $2,337,785,852) | | | 2,481,817,313 |
| | | | |
| U.S. Treasury Obligations - 0.0% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.18% 9/7/23 (d) (Cost $596,837) | | 600,000 | 596,754 |
| | | | |
| Money Market Funds - 1.2% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.32% (e) | | 6,168,121 | 6,169,355 |
| Fidelity Securities Lending Cash Central Fund 5.32% (e)(f) | | 22,661,589 | 22,663,855 |
| TOTAL MONEY MARKET FUNDS (Cost $28,833,210) | | | 28,833,210 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.9% (Cost $2,367,215,899) | 2,511,247,277 |
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (22,494,745) |
| NET ASSETS - 100.0% | 2,488,752,532 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CBOT Dow Jones U.S. Real Estate Index Contracts (United States) | 198 | Sep 2023 | 6,749,820 | 191,208 | 191,208 |
| CME E-mini S&P MidCap 400 Index Contracts (United States) | 4 | Sep 2023 | 1,097,360 | 4,513 | 4,513 |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | 195,721 |
| The notional amount of futures purchased as a percentage of Net Assets is 0.3% |
Legend
| (a) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (d) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $596,754. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.32% | 10,489,960 | 368,141,485 | 372,462,090 | 232,081 | - | - | 6,169,355 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.32% | 21,330,991 | 197,447,849 | 196,114,985 | 96,087 | - | - | 22,663,855 | 0.1% |
| Total | 31,820,951 | 565,589,334 | 568,577,075 | 328,168 | - | - | 28,833,210 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Common Stocks | 2,481,817,313 | 2,481,817,313 | - | - |
|
| U.S. Treasury Obligations | 596,754 | - | 596,754 | - |
|
| Money Market Funds | 28,833,210 | 28,833,210 | - | - |
| Total Investments in Securities: | 2,511,247,277 | 2,510,650,523 | 596,754 | - |
Derivative Instruments: | | | | |
|
| Assets | | | | |
Futures Contracts | 195,721 | 195,721 | - | - |
| Total Assets | 195,721 | 195,721 | - | - |
| Total Derivative Instruments: | 195,721 | 195,721 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Futures Contracts (a) | 195,721 | 0 |
| Total Equity Risk | 195,721 | 0 |
| Total Value of Derivatives | 195,721 | 0 |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
| Statement of Assets and Liabilities |
| | | | July 31, 2023 |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $21,972,805) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $2,338,382,689) | $ | 2,482,414,067 | | |
Fidelity Central Funds (cost $28,833,210) | | 28,833,210 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $2,367,215,899) | | | $ | 2,511,247,277 |
| Receivable for investments sold | | | | 1,612,774 |
| Receivable for fund shares sold | | | | 2,957,056 |
| Dividends receivable | | | | 1,202,482 |
| Distributions receivable from Fidelity Central Funds | | | | 43,143 |
| Receivable for daily variation margin on futures contracts | | | | 42,300 |
| Other receivables | | | | 190,076 |
Total assets | | | | 2,517,295,108 |
| Liabilities | | | | |
| Payable for fund shares redeemed | $ | 5,648,229 | | |
| Accrued management fee | | 145,486 | | |
| Other payables and accrued expenses | | 95,042 | | |
| Collateral on securities loaned | | 22,653,819 | | |
| Total Liabilities | | | | 28,542,576 |
| Net Assets | | | $ | 2,488,752,532 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 2,524,858,843 |
| Total accumulated earnings (loss) | | | | (36,106,311) |
| Net Assets | | | $ | 2,488,752,532 |
Net Asset Value, offering price and redemption price per share ($2,488,752,532 ÷ 162,970,156 shares) | | | $ | 15.27 |
| Statement of Operations |
| | | | Year ended July 31, 2023 |
| Investment Income | | | | |
| Dividends | | | $ | 81,327,530 |
| Interest | | | | 23,354 |
| Income from Fidelity Central Funds (including $96,087 from security lending) | | | | 328,168 |
| Total Income | | | | 81,679,052 |
| Expenses | | | | |
| Management fee | $ | 1,720,147 | | |
| Independent trustees' fees and expenses | | 8,963 | | |
| Interest | | 32,587 | | |
| Total expenses before reductions | | 1,761,697 | | |
| Expense reductions | | (4,185) | | |
| Total expenses after reductions | | | | 1,757,512 |
| Net Investment income (loss) | | | | 79,921,540 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (24,891,610) | | |
| Futures contracts | | 341,825 | | |
| Total net realized gain (loss) | | | | (24,549,785) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (327,653,718) | | |
| Futures contracts | | (631,797) | | |
| Total change in net unrealized appreciation (depreciation) | | | | (328,285,515) |
| Net gain (loss) | | | | (352,835,300) |
| Net increase (decrease) in net assets resulting from operations | | | $ | (272,913,760) |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2023 | | Year ended July 31, 2022 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 79,921,540 | $ | 73,299,104 |
| Net realized gain (loss) | | (24,549,785) | | 14,185,832 |
| Change in net unrealized appreciation (depreciation) | | (328,285,515) | | (218,840,191) |
| Net increase (decrease) in net assets resulting from operations | | (272,913,760) | | (131,355,255) |
| Distributions to shareholders | | (75,151,288) | | (42,077,828) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 636,858,558 | | 892,386,902 |
| Reinvestment of distributions | | 65,771,963 | | 37,344,832 |
| Cost of shares redeemed | | (739,809,748) | | (821,916,537) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (37,179,227) | | 107,815,197 |
| Total increase (decrease) in net assets | | (385,244,275) | | (65,617,886) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 2,873,996,807 | | 2,939,614,693 |
| End of period | $ | 2,488,752,532 | $ | 2,873,996,807 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 42,354,093 | | 48,869,785 |
| Issued in reinvestment of distributions | | 4,300,329 | | 1,946,305 |
| Redeemed | | (48,594,088) | | (45,350,781) |
| Net increase (decrease) | | (1,939,666) | | 5,465,309 |
| | | | | |
| Fidelity® Real Estate Index Fund |
| |
| Years ended July 31, | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 17.43 | $ | 18.44 | $ | 13.58 | $ | 16.82 | $ | 15.76 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .49 | | .44 | | .39 | | .51 | | .53 |
| Net realized and unrealized gain (loss) | | (2.18) | | (1.19) | | 4.88 | | (3.15) | | 1.13 |
| Total from investment operations | | (1.69) | | (.75) | | 5.27 | | (2.64) | | 1.66 |
| Distributions from net investment income | | (.47) | | (.26) | | (.41) | | (.47) | | (.50) |
| Distributions from net realized gain | | - | | - | | - | | (.13) | | (.10) |
| Total distributions | | (.47) | | (.26) | | (.41) | | (.60) | | (.60) |
| Net asset value, end of period | $ | 15.27 | $ | 17.43 | $ | 18.44 | $ | 13.58 | $ | 16.82 |
Total Return C | | (9.70)% | | (4.21)% | | 39.73% | | (16.34)% | | 10.84% |
Ratios to Average Net Assets A,D,E | | | | | | | | | | |
| Expenses before reductions | | .07% | | .07% | | .07% | | .07% | | .07% |
| Expenses net of fee waivers, if any | | .07% | | .07% | | .07% | | .07% | | .07% |
| Expenses net of all reductions | | .07% | | .07% | | .07% | | .07% | | .07% |
| Net investment income (loss) | | 3.25% | | 2.45% | | 2.53% | | 3.32% | | 3.33% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 2,488,753 | $ | 2,873,997 | $ | 2,939,615 | $ | 2,082,589 | $ | 2,256,495 |
Portfolio turnover rate F | | 13% | | 10% | | 44% | | 26% | | 10% |
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
BCalculated based on average shares outstanding during the period.
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
DExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
FAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended July 31, 2023
1. Organization.
Fidelity Real Estate Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities 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. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2023 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $443,891,433 |
| Gross unrealized depreciation | (325,162,913) |
| Net unrealized appreciation (depreciation) | $118,728,520 |
| Tax Cost | $2,392,518,757 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $19,205,621 |
| Capital loss carryforward | $(174,040,453) |
| Net unrealized appreciation (depreciation) on securities and other investments | $118,728,520 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
| Short-term | $(76,380,870) |
| Long-term | (97,659,583) |
| Total capital loss carryforward | $(174,040,453) |
The tax character of distributions paid was as follows:
| | July 31, 2023 | July 31, 2022 |
| Ordinary Income | $75,151,288 | $42,077,828 |
| Total | $75,151,288 | $42,077,828 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity Real Estate Index Fund | 332,979,992 | 310,672,272 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .07% of the Fund's average net assets. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Fidelity Real Estate Index Fund | Borrower | $16,841,056 | 3.87% | $32,587 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End |
| Fidelity Real Estate Index Fund | $10,016 | $2,587 | $42,255 |
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $4,185.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Real Estate Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Real Estate Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2023, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2023, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 14, 2023
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 313 funds. Mr. Chiel oversees 191 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's alternative investment, high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Jonathan Chiel (1957)
Year of Election or Appointment: 2016
Trustee
Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney's Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and an international banker at Chemical Bank NA (now JPMorgan Chase & Co.). Ms. McAuliffe also currently serves as director or trustee of several not-for-profit entities.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as a member of the Board, Chair of Nomination Committee and a member of the Corporate Governance Committee of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as President of First to Four LLC (leadership and mentoring services, 2012-2022), a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). General Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of the Noble Reach Foundation (formerly Logistics Management Institute) (consulting non-profit, 2012-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). Previously, General Dunwoody served as a member of the Board of Florida Institute of Technology (2015-2022) and a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-2021). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Previously, Mr. Engler served as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-2022), a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Laura M. Bishop (1961)
Year of Election or Appointment: 2022
Member of the Advisory Board
Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations, including as a Trustee and member of the Executive Committee of the Baltimore Council on Foreign Affairs, a member of the Board of Directors of the St. Vincent de Paul Society of Baltimore and a member of the Life Guard Society of Mt. Vernon.
Carol J. Zierhoffer (1960)
Year of Election or Appointment: 2023
Member of the Advisory Board
Ms. Zierhoffer also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Zierhoffer held a variety of positions at Bechtel Corporation (engineering company, 2013-2019), including Principal Vice President and Chief Information Officer (2013-2016) and Senior Vice President and Chief Information Officer (2016-2019). Ms. Zierhoffer currently serves as a member of the Board of Directors, Audit Committee and Compensation Committee of Allscripts Healthcare Solutions, Inc. (healthcare technology, 2020-present) and as a member of the Board of Directors, Audit and Finance Committee and Nominating and Governance Committee of Atlas Air Worldwide Holdings, Inc. (aviation operating services, 2021-present). Previously, Ms. Zierhoffer served as a member of the Board of Directors and Audit Committee and as the founding Chair of the Information Technology Committee of MedAssets, Inc. (healthcare technology, 2013-2016).
Heather Bonner (1977)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Secretary and Chief Legal Officer (CLO)
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Robin Foley (1964)
Year of Election or Appointment: 2023
Vice President
Ms. Foley also serves as Vice President of other funds. Ms. Foley serves as Head of Fidelity's Fixed Income division (2023-present) and is an employee of Fidelity Investments. Previously, Ms. Foley served as Chief Investment Officer of Bonds (2017-2023).
Christopher M. Gouveia (1973)
Year of Election or Appointment: 2023
Chief Compliance Officer
Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value February 1, 2023 | | Ending Account Value July 31, 2023 | | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 |
| | | | | | | | | | |
| Fidelity® Real Estate Index Fund | | | | .07% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 957.10 | | $ .34 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.45 | | $ .35 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund designates $300,195 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 1% of the dividends distributed in December and June during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 0.08%, 0.84% and 0.55% of the dividends distributed in September, December, and June, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 99.93%, 99.16% and 99.46% of the dividends distributed in September, December, and June, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
1.929343.111
URX-I-ANN-0923
Fidelity® SAI U.S. Large Cap Index Fund
Annual Report
July 31, 2023
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's®; and S&P®; are registered trademarks of Standard & Poor's Financial Services LLC ("S&P") and Dow Jones®; is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"). The fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the index or indices.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns |
| | | | |
Periods ended July 31, 2023 | Past 1 year | Past 5 years | Life of Fund A |
| Fidelity® SAI U.S. Large Cap Index Fund | 12.98% | 12.15% | 14.52% |
A From February 2, 2016
| $10,000 Over Life of Fund |
| |
Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Large Cap Index Fund, on February 2, 2016, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period. |
|
|
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the fund gained 12.98% versus the 13.02% result of the benchmark S&P 500® index. By sector, information technology gained 27% and contributed most. Communication services stocks also helped (+21%). Industrials rose roughly 16%, financials gained about 7%, and consumer discretionary advanced 7%. Conversely, real estate returned -10% and detracted most. Utilities (-6%) also hurt. Turning to individual stocks, the biggest contributor was Nvidia (+153%), from the semiconductors & semiconductor equipment group. Another notable contributor was Apple (+21%), a stock in the technology hardware & equipment industry. Microsoft, within the software & services category, gained 20% and lifted the fund. Lastly, in media & entertainment, Meta Platforms (+99%) and Alphabet (+14%) helped. In contrast, the biggest individual detractor was Tesla (-10%), from the automobiles & components category. Pfizer (-25%), from the pharmaceuticals, biotechnology & life sciences industry, also hurt. Lastly, Verizon Communications (-21%), a stock in the telecommunication services category, also detracted.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Top Holdings (% of Fund's net assets) |
| |
| Apple, Inc. | 7.6 | |
| Microsoft Corp. | 6.5 | |
| Amazon.com, Inc. | 3.1 | |
| NVIDIA Corp. | 3.0 | |
| Alphabet, Inc. Class A | 2.1 | |
| Tesla, Inc. | 1.9 | |
| Meta Platforms, Inc. Class A | 1.8 | |
| Alphabet, Inc. Class C | 1.8 | |
| Berkshire Hathaway, Inc. Class B | 1.6 | |
| UnitedHealth Group, Inc. | 1.2 | |
| | 30.6 | |
| |
| Market Sectors (% of Fund's net assets) |
| |
| Information Technology | 28.1 | |
| Health Care | 13.1 | |
| Financials | 12.6 | |
| Consumer Discretionary | 10.5 | |
| Communication Services | 8.7 | |
| Industrials | 8.4 | |
| Consumer Staples | 6.6 | |
| Energy | 4.3 | |
| Utilities | 2.5 | |
| Materials | 2.5 | |
| Real Estate | 2.5 | |
| |
Asset Allocation (% of Fund's net assets) |
|
Futures - 0.2% |
|
Showing Percentage of Net Assets
| Common Stocks - 99.8% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 8.7% | | | |
| Diversified Telecommunication Services - 0.6% | | | |
| AT&T, Inc. | | 1,893,051 | 27,487,101 |
| Verizon Communications, Inc. | | 1,113,393 | 37,944,433 |
| | | | 65,431,534 |
| Entertainment - 1.4% | | | |
| Activision Blizzard, Inc. | | 189,384 | 17,567,260 |
| Electronic Arts, Inc. | | 69,063 | 9,416,740 |
| Live Nation Entertainment, Inc. (a) | | 38,156 | 3,348,189 |
| Netflix, Inc. (a) | | 117,725 | 51,677,743 |
| Take-Two Interactive Software, Inc. (a) | | 42,033 | 6,428,527 |
| The Walt Disney Co. (a) | | 483,852 | 43,009,604 |
| Warner Bros Discovery, Inc. (a) | | 587,697 | 7,681,200 |
| | | | 139,129,263 |
| Interactive Media & Services - 5.7% | | | |
| Alphabet, Inc.: | | | |
| Class A (a) | | 1,573,416 | 208,823,772 |
| Class C (a) | | 1,353,431 | 180,155,200 |
| Match Group, Inc. (a) | | 73,823 | 3,433,508 |
| Meta Platforms, Inc. Class A (a) | | 585,863 | 186,655,952 |
| | | | 579,068,432 |
| Media - 0.8% | | | |
| Charter Communications, Inc. Class A (a) | | 27,481 | 11,135,026 |
| Comcast Corp. Class A | | 1,101,435 | 49,850,948 |
| Fox Corp.: | | | |
| Class A | | 71,287 | 2,384,550 |
| Class B | | 36,273 | 1,139,335 |
| Interpublic Group of Companies, Inc. | | 102,343 | 3,503,201 |
| News Corp.: | | | |
| Class A | | 100,963 | 2,001,087 |
| Class B | | 31,159 | 626,607 |
| Omnicom Group, Inc. | | 52,893 | 4,475,806 |
| Paramount Global Class B (b) | | 134,351 | 2,153,647 |
| | | | 77,270,207 |
| Wireless Telecommunication Services - 0.2% | | | |
| T-Mobile U.S., Inc. (a) | | 152,506 | 21,010,752 |
TOTAL COMMUNICATION SERVICES | | | 881,910,188 |
| CONSUMER DISCRETIONARY - 10.5% | | | |
| Automobile Components - 0.1% | | | |
| Aptiv PLC (a) | | 71,713 | 7,851,856 |
| BorgWarner, Inc. | | 62,139 | 2,889,464 |
| | | | 10,741,320 |
| Automobiles - 2.1% | | | |
| Ford Motor Co. | | 1,039,941 | 13,737,621 |
| General Motors Co. | | 367,867 | 14,115,057 |
| Tesla, Inc. (a) | | 713,503 | 190,812,107 |
| | | | 218,664,785 |
| Broadline Retail - 3.2% | | | |
| Amazon.com, Inc. (a) | | 2,364,104 | 316,033,423 |
| eBay, Inc. | | 141,762 | 6,309,827 |
| Etsy, Inc. (a) | | 32,702 | 3,324,158 |
| | | | 325,667,408 |
| Distributors - 0.1% | | | |
| Genuine Parts Co. | | 37,250 | 5,800,570 |
| LKQ Corp. | | 67,318 | 3,688,353 |
| Pool Corp. | | 10,350 | 3,982,059 |
| | | | 13,470,982 |
| Hotels, Restaurants & Leisure - 2.1% | | | |
| Booking Holdings, Inc. (a) | | 9,780 | 29,054,424 |
| Caesars Entertainment, Inc. (a) | | 57,054 | 3,367,327 |
| Carnival Corp. (a)(b) | | 266,276 | 5,016,640 |
| Chipotle Mexican Grill, Inc. (a) | | 7,301 | 14,326,606 |
| Darden Restaurants, Inc. | | 32,059 | 5,415,406 |
| Domino's Pizza, Inc. | | 9,369 | 3,717,057 |
| Expedia, Inc. (a) | | 37,805 | 4,632,247 |
| Hilton Worldwide Holdings, Inc. | | 69,992 | 10,883,056 |
| Las Vegas Sands Corp. | | 87,123 | 5,210,827 |
| Marriott International, Inc. Class A | | 68,232 | 13,769,900 |
| McDonald's Corp. | | 193,378 | 56,698,430 |
| MGM Resorts International | | 80,052 | 4,064,240 |
| Norwegian Cruise Line Holdings Ltd. (a)(b) | | 112,428 | 2,481,286 |
| Royal Caribbean Cruises Ltd. (a) | | 58,306 | 6,361,768 |
| Starbucks Corp. | | 303,582 | 30,834,824 |
| Wynn Resorts Ltd. | | 27,454 | 2,991,937 |
| Yum! Brands, Inc. | | 74,252 | 10,222,273 |
| | | | 209,048,248 |
| Household Durables - 0.4% | | | |
| D.R. Horton, Inc. | | 82,086 | 10,426,564 |
| Garmin Ltd. | | 40,569 | 4,295,851 |
| Lennar Corp. Class A | | 67,081 | 8,507,883 |
| Mohawk Industries, Inc. (a) | | 13,996 | 1,488,335 |
| Newell Brands, Inc. | | 100,096 | 1,117,071 |
| NVR, Inc. (a) | | 809 | 5,101,910 |
| PulteGroup, Inc. | | 59,179 | 4,994,116 |
| Whirlpool Corp. | | 14,510 | 2,093,213 |
| | | | 38,024,943 |
| Leisure Products - 0.0% | | | |
| Hasbro, Inc. | | 34,531 | 2,229,321 |
| Specialty Retail - 2.1% | | | |
| Advance Auto Parts, Inc. | | 15,787 | 1,174,395 |
| AutoZone, Inc. (a) | | 4,867 | 12,078,531 |
| Bath & Body Works, Inc. | | 60,676 | 2,248,653 |
| Best Buy Co., Inc. | | 51,593 | 4,284,799 |
| CarMax, Inc. (a)(b) | | 41,943 | 3,464,911 |
| Lowe's Companies, Inc. | | 157,951 | 37,003,181 |
| O'Reilly Automotive, Inc. (a) | | 16,112 | 14,916,328 |
| Ross Stores, Inc. | | 90,460 | 10,370,334 |
| The Home Depot, Inc. | | 268,220 | 89,542,565 |
| TJX Companies, Inc. | | 304,974 | 26,389,400 |
| Tractor Supply Co. | | 29,047 | 6,506,238 |
| Ulta Beauty, Inc. (a) | | 13,279 | 5,906,499 |
| | | | 213,885,834 |
| Textiles, Apparel & Luxury Goods - 0.4% | | | |
| NIKE, Inc. Class B | | 326,294 | 36,019,595 |
| Ralph Lauren Corp. | | 10,878 | 1,428,608 |
| Tapestry, Inc. | | 61,453 | 2,651,697 |
| VF Corp. | | 87,498 | 1,733,335 |
| | | | 41,833,235 |
TOTAL CONSUMER DISCRETIONARY | | | 1,073,566,076 |
| CONSUMER STAPLES - 6.6% | | | |
| Beverages - 1.7% | | | |
| Brown-Forman Corp. Class B (non-vtg.) | | 48,488 | 3,423,253 |
| Constellation Brands, Inc. Class A (sub. vtg.) | | 42,654 | 11,636,011 |
| Keurig Dr. Pepper, Inc. | | 223,284 | 7,593,889 |
| Molson Coors Beverage Co. Class B | | 49,775 | 3,472,802 |
| Monster Beverage Corp. | | 202,133 | 11,620,626 |
| PepsiCo, Inc. | | 364,982 | 68,419,526 |
| The Coca-Cola Co. | | 1,031,116 | 63,857,014 |
| | | | 170,023,121 |
| Consumer Staples Distribution & Retail - 1.8% | | | |
| Costco Wholesale Corp. | | 117,468 | 65,860,784 |
| Dollar General Corp. | | 57,939 | 9,783,580 |
| Dollar Tree, Inc. (a) | | 54,958 | 8,481,668 |
| Kroger Co. | | 173,127 | 8,420,897 |
| Sysco Corp. | | 133,994 | 10,225,082 |
| Target Corp. | | 122,174 | 16,673,086 |
| Walgreens Boots Alliance, Inc. | | 189,848 | 5,689,745 |
| Walmart, Inc. | | 371,595 | 59,403,177 |
| | | | 184,538,019 |
| Food Products - 1.0% | | | |
| Archer Daniels Midland Co. | | 144,094 | 12,242,226 |
| Bunge Ltd. | | 39,924 | 4,338,541 |
| Campbell Soup Co. | | 53,189 | 2,437,120 |
| Conagra Brands, Inc. | | 126,431 | 4,148,201 |
| General Mills, Inc. | | 155,376 | 11,612,802 |
| Hormel Foods Corp. | | 76,789 | 3,139,134 |
| Kellogg Co. | | 68,148 | 4,558,420 |
| Lamb Weston Holdings, Inc. | | 38,627 | 4,002,916 |
| McCormick & Co., Inc. (non-vtg.) | | 66,498 | 5,950,241 |
| Mondelez International, Inc. | | 360,695 | 26,738,320 |
| The Hershey Co. | | 38,939 | 9,006,980 |
| The J.M. Smucker Co. | | 28,270 | 4,258,876 |
| The Kraft Heinz Co. | | 211,467 | 7,650,876 |
| Tyson Foods, Inc. Class A | | 75,714 | 4,218,784 |
| | | | 104,303,437 |
| Household Products - 1.4% | | | |
| Church & Dwight Co., Inc. | | 64,755 | 6,195,111 |
| Colgate-Palmolive Co. | | 219,591 | 16,746,010 |
| Kimberly-Clark Corp. | | 89,250 | 11,522,175 |
| Procter & Gamble Co. | | 624,356 | 97,586,843 |
| The Clorox Co. | | 32,774 | 4,964,606 |
| | | | 137,014,745 |
| Personal Care Products - 0.1% | | | |
| Estee Lauder Companies, Inc. Class A | | 61,332 | 11,039,760 |
| Tobacco - 0.6% | | | |
| Altria Group, Inc. | | 472,666 | 21,468,490 |
| Philip Morris International, Inc. | | 411,085 | 40,993,396 |
| | | | 62,461,886 |
TOTAL CONSUMER STAPLES | | | 669,380,968 |
| ENERGY - 4.3% | | | |
| Energy Equipment & Services - 0.4% | | | |
| Baker Hughes Co. Class A | | 268,376 | 9,605,177 |
| Halliburton Co. | | 239,173 | 9,346,881 |
| Schlumberger Ltd. | | 377,391 | 22,016,991 |
| | | | 40,969,049 |
| Oil, Gas & Consumable Fuels - 3.9% | | | |
| APA Corp. | | 81,815 | 3,312,689 |
| Chevron Corp. | | 461,562 | 75,539,237 |
| ConocoPhillips Co. | | 320,455 | 37,723,963 |
| Coterra Energy, Inc. | | 200,800 | 5,530,032 |
| Devon Energy Corp. | | 170,115 | 9,186,210 |
| Diamondback Energy, Inc. | | 48,008 | 7,072,539 |
| EOG Resources, Inc. | | 154,855 | 20,522,933 |
| EQT Corp. | | 95,873 | 4,043,923 |
| Exxon Mobil Corp. | | 1,070,794 | 114,831,949 |
| Hess Corp. | | 73,260 | 11,115,740 |
| Kinder Morgan, Inc. | | 522,852 | 9,259,709 |
| Marathon Oil Corp. | | 163,737 | 4,301,371 |
| Marathon Petroleum Corp. | | 112,288 | 14,936,550 |
| Occidental Petroleum Corp. | | 190,070 | 11,999,119 |
| ONEOK, Inc. | | 118,619 | 7,952,218 |
| Phillips 66 Co. | | 121,418 | 13,544,178 |
| Pioneer Natural Resources Co. | | 61,852 | 13,958,141 |
| Targa Resources Corp. | | 59,920 | 4,912,841 |
| The Williams Companies, Inc. | | 322,208 | 11,100,066 |
| Valero Energy Corp. | | 95,645 | 12,329,597 |
| | | | 393,173,005 |
TOTAL ENERGY | | | 434,142,054 |
| FINANCIALS - 12.6% | | | |
| Banks - 3.2% | | | |
| Bank of America Corp. | | 1,836,306 | 58,761,792 |
| Citigroup, Inc. | | 515,560 | 24,571,590 |
| Citizens Financial Group, Inc. | | 128,318 | 4,139,539 |
| Comerica, Inc. | | 34,881 | 1,882,179 |
| Fifth Third Bancorp | | 180,467 | 5,251,590 |
| Huntington Bancshares, Inc. | | 382,733 | 4,684,652 |
| JPMorgan Chase & Co. | | 773,988 | 122,259,144 |
| KeyCorp | | 247,961 | 3,052,400 |
| M&T Bank Corp. | | 43,795 | 6,125,169 |
| PNC Financial Services Group, Inc. | | 105,621 | 14,458,459 |
| Regions Financial Corp. | | 248,766 | 5,067,363 |
| Truist Financial Corp. | | 352,341 | 11,704,768 |
| U.S. Bancorp | | 369,178 | 14,648,983 |
| Wells Fargo & Co. | | 993,808 | 45,874,177 |
| Zions Bancorp NA | | 39,209 | 1,499,744 |
| | | | 323,981,549 |
| Capital Markets - 2.7% | | | |
| Ameriprise Financial, Inc. | | 27,618 | 9,623,492 |
| Bank of New York Mellon Corp. | | 190,376 | 8,635,455 |
| BlackRock, Inc. Class A | | 39,662 | 29,304,269 |
| Cboe Global Markets, Inc. | | 27,988 | 3,909,364 |
| Charles Schwab Corp. | | 393,558 | 26,014,184 |
| CME Group, Inc. | | 95,236 | 18,948,155 |
| FactSet Research Systems, Inc. | | 10,159 | 4,419,571 |
| Franklin Resources, Inc. | | 75,662 | 2,212,357 |
| Goldman Sachs Group, Inc. | | 88,038 | 31,330,083 |
| Intercontinental Exchange, Inc. | | 148,205 | 17,013,934 |
| Invesco Ltd. | | 121,397 | 2,039,470 |
| MarketAxess Holdings, Inc. | | 9,986 | 2,688,431 |
| Moody's Corp. | | 41,765 | 14,732,604 |
| Morgan Stanley | | 344,999 | 31,588,108 |
| MSCI, Inc. | | 21,180 | 11,608,334 |
| NASDAQ, Inc. | | 89,772 | 4,532,588 |
| Northern Trust Corp. | | 55,234 | 4,425,348 |
| Raymond James Financial, Inc. | | 50,561 | 5,565,249 |
| S&P Global, Inc. | | 86,874 | 34,272,662 |
| State Street Corp. | | 88,614 | 6,419,198 |
| T. Rowe Price Group, Inc. | | 59,536 | 7,338,407 |
| | | | 276,621,263 |
| Consumer Finance - 0.5% | | | |
| American Express Co. | | 157,476 | 26,594,547 |
| Capital One Financial Corp. | | 101,001 | 11,819,137 |
| Discover Financial Services | | 67,322 | 7,105,837 |
| Synchrony Financial | | 113,623 | 3,924,538 |
| | | | 49,444,059 |
| Financial Services - 4.2% | | | |
| Berkshire Hathaway, Inc. Class B (a) | | 472,330 | 166,241,267 |
| Fidelity National Information Services, Inc. | | 156,638 | 9,457,802 |
| Fiserv, Inc. (a) | | 163,449 | 20,628,898 |
| FleetCor Technologies, Inc. (a) | | 19,574 | 4,872,164 |
| Global Payments, Inc. | | 69,215 | 7,630,954 |
| Jack Henry & Associates, Inc. | | 19,320 | 3,237,452 |
| MasterCard, Inc. Class A | | 221,648 | 87,391,373 |
| PayPal Holdings, Inc. (a) | | 295,431 | 22,399,578 |
| Visa, Inc. Class A | | 428,629 | 101,897,972 |
| | | | 423,757,460 |
| Insurance - 2.0% | | | |
| AFLAC, Inc. | | 145,419 | 10,519,610 |
| Allstate Corp. | | 69,682 | 7,851,768 |
| American International Group, Inc. | | 191,453 | 11,540,787 |
| Aon PLC | | 54,068 | 17,220,658 |
| Arch Capital Group Ltd. (a) | | 98,730 | 7,670,334 |
| Arthur J. Gallagher & Co. | | 56,667 | 12,172,072 |
| Assurant, Inc. | | 14,080 | 1,893,901 |
| Brown & Brown, Inc. | | 62,410 | 4,396,785 |
| Chubb Ltd. | | 109,676 | 22,418,871 |
| Cincinnati Financial Corp. | | 41,678 | 4,483,719 |
| Everest Re Group Ltd. | | 11,366 | 4,097,557 |
| Globe Life, Inc. | | 23,560 | 2,642,725 |
| Hartford Financial Services Group, Inc. | | 82,243 | 5,911,627 |
| Lincoln National Corp. | | 40,986 | 1,149,247 |
| Loews Corp. | | 50,151 | 3,141,960 |
| Marsh & McLennan Companies, Inc. | | 131,018 | 24,686,412 |
| MetLife, Inc. | | 170,537 | 10,738,715 |
| Principal Financial Group, Inc. | | 59,856 | 4,780,699 |
| Progressive Corp. | | 154,981 | 19,524,506 |
| Prudential Financial, Inc. | | 96,503 | 9,311,574 |
| The Travelers Companies, Inc. | | 61,087 | 10,544,227 |
| W.R. Berkley Corp. | | 53,233 | 3,283,944 |
| Willis Towers Watson PLC | | 28,210 | 5,961,619 |
| | | | 205,943,317 |
TOTAL FINANCIALS | | | 1,279,747,648 |
| HEALTH CARE - 13.1% | | | |
| Biotechnology - 1.9% | | | |
| AbbVie, Inc. | | 467,262 | 69,893,050 |
| Amgen, Inc. | | 141,512 | 33,135,035 |
| Biogen, Inc. (a) | | 38,278 | 10,342,333 |
| Gilead Sciences, Inc. | | 330,338 | 25,151,935 |
| Incyte Corp. (a) | | 49,088 | 3,127,887 |
| Moderna, Inc. (a) | | 86,911 | 10,225,948 |
| Regeneron Pharmaceuticals, Inc. (a) | | 28,568 | 21,194,885 |
| Vertex Pharmaceuticals, Inc. (a) | | 68,206 | 24,031,702 |
| | | | 197,102,775 |
| Health Care Equipment & Supplies - 2.8% | | | |
| Abbott Laboratories | | 460,563 | 51,274,479 |
| Align Technology, Inc. (a) | | 18,865 | 7,128,895 |
| Baxter International, Inc. | | 134,103 | 6,065,479 |
| Becton, Dickinson & Co. | | 75,204 | 20,953,338 |
| Boston Scientific Corp. (a) | | 380,654 | 19,736,910 |
| Dentsply Sirona, Inc. | | 56,316 | 2,338,240 |
| DexCom, Inc. (a) | | 102,574 | 12,776,617 |
| Edwards Lifesciences Corp. (a) | | 160,411 | 13,164,931 |
| GE Healthcare Holding LLC | | 103,661 | 8,085,558 |
| Hologic, Inc. (a) | | 65,247 | 5,181,917 |
| IDEXX Laboratories, Inc. (a) | | 21,960 | 12,181,871 |
| Insulet Corp. (a) | | 18,477 | 5,113,510 |
| Intuitive Surgical, Inc. (a) | | 92,794 | 30,102,374 |
| Medtronic PLC | | 352,342 | 30,921,534 |
| ResMed, Inc. | | 38,840 | 8,636,074 |
| STERIS PLC | | 26,321 | 5,936,702 |
| Stryker Corp. | | 89,474 | 25,357,826 |
| Teleflex, Inc. | | 12,453 | 3,127,820 |
| The Cooper Companies, Inc. | | 13,111 | 5,129,810 |
| Zimmer Biomet Holdings, Inc. | | 55,293 | 7,638,728 |
| | | | 280,852,613 |
| Health Care Providers & Services - 2.9% | | | |
| AmerisourceBergen Corp. | | 42,940 | 8,025,486 |
| Cardinal Health, Inc. | | 67,495 | 6,173,768 |
| Centene Corp. (a) | | 145,103 | 9,880,063 |
| Cigna Group | | 78,350 | 23,121,085 |
| CVS Health Corp. | | 339,531 | 25,359,570 |
| DaVita HealthCare Partners, Inc. (a) | | 14,647 | 1,493,848 |
| Elevance Health, Inc. | | 62,787 | 29,612,233 |
| HCA Holdings, Inc. | | 54,605 | 14,896,790 |
| Henry Schein, Inc. (a) | | 34,732 | 2,736,534 |
| Humana, Inc. | | 33,068 | 15,106,454 |
| Laboratory Corp. of America Holdings | | 23,489 | 5,025,002 |
| McKesson Corp. | | 35,886 | 14,440,526 |
| Molina Healthcare, Inc. (a) | | 15,456 | 4,706,197 |
| Quest Diagnostics, Inc. | | 29,695 | 4,015,061 |
| UnitedHealth Group, Inc. | | 246,589 | 124,865,272 |
| Universal Health Services, Inc. Class B | | 16,680 | 2,317,853 |
| | | | 291,775,742 |
| Life Sciences Tools & Services - 1.6% | | | |
| Agilent Technologies, Inc. | | 78,193 | 9,521,562 |
| Bio-Rad Laboratories, Inc. Class A (a) | | 5,658 | 2,293,527 |
| Bio-Techne Corp. | | 41,738 | 3,480,949 |
| Charles River Laboratories International, Inc. (a) | | 13,569 | 2,843,248 |
| Danaher Corp. | | 175,877 | 44,859,188 |
| Illumina, Inc. (a) | | 41,913 | 8,053,583 |
| IQVIA Holdings, Inc. (a) | | 49,078 | 10,981,693 |
| Mettler-Toledo International, Inc. (a) | | 5,838 | 7,341,110 |
| Revvity, Inc. | | 33,256 | 4,088,825 |
| Thermo Fisher Scientific, Inc. | | 102,154 | 56,047,814 |
| Waters Corp. (a) | | 15,650 | 4,322,687 |
| West Pharmaceutical Services, Inc. | | 19,682 | 7,243,763 |
| | | | 161,077,949 |
| Pharmaceuticals - 3.9% | | | |
| Bristol-Myers Squibb Co. | | 556,404 | 34,602,765 |
| Catalent, Inc. (a) | | 47,734 | 2,316,054 |
| Eli Lilly & Co. | | 208,674 | 94,852,767 |
| Johnson & Johnson | | 688,292 | 115,309,559 |
| Merck & Co., Inc. | | 672,059 | 71,675,092 |
| Organon & Co. | | 67,527 | 1,484,243 |
| Pfizer, Inc. | | 1,495,086 | 53,912,801 |
| Viatris, Inc. | | 317,896 | 3,347,445 |
| Zoetis, Inc. Class A | | 122,363 | 23,015,257 |
| | | | 400,515,983 |
TOTAL HEALTH CARE | | | 1,331,325,062 |
| INDUSTRIALS - 8.4% | | | |
| Aerospace & Defense - 1.6% | | | |
| Axon Enterprise, Inc. (a) | | 18,608 | 3,459,785 |
| General Dynamics Corp. | | 59,523 | 13,308,152 |
| Howmet Aerospace, Inc. | | 97,515 | 4,986,917 |
| Huntington Ingalls Industries, Inc. | | 10,575 | 2,428,760 |
| L3Harris Technologies, Inc. | | 50,093 | 9,492,123 |
| Lockheed Martin Corp. | | 59,696 | 26,646,504 |
| Northrop Grumman Corp. | | 37,786 | 16,814,770 |
| Raytheon Technologies Corp. | | 387,063 | 34,034,450 |
| Textron, Inc. | | 53,471 | 4,158,440 |
| The Boeing Co. (a) | | 149,774 | 35,773,520 |
| TransDigm Group, Inc. | | 13,806 | 12,421,534 |
| | | | 163,524,955 |
| Air Freight & Logistics - 0.6% | | | |
| C.H. Robinson Worldwide, Inc. | | 30,870 | 3,092,557 |
| Expeditors International of Washington, Inc. | | 40,506 | 5,156,414 |
| FedEx Corp. | | 61,210 | 16,523,640 |
| United Parcel Service, Inc. Class B | | 191,979 | 35,925,030 |
| | | | 60,697,641 |
| Building Products - 0.5% | | | |
| A.O. Smith Corp. | | 33,013 | 2,397,734 |
| Allegion PLC | | 23,316 | 2,724,708 |
| Carrier Global Corp. | | 220,893 | 13,154,178 |
| Johnson Controls International PLC | | 181,524 | 12,624,994 |
| Masco Corp. | | 59,675 | 3,621,079 |
| Trane Technologies PLC | | 60,330 | 12,032,215 |
| | | | 46,554,908 |
| Commercial Services & Supplies - 0.5% | | | |
| Cintas Corp. | | 22,867 | 11,480,149 |
| Copart, Inc. (a) | | 113,429 | 10,025,989 |
| Republic Services, Inc. | | 54,500 | 8,235,495 |
| Rollins, Inc. | | 61,400 | 2,506,962 |
| Waste Management, Inc. | | 97,988 | 16,049,455 |
| | | | 48,298,050 |
| Construction & Engineering - 0.1% | | | |
| Quanta Services, Inc. | | 38,486 | 7,759,547 |
| Electrical Equipment - 0.6% | | | |
| AMETEK, Inc. | | 61,098 | 9,690,143 |
| Eaton Corp. PLC | | 105,546 | 21,670,705 |
| Emerson Electric Co. | | 151,230 | 13,814,861 |
| Generac Holdings, Inc. (a) | | 16,487 | 2,534,052 |
| Rockwell Automation, Inc. | | 30,454 | 10,241,376 |
| | | | 57,951,137 |
| Ground Transportation - 0.8% | | | |
| CSX Corp. | | 538,227 | 17,933,724 |
| J.B. Hunt Transport Services, Inc. | | 21,982 | 4,483,009 |
| Norfolk Southern Corp. | | 60,242 | 14,071,929 |
| Old Dominion Freight Lines, Inc. | | 23,779 | 9,975,053 |
| Union Pacific Corp. | | 161,496 | 37,470,302 |
| | | | 83,934,017 |
| Industrial Conglomerates - 0.8% | | | |
| 3M Co. | | 146,025 | 16,281,788 |
| General Electric Co. | | 288,407 | 32,947,616 |
| Honeywell International, Inc. | | 176,257 | 34,216,771 |
| | | | 83,446,175 |
| Machinery - 1.8% | | | |
| Caterpillar, Inc. | | 136,509 | 36,198,092 |
| Cummins, Inc. | | 37,431 | 9,762,005 |
| Deere & Co. | | 71,426 | 30,684,610 |
| Dover Corp. | | 37,075 | 5,411,838 |
| Fortive Corp. | | 93,727 | 7,343,510 |
| IDEX Corp. | | 20,036 | 4,524,329 |
| Illinois Tool Works, Inc. | | 73,218 | 19,279,764 |
| Ingersoll Rand, Inc. | | 107,239 | 6,999,490 |
| Nordson Corp. | | 14,270 | 3,590,475 |
| Otis Worldwide Corp. | | 109,286 | 9,940,655 |
| PACCAR, Inc. | | 138,243 | 11,906,870 |
| Parker Hannifin Corp. | | 33,949 | 13,919,429 |
| Pentair PLC | | 43,731 | 3,039,305 |
| Snap-On, Inc. | | 14,033 | 3,823,151 |
| Stanley Black & Decker, Inc. | | 40,600 | 4,030,362 |
| Westinghouse Air Brake Tech Co. | | 47,684 | 5,647,693 |
| Xylem, Inc. | | 63,430 | 7,151,733 |
| | | | 183,253,311 |
| Passenger Airlines - 0.2% | | | |
| Alaska Air Group, Inc. (a) | | 33,872 | 1,647,195 |
| American Airlines Group, Inc. (a) | | 173,097 | 2,899,375 |
| Delta Air Lines, Inc. | | 170,398 | 7,882,611 |
| Southwest Airlines Co. | | 157,764 | 5,389,218 |
| United Airlines Holdings, Inc. (a) | | 86,951 | 4,722,309 |
| | | | 22,540,708 |
| Professional Services - 0.7% | | | |
| Automatic Data Processing, Inc. | | 109,419 | 27,054,942 |
| Broadridge Financial Solutions, Inc. | | 31,277 | 5,252,034 |
| Ceridian HCM Holding, Inc. (a)(b) | | 41,101 | 2,910,362 |
| Equifax, Inc. | | 32,513 | 6,635,253 |
| Jacobs Solutions, Inc. | | 33,629 | 4,217,413 |
| Leidos Holdings, Inc. | | 36,365 | 3,401,218 |
| Paychex, Inc. | | 85,056 | 10,671,976 |
| Paycom Software, Inc. | | 12,888 | 4,752,579 |
| Robert Half, Inc. | | 28,559 | 2,117,650 |
| Verisk Analytics, Inc. | | 38,384 | 8,787,633 |
| | | | 75,801,060 |
| Trading Companies & Distributors - 0.2% | | | |
| Fastenal Co. | | 150,949 | 8,847,121 |
| United Rentals, Inc. | | 18,165 | 8,440,912 |
| W.W. Grainger, Inc. | | 11,836 | 8,740,768 |
| | | | 26,028,801 |
TOTAL INDUSTRIALS | | | 859,790,310 |
| INFORMATION TECHNOLOGY - 28.1% | | | |
| Communications Equipment - 0.8% | | | |
| Arista Networks, Inc. (a) | | 66,198 | 10,266,648 |
| Cisco Systems, Inc. | | 1,084,739 | 56,449,818 |
| F5, Inc. (a) | | 16,030 | 2,536,587 |
| Juniper Networks, Inc. | | 85,254 | 2,370,061 |
| Motorola Solutions, Inc. | | 44,376 | 12,719,493 |
| | | | 84,342,607 |
| Electronic Equipment, Instruments & Components - 0.6% | | | |
| Amphenol Corp. Class A | | 157,532 | 13,911,651 |
| CDW Corp. | | 35,732 | 6,684,385 |
| Corning, Inc. | | 202,833 | 6,884,152 |
| Keysight Technologies, Inc. (a) | | 47,225 | 7,607,003 |
| TE Connectivity Ltd. | | 83,362 | 11,961,613 |
| Teledyne Technologies, Inc. (a) | | 12,472 | 4,795,858 |
| Trimble, Inc. (a) | | 65,682 | 3,533,692 |
| Zebra Technologies Corp. Class A (a) | | 13,635 | 4,199,035 |
| | | | 59,577,389 |
| IT Services - 1.2% | | | |
| Accenture PLC Class A | | 167,251 | 52,909,854 |
| Akamai Technologies, Inc. (a) | | 40,351 | 3,813,170 |
| Cognizant Technology Solutions Corp. Class A | | 134,155 | 8,858,255 |
| DXC Technology Co. (a) | | 60,302 | 1,667,350 |
| EPAM Systems, Inc. (a) | | 15,351 | 3,635,270 |
| Gartner, Inc. (a) | | 20,955 | 7,409,478 |
| IBM Corp. | | 240,485 | 34,673,127 |
| VeriSign, Inc. (a) | | 24,010 | 5,064,910 |
| | | | 118,031,414 |
| Semiconductors & Semiconductor Equipment - 7.6% | | | |
| Advanced Micro Devices, Inc. (a) | | 426,463 | 48,787,367 |
| Analog Devices, Inc. | | 133,975 | 26,732,032 |
| Applied Materials, Inc. | | 223,827 | 33,929,935 |
| Broadcom, Inc. | | 110,423 | 99,231,629 |
| Enphase Energy, Inc. (a) | | 36,331 | 5,516,136 |
| First Solar, Inc. (a) | | 26,337 | 5,462,294 |
| Intel Corp. | | 1,104,599 | 39,511,506 |
| KLA Corp. | | 36,323 | 18,668,206 |
| Lam Research Corp. | | 35,577 | 25,561,719 |
| Microchip Technology, Inc. | | 144,952 | 13,616,791 |
| Micron Technology, Inc. | | 289,775 | 20,687,037 |
| Monolithic Power Systems, Inc. | | 11,943 | 6,681,989 |
| NVIDIA Corp. | | 654,984 | 306,067,473 |
| NXP Semiconductors NV | | 68,746 | 15,328,983 |
| ON Semiconductor Corp. (a) | | 114,252 | 12,310,653 |
| Qorvo, Inc. (a) | | 26,482 | 2,913,550 |
| Qualcomm, Inc. | | 295,036 | 38,994,908 |
| Skyworks Solutions, Inc. | | 42,192 | 4,825,499 |
| SolarEdge Technologies, Inc. (a) | | 14,937 | 3,606,688 |
| Teradyne, Inc. | | 41,103 | 4,642,173 |
| Texas Instruments, Inc. | | 240,423 | 43,276,140 |
| | | | 776,352,708 |
| Software - 10.1% | | | |
| Adobe, Inc. (a) | | 121,481 | 66,349,278 |
| ANSYS, Inc. (a) | | 22,974 | 7,859,405 |
| Autodesk, Inc. (a) | | 56,653 | 12,009,869 |
| Cadence Design Systems, Inc. (a) | | 72,182 | 16,891,310 |
| Fair Isaac Corp. (a) | | 6,626 | 5,552,389 |
| Fortinet, Inc. (a) | | 172,444 | 13,402,348 |
| Gen Digital, Inc. | | 150,802 | 2,933,099 |
| Intuit, Inc. | | 74,296 | 38,017,263 |
| Microsoft Corp. | | 1,969,232 | 661,504,413 |
| Oracle Corp. | | 407,587 | 47,781,424 |
| Palo Alto Networks, Inc. (a) | | 80,121 | 20,027,045 |
| PTC, Inc. (a) | | 28,238 | 4,117,383 |
| Roper Technologies, Inc. | | 28,207 | 13,907,461 |
| Salesforce, Inc. (a) | | 259,286 | 58,341,943 |
| ServiceNow, Inc. (a) | | 53,957 | 31,456,931 |
| Synopsys, Inc. (a) | | 40,320 | 18,216,576 |
| Tyler Technologies, Inc. (a) | | 11,114 | 4,408,146 |
| | | | 1,022,776,283 |
| Technology Hardware, Storage & Peripherals - 7.8% | | | |
| Apple, Inc. | | 3,915,683 | 769,235,908 |
| Hewlett Packard Enterprise Co. | | 343,537 | 5,970,673 |
| HP, Inc. | | 229,817 | 7,544,892 |
| NetApp, Inc. | | 56,708 | 4,423,791 |
| Seagate Technology Holdings PLC | | 51,057 | 3,242,120 |
| Western Digital Corp. (a) | | 84,818 | 3,609,854 |
| | | | 794,027,238 |
TOTAL INFORMATION TECHNOLOGY | | | 2,855,107,639 |
| MATERIALS - 2.5% | | | |
| Chemicals - 1.7% | | | |
| Air Products & Chemicals, Inc. | | 58,803 | 17,954,320 |
| Albemarle Corp. | | 31,106 | 6,603,182 |
| Celanese Corp. Class A | | 26,535 | 3,327,224 |
| CF Industries Holdings, Inc. | | 51,674 | 4,241,402 |
| Corteva, Inc. | | 188,008 | 10,609,291 |
| Dow, Inc. | | 187,061 | 10,563,335 |
| DuPont de Nemours, Inc. | | 121,364 | 9,421,487 |
| Eastman Chemical Co. | | 31,591 | 2,703,558 |
| Ecolab, Inc. | | 65,532 | 12,001,530 |
| FMC Corp. | | 33,149 | 3,189,928 |
| International Flavors & Fragrances, Inc. | | 67,626 | 5,721,836 |
| Linde PLC | | 129,694 | 50,667,555 |
| LyondellBasell Industries NV Class A | | 67,261 | 6,649,422 |
| PPG Industries, Inc. | | 62,238 | 8,956,048 |
| Sherwin-Williams Co. | | 62,125 | 17,177,563 |
| The Mosaic Co. | | 88,045 | 3,588,714 |
| | | | 173,376,395 |
| Construction Materials - 0.2% | | | |
| Martin Marietta Materials, Inc. | | 16,428 | 7,334,445 |
| Vulcan Materials Co. | | 35,274 | 7,777,917 |
| | | | 15,112,362 |
| Containers & Packaging - 0.2% | | | |
| Amcor PLC | | 390,119 | 4,002,621 |
| Avery Dennison Corp. | | 21,403 | 3,938,366 |
| Ball Corp. | | 83,390 | 4,894,159 |
| International Paper Co. | | 92,017 | 3,318,133 |
| Packaging Corp. of America | | 23,843 | 3,656,324 |
| Sealed Air Corp. | | 38,245 | 1,744,737 |
| WestRock Co. | | 67,880 | 2,259,725 |
| | | | 23,814,065 |
| Metals & Mining - 0.4% | | | |
| Freeport-McMoRan, Inc. | | 379,395 | 16,939,987 |
| Newmont Corp. | | 210,680 | 9,042,386 |
| Nucor Corp. | | 66,452 | 11,435,725 |
| Steel Dynamics, Inc. | | 42,571 | 4,537,217 |
| | | | 41,955,315 |
TOTAL MATERIALS | | | 254,258,137 |
| REAL ESTATE - 2.5% | | | |
| Equity Real Estate Investment Trusts (REITs) - 2.3% | | | |
| Alexandria Real Estate Equities, Inc. | | 41,739 | 5,245,758 |
| American Tower Corp. | | 123,415 | 23,487,109 |
| AvalonBay Communities, Inc. | | 37,644 | 7,101,541 |
| Boston Properties, Inc. | | 37,834 | 2,520,879 |
| Camden Property Trust (SBI) | | 28,305 | 3,087,792 |
| Crown Castle International Corp. | | 114,737 | 12,424,870 |
| Digital Realty Trust, Inc. | | 77,033 | 9,599,852 |
| Equinix, Inc. | | 24,762 | 20,055,239 |
| Equity Residential (SBI) | | 90,404 | 5,961,240 |
| Essex Property Trust, Inc. | | 17,016 | 4,144,247 |
| Extra Space Storage, Inc. | | 55,813 | 7,789,820 |
| Federal Realty Investment Trust (SBI) | | 19,438 | 1,973,346 |
| Healthpeak Properties, Inc. | | 145,021 | 3,165,808 |
| Host Hotels & Resorts, Inc. | | 188,559 | 3,469,486 |
| Invitation Homes, Inc. | | 154,107 | 5,470,799 |
| Iron Mountain, Inc. | | 77,313 | 4,747,018 |
| Kimco Realty Corp. | | 164,347 | 3,329,670 |
| Mid-America Apartment Communities, Inc. | | 30,926 | 4,628,385 |
| Prologis (REIT), Inc. | | 244,574 | 30,510,607 |
| Public Storage | | 41,858 | 11,793,492 |
| Realty Income Corp. | | 178,060 | 10,856,318 |
| Regency Centers Corp. | | 40,797 | 2,673,427 |
| SBA Communications Corp. Class A | | 28,721 | 6,288,463 |
| Simon Property Group, Inc. | | 86,485 | 10,776,031 |
| UDR, Inc. | | 82,033 | 3,353,509 |
| Ventas, Inc. | | 106,057 | 5,145,886 |
| VICI Properties, Inc. | | 265,432 | 8,355,799 |
| Welltower, Inc. | | 131,764 | 10,824,413 |
| Weyerhaeuser Co. | | 194,133 | 6,612,170 |
| | | | 235,392,974 |
| Real Estate Management & Development - 0.2% | | | |
| CBRE Group, Inc. (a) | | 82,404 | 6,865,077 |
| CoStar Group, Inc. (a) | | 107,998 | 9,068,592 |
| | | | 15,933,669 |
TOTAL REAL ESTATE | | | 251,326,643 |
| UTILITIES - 2.5% | | | |
| Electric Utilities - 1.7% | | | |
| Alliant Energy Corp. | | 66,651 | 3,581,825 |
| American Electric Power Co., Inc. | | 136,470 | 11,564,468 |
| Constellation Energy Corp. | | 86,002 | 8,312,093 |
| Duke Energy Corp. | | 203,754 | 19,075,449 |
| Edison International | | 101,529 | 7,306,027 |
| Entergy Corp. | | 56,055 | 5,756,849 |
| Evergy, Inc. | | 60,893 | 3,651,753 |
| Eversource Energy | | 92,479 | 6,689,006 |
| Exelon Corp. | | 263,057 | 11,011,566 |
| FirstEnergy Corp. | | 144,268 | 5,682,717 |
| NextEra Energy, Inc. | | 535,811 | 39,274,946 |
| NRG Energy, Inc. | | 61,025 | 2,318,340 |
| PG&E Corp. (a) | | 428,556 | 7,546,871 |
| Pinnacle West Capital Corp. | | 30,025 | 2,486,671 |
| PPL Corp. | | 195,401 | 5,379,390 |
| Southern Co. | | 288,605 | 20,877,686 |
| Xcel Energy, Inc. | | 145,898 | 9,152,182 |
| | | | 169,667,839 |
| Gas Utilities - 0.0% | | | |
| Atmos Energy Corp. | | 38,302 | 4,661,736 |
| Independent Power and Renewable Electricity Producers - 0.0% | | | |
| The AES Corp. | | 177,451 | 3,838,265 |
| Multi-Utilities - 0.7% | | | |
| Ameren Corp. | | 69,619 | 5,964,260 |
| CenterPoint Energy, Inc. | | 167,288 | 5,033,696 |
| CMS Energy Corp. | | 77,320 | 4,721,932 |
| Consolidated Edison, Inc. | | 91,867 | 8,714,504 |
| Dominion Energy, Inc. | | 221,082 | 11,838,941 |
| DTE Energy Co. | | 54,640 | 6,245,352 |
| NiSource, Inc. | | 109,514 | 3,048,870 |
| Public Service Enterprise Group, Inc. | | 132,276 | 8,349,261 |
| Sempra Energy | | 83,197 | 12,398,017 |
| WEC Energy Group, Inc. | | 83,622 | 7,514,273 |
| | | | 73,829,106 |
| Water Utilities - 0.1% | | | |
| American Water Works Co., Inc. | | 51,600 | 7,607,388 |
TOTAL UTILITIES | | | 259,604,334 |
| TOTAL COMMON STOCKS (Cost $4,571,055,467) | | | 10,150,159,059 |
| | | | |
| U.S. Treasury Obligations - 0.0% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.18% 9/7/23 (d) (Cost $795,782) | | 800,000 | 795,672 |
| | | | |
| Money Market Funds - 0.2% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.32% (e) | | 5,680,127 | 5,681,263 |
| Fidelity Securities Lending Cash Central Fund 5.32% (e)(f) | | 11,222,252 | 11,223,374 |
| TOTAL MONEY MARKET FUNDS (Cost $16,904,637) | | | 16,904,637 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $4,588,755,886) | 10,167,859,368 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 2,383,198 |
| NET ASSETS - 100.0% | 10,170,242,566 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P 500 Index Contracts (United States) | 87 | Sep 2023 | 20,073,075 | 777,829 | 777,829 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 0.2% |
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (d) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $795,672. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.32% | 23,327,967 | 3,826,141,621 | 3,843,788,325 | 1,341,665 | - | - | 5,681,263 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.32% | 25,099,899 | 204,155,581 | 218,032,106 | 69,458 | - | - | 11,223,374 | 0.0% |
| Total | 48,427,866 | 4,030,297,202 | 4,061,820,431 | 1,411,123 | - | - | 16,904,637 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 881,910,188 | 881,910,188 | - | - |
Consumer Discretionary | 1,073,566,076 | 1,073,566,076 | - | - |
Consumer Staples | 669,380,968 | 669,380,968 | - | - |
Energy | 434,142,054 | 434,142,054 | - | - |
Financials | 1,279,747,648 | 1,279,747,648 | - | - |
Health Care | 1,331,325,062 | 1,331,325,062 | - | - |
Industrials | 859,790,310 | 859,790,310 | - | - |
Information Technology | 2,855,107,639 | 2,855,107,639 | - | - |
Materials | 254,258,137 | 254,258,137 | - | - |
Real Estate | 251,326,643 | 251,326,643 | - | - |
Utilities | 259,604,334 | 259,604,334 | - | - |
|
| U.S. Government and Government Agency Obligations | 795,672 | - | 795,672 | - |
|
| Money Market Funds | 16,904,637 | 16,904,637 | - | - |
| Total Investments in Securities: | 10,167,859,368 | 10,167,063,696 | 795,672 | - |
Derivative Instruments: | | | | |
|
| Assets | | | | |
Futures Contracts | 777,829 | 777,829 | - | - |
| Total Assets | 777,829 | 777,829 | - | - |
| Total Derivative Instruments: | 777,829 | 777,829 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Futures Contracts (a) | 777,829 | 0 |
| Total Equity Risk | 777,829 | 0 |
| Total Value of Derivatives | 777,829 | 0 |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
| Statement of Assets and Liabilities |
| | | | July 31, 2023 |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $11,122,586) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $4,571,851,249) | $ | 10,150,954,731 | | |
Fidelity Central Funds (cost $16,904,637) | | 16,904,637 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $4,588,755,886) | | | $ | 10,167,859,368 |
| Receivable for investments sold | | | | 10,014,821 |
| Receivable for fund shares sold | | | | 1,036,651 |
| Dividends receivable | | | | 7,383,694 |
| Distributions receivable from Fidelity Central Funds | | | | 119,713 |
| Receivable for daily variation margin on futures contracts | | | | 25,412 |
| Prepaid expenses | | | | 7,065 |
| Receivable from investment adviser for expense reductions | | | | 23,677 |
| Other receivables | | | | 33,365 |
Total assets | | | | 10,186,503,766 |
| Liabilities | | | | |
| Payable to custodian bank | $ | 65,787 | | |
| Payable for fund shares redeemed | | 4,713,253 | | |
| Accrued management fee | | 125,111 | | |
| Other payables and accrued expenses | | 103,499 | | |
| Collateral on securities loaned | | 11,253,550 | | |
| Total Liabilities | | | | 16,261,200 |
| Net Assets | | | $ | 10,170,242,566 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 4,033,528,148 |
| Total accumulated earnings (loss) | | | | 6,136,714,418 |
| Net Assets | | | $ | 10,170,242,566 |
Net Asset Value, offering price and redemption price per share ($10,170,242,566 ÷ 501,677,050 shares) | | | $ | 20.27 |
| Statement of Operations |
| | | | Year ended July 31, 2023 |
| Investment Income | | | | |
| Dividends | | | $ | 177,620,149 |
| Interest | | | | 56,898 |
| Income from Fidelity Central Funds (including $69,458 from security lending) | | | | 1,411,123 |
| Total Income | | | | 179,088,170 |
| Expenses | | | | |
| Management fee | $ | 1,592,488 | | |
| Custodian fees and expenses | | 193,521 | | |
| Independent trustees' fees and expenses | | 38,762 | | |
| Registration fees | | 45,324 | | |
| Audit | | 54,511 | | |
| Legal | | 20,081 | | |
| Interest | | 1,326,380 | | |
| Miscellaneous | | 64,657 | | |
| Total expenses before reductions | | 3,335,724 | | |
| Expense reductions | | (379,051) | | |
| Total expenses after reductions | | | | 2,956,673 |
| Net Investment income (loss) | | | | 176,131,497 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 1,098,569,732 | | |
| Futures contracts | | 1,056,442 | | |
| Total net realized gain (loss) | | | | 1,099,626,174 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (125,404,783) | | |
| Futures contracts | | 352,599 | | |
| Total change in net unrealized appreciation (depreciation) | | | | (125,052,184) |
| Net gain (loss) | | | | 974,573,990 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 1,150,705,487 |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2023 | | Year ended July 31, 2022 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 176,131,497 | $ | 200,594,435 |
| Net realized gain (loss) | | 1,099,626,174 | | 932,932,604 |
| Change in net unrealized appreciation (depreciation) | | (125,052,184) | | (1,488,595,269) |
| Net increase (decrease) in net assets resulting from operations | | 1,150,705,487 | | (355,068,230) |
| Distributions to shareholders | | (1,089,852,286) | | (1,599,790,076) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 10,289,960,268 | | 12,169,424,091 |
| Reinvestment of distributions | | 1,074,867,889 | | 1,583,014,796 |
| Cost of shares redeemed | | (13,382,025,198) | | (13,638,764,397) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (2,017,197,041) | | 113,674,490 |
| Total increase (decrease) in net assets | | (1,956,343,840) | | (1,841,183,816) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 12,126,586,406 | | 13,967,770,222 |
| End of period | $ | 10,170,242,566 | $ | 12,126,586,406 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 566,651,200 | | 573,830,765 |
| Issued in reinvestment of distributions | | 59,907,420 | | 74,073,945 |
| Redeemed | | (735,080,816) | | (640,807,880) |
| Net increase (decrease) | | (108,522,196) | | 7,096,830 |
| | | | | |
| Fidelity® SAI U.S. Large Cap Index Fund |
| |
| Years ended July 31, | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 19.87 | $ | 23.16 | $ | 17.68 | $ | 16.09 | $ | 15.21 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .30 | | .30 | | .31 | | .32 | | .30 |
| Net realized and unrealized gain (loss) | | 1.99 | | (1.23) | | 5.94 | | 1.56 | | .87 |
| Total from investment operations | | 2.29 | | (.93) | | 6.25 | | 1.88 | | 1.17 |
| Distributions from net investment income | | (.33) | | (.34) | | (.35) | | (.29) | | (.28) |
| Distributions from net realized gain | | (1.56) | | (2.02) | | (.42) | | - | | (.01) |
| Total distributions | | (1.89) | | (2.36) | | (.77) | | (.29) | | (.29) |
| Net asset value, end of period | $ | 20.27 | $ | 19.87 | $ | 23.16 | $ | 17.68 | $ | 16.09 |
Total Return C | | 12.98% | | (4.68)% | | 36.43% | | 11.84% | | 7.97% |
Ratios to Average Net Assets B,D,E | | | | | | | | | | |
| Expenses before reductions | | .03% | | .02% | | .02% | | .02% | | .09% |
| Expenses net of fee waivers, if any | | .03% | | .02% | | .02% | | .02% | | .02% |
| Expenses net of all reductions | | .03% | | .02% | | .02% | | .02% | | .02% |
| Net investment income (loss) | | 1.66% | | 1.43% | | 1.52% | | 1.97% | | 2.00% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 10,170,243 | $ | 12,126,586 | $ | 13,967,770 | $ | 15,406,444 | $ | 14,046,976 |
Portfolio turnover rate F | | 75% | | 75% | | 86% | | 80% | | 41% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
FAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended July 31, 2023
1. Organization.
Fidelity SAI U.S. Large Cap Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities 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. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2023 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $5,634,656,634 |
| Gross unrealized depreciation | (143,388,002) |
| Net unrealized appreciation (depreciation) | $5,491,268,632 |
| Tax Cost | $4,676,590,736 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $94,824,328 |
| Undistributed long-term capital gain | $550,621,459 |
| Net unrealized appreciation (depreciation) on securities and other investments | $5,491,268,632 |
The tax character of distributions paid was as follows:
| | July 31, 2023 | July 31, 2022 |
| Ordinary Income | $189,184,878 | $233,107,467 |
| Long-term Capital Gains | 900,667,408 | 1,366,682,609 |
| Total | $1,089,852,286 | $1,599,790,076 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI U.S. Large Cap Index Fund | 7,988,836,810 | 10,894,811,849 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .015% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Fidelity SAI U.S. Large Cap Index Fund | Borrower | $ 99,687,745 | 4.31% | $ 1,313,807 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Fidelity SAI U.S. Large Cap Index Fund | $25,207 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End |
| Fidelity SAI U.S. Large Cap Index Fund | $6,965 | $- | $- |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
| | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Fidelity SAI U.S. Large Cap Index Fund | $126,436,000 | 3.58% | $12,573 |
10. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .015% of average net assets. This reimbursement will remain in place through November 30, 2024. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $378,450.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $601.
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
12. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Salem Street Trust and the Shareholders of Fidelity SAI U.S. Large Cap Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Large Cap Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2023, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2023, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 12, 2023
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 313 funds. Mr. Chiel oversees 191 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's alternative investment, high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Jonathan Chiel (1957)
Year of Election or Appointment: 2016
Trustee
Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney's Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and an international banker at Chemical Bank NA (now JPMorgan Chase & Co.). Ms. McAuliffe also currently serves as director or trustee of several not-for-profit entities.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as a member of the Board, Chair of Nomination Committee and a member of the Corporate Governance Committee of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as President of First to Four LLC (leadership and mentoring services, 2012-2022), a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). General Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of the Noble Reach Foundation (formerly Logistics Management Institute) (consulting non-profit, 2012-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). Previously, General Dunwoody served as a member of the Board of Florida Institute of Technology (2015-2022) and a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-2021). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Previously, Mr. Engler served as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-2022), a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Laura M. Bishop (1961)
Year of Election or Appointment: 2022
Member of the Advisory Board
Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations, including as a Trustee and member of the Executive Committee of the Baltimore Council on Foreign Affairs, a member of the Board of Directors of the St. Vincent de Paul Society of Baltimore and a member of the Life Guard Society of Mt. Vernon.
Carol J. Zierhoffer (1960)
Year of Election or Appointment: 2023
Member of the Advisory Board
Ms. Zierhoffer also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Zierhoffer held a variety of positions at Bechtel Corporation (engineering company, 2013-2019), including Principal Vice President and Chief Information Officer (2013-2016) and Senior Vice President and Chief Information Officer (2016-2019). Ms. Zierhoffer currently serves as a member of the Board of Directors, Audit Committee and Compensation Committee of Allscripts Healthcare Solutions, Inc. (healthcare technology, 2020-present) and as a member of the Board of Directors, Audit and Finance Committee and Nominating and Governance Committee of Atlas Air Worldwide Holdings, Inc. (aviation operating services, 2021-present). Previously, Ms. Zierhoffer served as a member of the Board of Directors and Audit Committee and as the founding Chair of the Information Technology Committee of MedAssets, Inc. (healthcare technology, 2013-2016).
Heather Bonner (1977)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Secretary and Chief Legal Officer (CLO)
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Robin Foley (1964)
Year of Election or Appointment: 2023
Vice President
Ms. Foley also serves as Vice President of other funds. Ms. Foley serves as Head of Fidelity's Fixed Income division (2023-present) and is an employee of Fidelity Investments. Previously, Ms. Foley served as Chief Investment Officer of Bonds (2017-2023).
Christopher M. Gouveia (1973)
Year of Election or Appointment: 2023
Chief Compliance Officer
Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value February 1, 2023 | | Ending Account Value July 31, 2023 | | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 |
| | | | | | | | | | |
| Fidelity® SAI U.S. Large Cap Index Fund | | | | .03% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,134.90 | | $ .16 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.65 | | $ .15 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2023, $1,020,043,085, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates $1,013,568 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.
The fund designates 92% and 91% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 95.89% and 93.27% of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 1.75% and 5.58% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
1.9870993.107
SV9-ANN-0923
Fidelity® SAI Real Estate Index Fund
Annual Report
July 31, 2023
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns |
| | | | |
Periods ended July 31, 2023 | Past 1 year | Past 5 years | Life of Fund A |
| Fidelity® SAI Real Estate Index Fund | -9.67% | 2.37% | 3.98% |
A From February 2, 2016
| $10,000 Over Life of Fund |
| |
Let's say hypothetically that $10,000 was invested in Fidelity® SAI Real Estate Index Fund on February 2, 2016, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the MSCI US IMI Real Estate 25/25 Index and Fidelity Real Estate Linked Index performed over the same period. |
|
|
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the fund returned -9.67%, versus -9.66% for the benchmark MSCI US IMI Real Estate 25/25 Index. By industry, telecom tower REITs returned approximately -30% and detracted most, followed by office REITs, which returned roughly -24%. Exposure to multi-family residential REITs returned -12% and further weighed on performance. Self-storage REITs (-12%) also hurt. The health care REITs (-7%) and broadline retail (-22%) industries hampered the fund's result as well. Other notable detractors included single-family residential REITs (-6%) and diversified REITs (-13%). Holdings in real estate operating companies (-28%), real estate services (0%), timber REITs (+0%) and hotel & resort REITs (0%) also hurt. In contrast, data center REITs gained approximately 12% and contributed most. Stakes in retail REITs stocks also helped, gaining 2%. The industrial REITs industry rose 0% and was another plus. Other notable contributors included the real estate development (+29%), diversified real estate activities (+39%) and other specialized REITs (+1%) categories. Turning to individual stocks, the biggest detractor was American Tower (-26%), from the telecom tower REITs industry. Exposure to Crown Castle (-36%) and SBA (-33%) also proved detrimental. Extra Space Storage (-21%), from the self-storage REITs industry, was another negative. Lastly, Realty Income (-13%,) a stock in the retail REITs group, further detracted. Conversely, the biggest individual contributor was Equinix (+19%), from the data center REITs segment. Simon Property Group (+23%), a stock in the retail REITs industry, lifted the fund as well. Iron Mountain (+31%), from the other specialized REITs category, also proved beneficial. Another notable contributor was Zillow (+59%), a stock in the real estate services segment. Lastly, among industrial REITs, Prologis returned roughly -1% and helped.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Top Holdings (% of Fund's net assets) |
| |
| Prologis (REIT), Inc. | 8.6 | |
| American Tower Corp. | 6.6 | |
| Equinix, Inc. | 5.7 | |
| Crown Castle International Corp. | 3.5 | |
| Public Storage | 3.3 | |
| Welltower, Inc. | 3.0 | |
| Simon Property Group, Inc. | 3.0 | |
| Realty Income Corp. | 3.0 | |
| Digital Realty Trust, Inc. | 2.7 | |
| CoStar Group, Inc. | 2.6 | |
| | 42.0 | |
| |
| Top REIT Sectors (% of Fund's net assets) |
| |
| REITs - Diversified | 21.8 | |
| REITs - Warehouse/Industrial | 11.7 | |
| REITs - Apartments | 11.0 | |
| REITs - Management/Investment | 10.0 | |
| REITs - Storage | 7.8 | |
| |
Asset Allocation (% of Fund's net assets) |
|
Futures - 0.3% |
|
Showing Percentage of Net Assets
| Common Stocks - 99.6% |
| | | Shares | Value ($) |
| Equity Real Estate Investment Trusts (REITs) - 91.9% | | | |
| REITs - Apartments - 11.0% | | | |
| American Homes 4 Rent Class A | | 20,217 | 757,733 |
| Apartment Investment & Management Co. Class A | | 8,143 | 67,831 |
| AvalonBay Communities, Inc. | | 8,707 | 1,642,576 |
| Camden Property Trust (SBI) | | 6,665 | 727,085 |
| Centerspace | | 967 | 60,080 |
| Equity Residential (SBI) | | 22,389 | 1,476,331 |
| Essex Property Trust, Inc. | | 4,013 | 977,366 |
| Independence Realty Trust, Inc. | | 14,144 | 241,014 |
| Invitation Homes, Inc. | | 38,089 | 1,352,160 |
| Mid-America Apartment Communities, Inc. | | 7,270 | 1,088,028 |
| UDR, Inc. | | 19,470 | 795,934 |
| | | | 9,186,138 |
| REITs - Diversified - 21.8% | | | |
| Alexander & Baldwin, Inc. | | 4,607 | 88,454 |
| Apartment Income (REIT) Corp. | | 9,295 | 321,049 |
| Apple Hospitality (REIT), Inc. | | 13,677 | 211,994 |
| Armada Hoffler Properties, Inc. | | 4,315 | 53,592 |
| Broadstone Net Lease, Inc. | | 11,778 | 191,981 |
| Cousins Properties, Inc. | | 9,514 | 232,427 |
| Crown Castle International Corp. | | 26,984 | 2,922,097 |
| Digital Realty Trust, Inc. | | 18,131 | 2,259,485 |
| Elme Communities (SBI) | | 5,404 | 87,815 |
| EPR Properties | | 4,709 | 210,210 |
| Equinix, Inc. | | 5,816 | 4,710,495 |
| Gaming & Leisure Properties | | 16,305 | 773,835 |
| Gladstone Commercial Corp. | | 2,737 | 36,402 |
| Gladstone Land Corp. | | 2,160 | 36,158 |
| Global Net Lease, Inc. | | 6,649 | 71,078 |
| InvenTrust Properties Corp. | | 4,177 | 101,668 |
| Lamar Advertising Co. Class A | | 5,449 | 537,816 |
| Necessity Retail (REIT), Inc./The | | 8,655 | 61,451 |
| NexPoint Diversified Real Estate Trust | | 2,105 | 24,607 |
| NexPoint Residential Trust, Inc. | | 1,425 | 59,223 |
| One Liberty Properties, Inc. | | 1,166 | 23,821 |
| Outfront Media, Inc. | | 9,391 | 145,185 |
| Potlatch Corp. | | 4,983 | 267,238 |
| SBA Communications Corp. Class A | | 6,738 | 1,475,285 |
| Uniti Group, Inc. | | 15,167 | 84,632 |
| VICI Properties, Inc. | | 62,565 | 1,969,546 |
| Vornado Realty Trust | | 10,208 | 229,476 |
| WP Carey, Inc. | | 13,320 | 899,500 |
| | | | 18,086,520 |
| REITs - Health Care - 7.3% | | | |
| CareTrust (REIT), Inc. | | 6,210 | 129,106 |
| Community Healthcare Trust, Inc. | | 1,581 | 55,714 |
| Diversified Healthcare Trust (SBI) | | 15,511 | 32,418 |
| Global Medical REIT, Inc. | | 4,271 | 42,283 |
| Healthcare Trust of America, Inc. | | 23,625 | 461,396 |
| Healthpeak Properties, Inc. | | 34,025 | 742,766 |
| LTC Properties, Inc. | | 2,564 | 86,048 |
| Medical Properties Trust, Inc. (a) | | 37,338 | 376,740 |
| Physicians Realty Trust | | 14,918 | 219,891 |
| Sabra Health Care REIT, Inc. | | 14,445 | 187,641 |
| Universal Health Realty Income Trust (SBI) | | 843 | 40,236 |
| Ventas, Inc. | | 24,826 | 1,204,558 |
| Welltower, Inc. | | 30,839 | 2,533,424 |
| | | | 6,112,221 |
| REITs - Health Care Facilities - 0.7% | | | |
| National Health Investors, Inc. | | 2,703 | 148,422 |
| Omega Healthcare Investors, Inc. | | 14,594 | 465,549 |
| | | | 613,971 |
| REITs - Hotels - 2.4% | | | |
| Chatham Lodging Trust | | 3,095 | 29,712 |
| DiamondRock Hospitality Co. (a) | | 13,187 | 112,090 |
| Host Hotels & Resorts, Inc. | | 44,410 | 817,144 |
| Park Hotels & Resorts, Inc. | | 13,878 | 189,157 |
| Pebblebrook Hotel Trust (a) | | 7,771 | 120,062 |
| RLJ Lodging Trust | | 10,009 | 103,093 |
| Ryman Hospitality Properties, Inc. | | 3,257 | 310,360 |
| Service Properties Trust | | 10,249 | 87,014 |
| Summit Hotel Properties, Inc. | | 6,888 | 44,359 |
| Sunstone Hotel Investors, Inc. | | 12,355 | 125,897 |
| Xenia Hotels & Resorts, Inc. | | 6,955 | 88,329 |
| | | | 2,027,217 |
| REITs - Industrial Buildings - 0.5% | | | |
| Stag Industrial, Inc. | | 11,222 | 407,359 |
| REITs - Management/Investment - 10.0% | | | |
| American Assets Trust, Inc. | | 3,294 | 74,115 |
| American Tower Corp. | | 28,976 | 5,514,423 |
| Empire State Realty Trust, Inc. (a) | | 8,514 | 76,200 |
| LXP Industrial Trust (REIT) | | 18,109 | 182,358 |
| NNN (REIT), Inc. | | 11,288 | 481,772 |
| Rayonier, Inc. | | 8,688 | 287,747 |
| Safehold, Inc. (a) | | 2,347 | 58,041 |
| UMH Properties, Inc. | | 3,621 | 60,290 |
| Weyerhaeuser Co. | | 45,617 | 1,553,715 |
| | | | 8,288,661 |
| REITs - Manufactured Homes - 2.2% | | | |
| Equity Lifestyle Properties, Inc. | | 10,984 | 781,841 |
| Sun Communities, Inc. | | 7,749 | 1,009,695 |
| | | | 1,791,536 |
| REITs - Office Buildings - 0.0% | | | |
| Office Properties Income Trust | | 3,288 | 25,318 |
| REITs - Office Property - 4.2% | | | |
| Alexandria Real Estate Equities, Inc. | | 10,237 | 1,286,586 |
| Boston Properties, Inc. | | 9,294 | 619,259 |
| Brandywine Realty Trust (SBI) | | 11,229 | 56,706 |
| City Office REIT, Inc. | | 2,849 | 15,584 |
| Corporate Office Properties Trust (SBI) | | 7,007 | 182,182 |
| Douglas Emmett, Inc. | | 11,062 | 162,611 |
| Easterly Government Properties, Inc. | | 5,889 | 86,922 |
| Equity Commonwealth | | 6,622 | 129,725 |
| Franklin Street Properties Corp. | | 6,128 | 10,295 |
| Highwoods Properties, Inc. (SBI) | | 6,668 | 168,500 |
| Hudson Pacific Properties, Inc. | | 8,455 | 49,631 |
| JBG SMITH Properties | | 6,799 | 113,747 |
| Kilroy Realty Corp. | | 6,982 | 249,257 |
| Orion Office (REIT), Inc. | | 3,638 | 23,647 |
| Paramount Group, Inc. (a) | | 10,415 | 54,575 |
| Piedmont Office Realty Trust, Inc. Class A | | 8,000 | 59,520 |
| SL Green Realty Corp. (a) | | 4,032 | 152,047 |
| Veris Residential, Inc. | | 4,437 | 82,883 |
| | | | 3,503,677 |
| REITs - Regional Malls - 3.5% | | | |
| CBL & Associates Properties, Inc. | | 665 | 14,477 |
| Simon Property Group, Inc. | | 20,310 | 2,530,626 |
| Tanger Factory Outlet Centers, Inc. | | 6,603 | 154,576 |
| The Macerich Co. | | 13,424 | 171,156 |
| | | | 2,870,835 |
| REITs - Shopping Centers - 7.3% | | | |
| Acadia Realty Trust (SBI) | | 5,930 | 93,160 |
| Alexanders, Inc. | | 147 | 28,425 |
| Brixmor Property Group, Inc. | | 18,749 | 426,352 |
| Federal Realty Investment Trust (SBI) | | 4,576 | 464,556 |
| Kimco Realty Corp. | | 38,657 | 783,191 |
| Kite Realty Group Trust (a) | | 13,747 | 314,531 |
| Phillips Edison & Co., Inc. | | 7,396 | 261,153 |
| Realty Income Corp. | | 41,105 | 2,506,172 |
| Regency Centers Corp. | | 9,600 | 629,088 |
| Retail Opportunity Investments Corp. | | 7,855 | 115,704 |
| RPT Realty | | 5,481 | 59,578 |
| Saul Centers, Inc. | | 843 | 32,498 |
| SITE Centers Corp. | | 11,840 | 166,352 |
| Urban Edge Properties | | 7,267 | 123,612 |
| Urstadt Biddle Properties, Inc. Class A | | 1,856 | 42,094 |
| | | | 6,046,466 |
| REITs - Single Tenant - 1.5% | | | |
| Agree Realty Corp. | | 5,631 | 364,776 |
| Essential Properties Realty Trust, Inc. | | 9,377 | 230,205 |
| Four Corners Property Trust, Inc. | | 5,336 | 140,337 |
| Getty Realty Corp. | | 2,771 | 89,559 |
| NETSTREIT Corp. | | 3,866 | 69,163 |
| Spirit Realty Capital, Inc. | | 8,840 | 356,517 |
| | | | 1,250,557 |
| REITs - Storage - 7.8% | | | |
| CubeSmart | | 14,057 | 609,512 |
| Extra Space Storage, Inc. | | 13,147 | 1,834,927 |
| Iron Mountain, Inc. | | 18,099 | 1,111,279 |
| National Storage Affiliates Trust | | 5,307 | 179,324 |
| Public Storage | | 9,844 | 2,773,547 |
| | | | 6,508,589 |
| REITs - Warehouse/Industrial - 11.7% | | | |
| Americold Realty Trust | | 16,776 | 543,878 |
| EastGroup Properties, Inc. | | 2,761 | 489,194 |
| First Industrial Realty Trust, Inc. | | 8,247 | 426,370 |
| Industrial Logistics Properties Trust | | 4,102 | 17,392 |
| Plymouth Industrial REIT, Inc. | | 2,479 | 56,447 |
| Prologis (REIT), Inc. | | 57,455 | 7,167,509 |
| Rexford Industrial Realty, Inc. | | 12,561 | 691,985 |
| Terreno Realty Corp. | | 5,193 | 308,153 |
| | | | 9,700,928 |
TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | | | 76,419,993 |
| Real Estate Management & Development - 7.7% | | | |
| Diversified Real Estate Activities - 0.2% | | | |
| The RMR Group, Inc. | | 1,006 | 23,721 |
| The St. Joe Co. | | 2,187 | 138,831 |
| | | | 162,552 |
| Real Estate Development - 0.3% | | | |
| Forestar Group, Inc. (b) | | 1,234 | 36,378 |
| Howard Hughes Corp. (b) | | 2,154 | 181,862 |
| | | | 218,240 |
| Real Estate Operating Companies - 0.3% | | | |
| Digitalbridge Group, Inc. (a) | | 10,069 | 161,305 |
| Kennedy-Wilson Holdings, Inc. (a) | | 5,931 | 97,862 |
| WeWork, Inc. (b) | | 13,221 | 2,862 |
| | | | 262,029 |
| Real Estate Services - 6.9% | | | |
| Anywhere Real Estate, Inc. (b) | | 6,320 | 52,962 |
| CBRE Group, Inc. (b) | | 19,322 | 1,609,716 |
| Compass, Inc. (b) | | 17,883 | 74,930 |
| CoStar Group, Inc. (b) | | 25,301 | 2,124,525 |
| Cushman & Wakefield PLC (b) | | 9,971 | 98,015 |
| Doma Holdings, Inc. Class A (a)(b) | | 321 | 2,655 |
| Douglas Elliman, Inc. | | 5,058 | 11,178 |
| eXp World Holdings, Inc. | | 4,689 | 116,944 |
| Jones Lang LaSalle, Inc. (b) | | 2,959 | 492,821 |
| Marcus & Millichap, Inc. | | 1,581 | 57,991 |
| Newmark Group, Inc. | | 9,279 | 64,211 |
| Offerpad Solutions, Inc. (a)(b) | | 436 | 5,162 |
| Opendoor Technologies, Inc. (a)(b) | | 32,034 | 163,694 |
| RE/MAX Holdings, Inc. | | 1,116 | 21,996 |
| Redfin Corp. (a)(b) | | 6,847 | 102,568 |
| Zillow Group, Inc.: | | | |
| Class A (b) | | 205 | 10,910 |
| Class C (b) | | 12,821 | 694,385 |
| | | | 5,704,663 |
| REITs - Shopping Centers - 0.0% | | | |
| Seritage Growth Properties (a)(b) | | 2,315 | 21,738 |
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT | | | 6,369,222 |
| TOTAL COMMON STOCKS (Cost $72,196,411) | | | 82,789,215 |
| | | | |
| U.S. Treasury Obligations - 0.1% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.18% 9/7/23 (d) (Cost $99,473) | | 100,000 | 99,459 |
| | | | |
| Money Market Funds - 1.2% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.32% (e) | | 196,120 | 196,160 |
| Fidelity Securities Lending Cash Central Fund 5.32% (e)(f) | | 834,474 | 834,557 |
| TOTAL MONEY MARKET FUNDS (Cost $1,030,717) | | | 1,030,717 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.9% (Cost $73,326,601) | 83,919,391 |
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (789,153) |
| NET ASSETS - 100.0% | 83,130,238 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CBOT Dow Jones U.S. Real Estate Index Contracts (United States) | 1 | Sep 2023 | 34,090 | 1,997 | 1,997 |
| CME E-mini S&P MidCap 400 Index Contracts (United States) | 1 | Sep 2023 | 274,340 | 17,580 | 17,580 |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | 19,577 |
| The notional amount of futures purchased as a percentage of Net Assets is 0.3% |
Legend
| (a) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (d) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $39,784. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.32% | 1,155,031 | 6,120,803 | 7,079,674 | 13,204 | - | - | 196,160 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.32% | 3,415,032 | 13,799,776 | 16,380,251 | 7,513 | - | - | 834,557 | 0.0% |
| Total | 4,570,063 | 19,920,579 | 23,459,925 | 20,717 | - | - | 1,030,717 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Common Stocks | 82,789,215 | 82,789,215 | - | - |
|
| U.S. Treasury Obligations | 99,459 | - | 99,459 | - |
|
| Money Market Funds | 1,030,717 | 1,030,717 | - | - |
| Total Investments in Securities: | 83,919,391 | 83,819,932 | 99,459 | - |
Derivative Instruments: | | | | |
|
| Assets | | | | |
Futures Contracts | 19,577 | 19,577 | - | - |
| Total Assets | 19,577 | 19,577 | - | - |
| Total Derivative Instruments: | 19,577 | 19,577 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Futures Contracts (a) | 19,577 | 0 |
| Total Equity Risk | 19,577 | 0 |
| Total Value of Derivatives | 19,577 | 0 |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
| Statement of Assets and Liabilities |
| | | | July 31, 2023 |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $819,899) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $72,295,884) | $ | 82,888,674 | | |
Fidelity Central Funds (cost $1,030,717) | | 1,030,717 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $73,326,601) | | | $ | 83,919,391 |
| Cash | | | | 31,707 |
| Dividends receivable | | | | 41,222 |
| Distributions receivable from Fidelity Central Funds | | | | 1,663 |
| Receivable for daily variation margin on futures contracts | | | | 1,360 |
| Prepaid expenses | | | | 6 |
| Receivable from investment adviser for expense reductions | | | | 4,890 |
| Other receivables | | | | 13,209 |
Total assets | | | | 84,013,448 |
| Liabilities | | | | |
| Accrued management fee | $ | 4,855 | | |
| Other payables and accrued expenses | | 43,380 | | |
| Collateral on securities loaned | | 834,975 | | |
| Total Liabilities | | | | 883,210 |
| Net Assets | | | $ | 83,130,238 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 83,148,708 |
| Total accumulated earnings (loss) | | | | (18,470) |
| Net Assets | | | $ | 83,130,238 |
Net Asset Value, offering price and redemption price per share ($83,130,238 ÷ 11,662,245 shares) | | | $ | 7.13 |
| Statement of Operations |
| | | | Year ended July 31, 2023 |
| Investment Income | | | | |
| Dividends | | | $ | 3,580,984 |
| Interest | | | | 3,101 |
| Income from Fidelity Central Funds (including $7,513 from security lending) | | | | 20,717 |
| Total Income | | | | 3,604,802 |
| Expenses | | | | |
| Management fee | $ | 77,909 | | |
| Custodian fees and expenses | | 7,427 | | |
| Independent trustees' fees and expenses | | 553 | | |
| Registration fees | | 24,203 | | |
| Audit | | 53,022 | | |
| Legal | | 539 | | |
| Interest | | 19,640 | | |
| Miscellaneous | | 1,693 | | |
| Total expenses before reductions | | 184,986 | | |
| Expense reductions | | (86,107) | | |
| Total expenses after reductions | | | | 98,879 |
| Net Investment income (loss) | | | | 3,505,923 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 36,854,066 | | |
| Futures contracts | | (10,690) | | |
| Total net realized gain (loss) | | | | 36,843,376 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (77,360,015) | | |
| Futures contracts | | (134,479) | | |
| Total change in net unrealized appreciation (depreciation) | | | | (77,494,494) |
| Net gain (loss) | | | | (40,651,118) |
| Net increase (decrease) in net assets resulting from operations | | | $ | (37,145,195) |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2023 | | Year ended July 31, 2022 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 3,505,923 | $ | 14,994,478 |
| Net realized gain (loss) | | 36,843,376 | | 64,885,646 |
| Change in net unrealized appreciation (depreciation) | | (77,494,494) | | (111,893,551) |
| Net increase (decrease) in net assets resulting from operations | | (37,145,195) | | (32,013,427) |
| Distributions to shareholders | | (64,713,259) | | (38,757,231) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 1,407,824 | | 60,936,662 |
| Reinvestment of distributions | | 64,704,858 | | 38,748,944 |
| Cost of shares redeemed | | (287,910,648) | | (369,953,984) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (221,797,966) | | (270,268,378) |
| Total increase (decrease) in net assets | | (323,656,420) | | (341,039,036) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 406,786,658 | | 747,825,694 |
| End of period | $ | 83,130,238 | $ | 406,786,658 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 128,760 | | 4,808,281 |
| Issued in reinvestment of distributions | | 7,441,997 | | 2,912,448 |
| Redeemed | | (29,859,078) | | (30,563,748) |
| Net increase (decrease) | | (22,288,321) | | (22,843,019) |
| | | | | |
| Fidelity® SAI Real Estate Index Fund |
| |
| Years ended July 31, | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 11.98 | $ | 13.17 | $ | 9.67 | $ | 11.88 | $ | 11.11 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .26 | | .29 | | .28 | | .36 | | .37 |
| Net realized and unrealized gain (loss) | | (1.38) | | (.79) | | 3.48 | | (2.20) | | .79 |
| Total from investment operations | | (1.12) | | (.50) | | 3.76 | | (1.84) | | 1.16 |
| Distributions from net investment income | | (.34) | | (.21) | | (.26) | | (.30) | | (.37) |
| Distributions from net realized gain | | (3.39) | | (.48) | | - | | (.07) | | (.02) |
| Total distributions | | (3.73) | | (.69) | | (.26) | | (.37) | | (.39) |
| Net asset value, end of period | $ | 7.13 | $ | 11.98 | $ | 13.17 | $ | 9.67 | $ | 11.88 |
Total Return C | | (9.67)% | | (4.24)% | | 39.72% | | (16.04)% | | 10.79% |
Ratios to Average Net Assets B,D,E | | | | | | | | | | |
| Expenses before reductions | | .16% | | .09% | | .09% | | .16% | | .15% |
| Expenses net of fee waivers, if any | | .09% | | .07% | | .07% | | .07% | | .07% |
| Expenses net of all reductions | | .09% | | .07% | | .07% | | .07% | | .07% |
| Net investment income (loss) | | 3.10% | | 2.28% | | 2.58% | | 3.52% | | 3.31% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 83,130 | $ | 406,787 | $ | 747,826 | $ | 572,828 | $ | 104,696 |
Portfolio turnover rate F | | 8% | | 13% | | 53% | | 82% | | 9% |
ACalculated based on average shares outstanding during the period.
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
DFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
EExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
FAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended July 31, 2023
1. Organization.
Fidelity SAI Real Estate Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities 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. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2023 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), futures contracts, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $16,570,214 |
| Gross unrealized depreciation | (6,499,519) |
| Net unrealized appreciation (depreciation) | $10,070,695 |
| Tax Cost | $73,848,696 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed long-term capital gain | $2,019,932 |
| Net unrealized appreciation (depreciation) on securities and other investments | $10,070,695 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation is estimated as of fiscal period end and is subject to adjustment.
| | |
Short-term | $(749,549) |
Long-term | (11,418,962) |
| Total capital loss carryforward | $(12,168,511) |
Due to large redemptions and then subscriptions in a prior period, approximately $12,168,511 of the Fund's realized capital losses are subject to limitation. Due to this limitation, the Fund will only be permitted to use approximately $70,663 of those capital losses per year to offset capital gains.
The tax character of distributions paid was as follows:
| | July 31, 2023 | July 31, 2022 |
| Ordinary Income | $5,490,572 | $27,359,843 |
| Long-term Capital Gains | 59,222,687 | 11,397,388 |
| Total | $64,713,259 | $38,757,231 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI Real Estate Index Fund | 10,327,663 | 289,012,520 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .07% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Fidelity SAI Real Estate Index Fund | Borrower | $17,649,000 | 2.56% | $2,515 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Fidelity SAI Real Estate Index Fund | $495 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End |
| Fidelity SAI Real Estate Index Fund | $701 | $126 | $40,737 |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
| | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Fidelity SAI Real Estate Index Fund | $35,785,667 | 2.87% | $17,125 |
10. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .07% of average net assets. This reimbursement will remain in place through November 30, 2024. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $85,580.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $527.
11. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| Strategic Advisers Small-Mid Cap Fund |
| Fidelity SAI Real Estate Index Fund | 99% |
12. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI Real Estate Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI Real Estate Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 2023, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2023, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 13, 2023
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 313 funds. Mr. Chiel oversees 191 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's alternative investment, high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Jonathan Chiel (1957)
Year of Election or Appointment: 2016
Trustee
Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney's Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and an international banker at Chemical Bank NA (now JPMorgan Chase & Co.). Ms. McAuliffe also currently serves as director or trustee of several not-for-profit entities.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as a member of the Board, Chair of Nomination Committee and a member of the Corporate Governance Committee of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as President of First to Four LLC (leadership and mentoring services, 2012-2022), a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). General Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of the Noble Reach Foundation (formerly Logistics Management Institute) (consulting non-profit, 2012-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). Previously, General Dunwoody served as a member of the Board of Florida Institute of Technology (2015-2022) and a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-2021). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Previously, Mr. Engler served as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-2022), a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Laura M. Bishop (1961)
Year of Election or Appointment: 2022
Member of the Advisory Board
Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations, including as a Trustee and member of the Executive Committee of the Baltimore Council on Foreign Affairs, a member of the Board of Directors of the St. Vincent de Paul Society of Baltimore and a member of the Life Guard Society of Mt. Vernon.
Carol J. Zierhoffer (1960)
Year of Election or Appointment: 2023
Member of the Advisory Board
Ms. Zierhoffer also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Zierhoffer held a variety of positions at Bechtel Corporation (engineering company, 2013-2019), including Principal Vice President and Chief Information Officer (2013-2016) and Senior Vice President and Chief Information Officer (2016-2019). Ms. Zierhoffer currently serves as a member of the Board of Directors, Audit Committee and Compensation Committee of Allscripts Healthcare Solutions, Inc. (healthcare technology, 2020-present) and as a member of the Board of Directors, Audit and Finance Committee and Nominating and Governance Committee of Atlas Air Worldwide Holdings, Inc. (aviation operating services, 2021-present). Previously, Ms. Zierhoffer served as a member of the Board of Directors and Audit Committee and as the founding Chair of the Information Technology Committee of MedAssets, Inc. (healthcare technology, 2013-2016).
Heather Bonner (1977)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Secretary and Chief Legal Officer (CLO)
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Robin Foley (1964)
Year of Election or Appointment: 2023
Vice President
Ms. Foley also serves as Vice President of other funds. Ms. Foley serves as Head of Fidelity's Fixed Income division (2023-present) and is an employee of Fidelity Investments. Previously, Ms. Foley served as Chief Investment Officer of Bonds (2017-2023).
Christopher M. Gouveia (1973)
Year of Election or Appointment: 2023
Chief Compliance Officer
Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value February 1, 2023 | | Ending Account Value July 31, 2023 | | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 |
| | | | | | | | | | |
| Fidelity® SAI Real Estate Index Fund | | | | .07% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 957.00 | | $ .34 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.45 | | $ .35 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2023, $33,940,128, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 1% of the dividend distributed in September and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 0.87% and 0.79% of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 99.14% and 99.21% of the dividends distributed in September and December, respectively during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
1.9870987.107
SV8-ANN-0923
Fidelity® SAI U.S. Value Index Fund
Annual Report
July 31, 2023
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by Fidelity Product Services LLC (FPS), and FPS bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the relationship between FPS and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
| Average Annual Total Returns |
| | | | |
Periods ended July 31, 2023 | Past 1 year | Past 5 years | Life of Fund A |
| Fidelity® SAI U.S. Value Index Fund | 6.74% | 7.66% | 7.48% |
A From December 19, 2017
| $10,000 Over Life of Fund |
| |
Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Value Index Fund on December 19, 2017, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Fidelity U.S. Value Focus Index℠ and S&P 500® Index performed over the same period. |
|
|
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the fund gained 6.74%, roughly in line with the 6.96% result of the benchmark Fidelity U.S. Value Focus Index TR. By sector, energy gained approximately 14% and contributed most. Information technology stocks also helped, gaining 7%. The communication services sector also returned 3%. Conversely, health care returned about -11% and detracted most. Consumer staples (-5%) also hurt. Other detractors were the utilities (-18%) sector and the real estate (-22%) sector. Turning to individual stocks, the top contributor was Meta Platforms (+54%), from the media & entertainment category. Also in media & entertainment, Comcast (+23%) helped. Another notable contributor was Apple (+21%), a stock in the technology hardware & equipment industry. In contrast, the biggest individual detractor was Pfizer (-26%), from the pharmaceuticals, biotechnology & life sciences group. In telecommunication services, Verizon Communications (-22%) and AT&T (-18%) detracted.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Top Holdings (% of Fund's net assets) |
| |
| Exxon Mobil Corp. | 3.9 | |
| Apple, Inc. | 3.7 | |
| Bank of America Corp. | 3.5 | |
| Cisco Systems, Inc. | 3.4 | |
| Pfizer, Inc. | 3.2 | |
| Comcast Corp. Class A | 3.0 | |
| Microsoft Corp. | 3.0 | |
| Wells Fargo & Co. | 2.8 | |
| JPMorgan Chase & Co. | 2.7 | |
| Verizon Communications, Inc. | 2.3 | |
| | 31.5 | |
| |
| Market Sectors (% of Fund's net assets) |
| |
| Financials | 23.6 | |
| Information Technology | 17.0 | |
| Energy | 14.7 | |
| Health Care | 14.5 | |
| Communication Services | 9.3 | |
| Industrials | 6.2 | |
| Consumer Discretionary | 5.4 | |
| Materials | 4.9 | |
| Consumer Staples | 3.8 | |
| Utilities | 0.2 | |
| Real Estate | 0.1 | |
| |
Asset Allocation (% of Fund's net assets) |
|
Futures - 0.3% |
|
Showing Percentage of Net Assets
| Common Stocks - 99.7% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 9.3% | | | |
| Diversified Telecommunication Services - 4.1% | | | |
| AT&T, Inc. | | 449,094 | 6,520,845 |
| Liberty Global PLC Class A (a) | | 26,746 | 496,673 |
| Verizon Communications, Inc. | | 264,096 | 9,000,392 |
| | | | 16,017,910 |
| Entertainment - 0.5% | | | |
| Warner Bros Discovery, Inc. (a) | | 139,253 | 1,820,037 |
| Interactive Media & Services - 0.2% | | | |
| Alphabet, Inc. Class A (a) | | 7,329 | 972,705 |
| Media - 4.5% | | | |
| Charter Communications, Inc. Class A (a) | | 6,526 | 2,644,270 |
| Comcast Corp. Class A | | 261,290 | 11,825,985 |
| Fox Corp. Class A (b) | | 24,934 | 834,042 |
| Liberty Broadband Corp. Class C (a) | | 8,414 | 749,940 |
| News Corp. Class A | | 31,380 | 621,952 |
| Nexstar Broadcasting Group, Inc. Class A | | 2,252 | 420,493 |
| Paramount Global Class B (b) | | 32,517 | 521,248 |
| | | | 17,617,930 |
TOTAL COMMUNICATION SERVICES | | | 36,428,582 |
| CONSUMER DISCRETIONARY - 5.4% | | | |
| Automobile Components - 0.3% | | | |
| BorgWarner, Inc. | | 14,716 | 684,294 |
| Lear Corp. | | 3,703 | 573,076 |
| | | | 1,257,370 |
| Automobiles - 1.9% | | | |
| Ford Motor Co. | | 246,865 | 3,261,087 |
| General Motors Co. | | 87,324 | 3,350,622 |
| Harley-Davidson, Inc. | | 8,217 | 317,258 |
| Thor Industries, Inc. (b) | | 3,364 | 388,508 |
| | | | 7,317,475 |
| Broadline Retail - 0.1% | | | |
| Macy's, Inc. | | 17,163 | 284,734 |
| Hotels, Restaurants & Leisure - 0.3% | | | |
| Expedia, Inc. (a) | | 8,957 | 1,097,501 |
| Household Durables - 2.2% | | | |
| D.R. Horton, Inc. | | 19,498 | 2,476,636 |
| KB Home | | 5,042 | 272,117 |
| Lennar Corp. Class A | | 16,754 | 2,124,910 |
| Meritage Homes Corp. | | 2,313 | 344,521 |
| Mohawk Industries, Inc. (a) | | 3,314 | 352,411 |
| NVR, Inc. (a) | | 192 | 1,210,836 |
| PulteGroup, Inc. | | 14,024 | 1,183,485 |
| Taylor Morrison Home Corp. (a) | | 6,854 | 331,871 |
| Toll Brothers, Inc. | | 6,462 | 519,092 |
| | | | 8,815,879 |
| Leisure Products - 0.1% | | | |
| Brunswick Corp. | | 4,441 | 383,303 |
| Specialty Retail - 0.4% | | | |
| Academy Sports & Outdoors, Inc. | | 4,842 | 289,503 |
| Asbury Automotive Group, Inc. (a) | | 1,352 | 305,011 |
| AutoNation, Inc. (a) | | 1,977 | 318,257 |
| Williams-Sonoma, Inc. | | 4,123 | 571,613 |
| | | | 1,484,384 |
| Textiles, Apparel & Luxury Goods - 0.1% | | | |
| Capri Holdings Ltd. (a) | | 7,901 | 291,626 |
| PVH Corp. | | 3,943 | 353,451 |
| | | | 645,077 |
TOTAL CONSUMER DISCRETIONARY | | | 21,285,723 |
| CONSUMER STAPLES - 3.8% | | | |
| Beverages - 0.2% | | | |
| Molson Coors Beverage Co. Class B | | 11,786 | 822,309 |
| Consumer Staples Distribution & Retail - 0.8% | | | |
| Kroger Co. | | 41,028 | 1,995,602 |
| Walgreens Boots Alliance, Inc. | | 44,975 | 1,347,901 |
| | | | 3,343,503 |
| Food Products - 1.5% | | | |
| Archer Daniels Midland Co. | | 34,214 | 2,906,821 |
| The Kraft Heinz Co. | | 50,121 | 1,813,378 |
| Tyson Foods, Inc. Class A | | 17,945 | 999,895 |
| | | | 5,720,094 |
| Tobacco - 1.3% | | | |
| Altria Group, Inc. | | 112,144 | 5,093,580 |
TOTAL CONSUMER STAPLES | | | 14,979,486 |
| ENERGY - 14.7% | | | |
| Oil, Gas & Consumable Fuels - 14.7% | | | |
| Antero Resources Corp. (a) | | 17,355 | 464,246 |
| APA Corp. | | 19,383 | 784,818 |
| Cheniere Energy, Inc. | | 15,263 | 2,470,469 |
| Chesapeake Energy Corp. | | 6,736 | 568,114 |
| Chord Energy Corp. | | 2,615 | 410,137 |
| ConocoPhillips Co. | | 76,014 | 8,948,368 |
| Coterra Energy, Inc. | | 47,574 | 1,310,188 |
| Devon Energy Corp. | | 40,303 | 2,176,362 |
| Diamondback Energy, Inc. | | 11,374 | 1,675,618 |
| EOG Resources, Inc. | | 15,173 | 2,010,878 |
| EQT Corp. | | 22,716 | 958,161 |
| Exxon Mobil Corp. | | 143,838 | 15,425,181 |
| HF Sinclair Corp. | | 8,092 | 421,512 |
| Marathon Oil Corp. | | 38,789 | 1,018,987 |
| Marathon Petroleum Corp. | | 26,653 | 3,545,382 |
| Matador Resources Co. | | 7,109 | 395,474 |
| Murphy Oil Corp. | | 9,233 | 399,512 |
| Occidental Petroleum Corp. | | 45,135 | 2,849,373 |
| Ovintiv, Inc. (b) | | 15,357 | 707,804 |
| PBF Energy, Inc. Class A | | 6,890 | 326,862 |
| PDC Energy, Inc. | | 5,492 | 416,788 |
| Phillips 66 Co. | | 28,825 | 3,215,429 |
| Pioneer Natural Resources Co. | | 14,682 | 3,313,287 |
| Range Resources Corp. | | 15,186 | 477,296 |
| Southwestern Energy Co. (a) | | 69,039 | 447,373 |
| Valero Energy Corp. | | 22,710 | 2,927,546 |
| | | | 57,665,165 |
| FINANCIALS - 23.6% | | | |
| Banks - 16.5% | | | |
| Bank of America Corp. | | 435,537 | 13,937,184 |
| Bank OZK | | 6,767 | 295,921 |
| Citigroup, Inc. | | 122,293 | 5,828,484 |
| Citizens Financial Group, Inc. | | 30,393 | 980,478 |
| Comerica, Inc. | | 8,271 | 446,303 |
| Credicorp Ltd. (United States) | | 4,271 | 670,761 |
| East West Bancorp, Inc. | | 8,890 | 553,047 |
| Fifth Third Bancorp | | 42,753 | 1,244,112 |
| First Citizens Bancshares, Inc. | | 746 | 1,067,750 |
| First Horizon National Corp. | | 33,727 | 459,699 |
| FNB Corp., Pennsylvania | | 22,676 | 290,026 |
| Huntington Bancshares, Inc. | | 90,646 | 1,109,507 |
| JPMorgan Chase & Co. | | 67,929 | 10,730,065 |
| KeyCorp | | 58,838 | 724,296 |
| M&T Bank Corp. | | 10,419 | 1,457,201 |
| New York Community Bancorp, Inc. | | 45,430 | 630,114 |
| Old National Bancorp, Indiana | | 18,410 | 313,522 |
| Pinnacle Financial Partners, Inc. | | 4,818 | 365,686 |
| PNC Financial Services Group, Inc. | | 25,071 | 3,431,969 |
| Popular, Inc. | | 4,516 | 327,636 |
| Regions Financial Corp. | | 58,934 | 1,200,486 |
| Synovus Financial Corp. | | 9,201 | 311,914 |
| Truist Financial Corp. | | 83,663 | 2,779,285 |
| U.S. Bancorp | | 87,625 | 3,476,960 |
| Webster Financial Corp. | | 10,982 | 519,668 |
| Wells Fargo & Co. | | 235,713 | 10,880,512 |
| Western Alliance Bancorp. | | 6,888 | 357,832 |
| Zions Bancorp NA | | 9,298 | 355,649 |
| | | | 64,746,067 |
| Capital Markets - 3.1% | | | |
| Affiliated Managers Group, Inc. | | 2,269 | 314,574 |
| Bank of New York Mellon Corp. | | 45,112 | 2,046,280 |
| Goldman Sachs Group, Inc. | | 20,884 | 7,431,989 |
| Invesco Ltd. | | 28,771 | 483,353 |
| Jefferies Financial Group, Inc. | | 11,727 | 431,436 |
| State Street Corp. | | 20,996 | 1,520,950 |
| | | | 12,228,582 |
| Consumer Finance - 1.6% | | | |
| Ally Financial, Inc. | | 18,888 | 576,840 |
| Capital One Financial Corp. | | 23,982 | 2,806,374 |
| Discover Financial Services | | 15,951 | 1,683,628 |
| OneMain Holdings, Inc. | | 7,593 | 345,330 |
| Synchrony Financial | | 26,916 | 929,679 |
| | | | 6,341,851 |
| Financial Services - 0.4% | | | |
| Equitable Holdings, Inc. | | 20,797 | 596,666 |
| Essent Group Ltd. | | 6,727 | 333,659 |
| MGIC Investment Corp. | | 18,007 | 301,437 |
| Radian Group, Inc. | | 9,822 | 264,506 |
| | | | 1,496,268 |
| Insurance - 1.8% | | | |
| American International Group, Inc. | | 45,467 | 2,740,751 |
| MetLife, Inc. | | 40,411 | 2,544,681 |
| Principal Financial Group, Inc. | | 14,183 | 1,132,796 |
| Unum Group | | 11,639 | 565,772 |
| | | | 6,984,000 |
| Mortgage Real Estate Investment Trusts - 0.2% | | | |
| Rithm Capital Corp. | | 30,328 | 305,706 |
| Starwood Property Trust, Inc. (b) | | 19,594 | 406,380 |
| | | | 712,086 |
TOTAL FINANCIALS | | | 92,508,854 |
| HEALTH CARE - 14.5% | | | |
| Biotechnology - 1.7% | | | |
| Gilead Sciences, Inc. | | 78,354 | 5,965,874 |
| United Therapeutics Corp. (a) | | 2,943 | 714,325 |
| | | | 6,680,199 |
| Health Care Equipment & Supplies - 0.1% | | | |
| QuidelOrtho Corp. (a) | | 3,390 | 296,150 |
| Health Care Providers & Services - 6.7% | | | |
| Centene Corp. (a) | | 34,474 | 2,347,335 |
| Cigna Group | | 18,587 | 5,485,024 |
| CVS Health Corp. | | 80,536 | 6,015,234 |
| Elevance Health, Inc. | | 14,892 | 7,023,514 |
| Humana, Inc. | | 7,848 | 3,585,202 |
| Laboratory Corp. of America Holdings | | 5,566 | 1,190,734 |
| Universal Health Services, Inc. Class B | | 3,953 | 549,309 |
| | | | 26,196,352 |
| Pharmaceuticals - 6.0% | | | |
| Bristol-Myers Squibb Co. | | 131,981 | 8,207,898 |
| Elanco Animal Health, Inc. (a) | | 29,077 | 350,959 |
| Jazz Pharmaceuticals PLC (a) | | 4,022 | 524,549 |
| Organon & Co. | | 15,987 | 351,394 |
| Pfizer, Inc. | | 354,639 | 12,788,282 |
| Royalty Pharma PLC | | 23,660 | 742,451 |
| Viatris, Inc. | | 75,322 | 793,141 |
| | | | 23,758,674 |
TOTAL HEALTH CARE | | | 56,931,375 |
| INDUSTRIALS - 6.2% | | | |
| Air Freight & Logistics - 1.0% | | | |
| FedEx Corp. | | 14,527 | 3,921,564 |
| Building Products - 0.6% | | | |
| Builders FirstSource, Inc. (a) | | 8,052 | 1,162,950 |
| Owens Corning | | 5,661 | 792,483 |
| UFP Industries, Inc. | | 3,901 | 400,867 |
| | | | 2,356,300 |
| Electrical Equipment - 0.1% | | | |
| Atkore, Inc. (a) | | 2,445 | 387,948 |
| Ground Transportation - 0.2% | | | |
| Knight-Swift Transportation Holdings, Inc. Class A | | 10,100 | 613,575 |
| Ryder System, Inc. | | 2,922 | 298,482 |
| | | | 912,057 |
| Industrial Conglomerates - 1.0% | | | |
| 3M Co. | | 34,653 | 3,863,810 |
| Machinery - 1.0% | | | |
| AGCO Corp. | | 3,904 | 519,622 |
| Allison Transmission Holdings, Inc. | | 5,722 | 335,824 |
| Mueller Industries, Inc. | | 3,574 | 289,708 |
| PACCAR, Inc. | | 32,830 | 2,827,648 |
| | | | 3,972,802 |
| Passenger Airlines - 1.3% | | | |
| American Airlines Group, Inc. (a) | | 41,005 | 686,834 |
| Delta Air Lines, Inc. | | 40,373 | 1,867,655 |
| Southwest Airlines Co. | | 37,394 | 1,277,379 |
| United Airlines Holdings, Inc. (a) | | 20,601 | 1,118,840 |
| | | | 4,950,708 |
| Professional Services - 0.3% | | | |
| Manpower, Inc. | | 3,178 | 250,681 |
| SS&C Technologies Holdings, Inc. | | 13,613 | 792,957 |
| | | | 1,043,638 |
| Trading Companies & Distributors - 0.7% | | | |
| AerCap Holdings NV (a) | | 9,550 | 609,386 |
| Triton International Ltd. | | 3,460 | 291,713 |
| United Rentals, Inc. | | 4,317 | 2,006,024 |
| | | | 2,907,123 |
TOTAL INDUSTRIALS | | | 24,315,950 |
| INFORMATION TECHNOLOGY - 17.0% | | | |
| Communications Equipment - 3.4% | | | |
| Cisco Systems, Inc. | | 253,338 | 13,183,710 |
| Electronic Equipment, Instruments & Components - 1.1% | | | |
| Arrow Electronics, Inc. (a) | | 3,548 | 505,732 |
| Coherent Corp. (a) | | 8,775 | 415,584 |
| Corning, Inc. (b) | | 46,457 | 1,576,751 |
| Flex Ltd. (a) | | 28,350 | 775,656 |
| Jabil, Inc. | | 8,334 | 922,324 |
| TD SYNNEX Corp. | | 2,606 | 257,238 |
| | | | 4,453,285 |
| IT Services - 2.7% | | | |
| Cognizant Technology Solutions Corp. Class A | | 31,877 | 2,104,838 |
| DXC Technology Co. (a) | | 14,310 | 395,672 |
| IBM Corp. | | 57,043 | 8,224,460 |
| | | | 10,724,970 |
| Semiconductors & Semiconductor Equipment - 2.0% | | | |
| Qorvo, Inc. (a) | | 6,278 | 690,706 |
| Qualcomm, Inc. | | 45,852 | 6,060,259 |
| Skyworks Solutions, Inc. | | 10,004 | 1,144,157 |
| | | | 7,895,122 |
| Software - 3.0% | | | |
| Microsoft Corp. | | 34,291 | 11,519,033 |
| Technology Hardware, Storage & Peripherals - 4.8% | | | |
| Apple, Inc. | | 74,973 | 14,728,446 |
| Dell Technologies, Inc. | | 16,081 | 851,007 |
| Hewlett Packard Enterprise Co. | | 81,395 | 1,414,645 |
| HP, Inc. | | 54,453 | 1,787,692 |
| | | | 18,781,790 |
TOTAL INFORMATION TECHNOLOGY | | | 66,557,910 |
| MATERIALS - 4.9% | | | |
| Chemicals - 2.6% | | | |
| Albemarle Corp. | | 7,371 | 1,564,716 |
| Celanese Corp. Class A | | 6,286 | 788,202 |
| CF Industries Holdings, Inc. | | 12,245 | 1,005,070 |
| Dow, Inc. | | 44,434 | 2,509,188 |
| Eastman Chemical Co. | | 7,488 | 640,823 |
| Huntsman Corp. | | 10,697 | 318,450 |
| LyondellBasell Industries NV Class A | | 15,934 | 1,575,235 |
| Olin Corp. | | 7,551 | 435,542 |
| The Chemours Co. LLC | | 9,375 | 346,688 |
| The Mosaic Co. | | 20,861 | 850,294 |
| Westlake Corp. (b) | | 2,164 | 297,550 |
| | | | 10,331,758 |
| Containers & Packaging - 0.6% | | | |
| Berry Global Group, Inc. | | 7,489 | 491,054 |
| Graphic Packaging Holding Co. | | 19,303 | 467,133 |
| International Paper Co. | | 21,799 | 786,072 |
| WestRock Co. | | 16,084 | 535,436 |
| | | | 2,279,695 |
| Metals & Mining - 1.7% | | | |
| Alcoa Corp. | | 11,199 | 405,292 |
| Cleveland-Cliffs, Inc. (a) | | 32,385 | 571,595 |
| Commercial Metals Co. | | 7,361 | 421,196 |
| Nucor Corp. | | 15,780 | 2,715,580 |
| Reliance Steel & Aluminum Co. | | 3,694 | 1,081,825 |
| Steel Dynamics, Inc. | | 10,086 | 1,074,966 |
| United States Steel Corp. | | 14,243 | 363,197 |
| | | | 6,633,651 |
TOTAL MATERIALS | | | 19,245,104 |
| REAL ESTATE - 0.1% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.1% | | | |
| Medical Properties Trust, Inc. (b) | | 37,648 | 379,868 |
| UTILITIES - 0.2% | | | |
| Gas Utilities - 0.2% | | | |
| National Fuel Gas Co. | | 5,763 | 306,073 |
| ONE Gas, Inc. | | 3,477 | 275,135 |
| UGI Corp. | | 13,169 | 355,431 |
| | | | 936,639 |
| TOTAL COMMON STOCKS (Cost $313,753,560) | | | 391,234,656 |
| | | | |
| U.S. Treasury Obligations - 0.1% |
| | | Principal Amount (c) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.18% 9/7/23 (d) (Cost $298,418) | | 300,000 | 298,377 |
| | | | |
| Money Market Funds - 1.0% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.32% (e) | | 224,689 | 224,734 |
| Fidelity Securities Lending Cash Central Fund 5.32% (e)(f) | | 3,834,389 | 3,834,773 |
| TOTAL MONEY MARKET FUNDS (Cost $4,059,507) | | | 4,059,507 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.8% (Cost $318,111,485) | 395,592,540 |
NET OTHER ASSETS (LIABILITIES) - (0.8)% | (3,254,410) |
| NET ASSETS - 100.0% | 392,338,130 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P 500 Index Contracts (United States) | 5 | Sep 2023 | 1,153,625 | 56,349 | 56,349 |
| | | | | | |
| The notional amount of futures purchased as a percentage of Net Assets is 0.3% |
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (d) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $107,416. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
| (f) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.32% | 3,169,874 | 421,128,235 | 424,073,375 | 107,251 | - | - | 224,734 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.32% | 17,391,449 | 135,275,602 | 148,832,278 | 37,182 | - | - | 3,834,773 | 0.0% |
| Total | 20,561,323 | 556,403,837 | 572,905,653 | 144,433 | - | - | 4,059,507 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 36,428,582 | 36,428,582 | - | - |
Consumer Discretionary | 21,285,723 | 21,285,723 | - | - |
Consumer Staples | 14,979,486 | 14,979,486 | - | - |
Energy | 57,665,165 | 57,665,165 | - | - |
Financials | 92,508,854 | 92,508,854 | - | - |
Health Care | 56,931,375 | 56,931,375 | - | - |
Industrials | 24,315,950 | 24,315,950 | - | - |
Information Technology | 66,557,910 | 66,557,910 | - | - |
Materials | 19,245,104 | 19,245,104 | - | - |
Real Estate | 379,868 | 379,868 | - | - |
Utilities | 936,639 | 936,639 | - | - |
|
| U.S. Government and Government Agency Obligations | 298,377 | - | 298,377 | - |
|
| Money Market Funds | 4,059,507 | 4,059,507 | - | - |
| Total Investments in Securities: | 395,592,540 | 395,294,163 | 298,377 | - |
Derivative Instruments: | | | | |
|
| Assets | | | | |
Futures Contracts | 56,349 | 56,349 | - | - |
| Total Assets | 56,349 | 56,349 | - | - |
| Total Derivative Instruments: | 56,349 | 56,349 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Futures Contracts (a) | 56,349 | 0 |
| Total Equity Risk | 56,349 | 0 |
| Total Value of Derivatives | 56,349 | 0 |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
| Statement of Assets and Liabilities |
| | | | July 31, 2023 |
| | | | | |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $3,788,316) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $314,051,978) | $ | 391,533,033 | | |
Fidelity Central Funds (cost $4,059,507) | | 4,059,507 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $318,111,485) | | | $ | 395,592,540 |
| Cash | | | | 40,369 |
| Receivable for fund shares sold | | | | 79,522 |
| Dividends receivable | | | | 719,198 |
| Distributions receivable from Fidelity Central Funds | | | | 3,341 |
| Receivable for daily variation margin on futures contracts | | | | 2,000 |
Total assets | | | | 396,436,970 |
| Liabilities | | | | |
| Payable for fund shares redeemed | $ | 184,358 | | |
| Accrued management fee | | 31,835 | | |
| Other payables and accrued expenses | | 48,245 | | |
| Collateral on securities loaned | | 3,834,402 | | |
| Total Liabilities | | | | 4,098,840 |
| Net Assets | | | $ | 392,338,130 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 282,736,155 |
| Total accumulated earnings (loss) | | | | 109,601,975 |
| Net Assets | | | $ | 392,338,130 |
Net Asset Value, offering price and redemption price per share ($392,338,130 ÷ 34,170,315 shares) | | | $ | 11.48 |
| Statement of Operations |
| | | | Year ended July 31, 2023 |
| Investment Income | | | | |
| Dividends | | | $ | 40,405,291 |
| Interest | | | | 9,873 |
| Income from Fidelity Central Funds (including $37,182 from security lending) | | | | 144,433 |
| Total Income | | | | 40,559,597 |
| Expenses | | | | |
| Management fee | $ | 1,324,435 | | |
| Custodian fees and expenses | | 37,416 | | |
| Independent trustees' fees and expenses | | 6,094 | | |
| Registration fees | | 34,928 | | |
| Audit | | 53,576 | | |
| Legal | | 4,792 | | |
| Interest | | 164,177 | | |
| Miscellaneous | | 13,595 | | |
| Total Expenses | | | | 1,639,013 |
| Net Investment income (loss) | | | | 38,920,584 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 87,526,974 | | |
| Futures contracts | | 271,670 | | |
| Total net realized gain (loss) | | | | 87,798,644 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (259,740,250) | | |
| Futures contracts | | (561,380) | | |
| Total change in net unrealized appreciation (depreciation) | | | | (260,301,630) |
| Net gain (loss) | | | | (172,502,986) |
| Net increase (decrease) in net assets resulting from operations | | | $ | (133,582,402) |
| Statement of Changes in Net Assets |
| |
| | Year ended July 31, 2023 | | Year ended July 31, 2022 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 38,920,584 | $ | 87,321,649 |
| Net realized gain (loss) | | 87,798,644 | | 413,578,336 |
| Change in net unrealized appreciation (depreciation) | | (260,301,630) | | (267,711,209) |
| Net increase (decrease) in net assets resulting from operations | | (133,582,402) | | 233,188,776 |
| Distributions to shareholders | | (299,214,923) | | (211,360,654) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 408,566,801 | | 254,286,545 |
| Reinvestment of distributions | | 289,927,267 | | 205,252,752 |
| Cost of shares redeemed | | (2,825,899,380) | | (1,118,086,652) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (2,127,405,312) | | (658,547,355) |
| Total increase (decrease) in net assets | | (2,560,202,637) | | (636,719,233) |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 2,952,540,767 | | 3,589,260,000 |
| End of period | $ | 392,338,130 | $ | 2,952,540,767 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 36,999,453 | | 20,783,344 |
| Issued in reinvestment of distributions | | 26,793,151 | | 17,137,513 |
| Redeemed | | (273,043,165) | | (88,301,534) |
| Net increase (decrease) | | (209,250,561) | | (50,380,677) |
| | | | | |
| Fidelity® SAI U.S. Value Index Fund |
| |
| Years ended July 31, | | 2023 | | 2022 | | 2021 | | 2020 | | 2019 |
Selected Per-Share Data | | | | | | | | | | |
| Net asset value, beginning of period | $ | 12.13 | $ | 12.22 | $ | 8.82 | $ | 10.06 | $ | 10.36 |
| Income from Investment Operations | | | | | | | | | | |
Net investment income (loss) A,B | | .32 | | .31 | | .31 | | .29 | | .25 |
| Net realized and unrealized gain (loss) | | .40 C | | .31 | | 3.35 | | (1.27) | | (.22) |
| Total from investment operations | | .72 | | .62 | | 3.66 | | (.98) | | .03 |
| Distributions from net investment income | | (.38) | | (.28) | | (.26) | | (.26) | | (.19) |
| Distributions from net realized gain | | (.99) | | (.42) | | - | | - | | (.14) |
| Total distributions | | (1.37) | | (.71) D | | (.26) | | (.26) | | (.33) |
| Net asset value, end of period | $ | 11.48 | $ | 12.13 | $ | 12.22 | $ | 8.82 | $ | 10.06 |
Total Return E,F | | 6.74% | | 5.21% | | 42.39% | | (10.13)% | | .62% |
Ratios to Average Net Assets A,G,H | | | | | | | | | | |
| Expenses before reductions | | .12% | | .10% | | .11% | | .11% | | .21% |
| Expenses net of fee waivers, if any | | .12% | | .10% | | .11% | | .11% | | .15% |
| Expenses net of all reductions | | .12% | | .10% | | .11% | | .11% | | .15% |
| Net investment income (loss) | | 2.90% | | 2.49% | | 2.89% | | 3.12% | | 2.61% |
| Supplemental Data | | | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 392,338 | $ | 2,952,541 | $ | 3,589,260 | $ | 2,282,301 | $ | 1,788,140 |
Portfolio turnover rate I | | 86% | | 62% | | 80% | | 82% | | 99% |
ANet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
BCalculated based on average shares outstanding during the period.
CThe amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
DTotal distributions per share do not sum due to rounding.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
For the period ended July 31, 2023
1. Organization.
Fidelity SAI U.S. Value Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities 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. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2023 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, passive foreign investment companies (PFIC) and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $86,270,323 |
| Gross unrealized depreciation | (11,970,759) |
| Net unrealized appreciation (depreciation) | $74,299,564 |
| Tax Cost | $321,292,976 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $19,472,505 |
| Undistributed long-term capital gain | $15,829,904 |
| Net unrealized appreciation (depreciation) on securities and other investments | $74,299,564 |
The tax character of distributions paid was as follows:
| | July 31, 2023 | July 31, 2022 |
| Ordinary Income | $82,934,907 | $136,442,800 |
| Long-term Capital Gains | 216,280,016 | 74,917,854 |
| Total | $299,214,923 | $211,360,654 |
Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI U.S. Value Index Fund | 1,139,634,875 | 3,519,356,817 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds. At period end there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
| | Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Fidelity SAI U.S. Value Index Fund | Borrower | $ 52,999,133 | 3.28% | $144,782 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount |
| Fidelity SAI U.S. Value Index Fund | $4,264 |
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End |
| Fidelity SAI U.S. Value Index Fund | $3,881 | $- | $- |
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:
| | Average Loan Balance | Weighted Average Interest Rate | Interest Expense |
| Fidelity SAI U.S. Value Index Fund | $24,345,250 | 3.59% | $19,395 |
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| | Strategic Advisers Fidelity U.S. Total Stock Fund |
| Fidelity SAI U.S. Value Index Fund | 13% |
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI U.S. Value Index Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity SAI U.S. Value Index Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the "Fund") as of July 31, 2023, the related statement of operations for the year ended July 31, 2023, the statement of changes in net assets for each of the two years in the period ended July 31, 2023, including the related notes, and the financial highlights for each of the five years in the period ended July 31, 2023 (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of July 31, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended July 31, 2023 and the financial highlights for each of the five years in the period ended July 31, 2023 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of July 31, 2023 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
September 12, 2023
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Jonathan Chiel, each of the Trustees oversees 313 funds. Mr. Chiel oversees 191 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-3455.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Michael E. Kenneally serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's alternative investment, high income and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Jonathan Chiel (1957)
Year of Election or Appointment: 2016
Trustee
Mr. Chiel also serves as Trustee of other Fidelity® funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney's Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.
Abigail P. Johnson (1961)
Year of Election or Appointment: 2009
Trustee
Chairman of the Board of Trustees
Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of Fidelity Management & Research Company LLC (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-2019), Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of Fidelity Management & Research Company (2001-2005), a Trustee of other investment companies advised by Fidelity Management & Research Company, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee of other Fidelity® funds and as Trustee of Fidelity Charitable (2020-present). Previously, Ms. McAuliffe served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company), Director of Research for FIL's credit and quantitative teams in London, Hong Kong and Tokyo and Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe previously served as a member of the Advisory Board of certain Fidelity® funds (2016). Ms. McAuliffe was previously a lawyer at Ropes & Gray LLP and an international banker at Chemical Bank NA (now JPMorgan Chase & Co.). Ms. McAuliffe also currently serves as director or trustee of several not-for-profit entities.
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Elizabeth S. Acton (1951)
Year of Election or Appointment: 2013
Trustee
Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Acton served as Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011) and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Ms. Acton previously served as a member of the Advisory Board of certain Fidelity® funds (2013-2016).
Ann E. Dunwoody (1953)
Year of Election or Appointment: 2018
Trustee
General Dunwoody also serves as Trustee of other Fidelity® funds. General Dunwoody (United States Army, Retired) was the first woman in U.S. military history to achieve the rank of four-star general and prior to her retirement in 2012 held a variety of positions within the U.S. Army, including Commanding General, U.S. Army Material Command (2008-2012). General Dunwoody currently serves as a member of the Board, Chair of Nomination Committee and a member of the Corporate Governance Committee of Kforce Inc. (professional staffing services, 2016-present) and a member of the Board of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as President of First to Four LLC (leadership and mentoring services, 2012-2022), a member of the Advisory Board and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor and aerospace systems, 2013-2019) and a member of the Board and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). General Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board, Chair of the Nomination and Governance Committee and a member of the Audit Committee of the Noble Reach Foundation (formerly Logistics Management Institute) (consulting non-profit, 2012-present) and a member of the Board of ThanksUSA (military family education non-profit, 2014-present). Previously, General Dunwoody served as a member of the Board of Florida Institute of Technology (2015-2022) and a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-2021). General Dunwoody previously served as a member of the Advisory Board of certain Fidelity® funds (2018).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. Previously, Mr. Engler served as Governor of Michigan (1991-2003), President of the Business Roundtable (2011-2017) and interim President of Michigan State University (2018-2019). Previously, Mr. Engler served as a member of the Board of Stride, Inc. (formerly K12 Inc.) (technology-based education company, 2012-2022), a member of the Board of Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-2019) and Trustee of The Munder Funds (2003-2014). Mr. Engler previously served as a member of the Advisory Board of certain Fidelity® funds (2014-2016).
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007), including Managing Director (1987-2007) and Chase Manhattan Bank (1975-1978). Mr. Gartland previously served as Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-2019), as a member of the Board of National Securities Clearing Corporation (1993-1996) and as Chairman of TradeWeb (2003-2004).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Mr. Johnson also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). Mr. Johnson currently serves as a member of the Board of Booz Allen Hamilton (management consulting, 2011-present). Mr. Johnson previously served as a member of the Board of Eaton Corporation plc (diversified power management, 2009-2019) and a member of the Board of AGL Resources, Inc. (holding company, 2002-2016). Mr. Johnson previously served as Chairman (2018-2021) and Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds. Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds and was Vice Chairman (2018-2021) of the Independent Trustees of certain Fidelity® funds. Prior to retirement in 2005, he was Chairman and Global Chief Executive Officer of Credit Suisse Asset Management, the worldwide fund management and institutional investment business of Credit Suisse Group. Previously, Mr. Kenneally was an Executive Vice President and the Chief Investment Officer for Bank of America. In this role, he was responsible for the investment management, strategy and products delivered to the bank's institutional, high-net-worth and retail clients. Earlier, Mr. Kenneally directed the organization's equity and quantitative research groups. He began his career as a research analyst and then spent more than a dozen years as a portfolio manager for endowments, pension plans and mutual funds. He earned the Chartered Financial Analyst (CFA) designation in 1991.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016), President (2006-2013) and Vice Chairman (2013-2020) of Meijer, Inc. Mr. Murray serves as a member of the Board (2009-present) and Public Policy and Responsibility Committee (2009-present) and Chair of the Nuclear Review Committee (2019-present) of DTE Energy Company (diversified energy company). Mr. Murray previously served as a member of the Board of Spectrum Health (not-for-profit health system, 2015-2019) and as a member of the Board and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray also serves as a member of the Board of many community and professional organizations. Mr. Murray previously served as a member of the Advisory Board of certain Fidelity® funds (2016).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Laura M. Bishop (1961)
Year of Election or Appointment: 2022
Member of the Advisory Board
Ms. Bishop also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Bishop held a variety of positions at United Services Automobile Association (2001-2020), including Executive Vice President and Chief Financial Officer (2014-2020) and Senior Vice President and Deputy Chief Financial Officer (2012-2014). Ms. Bishop currently serves as a member of the Audit Committee and Compensation and Personnel Committee (2021-present) of the Board of Directors of Korn Ferry (global organizational consulting).
Robert W. Helm (1957)
Year of Election or Appointment: 2021
Member of the Advisory Board
Mr. Helm also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Helm was formerly Deputy Chairman (2003-2020), partner (1991-2020) and an associate (1984-1991) of Dechert LLP (formerly Dechert Price & Rhoads). Mr. Helm currently serves on boards and committees of several not-for-profit organizations, including as a Trustee and member of the Executive Committee of the Baltimore Council on Foreign Affairs, a member of the Board of Directors of the St. Vincent de Paul Society of Baltimore and a member of the Life Guard Society of Mt. Vernon.
Carol J. Zierhoffer (1960)
Year of Election or Appointment: 2023
Member of the Advisory Board
Ms. Zierhoffer also serves as a Member of the Advisory Board of other funds. Prior to her retirement, Ms. Zierhoffer held a variety of positions at Bechtel Corporation (engineering company, 2013-2019), including Principal Vice President and Chief Information Officer (2013-2016) and Senior Vice President and Chief Information Officer (2016-2019). Ms. Zierhoffer currently serves as a member of the Board of Directors, Audit Committee and Compensation Committee of Allscripts Healthcare Solutions, Inc. (healthcare technology, 2020-present) and as a member of the Board of Directors, Audit and Finance Committee and Nominating and Governance Committee of Atlas Air Worldwide Holdings, Inc. (aviation operating services, 2021-present). Previously, Ms. Zierhoffer served as a member of the Board of Directors and Audit Committee and as the founding Chair of the Information Technology Committee of MedAssets, Inc. (healthcare technology, 2013-2016).
Heather Bonner (1977)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity® funds (2019-2022).
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).
Margaret Carey (1973)
Year of Election or Appointment: 2023
Secretary and Chief Legal Officer (CLO)
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.
David J. Carter (1973)
Year of Election or Appointment: 2020
Assistant Secretary
Mr. Carter also serves as Assistant Secretary of other funds. Mr. Carter serves as Senior Vice President, Deputy General Counsel (2022-present) and is an employee of Fidelity Investments (2005-present).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).
Robin Foley (1964)
Year of Election or Appointment: 2023
Vice President
Ms. Foley also serves as Vice President of other funds. Ms. Foley serves as Head of Fidelity's Fixed Income division (2023-present) and is an employee of Fidelity Investments. Previously, Ms. Foley served as Chief Investment Officer of Bonds (2017-2023).
Christopher M. Gouveia (1973)
Year of Election or Appointment: 2023
Chief Compliance Officer
Mr. Gouveia also serves as Chief Compliance Officer of other funds. Mr. Gouveia serves as Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Previously, Mr. Gouveia served as Chief Compliance Officer of the North Carolina Capital Management Trust (2016-2019).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013
Assistant Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Jim Wegmann (1979)
Year of Election or Appointment: 2021
Deputy Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
| The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | Annualized Expense Ratio- A | | Beginning Account Value February 1, 2023 | | Ending Account Value July 31, 2023 | | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 |
| | | | | | | | | | |
| Fidelity® SAI U.S. Value Index Fund | | | | .12% | | | | | | |
| Actual | | | | | | $ 1,000 | | $ 1,000.90 | | $ .60 |
Hypothetical-B | | | | | | $ 1,000 | | $ 1,024.20 | | $ .60 |
| |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 5% return per year before expenses
C Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2023, $53,424,469, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 79% and 100% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 83.72% and 100%, of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.
1.9885515.105
USV-ANN-0923
Item 2.
Code of Ethics
As of the end of the period, July 31, 2023, Fidelity Salem Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Real Estate Index Fund, Fidelity SAI Real Estate Index Fund, Fidelity SAI Small-Mid Cap 500 Index Fund, Fidelity SAI U.S. Large Cap Index Fund, Fidelity SAI U.S. Momentum Index Fund and Fidelity SAI U.S. Quality Index Fund (the “Funds”):
Services Billed by Deloitte Entities
July 31, 2023 FeesA
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Real Estate Index Fund | $35,700 | $- | $8,800 | $900 |
Fidelity SAI Real Estate Index Fund | $37,700 | $- | $9,200 | $1,000 |
Fidelity SAI Small-Mid Cap 500 Index Fund | $41,000 | $- | $7,400 | $1,000 |
Fidelity SAI U.S. Large Cap Index Fund | $39,100 | $- | $9,200 | $1,000 |
Fidelity SAI U.S. Momentum Index Fund | $40,500 | $- | $7,400 | $1,000 |
Fidelity SAI U.S. Quality Index Fund | $40,700 | $- | $7,400 | $1,000 |
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Real Estate Index Fund | $35,200 | $- | $8,600 | $900 |
Fidelity SAI Real Estate Index Fund | $37,100 | $- | $8,600 | $900 |
Fidelity SAI Small-Mid Cap 500 Index Fund | $40,600 | $- | $7,300 | $900 |
Fidelity SAI U.S. Large Cap Index Fund | $38,400 | $- | $9,000 | $900 |
Fidelity SAI U.S. Momentum Index Fund | $40,000 | $- | $7,300 | $900 |
Fidelity SAI U.S. Quality Index Fund | $40,000 | $- | $7,600 | $900 |
A Amounts may reflect rounding.
Services Billed by PwC
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity SAI U.S. Value Index Fund (the “Fund(s)”):
July 31, 2023 FeesA
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity SAI U.S. Value Index Fund | $38,100 | $3,400 | $9,800 | $1,500 |
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity SAI U.S. Value Index Fund | $36,400 | $3,400 | $9,300 | $1,500 |
A Amounts may reflect rounding.
The following table(s) present(s) fees billed by Deloitte Entities and PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
| | |
| July 31, 2023A | July 31, 2022A |
Audit-Related Fees | $- | $- |
Tax Fees | $- | $- |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
Services Billed by PwC
| | |
| July 31, 2023A | July 31, 2022 A |
Audit-Related Fees | $8,284,600 | $7,914,600 |
Tax Fees | $1,000 | $353,200 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities and PwC for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
| | |
Billed By | July 31, 2023A | July 31, 2022A |
Deloitte Entities | $297,900 | $511,400 |
PwC | $13,602,500 | $13,249,400 |
A Amounts may reflect rounding
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities and PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the “PCAOB”) has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.
The Registrant is not a “foreign issuer,” as defined in 17 CFR 240.3b-4.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
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 Salem Street Trust
| |
By: | /s/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer |
| |
Date: | September 21, 2023 |
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/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer |
| |
Date: | September 21, 2023 |
| |
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer |
| |
Date: | September 21, 2023 |
