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 number811-2105
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)
William C. Coffey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
| |
Date of fiscal year end: | January 31 |
| |
Date of reporting period: | January 31, 2019 |
Item 1.
Reports to Stockholders
Fidelity® SAI Tax-Free Bond Fund
Annual Report January 31, 2019 |
 |
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
| Account Type | Website | Phone Number |
| Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
| Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
| Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
| Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
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, 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. © 2019 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q 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.
Investment Summary (Unaudited)
Top Five States as of January 31, 2019
| | % of fund's net assets |
| Texas | 13.9 |
| Illinois | 9.6 |
| New York | 9.1 |
| New Jersey | 5.2 |
| Florida | 4.6 |
Top Five Sectors as of January 31, 2019
| | % of fund's net assets |
| General Obligations | 23.0 |
| Health Care | 18.1 |
| Transportation | 15.4 |
| Education | 8.1 |
| Electric Utilities | 7.5 |
Quality Diversification (% of fund's net assets)
| As of January 31, 2019 |
| | AAA | 4.0% |
| | AA,A | 68.7% |
| | BBB | 11.3% |
| | BB and Below | 1.6% |
| | Not Rated | 0.8% |
| | Short-Term Investments and Net Other Assets | 13.6% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Schedule of Investments January 31, 2019
Showing Percentage of Net Assets
| Municipal Bonds - 85.7% | | | |
| | | Principal Amount | Value |
| Alabama - 1.4% | | | |
| Mobile Indl. Dev. Board Poll. Cont. Rev. Bonds: | | | |
| (Alabama Pwr. Co. Barry Plant Proj.) Series 2008, 2.9%, tender 12/12/23 (a) | | $4,000,000 | $4,000,000 |
| Series 2009 E, 1.85%, tender 3/24/20 (a) | | 3,100,000 | 3,085,058 |
|
| TOTAL ALABAMA | | | 7,085,058 |
|
| Arizona - 4.6% | | | |
| Arizona Ctfs. of Prtn. Series 2019 A, 5% 10/1/24 (b) | | 315,000 | 359,157 |
| Arizona State Lottery Rev. Series 2019, 5% 7/1/25 (b) | | 5,040,000 | 5,765,256 |
| Chandler Indl. Dev. Auth. Indl. Dev. Rev. Bonds (Intel Corp. Proj.) Series 2005, 2.4%, tender 8/14/23 (a) | | 265,000 | 267,499 |
| Maricopa County Indl. Dev. Auth. Bonds Series 2019 B, 5%, tender 9/1/24 (a) | | 650,000 | 730,106 |
| Maricopa County Indl. Dev. Auth. Rev. Series 2017, 5% 1/1/41 | | 4,100,000 | 4,603,767 |
| Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016, 6% 1/1/48 (c) | | 575,000 | 577,835 |
| Maricopa County Spl. Health Care District Gen. Oblig. Series 2018 C, 5% 7/1/36 | | 2,300,000 | 2,652,153 |
| Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev.: | | | |
| (Arizona Salt River Proj.) Series A, 5% 1/1/38 | | 2,850,000 | 3,272,342 |
| Series 2017 A, 5% 1/1/38 | | 3,000,000 | 3,488,850 |
| Tempe Indl. Dev. Auth. Rev. (Mirabella At Asu, Inc. Proj.) Series 2017 A, 6.125% 10/1/52 (c) | | 760,000 | 815,016 |
|
| TOTAL ARIZONA | | | 22,531,981 |
|
| California - 2.3% | | | |
| California Edl. Facilities Auth. Rev. Series 2018 A, 5% 10/1/42 | | 1,340,000 | 1,503,467 |
| California Muni. Fin. Auth. Rev. Series 2017 A: | | | |
| 5% 7/1/42 | | 1,000,000 | 1,091,660 |
| 5.25% 11/1/36 | | 515,000 | 553,208 |
| California Muni. Fin. Auth. Student Hsg. (CHF-Davis I, LLC - West Village Student Hsg. Proj.) Series 2018: | | | |
| 5% 5/15/34 | | 2,635,000 | 2,973,808 |
| 5% 5/15/39 | | 1,175,000 | 1,294,263 |
| Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2017 A1, 5% 6/1/28 | | 1,000,000 | 1,137,640 |
| Washington Township Health Care District Rev.: | | | |
| Series 2017 A, 5% 7/1/35 | | 800,000 | 888,576 |
| Series 2017 B: | | | |
| 5% 7/1/29 | | 485,000 | 556,601 |
| 5% 7/1/30 | | 970,000 | 1,104,704 |
|
| TOTAL CALIFORNIA | | | 11,103,927 |
|
| Colorado - 1.6% | | | |
| Colorado Health Facilities Auth.: | | | |
| Bonds Series 2018 B, 5%, tender 11/20/25 (a) | | 1,000,000 | 1,175,780 |
| Series 2018 A, 4% 11/15/48 | | 960,000 | 974,102 |
| Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.) 0% 7/15/22 (Escrowed to Maturity) | | 240,000 | 223,858 |
| Colorado Health Facilities Auth. Rev. Bonds Series 2016 C, 5%, tender 11/15/23 (a) | | 715,000 | 812,655 |
| Colorado State Bldg. Excellent Schools Today Ctfs. of Prtn. Series 2018 N: | | | |
| 5% 3/15/37 | | 2,000,000 | 2,311,660 |
| 5% 3/15/38 | | 2,000,000 | 2,301,340 |
|
| TOTAL COLORADO | | | 7,799,395 |
|
| Connecticut - 0.8% | | | |
| Connecticut Gen. Oblig.: | | | |
| Series 2016 B, 5% 5/15/27 | | 15,000 | 17,064 |
| Series 2017 A, 5% 4/15/33 | | 245,000 | 272,457 |
| Series 2018 A, 5% 4/15/38 | | 1,000,000 | 1,093,980 |
| Connecticut Health & Edl. Facilities Auth. Rev.: | | | |
| (Sacred Heart Univ., CT. Proj.) Series 2017 I-1, 5% 7/1/42 | | 1,335,000 | 1,465,456 |
| Bonds: | | | |
| Series 2010 A4, 2%, tender 2/8/22 (a) | | 805,000 | 808,993 |
| Series U1, 2%, tender 2/8/22 (a)(b) | | 105,000 | 105,521 |
| Series K3, 5% 7/1/43 | | 350,000 | 374,371 |
|
| TOTAL CONNECTICUT | | | 4,137,842 |
|
| District Of Columbia - 1.6% | | | |
| District of Columbia Gen. Oblig. Series 2017 D, 5% 6/1/42 | | 500,000 | 567,255 |
| District of Columbia Rev. Series 2018: | | | |
| 5% 10/1/20 | | 600,000 | 630,408 |
| 5% 10/1/23 | | 350,000 | 392,497 |
| 5% 10/1/25 | | 495,000 | 572,096 |
| 5% 10/1/26 | | 830,000 | 968,743 |
| 5% 10/1/27 | | 905,000 | 1,064,723 |
| 5% 10/1/43 | | 3,080,000 | 3,402,538 |
|
| TOTAL DISTRICT OF COLUMBIA | | | 7,598,260 |
|
| Florida - 4.6% | | | |
| Atlantic Beach Health Care facilities Series A, 5% 11/15/43 | | 845,000 | 891,078 |
| Central Florida Expressway Auth. Sr. Lien Rev. Series 2018: | | | |
| 5% 7/1/37 | | 2,000,000 | 2,302,700 |
| 5% 7/1/40 | | 3,000,000 | 3,419,940 |
| Florida Mid-Bay Bridge Auth. Rev. Series 2015 A: | | | |
| 5% 10/1/29 | | 2,475,000 | 2,777,990 |
| 5% 10/1/35 | | 1,000,000 | 1,092,790 |
| Hillsborough County Aviation Auth. Rev. Series 2018 F: | | | |
| 5% 10/1/37 | | 1,510,000 | 1,751,932 |
| 5% 10/1/43 | | 2,000,000 | 2,282,700 |
| Manatee County School District Series 2017, 5% 10/1/28 (FSA Insured) | | 2,500,000 | 2,972,800 |
| Pasco County School Board Ctfs. of Prtn. Series 2018 A, 5% 8/1/35 (Build America Mutual Assurance Insured) | | 2,000,000 | 2,319,300 |
| South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017, 5% 8/15/28 | | 1,550,000 | 1,832,953 |
| Tampa Hosp. Rev. (H. Lee Moffitt Cancer Ctr. Proj.) Series 2016 B, 5% 7/1/37 | | 960,000 | 1,049,299 |
|
| TOTAL FLORIDA | | | 22,693,482 |
|
| Georgia - 0.7% | | | |
| Georgia Muni. Elec. Auth. Pwr. Rev.: | | | |
| Series 2011 A, 5% 1/1/21 | | 100,000 | 105,107 |
| Series 2018 A, 5% 1/1/21 | | 275,000 | 290,048 |
| Series C, 5% 1/1/22 | | 100,000 | 107,522 |
| Series HH: | | | |
| 5% 1/1/21 | | 700,000 | 738,304 |
| 5% 1/1/22 | | 1,825,000 | 1,971,913 |
|
| TOTAL GEORGIA | | | 3,212,894 |
|
| Hawaii - 0.7% | | | |
| Honolulu City & County Gen. Oblig.: | | | |
| Series 2018 A, 5% 9/1/41 | | 2,000,000 | 2,298,400 |
| Series 2019 A, 5% 9/1/24 | | 765,000 | 890,315 |
|
| TOTAL HAWAII | | | 3,188,715 |
|
| Illinois - 9.6% | | | |
| Chicago Board of Ed.: | | | |
| Series 1998 B1, 0% 12/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 60,000 | 55,098 |
| Series 2016 A, 7% 12/1/44 | | 3,100,000 | 3,544,974 |
| Series 2018 C, 5% 12/1/46 | | 1,060,000 | 1,066,466 |
| Chicago Midway Arpt. Rev. Series 2016 B, 5% 1/1/46 | | 1,155,000 | 1,245,032 |
| Chicago O'Hare Int'l. Arpt. Rev. Series 2018 B: | | | |
| 5% 1/1/36 | | 2,250,000 | 2,570,963 |
| 5% 1/1/37 | | 3,250,000 | 3,695,965 |
| Illinois Fin. Auth. Rev.: | | | |
| (Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A, 5% 7/15/25 | | 300,000 | 352,200 |
| (OSF Healthcare Sys.) Series 2018 A: | | | |
| 4.125% 5/15/47 | | 2,150,000 | 2,133,918 |
| 5% 5/15/43 | | 50,000 | 55,205 |
| (Presence Health Proj.) Series 2016 C, 5% 2/15/36 | | 1,000,000 | 1,126,570 |
| Bonds (Ascension Health Cr. Group Proj.) Series 2012 E2, 1.75%, tender 4/1/21 (a) | | 100,000 | 99,202 |
| Series 2012 A, 5% 5/15/22 | | 1,000,000 | 1,094,100 |
| Series 2016 C, 5% 2/15/31 | | 2,500,000 | 2,893,075 |
| Series 2016: | | | |
| 4% 12/1/35 | | 360,000 | 365,702 |
| 5% 12/1/40 | | 2,150,000 | 2,297,899 |
| Series 2017 A, 5% 1/1/35 | | 2,000,000 | 2,207,080 |
| Series 2018 A: | | | |
| 4.25% 1/1/44 | | 55,000 | 55,404 |
| 5% 1/1/38 | | 215,000 | 234,167 |
| 5% 1/1/44 | | 320,000 | 344,518 |
| Illinois Gen. Oblig.: | | | |
| Series 2012: | | | |
| 5% 8/1/19 | | 2,000,000 | 2,026,047 |
| 5% 8/1/21 | | 10,000 | 10,482 |
| 5% 8/1/22 | | 60,000 | 63,582 |
| 5% 8/1/24 | | 1,000,000 | 1,047,560 |
| Series 2013, 5% 7/1/22 | | 40,000 | 42,333 |
| Series 2014: | | | |
| 5% 2/1/22 | | 215,000 | 226,208 |
| 5% 2/1/23 | | 180,000 | 190,804 |
| 5% 2/1/26 | | 550,000 | 580,773 |
| Series 2016: | | | |
| 5% 2/1/26 | | 1,200,000 | 1,295,328 |
| 5% 2/1/27 | | 1,100,000 | 1,191,025 |
| Series 2017 C, 5% 11/1/29 | | 1,000,000 | 1,070,810 |
| Series 2017 D: | | | |
| 5% 11/1/24 | | 685,000 | 736,512 |
| 5% 11/1/25 | | 1,125,000 | 1,213,583 |
| 5% 11/1/27 | | 2,000,000 | 2,169,240 |
| Series 2018 A: | | | |
| 5% 10/1/24 | | 500,000 | 537,110 |
| 5% 10/1/28 | | 1,000,000 | 1,081,080 |
| Series 2018 B, 5% 10/1/26 | | 1,000,000 | 1,081,110 |
| Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2018, 5% 2/1/26 | | 2,010,000 | 2,333,309 |
| Metropolitan Pier & Exposition (McCormick Place Expansion Proj.) Series 2010 B1: | | | |
| 0% 6/15/46 (FSA Insured) | | 8,000,000 | 2,304,720 |
| 0% 6/15/47 (FSA Insured) | | 2,525,000 | 691,244 |
| Railsplitter Tobacco Settlement Auth. Rev. Series 2017, 5% 6/1/27 | | 1,200,000 | 1,380,552 |
| Univ. of Illinois Rev. Series 2018 A, 5% 4/1/29 | | 100,000 | 117,749 |
|
| TOTAL ILLINOIS | | | 46,828,699 |
|
| Iowa - 0.2% | | | |
| Iowa Fin. Auth. Rev. Series 2018 B, 5% 2/15/48 | | 1,000,000 | 1,103,690 |
| Kentucky - 2.1% | | | |
| Kentucky State Property & Buildings Commission Rev.: | | | |
| (Proj. No. 112) Series 2016 B, 5% 11/1/27 | | 95,000 | 110,096 |
| (Proj. No. 119) Series 2018, 5% 5/1/38 | | 4,000,000 | 4,440,040 |
| Series 2017, 5% 4/1/26 | | 3,035,000 | 3,501,449 |
| Kentucky, Inc. Pub. Energy Bonds Series C1, 4%, tender 6/1/25 (a) | | 2,000,000 | 2,107,680 |
| Louisville & Jefferson County Series 2016 A, 5% 10/1/31 | | 95,000 | 106,942 |
|
| TOTAL KENTUCKY | | | 10,266,207 |
|
| Louisiana - 0.9% | | | |
| Louisiana Pub. Facilities Auth. Rev. Series 2018 E: | | | |
| 5% 7/1/32 | | 1,470,000 | 1,694,469 |
| 5% 7/1/33 | | 1,195,000 | 1,369,817 |
| 5% 7/1/34 | | 1,385,000 | 1,577,543 |
|
| TOTAL LOUISIANA | | | 4,641,829 |
|
| Maine - 0.2% | | | |
| Maine Health & Higher Edl. Facilities Auth. Rev. Series 2013, 5% 7/1/33 | | 395,000 | 417,673 |
| Maine Tpk. Auth. Tpk. Rev. Series 2018, 5% 7/1/47 | | 500,000 | 569,120 |
|
| TOTAL MAINE | | | 986,793 |
|
| Maryland - 0.4% | | | |
| Maryland Gen. Oblig. First Series 2016, 5% 6/1/26 | | 1,785,000 | 2,057,088 |
| Massachusetts - 2.9% | | | |
| Massachusetts Dept. of Trans. Metropolitan Hwy. Sys. Rev. Bonds Series 2019 A, 5%, tender 1/1/23 (a) | | 5,195,000 | 5,788,373 |
| Massachusetts Dev. Fin. Agcy. Rev. Bonds (Partners Healthcare Sys., Inc. Proj.) Series 2017 S-4, 5%, tender 1/25/24 (a) | | 2,000,000 | 2,274,640 |
| Massachusetts Gen. Oblig. Series A, 5% 1/1/45 | | 2,000,000 | 2,270,440 |
| Massachusetts Wtr. Resources Auth. Wtr. & Swr. Rev. Series 2018 B, 5% 8/1/43 | | 3,290,000 | 3,774,354 |
|
| TOTAL MASSACHUSETTS | | | 14,107,807 |
|
| Michigan - 3.0% | | | |
| Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/37 (FSA Insured) | | 150,000 | 161,225 |
| Lake Orion Cmnty. School District Series 2019, 5% 5/1/24 (b) | | 500,000 | 575,545 |
| Michigan Fin. Auth. Rev.: | | | |
| (Henry Ford Health Sys. Proj.) Series 2016, 5% 11/15/25 | | 100,000 | 116,653 |
| (Trinity Health Proj.) Series 2017: | | | |
| 5% 12/1/25 | | 2,500,000 | 2,944,750 |
| 5% 12/1/37 | | 1,000,000 | 1,135,750 |
| Bonds Series 2019 MI2, 5%, tender 2/1/25 (a)(b) | | 740,000 | 852,532 |
| Series 2015 A: | | | |
| 5% 8/1/26 | | 1,675,000 | 1,912,632 |
| 5% 8/1/27 | | 2,000,000 | 2,273,780 |
| Series 2015, 5% 11/15/28 | | 1,405,000 | 1,598,300 |
| Milan Area Schools Series 2019, 5% 5/1/23 (b) | | 585,000 | 655,966 |
| Univ. of Michigan Rev. Series 2017 A, 5% 4/1/42 | | 1,000,000 | 1,141,410 |
| Wayne County Arpt. Auth. Rev. Series 2018 A, 5% 12/1/33 | | 1,000,000 | 1,169,990 |
|
| TOTAL MICHIGAN | | | 14,538,533 |
|
| Minnesota - 2.3% | | | |
| Duluth Econ. Dev. Auth. Health Care Facilities Rev. Series 2018 A, 5% 2/15/43 | | 500,000 | 546,695 |
| Minnesota Gen. Oblig. Series 2017 D, 5% 10/1/24 | | 4,000,000 | 4,687,920 |
| Minnesota Higher Ed. Facilities Auth. Rev. Series 2018 A, 5% 10/1/45 | | 5,000 | 5,422 |
| St. Paul Hsg. & Redev. Auth. Health Care Facilities Rev. Series 2015 A, 5% 7/1/29 | | 2,240,000 | 2,552,570 |
| Western Minnesota Muni. Pwr. Agcy. Pwr. Supply Rev. Series 2014 A, 5% 1/1/33 | | 1,500,000 | 1,678,065 |
| White Bear Lake Minn Rev. (YMCA of Greater Twin Cities Proj.) Series 2018: | | | |
| 5% 6/1/19 | | 210,000 | 212,085 |
| 5% 6/1/20 | | 295,000 | 306,706 |
| 5% 6/1/23 | | 515,000 | 573,942 |
| 5% 6/1/27 | | 500,000 | 580,355 |
|
| TOTAL MINNESOTA | | | 11,143,760 |
|
| Missouri - 1.0% | | | |
| Missouri Health & Edl. Facilities Rev. Series 2018 A, 5% 6/1/31 | | 1,000,000 | 1,192,530 |
| Saint Louis Arpt. Rev.: | | | |
| Series 2017 A, 5% 7/1/22 (FSA Insured) | | 1,695,000 | 1,873,500 |
| Series A, 5.25% 7/1/26 (FSA Insured) | | 1,320,000 | 1,596,817 |
| Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. Series 2018 A: | | | |
| 5% 9/1/38 | | 70,000 | 70,368 |
| 5.125% 9/1/48 | | 125,000 | 125,418 |
|
| TOTAL MISSOURI | | | 4,858,633 |
|
| Nevada - 3.5% | | | |
| Clark County School District: | | | |
| Series 2015 C, 5% 6/15/26 | | 3,000,000 | 3,497,010 |
| Series 2016 B, 5% 6/15/26 | | 1,675,000 | 1,963,603 |
| Series 2017 A: | | | |
| 5% 6/15/22 | | 2,520,000 | 2,762,122 |
| 5% 6/15/24 | | 250,000 | 285,500 |
| 5% 6/15/25 | | 5,945,000 | 6,901,491 |
| 5% 6/15/26 | | 215,000 | 252,045 |
| Series A, 5% 6/15/27 | | 1,305,000 | 1,550,901 |
|
| TOTAL NEVADA | | | 17,212,672 |
|
| New Hampshire - 0.2% | | | |
| New Hampshire Health & Ed. Facilities Auth. (Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A, 5% 8/1/34 | | 65,000 | 73,861 |
| New Hampshire Health & Ed. Facilities Auth. Rev.: | | | |
| (Covenant Health Sys., Inc. Proj.) Series 2012, 5% 7/1/42 | | 610,000 | 631,789 |
| Series 2016, 5% 10/1/23 | | 170,000 | 187,864 |
|
| TOTAL NEW HAMPSHIRE | | | 893,514 |
|
| New Jersey - 5.2% | | | |
| New Jersey Econ. Dev. Auth. Rev.: | | | |
| (Provident Montclair Proj.) Series 2017, 5% 6/1/25 (FSA Insured) | | 1,005,000 | 1,150,484 |
| Series 2015 XX: | | | |
| 5% 6/15/22 | | 3,285,000 | 3,539,456 |
| 5% 6/15/23 | | 3,500,000 | 3,830,680 |
| Series 2016 BBB: | | | |
| 5% 6/15/23 | | 1,400,000 | 1,532,272 |
| 5.5% 6/15/30 | | 230,000 | 261,542 |
| Series 2018 EEE, 5% 6/15/34 | | 1,500,000 | 1,625,010 |
| New Jersey Edl. Facility Series 2016 E, 5% 7/1/22 | | 765,000 | 839,174 |
| New Jersey Health Care Facilities Fing. Auth. Rev. Series 2016: | | | |
| 4% 7/1/48 | | 200,000 | 193,932 |
| 5% 7/1/28 | | 1,170,000 | 1,313,641 |
| 5% 7/1/41 | | 90,000 | 95,658 |
| New Jersey Tobacco Settlement Fing. Corp. Series 2018 A: | | | |
| 5% 6/1/20 | | 3,000,000 | 3,107,010 |
| 5% 6/1/28 | | 1,000,000 | 1,166,910 |
| New Jersey Trans. Trust Fund Auth.: | | | |
| (Trans. Prog.) Series 2019 AA: | | | |
| 5% 6/15/46 | | 1,300,000 | 1,364,987 |
| 5.25% 6/15/43 | | 2,700,000 | 2,913,300 |
| Series 2018 A: | | | |
| 5% 12/15/32 | | 355,000 | 387,010 |
| 5% 12/15/33 | | 355,000 | 386,403 |
| 5% 12/15/34 | | 1,350,000 | 1,462,509 |
| 5% 12/15/35 | | 355,000 | 383,084 |
|
| TOTAL NEW JERSEY | | | 25,553,062 |
|
| New Mexico - 0.2% | | | |
| Albuquerque Brnl Co. Wtr. Utl Series 2018, 5% 7/1/28 | | 1,000,000 | 1,188,170 |
| New York - 8.4% | | | |
| Dorm. Auth. New York Univ. Rev. Series 2017 A, 5% 7/1/46 | | 1,265,000 | 1,423,720 |
| Hudson Yards Infrastructure Corp. New York Rev. Series 2017 A, 5% 2/15/42 | | 3,700,000 | 4,157,172 |
| Long Island Pwr. Auth. Elec. Sys. Rev. Series 2018, 5% 9/1/36 | | 250,000 | 290,663 |
| MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 | | 300,000 | 321,000 |
| New York City Gen. Oblig. Series 2004 A6, 5% 8/1/31 | | 1,195,000 | 1,420,473 |
| New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2017 EE, 5% 6/15/36 | | 4,305,000 | 4,968,530 |
| New York City Transitional Fin. Auth. Bldg. Aid Rev.: | | | |
| Series 2018 S2, 5% 7/15/35 | | 1,075,000 | 1,239,561 |
| Series 2019 S3, 5% 7/15/37 | | 2,500,000 | 2,881,950 |
| New York City Transitional Fin. Auth. Rev.: | | | |
| Series 2018 A2, 5% 8/1/39 | | 1,800,000 | 2,050,740 |
| Series 2019 B1, 5% 8/1/34 | | 2,525,000 | 2,975,990 |
| New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2012 A, 0% 11/15/32 | | 5,515,000 | 3,451,508 |
| New York Metropolitan Trans. Auth. Rev.: | | | |
| Series 2017 C1: | | | |
| 5% 11/15/29 | | 3,500,000 | 4,103,470 |
| 5% 11/15/34 | | 1,465,000 | 1,667,653 |
| Series 2017 D, 5% 11/15/35 | | 2,000,000 | 2,268,080 |
| Series D1, 5% 11/1/25 | | 2,050,000 | 2,255,800 |
| New York State Dorm. Auth. Series 2017 A, 5% 2/15/31 | | 1,000,000 | 1,174,510 |
| Triborough Bridge & Tunnel Auth. Revs. Series 2018 A, 5% 11/15/44 | | 4,000,000 | 4,591,280 |
|
| TOTAL NEW YORK | | | 41,242,100 |
|
| New York And New Jersey - 1.2% | | | |
| Port Auth. of New York & New Jersey (H. Lee Moffitt Cancer Ctr. Proj.) Series 2016, 5% 11/15/41 | | 5,000,000 | 5,655,750 |
| Ohio - 3.0% | | | |
| Akron Bath Copley Hosp. District Rev. Series 2016, 5.25% 11/15/46 | | 2,310,000 | 2,527,140 |
| Allen County Hosp. Facilities Rev. Bonds: | | | |
| (Mercy Health Proj.) Series 2015 B, SIFMA Municipal Swap Index + 0.750% 2.18%, tender 5/1/20 (a)(d) | | 400,000 | 400,476 |
| (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) | | 500,000 | 547,660 |
| American Muni. Pwr., Inc. Rev.: | | | |
| (Greenup Hydroelectric Proj.): | | | |
| Series 2016 A, 5% 2/15/41 | | 1,000,000 | 1,099,300 |
| Series 2016, 5% 2/15/46 | | 1,735,000 | 1,898,194 |
| Bonds Series 2019 A, 2.3%, tender 2/15/22 (a)(b) | | 900,000 | 900,873 |
| Chillicothe Hosp. Facilities Rev. (Adena Health Sys. Oblig. Group Proj.) Series 2017, 5% 12/1/47 | | 1,000,000 | 1,079,860 |
| Cleveland Arpt. Sys. Rev. 5% 1/1/24 (FSA Insured) | | 1,200,000 | 1,360,272 |
| Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013, 4.25% 6/15/24 | | 385,000 | 400,215 |
| Franklin County Hosp. Facilities Rev. Bonds (U.S. Health Corp. of Columbus Proj.) Series 2011 B, 5%, tender 5/15/23 (a) | | 200,000 | 224,230 |
| Miami County Hosp. Facilities Rev. (Kettering Health Network Obligated Group Proj.) Series 2019, 5% 8/1/23 (b) | | 435,000 | 490,871 |
| Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013, 4% 2/15/23 | | 1,075,000 | 1,108,916 |
| Ohio Higher Edl. Facility Commission Rev.: | | | |
| (Case Western Reserve Univ. Proj.) Series 2016, 5% 12/1/22 | | 715,000 | 798,147 |
| (Kenyon College, Oh. Proj.) Series 2017, 5% 7/1/42 | | 1,700,000 | 1,893,477 |
|
| TOTAL OHIO | | | 14,729,631 |
|
| Oklahoma - 0.3% | | | |
| Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B, 5.5% 8/15/57 | | 1,515,000 | 1,679,650 |
| Pennsylvania - 3.1% | | | |
| Centre County Pennsylvania Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.) Series 2016 A, 5% 11/15/46 | | 4,000,000 | 4,344,080 |
| Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A, 5% 6/1/34 | | 1,140,000 | 1,271,419 |
| Doylestown Hosp. Auth. Hosp. Rev. Series 2016 B: | | | |
| 5% 7/1/20 | | 285,000 | 293,633 |
| 5% 7/1/21 | | 1,215,000 | 1,276,224 |
| Pennsylvania Econ. Dev. Fing. Auth. Solid Waste Disp. Rev. Bonds (Waste Mgmt., Inc. Proj.) Series 2009, 2.8%, tender 12/1/21 (a) | | 200,000 | 201,950 |
| Pennsylvania Higher Edl. Facilities Auth. Rev.: | | | |
| Series 2012, 5% 5/1/31 | | 1,035,000 | 1,123,254 |
| Series 2016, 5% 5/1/34 | | 1,600,000 | 1,790,256 |
| Pennsylvania Tpk. Commission Tpk. Rev. Series 2016, 5% 6/1/36 | | 2,000,000 | 2,190,920 |
| Philadelphia School District Series 2018 A, 5% 9/1/26 | | 1,400,000 | 1,621,312 |
| Philadelphia Wtr. & Wastewtr. Rev. Series 2018 A, 5% 10/1/22 | | 1,000,000 | 1,110,150 |
|
| TOTAL PENNSYLVANIA | | | 15,223,198 |
|
| Pennsylvania, New Jersey - 0.5% | | | |
| Delaware River Port Auth. Pennsylvania & New Jersey Rev. Series 2018 B, 5% 1/1/24 | | 2,000,000 | 2,281,160 |
| South Carolina - 1.7% | | | |
| Greenville Hosp. Sys. Facilities Rev. Series 2012, 5% 5/1/23 | | 1,400,000 | 1,519,210 |
| Patriots Energy Group Fing. Agcy. Bonds Series 2018 A, 4%, tender 2/1/24 (a) | | 500,000 | 530,960 |
| South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev. (Bon Secours Health Sys. Proj.) Series 2013, 5% 11/1/28 (Pre-Refunded to 11/1/22 @ 100) | | 170,000 | 188,812 |
| South Carolina Pub. Svc. Auth. Rev. Series 2014 C: | | | |
| 5% 12/1/26 | | 100,000 | 111,688 |
| 5% 12/1/39 | | 1,000,000 | 1,060,520 |
| 5% 12/1/46 | | 4,675,000 | 4,922,962 |
|
| TOTAL SOUTH CAROLINA | | | 8,334,152 |
|
| Tennessee - 0.4% | | | |
| Jackson Hosp. Rev. Series 2018 A: | | | |
| 5% 4/1/27 | | 630,000 | 735,443 |
| 5% 4/1/28 | | 420,000 | 492,689 |
| 5% 4/1/41 | | 500,000 | 548,950 |
| Tennessee Energy Acquisition Corp. Bonds (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) | | 100,000 | 104,479 |
|
| TOTAL TENNESSEE | | | 1,881,561 |
|
| Texas - 13.7% | | | |
| Austin Wtr. & Wastewtr. Sys. Rev. Series 2016, 5% 11/15/33 | | 2,000,000 | 2,314,700 |
| Central Reg'l. Mobility Auth. Series 2018, 5% 1/1/25 | | 1,000,000 | 1,140,040 |
| Dallas Independent School District Series 2019: | | | |
| 5% 2/15/23 (b) | | 1,000,000 | 1,123,040 |
| 5% 2/15/24 (b) | | 700,000 | 804,720 |
| 5% 2/15/25 (b) | | 1,000,000 | 1,172,110 |
| Dallas Wtrwks. & Swr. Sys. Rev. Series 2017, 5% 10/1/46 | | 500,000 | 565,570 |
| Fort Worth Gen. Oblig. Series 2016, 5% 3/1/27 | | 1,000,000 | 1,177,490 |
| Grand Parkway Trans. Corp. Bonds Series 2018 B, 5%, tender 10/1/23 (a) | | 500,000 | 563,540 |
| Gregg County Health Facilities Dev. Series 2012 C: | | | |
| 3.82% 7/1/25 (Pre-Refunded to 7/1/22 @ 100) | | 2,280,000 | 2,381,848 |
| 5% 7/1/42 (Pre-Refunded to 7/1/22 @ 100) | | 800,000 | 882,856 |
| Harris County Toll Road Rev. Series 2018 A, 5% 8/15/43 | | 500,000 | 565,490 |
| Houston Arpt. Sys. Rev. Series 2018 D, 5% 7/1/39 | | 500,000 | 570,860 |
| Houston Gen. Oblig. Series 2017 A, 5% 3/1/31 | | 1,250,000 | 1,463,250 |
| Houston Independent School District: | | | |
| Bonds Series 2013 B, 2.4%, tender 6/1/21 (a) | | 500,000 | 504,400 |
| Series 2016 A, 5% 2/15/23 | | 1,830,000 | 2,057,432 |
| Houston Util. Sys. Rev.: | | | |
| Series 2017 B, 5% 11/15/35 | | 1,000,000 | 1,165,090 |
| Series 2018 D, 5% 11/15/43 | | 2,100,000 | 2,401,917 |
| Laredo Independent School District Series 2018, 5% 8/1/40 | | 775,000 | 882,338 |
| Lower Colorado River Auth. Rev. (LCRA Transmission Svcs. Corp. Proj.) Series 2018: | | | |
| 5% 5/15/43 | | 1,500,000 | 1,677,525 |
| 5% 5/15/48 | | 1,700,000 | 1,891,947 |
| Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/28 | | 1,550,000 | 1,760,056 |
| North Texas Tollway Auth. Rev.: | | | |
| Series 2017 A, 5% 1/1/39 | | 4,000,000 | 4,534,240 |
| Series 2018: | | | |
| 4% 1/1/37 | | 2,110,000 | 2,178,659 |
| 4% 1/1/38 | | 1,835,000 | 1,886,233 |
| 5% 1/1/35 | | 500,000 | 574,280 |
| Plano Independent School District Series 2016 A, 5% 2/15/23 | | 1,000,000 | 1,124,280 |
| San Antonio Elec. & Gas Sys. Rev. Bonds Series 2018, 2.75%, tender 12/1/22 (a) | | 1,400,000 | 1,428,588 |
| San Antonio Gen. Oblig. Series 2018, 5% 8/1/38 | | 3,000,000 | 3,500,490 |
| San Antonio Wtr. Sys. Rev. Series 2016 C, 5% 5/15/36 | | 4,025,000 | 4,615,830 |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Rev.: | | | |
| Series 2016 A, 5% 2/15/47 | | 8,000,000 | 8,816,080 |
| Series 2018 A, 5% 7/1/22 | | 800,000 | 878,400 |
| Texas Wtr. Dev. Board Rev.: | | | |
| Series 2018 A, 5% 10/15/43 | | 1,000,000 | 1,143,240 |
| Series 2018 B, 5% 4/15/49 | | 1,000,000 | 1,142,730 |
| Travis County Health Facilities Dev. Corp. Rev. (Longhorn Village Proj.) Series 2012 A, 7.125% 1/1/46 (Pre-Refunded to 1/1/21 @ 100) | | 1,500,000 | 1,647,060 |
| Univ. of Houston Univ. Revs. Series 2017 A, 5% 2/15/35 | | 5,000,000 | 5,670,250 |
| Univ. of North Texas Univ. Rev. Series 2018 A, 5% 4/15/44 | | 750,000 | 847,853 |
|
| TOTAL TEXAS | | | 67,054,432 |
|
| Utah - 0.2% | | | |
| Salt Lake City Arpt. Rev. Series 2018 B, 5% 7/1/48 | | 1,000,000 | 1,127,020 |
| Virginia - 0.7% | | | |
| Univ. of Virginia Gen. Rev. Series 2017 A, 5% 4/1/38 | | 3,000,000 | 3,478,290 |
| Washington - 1.7% | | | |
| King County Swr. Rev. Bonds Series 2012, 2.6%, tender 12/1/21 (a) | | 3,900,000 | 3,933,813 |
| Washington Fed. Hwy. Grant Anticipation Rev. (SR 520 Corridor Prog.) Series 2012 F, 5% 9/1/21 | | 480,000 | 518,976 |
| Washington Gen. Oblig. Series 2018 C, 5% 2/1/41 | | 1,000,000 | 1,142,200 |
| Washington Health Care Facilities Auth. Rev.: | | | |
| (Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B: | | | |
| 5% 7/1/31 | | 45,000 | 51,912 |
| 5% 7/1/42 | | 300,000 | 329,358 |
| Bonds Series 2012 B, 5%, tender 10/1/21 (a) | | 2,090,000 | 2,256,573 |
|
| TOTAL WASHINGTON | | | 8,232,832 |
|
| Wisconsin - 0.8% | | | |
| Pub. Fin. Auth. Wis Edl. Facilities Series 2018 A: | | | |
| 5.25% 10/1/43 | | 530,000 | 561,678 |
| 5.25% 10/1/48 | | 530,000 | 558,281 |
| Wisconsin Health & Edl. Facilities Series 2018, 5% 4/1/34 | | 2,000,000 | 2,325,880 |
| Wisconsin St Gen. Fund Annual Appropriation Series 2019 A, 5% 5/1/29 | | 500,000 | 600,810 |
|
| TOTAL WISCONSIN | | | 4,046,649 |
|
| TOTAL MUNICIPAL BONDS | | | |
| (Cost $411,633,978) | | | 419,698,436 |
|
| Municipal Notes - 0.9% | | | |
| New York - 0.7% | | | |
| New York Metropolitan Trans. Auth. Rev. BAN Series 2018 C, 5% 9/1/21 | | 3,000,000 | $3,218,370 |
| Texas - 0.2% | | | |
| Texas Gen. Oblig. TRAN Series 2018, 4% 8/29/19 | | 1,000,000 | 1,013,263 |
| TOTAL MUNICIPAL NOTES | | | |
| (Cost $4,203,320) | | | 4,231,633 |
| | | Shares | Value |
|
| Money Market Funds - 16.3% | | | |
| Fidelity Tax-Free Cash Central Fund, 1.42% (e)(f) | | | |
| (Cost $79,555,000) | | 79,547,045 | 79,555,000 |
| TOTAL INVESTMENT IN SECURITIES - 102.9% | | | |
| (Cost $495,392,298) | | | 503,485,069 |
| NET OTHER ASSETS (LIABILITIES) - (2.9)% | | | (13,968,406) |
| NET ASSETS - 100% | | | $489,516,663 |
Security Type Abbreviations
BAN – BOND ANTICIPATION NOTE
TRAN – TAX AND REVENUE ANTICIPATION NOTE
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,392,851 or 0.3% of net assets.
(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(e) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Tax-Free Cash Central Fund.
(f) Affiliated fund that is 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.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Tax-Free Cash Central Fund | $465,486 |
| Total | $465,486 |
Amounts in the 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.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2019, 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: | | | | |
| Municipal Securities | $423,930,069 | $-- | $423,930,069 | $-- |
| Money Market Funds | 79,555,000 | 79,555,000 | -- | -- |
| Total Investments in Securities: | $503,485,069 | $79,555,000 | $423,930,069 | $-- |
Other Information
The distribution of municipal securities by revenue source, as a percentage of total Net Assets, is as follows (Unaudited):
| General Obligations | 23.0% |
| Health Care | 18.1% |
| Transportation | 15.4% |
| Education | 8.1% |
| Electric Utilities | 7.5% |
| Water & Sewer | 5.7% |
| Special Tax | 5.1% |
| Others* (Individually Less Than 5%) | 17.1% |
| | 100.0% |
* Includes net other assets
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | January 31, 2019 |
| Assets | | |
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $415,837,298) | $423,930,069 | |
| Fidelity Central Funds (cost $79,555,000) | 79,555,000 | |
| Total Investment in Securities (cost $495,392,298) | | $503,485,069 |
| Cash | | 5,240,713 |
| Receivable for fund shares sold | | 2,931,876 |
| Interest receivable | | 3,899,040 |
| Distributions receivable from Fidelity Central Funds | | 76,066 |
| Prepaid expenses | | 17,689 |
| Receivable from investment adviser for expense reductions | | 87,837 |
| Other receivables | | 1,691 |
| Total assets | | 515,739,981 |
| Liabilities | | |
| Payable for investments purchased | | |
| Regular delivery | $12,180,959 | |
| Delayed delivery | 12,665,985 | |
| Payable for fund shares redeemed | 96,590 | |
| Distributions payable | 1,012,624 | |
| Accrued management fee | 134,009 | |
| Other affiliated payables | 46,668 | |
| Other payables and accrued expenses | 86,483 | |
| Total liabilities | | 26,223,318 |
| Net Assets | | $489,516,663 |
| Net Assets consist of: | | |
| Paid in capital | | $481,184,120 |
| Total distributable earnings (loss) | | 8,332,543 |
| Net Assets, for 48,023,159 shares outstanding | | $489,516,663 |
| Net Asset Value, offering price and redemption price per share ($489,516,663 ÷ 48,023,159 shares) | | $10.19 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | For the period
October 2, 2018 (commencement of operations) to
January 31, 2019 |
| Investment Income | | |
| Interest | | $2,317,714 |
| Income from Fidelity Central Funds | | 465,486 |
| Total income | | 2,783,200 |
| Expenses | | |
| Management fee | $373,227 | |
| Transfer agent fees | 119,085 | |
| Accounting fees and expenses | 27,160 | |
| Custodian fees and expenses | 1,691 | |
| Independent trustees' fees and expenses | 245 | |
| Registration fees | 95,633 | |
| Audit | 48,524 | |
| Legal | 3 | |
| Total expenses before reductions | 665,568 | |
| Expense reductions | (403,689) | |
| Total expenses after reductions | | 261,879 |
| Net investment income (loss) | | 2,521,321 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 236,739 | |
| Total net realized gain (loss) | | 236,739 |
| Change in net unrealized appreciation (depreciation) on investment securities | | 8,092,771 |
| Net gain (loss) | | 8,329,510 |
| Net increase (decrease) in net assets resulting from operations | | $10,850,831 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | For the period
October 2, 2018 (commencement of operations) to
January 31, 2019 |
| Increase (Decrease) in Net Assets | |
| Operations | |
| Net investment income (loss) | $2,521,321 |
| Net realized gain (loss) | 236,739 |
| Change in net unrealized appreciation (depreciation) | 8,092,771 |
| Net increase (decrease) in net assets resulting from operations | 10,850,831 |
| Distributions to shareholders | (2,517,396) |
| Total distributions | (2,517,396) |
| Share transactions | |
| Proceeds from sales of shares | 503,101,644 |
| Reinvestment of distributions | 502 |
| Cost of shares redeemed | (21,918,918) |
| Net increase (decrease) in net assets resulting from share transactions | 481,183,228 |
| Total increase (decrease) in net assets | 489,516,663 |
| Net Assets | |
| Beginning of period | – |
| End of period | $489,516,663 |
| Other Information | |
| Shares | |
| Sold | 50,204,627 |
| Issued in reinvestment of distributions | 50 |
| Redeemed | (2,181,518) |
| Net increase (decrease) | 48,023,159 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI Tax-Free Bond Fund
| | |
| Year ended January 31, | 2019 A |
| Selected Per–Share Data | |
| Net asset value, beginning of period | $10.00 |
| Income from Investment Operations | |
| Net investment income (loss)B | .081 |
| Net realized and unrealized gain (loss) | .176 |
| Total from investment operations | .257 |
| Distributions from net investment income | (.067) |
| Total distributions | (.067) |
| Net asset value, end of period | $10.19 |
| Total ReturnC,D | 2.58% |
| Ratios to Average Net AssetsE,F | |
| Expenses before reductions | .60%G,H |
| Expenses net of fee waivers, if any | .25%G |
| Expenses net of all reductions | .25%G |
| Net investment income (loss) | 2.38%G |
| Supplemental Data | |
| Net assets, end of period (000 omitted) | $489,517 |
| Portfolio turnover rateI | 2%J |
A For the period October 2, 2018 (commencement of operations) to January 31, 2019.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
G Annualized
H Audit fees are not annualized.
I Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
J Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended January 31, 2019
1. Organization.
Fidelity SAI Tax-Free Bond 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 (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.
The Fund invests 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 Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC 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 – Investments 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 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 delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
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 – 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Municipal securities are valued by pricing vendors 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 vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 January 31, 2019 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. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
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. 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 January 31, 2019, 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 daily and paid monthly from net investment income. Distributions from realized gains, if any, 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 market discount.
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 | $8,114,173 |
| Gross unrealized depreciation | (20,858) |
| Net unrealized appreciation (depreciation) | $8,093,315 |
| Tax Cost | $495,391,754 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed tax-exempt income | $3,381 |
| Undistributed ordinary income | $235,847 |
| Net unrealized appreciation (depreciation) on securities and other investments | $8,093,315 |
The tax character of distributions paid was as follows:
| | January 31, 2019(a) |
| Tax-exempt Income | $2,517,396 |
(a) For the period October 2, 2018 (commencement of operations) to January 31, 2019.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $418,450,391 and $5,408,101, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (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 the sum of an individual fund fee rate that is based on an annual rate of .25% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .35% of the Fund's average net assets.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .11% of average net assets.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month. For the period, the fees were equivalent to an annualized rate of .03%.
Interfund Trades. The Fund 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .25% of average net assets. This reimbursement will remain in place through March 31, 2020. 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 $400,796.
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. During the period, these credits reduced the Fund's custody expenses by $1,870.
In addition, during the period the investment adviser reimbursed and/or waived a portion of operating expenses in the amount of $1,023.
7. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI Tax-Free Bond Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI Tax-Free Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2019, the related statement of operations, the statement of changes in net assets and the financial highlights for the period from October 2, 2018 (commencement of operations) to January 31, 2019, 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 January 31, 2019, and the results of its operations, the changes in its net assets and the financial highlights for the period from October 2, 2018 (commencement of operations) to January 31, 2019, 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 audit. 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 audit 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 audit 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 audit 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 audit 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 January 31, 2019, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
March 14, 2019
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Trustees and Officers
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 260 funds. Mr. Chiel oversees 155 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. Arthur E. Johnson 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 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 FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, 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. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a 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 in April 2012, Ms. Acton was 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 of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton 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). She is the President of First to Four LLC (leadership and mentoring services, 2012-present). She also serves as a member of the Board of Directors and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor, and aerospace systems, 2013-present), Board of Directors and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and Board of Directors of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a Member of the Advisory Board of certain Fidelity® funds (2018), a member of the Board of Directors and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board of Directors, Chair of the Nomination and Governance Committee and member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Board of Directors of the Army Historical Foundation (2015-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present) and a member of the Board of Trustees of Florida Institute of Technology (2015-present) and ThanksUSA (military family education non-profit, 2014-present).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as interim president of Michigan State University (2018-2019), a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). 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).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). 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 previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Vice Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.
Marie L. Knowles (1946)
Year of Election or Appointment: 2001
Trustee
Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors 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 is also a director or trustee of many community and professional organizations.
+ 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 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
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
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).
William C. Coffey (1969)
Year of Election or Appointment: 2018
Secretary and Chief Legal Officer (CLO)
Mr. Coffey also serves as Secretary and CLO of other funds. Mr. Coffey serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2018-present); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2018-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2018-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Assistant Secretary of certain funds (2009-2018) and as Vice President and Associate General Counsel of FMR LLC (2005-2009).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.
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 is an employee of Fidelity Investments (2017-present). 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).
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 FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as 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).
John B. McGinty, Jr. (1962)
Year of Election or Appointment: 2016
Chief Compliance Officer
Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).
Jason P. Pogorelec (1975)
Year of Election or Appointment: 2015
Assistant Secretary
Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).
Nancy D. Prior (1967)
Year of Election or Appointment: 2014
Vice President
Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as President Fixed Income, High Income/Emerging Market Debt and Multi Asset Class Strategies of FIAM LLC (2018-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), President Multi-Asset Class Strategies of FMR's Global Asset Allocation Division (2017-2018), Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).
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 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 (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Deputy Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 2, 2018 to January 31, 2019). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2018 to January 31, 2019).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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.
| | Annualized Expense Ratio-A | Beginning
Account Value
| Ending
Account Value
January 31, 2019 | Expenses Paid
During Period
|
| Actual | .25% | $1,000.00 | $1,025.80 | $.85-B |
| Hypothetical-C | | $1,000.00 | $1,023.95 | $1.28-D |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Actual expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 122/365 (to reflect the period October 2, 2018 to January 31, 2019).
C 5% return per year before expenses
D Hypothetical expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Distributions (Unaudited)
The Board of Trustees of Fidelity SAI Tax-Free Bond Fund voted to pay on March 11, 2019, to shareholders of record at the opening of business on March 8, 2019, a distribution of $.005 per share derived from capital gains realized from sales of portfolio securities.
During fiscal year ended 2019, 100% of the fund's income dividends was free from federal income tax, and 0% of the fund's income dividends was subject to the federal alternative minimum tax.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity SAI Tax-Free Bond Fund
On March 8, 2018, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements with affiliates of FMR (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees’ counsel, considered a broad range of information.
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process. The Board also considered its familiarity with Fidelity's management of other fixed income index funds overseen by the Board.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund. The Board also considered the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors.
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.
Investment Performance. The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. The Board considered the Investment Advisers' strength in fundamental, research-driven security selection, which the Board is familiar with through its supervision of other Fidelity funds.
Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Expense Ratio ..In reviewing the Advisory Contracts, the Board considered the fund's proposed management fee rate and the projected total expense ratio of the fund. The Board noted that the fund's proposed management fee rate is lower than the median fee rate of funds with similar Lipper investment objective categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board also considered that the projected total expense ratio of the fund is below the median for those funds and classes used by the Board for management fee comparisons that have a similar sales load structure, after taking into account the contractual expense cap discussed below.
The Board also noted that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of its average net assets, exceed 0.25% through March 31, 2020.
Based on its review, the Board concluded that the fund's management fee and projected total expense ratio were reasonable in light of the services that the fund and its shareholders will receive and the other factors considered.
Costs of the Services and Profitability. The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its future renewal of the fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
Economies of Scale. The Board will consider economies of scale when there is operating experience to permit assessment thereof. The Board noted that the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be approved.
STF-ANN-0319
1.9887620.100
Fidelity® Series Large Cap Value Index Fund (formerly Fidelity® Series 1000 Value Index Fund)
Annual Report January 31, 2019 |
|
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
| Account Type | Website | Phone Number |
| Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
| Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
| Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
| Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
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.
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. © 2019 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q 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.
Performance: The Bottom Line
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
| For the periods ended January 31, 2019 | Past 1 year | Past 5 years | Life of fundA |
| Fidelity® Series Large Cap Value Index Fund | (4.73)% | 8.29% | 8.00% |
A From November 7, 2013
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Series Large Cap Value Index Fund on November 7, 2013, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Russell 1000® Value Index performed over the same period.
| Period Ending Values |
| $14,960 | Fidelity® Series Large Cap Value Index Fund |
| $15,217 | Russell 1000® Value Index |
Management's Discussion of Fund Performance
Market Recap: The S&P 500
® index returned -2.31% for the 12 months ending January 31, 2019, as the U.S. equity bellwether began the new year on a high note after enduring a final quarter of 2018 in which resurgent volatility upset the aging bull market. In October, rising U.S. Treasury yields and concern about peaking corporate earnings growth sent many investors fleeing from risk assets as they were still dealing with lingering uncertainty related to global trade and the U.S. Federal Reserve picking up the pace of interest rate hikes. The index returned -6.84% in October, at the time its largest monthly drop in seven years. But conditions worsened through Christmas, as jitters about the economy and another hike in rates led to a spike in market volatility and a -9.03% result for December. Sharply reversing course to begin 2019, the S&P 500
® gained 8.01% in January, its strongest opening month since 1987, amid upbeat company earnings/outlooks and signs the Fed may pause on rates. For the full period, some economically sensitive sectors were at the bottom of the 12-month performance scale: materials (-14%), energy (-12%), financials (-11%) and industrials (-8%). Meanwhile, communication services – which includes dividend-rich telecom stocks – and consumer staples returned about -5%. In contrast, the defensive utilities (+11%), real estate (+10%) and health care (+5%) sectors led the way. Information technology and consumer discretionary were rattled in the late-2018 downturn, but earlier strength resulted in each advancing about 3%.
Comments from Patrick Waddell, Senior Portfolio Manager of the Geode Capital Management, LLC, investment management team: For the fiscal year, the fund returned -4.73%, roughly in line with the -4.81% result of the benchmark Russell 1000
® Value Index. In an often-volatile investment environment the past 12 months, economically sensitive sectors within the benchmark, such as materials and industrials, struggled most, while more-defensive sectors fared best, led by utilities and real estate. Several bank stocks were notable individual detractors: Wells Fargo (-23%), JPMorgan Chase (-8%), Citigroup (-16%) and Bank of America (-9%), all of which lagged amid heightened concern about a weakening global economy. In energy, a declining oil price pressured shares of integrated energy producer Exxon Mobil (-12%) and oil-field services company Schlumberger (-38%). Elsewhere, shares of General Electric returned roughly -35%, as the industrial conglomerate experienced a variety of business challenges. Chemical manufacturer DowDuPont (-27%) and tobacco company Philip Morris International (-24%) further hampered the fund's result. In contrast, many top-contributing stocks were of companies that benefited from investors' growing risk aversion, especially during the late-2018 market downturn. Drugmakers Merck (+30%), Pfizer (+20%) and Eli Lilly (+41%), the last of which was a position established this period, helped most. Other notable contributors from health care were Abbott Laboratories (+20%) and insurance provider Anthem (+24%). Lastly, network communications equipment maker Cisco Systems (+18%) and consumer products company Procter & Gamble (+16%) added value.
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.
Investment Summary (Unaudited)
Top Ten Stocks as of January 31, 2019
| | % of fund's net assets |
| Berkshire Hathaway, Inc. Class B | 2.7 |
| JPMorgan Chase & Co. | 2.7 |
| Exxon Mobil Corp. | 2.5 |
| Johnson & Johnson | 2.3 |
| Bank of America Corp. | 2.1 |
| Pfizer, Inc. | 1.9 |
| Procter & Gamble Co. | 1.9 |
| Verizon Communications, Inc. | 1.8 |
| AT&T, Inc. | 1.7 |
| Chevron Corp. | 1.7 |
| | 21.3 |
Top Market Sectors as of January 31, 2019
| | % of fund's net assets |
| Financials | 22.6 |
| Health Care | 15.1 |
| Energy | 9.5 |
| Information Technology | 9.2 |
| Consumer Staples | 7.7 |
| Industrials | 7.6 |
| Communication Services | 7.0 |
| Utilities | 6.3 |
| Consumer Discretionary | 5.4 |
| Real Estate | 5.2 |
Asset Allocation (% of fund's net assets)
| As of January 31, 2019* |
| | Stocks and Equity Futures | 100.0% |
* Foreign investments - 5.8%
Schedule of Investments January 31, 2019
Showing Percentage of Net Assets
| Common Stocks - 99.6% | | | |
| | | Shares | Value |
| COMMUNICATION SERVICES - 7.0% | | | |
| Diversified Telecommunication Services - 3.6% | | | |
| AT&T, Inc. | | 2,111,158 | $63,461,409 |
| CenturyLink, Inc. | | 277,937 | 4,257,995 |
| Verizon Communications, Inc. | | 1,201,367 | 66,147,267 |
| | | | 133,866,671 |
| Entertainment - 1.2% | | | |
| Cinemark Holdings, Inc. | | 31,387 | 1,284,356 |
| Lions Gate Entertainment Corp.: | | | |
| Class A (a) | | 6,370 | 117,017 |
| Class B | | 32,785 | 574,721 |
| Take-Two Interactive Software, Inc. (b) | | 13,383 | 1,412,576 |
| The Madison Square Garden Co. (b) | | 4,835 | 1,343,647 |
| The Walt Disney Co. | | 122,779 | 13,692,314 |
| Twenty-First Century Fox, Inc.: | | | |
| Class A | | 297,194 | 14,654,636 |
| Class B | | 147,120 | 7,217,707 |
| Viacom, Inc.: | | | |
| Class A | | 2,494 | 85,519 |
| Class B (non-vtg.) | | 103,090 | 3,032,908 |
| Zynga, Inc. (b) | | 218,092 | 977,052 |
| | | | 44,392,453 |
| Interactive Media & Services - 0.0% | | | |
| Zillow Group, Inc.: | | | |
| Class A (b) | | 4,911 | 170,952 |
| Class C (a)(b) | | 8,863 | 311,003 |
| | | | 481,955 |
| Media - 2.1% | | | |
| Charter Communications, Inc. Class A (b) | | 14,902 | 4,933,307 |
| Comcast Corp. Class A | | 1,326,860 | 48,523,270 |
| Discovery Communications, Inc.: | | | |
| Class A (a)(b) | | 64,588 | 1,833,007 |
| Class C (non-vtg.) (b) | | 78,746 | 2,098,581 |
| DISH Network Corp. Class A (b) | | 64,670 | 1,983,429 |
| GCI Liberty, Inc. (b) | | 29,630 | 1,508,167 |
| Interpublic Group of Companies, Inc. | | 100,660 | 2,290,015 |
| John Wiley & Sons, Inc. Class A | | 12,626 | 653,774 |
| Liberty Broadband Corp.: | | | |
| Class A (a)(b) | | 7,088 | 600,850 |
| Class C (b) | | 30,826 | 2,620,827 |
| Liberty Media Corp.: | | | |
| Liberty Formula One Group Series C (b) | | 56,714 | 1,779,118 |
| Liberty Media Class A (a)(b) | | 8,277 | 253,276 |
| Liberty SiriusXM Series A (b) | | 17,516 | 696,786 |
| Liberty SiriusXM Series C (b) | | 54,837 | 2,191,287 |
| News Corp.: | | | |
| Class A | | 106,411 | 1,365,253 |
| Class B | | 40,706 | 526,329 |
| Omnicom Group, Inc. | | 21,753 | 1,694,124 |
| Tribune Media Co. Class A | | 24,928 | 1,144,444 |
| | | | 76,695,844 |
| Wireless Telecommunication Services - 0.1% | | | |
| Sprint Corp. (b) | | 186,261 | 1,162,269 |
| T-Mobile U.S., Inc. (b) | | 31,043 | 2,161,214 |
| Telephone & Data Systems, Inc. | | 29,149 | 1,055,777 |
| U.S. Cellular Corp. (b) | | 3,739 | 215,292 |
| | | | 4,594,552 |
|
| TOTAL COMMUNICATION SERVICES | | | 260,031,475 |
|
| CONSUMER DISCRETIONARY - 5.4% | | | |
| Auto Components - 0.2% | | | |
| Adient PLC | | 26,620 | 525,479 |
| Aptiv PLC | | 9,954 | 787,660 |
| BorgWarner, Inc. | | 60,947 | 2,492,732 |
| Garrett Motion, Inc. (b) | | 8,046 | 128,495 |
| Gentex Corp. | | 24,852 | 526,365 |
| Lear Corp. | | 16,870 | 2,596,799 |
| The Goodyear Tire & Rubber Co. | | 68,402 | 1,449,438 |
| Visteon Corp. (b) | | 3,074 | 236,360 |
| | | | 8,743,328 |
| Automobiles - 0.7% | | | |
| Ford Motor Co. | | 1,132,978 | 9,970,206 |
| General Motors Co. | | 380,191 | 14,835,053 |
| Harley-Davidson, Inc. | | 47,409 | 1,747,496 |
| Thor Industries, Inc. | | 2,427 | 158,046 |
| | | | 26,710,801 |
| Distributors - 0.2% | | | |
| Genuine Parts Co. | | 41,165 | 4,109,090 |
| LKQ Corp. (b) | | 76,278 | 2,000,009 |
| | | | 6,109,099 |
| Diversified Consumer Services - 0.1% | | | |
| Bright Horizons Family Solutions, Inc. (b) | | 2,447 | 283,338 |
| Graham Holdings Co. | | 1,196 | 795,340 |
| H&R Block, Inc. | | 48,808 | 1,151,381 |
| Service Corp. International | | 26,844 | 1,152,144 |
| | | | 3,382,203 |
| Hotels, Restaurants & Leisure - 2.0% | | | |
| ARAMARK Holdings Corp. | | 71,104 | 2,342,877 |
| Caesars Entertainment Corp. (a)(b) | | 169,071 | 1,545,309 |
| Carnival Corp. | | 115,853 | 6,670,816 |
| Darden Restaurants, Inc. | | 17,497 | 1,835,960 |
| Extended Stay America, Inc. unit | | 21,594 | 369,257 |
| Hyatt Hotels Corp. Class A | | 12,223 | 854,510 |
| International Game Technology PLC (a) | | 26,468 | 433,016 |
| Las Vegas Sands Corp. | | 40,436 | 2,359,845 |
| McDonald's Corp. | | 181,737 | 32,490,941 |
| MGM Mirage, Inc. | | 130,823 | 3,851,429 |
| Norwegian Cruise Line Holdings Ltd. (b) | | 64,641 | 3,324,487 |
| Royal Caribbean Cruises Ltd. | | 48,192 | 5,785,450 |
| U.S. Foods Holding Corp. (b) | | 59,031 | 1,990,525 |
| Yum China Holdings, Inc. | | 96,518 | 3,518,081 |
| Yum! Brands, Inc. | | 64,242 | 6,037,463 |
| | | | 73,409,966 |
| Household Durables - 0.4% | | | |
| D.R. Horton, Inc. | | 40,515 | 1,557,802 |
| Garmin Ltd. | | 33,061 | 2,287,160 |
| Leggett & Platt, Inc. | | 37,287 | 1,527,276 |
| Lennar Corp.: | | | |
| Class A | | 38,605 | 1,830,649 |
| Class B | | 4,604 | 175,504 |
| Mohawk Industries, Inc. (b) | | 18,077 | 2,328,137 |
| Newell Brands, Inc. | | 125,684 | 2,665,758 |
| PulteGroup, Inc. | | 50,335 | 1,399,816 |
| Toll Brothers, Inc. | | 19,722 | 728,531 |
| Whirlpool Corp. | | 18,155 | 2,414,797 |
| | | | 16,915,430 |
| Internet & Direct Marketing Retail - 0.3% | | | |
| eBay, Inc. | | 205,932 | 6,929,612 |
| Liberty Interactive Corp. QVC Group Series A (b) | | 121,488 | 2,642,364 |
| | | | 9,571,976 |
| Leisure Products - 0.1% | | | |
| Brunswick Corp. | | 22,292 | 1,121,733 |
| Hasbro, Inc. | | 7,028 | 636,456 |
| Mattel, Inc. (a)(b) | | 76,320 | 903,629 |
| | | | 2,661,818 |
| Multiline Retail - 0.6% | | | |
| Dollar Tree, Inc. (b) | | 56,532 | 5,473,994 |
| Kohl's Corp. | | 48,137 | 3,306,531 |
| Macy's, Inc. | | 88,001 | 2,314,426 |
| Target Corp. | | 152,875 | 11,159,875 |
| | | | 22,254,826 |
| Specialty Retail - 0.5% | | | |
| Advance Auto Parts, Inc. | | 14,050 | 2,236,760 |
| AutoNation, Inc. (b) | | 15,789 | 611,824 |
| AutoZone, Inc. (b) | | 958 | 811,752 |
| Best Buy Co., Inc. | | 51,858 | 3,072,068 |
| CarMax, Inc. (b) | | 19,966 | 1,173,601 |
| Dick's Sporting Goods, Inc. | | 21,993 | 776,573 |
| Foot Locker, Inc. | | 33,420 | 1,867,844 |
| Gap, Inc. | | 58,363 | 1,484,755 |
| L Brands, Inc. | | 53,619 | 1,492,753 |
| Michaels Companies, Inc. (a)(b) | | 25,965 | 359,875 |
| Penske Automotive Group, Inc. | | 10,105 | 473,722 |
| Tiffany & Co., Inc. | | 29,046 | 2,577,252 |
| Williams-Sonoma, Inc. (a) | | 18,267 | 994,273 |
| | | | 17,933,052 |
| Textiles, Apparel & Luxury Goods - 0.3% | | | |
| Capri Holdings Ltd. (b) | | 18,796 | 798,454 |
| Columbia Sportswear Co. | | 7,699 | 686,674 |
| PVH Corp. | | 22,296 | 2,432,717 |
| Ralph Lauren Corp. | | 15,632 | 1,815,500 |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (b) | | 19,954 | 542,150 |
| Tapestry, Inc. | | 67,479 | 2,612,112 |
| Under Armour, Inc.: | | | |
| Class A (sub. vtg.) (a)(b) | | 11,413 | 236,706 |
| Class C (non-vtg.) (a)(b) | | 14,414 | 273,001 |
| VF Corp. | | 21,649 | 1,822,196 |
| | | | 11,219,510 |
|
| TOTAL CONSUMER DISCRETIONARY | | | 198,912,009 |
|
| CONSUMER STAPLES - 7.7% | | | |
| Beverages - 0.6% | | | |
| Molson Coors Brewing Co. Class B | | 50,233 | 3,346,020 |
| PepsiCo, Inc. | | 46,424 | 5,230,592 |
| The Coca-Cola Co. | | 249,863 | 12,025,906 |
| | | | 20,602,518 |
| Food & Staples Retailing - 1.8% | | | |
| Casey's General Stores, Inc. | | 10,606 | 1,364,780 |
| Kroger Co. | | 229,465 | 6,500,743 |
| Walgreens Boots Alliance, Inc. | | 235,188 | 16,994,685 |
| Walmart, Inc. | | 414,244 | 39,697,003 |
| | | | 64,557,211 |
| Food Products - 2.0% | | | |
| Archer Daniels Midland Co. | | 161,472 | 7,250,093 |
| Bunge Ltd. | | 40,965 | 2,255,943 |
| Campbell Soup Co. (a) | | 15,641 | 554,161 |
| Conagra Brands, Inc. | | 142,173 | 3,076,624 |
| Flowers Foods, Inc. | | 51,087 | 1,004,370 |
| General Mills, Inc. | | 162,902 | 7,239,365 |
| Hormel Foods Corp. (a) | | 78,854 | 3,337,101 |
| Ingredion, Inc. | | 20,479 | 2,027,421 |
| Kellogg Co. | | 36,094 | 2,129,907 |
| Lamb Weston Holdings, Inc. | | 42,461 | 3,069,930 |
| McCormick & Co., Inc. (non-vtg.) | | 33,157 | 4,099,531 |
| Mondelez International, Inc. | | 415,214 | 19,207,800 |
| Pilgrim's Pride Corp. (b) | | 14,579 | 295,371 |
| Post Holdings, Inc. (b) | | 7,880 | 731,422 |
| Seaboard Corp. | | 75 | 289,813 |
| The Hain Celestial Group, Inc. (b) | | 27,149 | 497,641 |
| The Hershey Co. | | 3,583 | 380,156 |
| The J.M. Smucker Co. | | 31,913 | 3,347,035 |
| The Kraft Heinz Co. | | 174,492 | 8,386,086 |
| TreeHouse Foods, Inc. (b) | | 15,963 | 931,601 |
| Tyson Foods, Inc. Class A | | 84,453 | 5,229,330 |
| | | | 75,340,701 |
| Household Products - 2.3% | | | |
| Church & Dwight Co., Inc. | | 10,539 | 680,925 |
| Clorox Co. | | 4,797 | 711,779 |
| Colgate-Palmolive Co. | | 201,407 | 13,027,005 |
| Energizer Holdings, Inc. | | 7,080 | 335,592 |
| Kimberly-Clark Corp. | | 13,440 | 1,496,947 |
| Procter & Gamble Co. | | 723,394 | 69,785,819 |
| Spectrum Brands Holdings, Inc. | | 6,285 | 351,206 |
| | | | 86,389,273 |
| Personal Products - 0.1% | | | |
| Coty, Inc. Class A | | 132,596 | 1,028,945 |
| Herbalife Nutrition Ltd. (b) | | 25,484 | 1,521,395 |
| Nu Skin Enterprises, Inc. Class A | | 10,850 | 712,303 |
| | | | 3,262,643 |
| Tobacco - 0.9% | | | |
| Philip Morris International, Inc. | | 451,097 | 34,608,162 |
|
| TOTAL CONSUMER STAPLES | | | 284,760,508 |
|
| ENERGY - 9.5% | | | |
| Energy Equipment & Services - 0.8% | | | |
| Baker Hughes, a GE Co. Class A | | 149,461 | 3,522,796 |
| Helmerich & Payne, Inc. | | 31,024 | 1,737,034 |
| Nabors Industries Ltd. | | 97,209 | 287,739 |
| National Oilwell Varco, Inc. | | 111,025 | 3,273,017 |
| Patterson-UTI Energy, Inc. | | 62,240 | 754,971 |
| RPC, Inc. | | 9,830 | 106,066 |
| Schlumberger Ltd. | | 402,620 | 17,799,830 |
| Transocean Ltd. (United States) (a)(b) | | 151,487 | 1,298,244 |
| Weatherford International PLC (a)(b) | | 283,512 | 183,829 |
| | | | 28,963,526 |
| Oil, Gas & Consumable Fuels - 8.7% | | | |
| Anadarko Petroleum Corp. | | 97,712 | 4,624,709 |
| Antero Resources Corp. (b) | | 32,083 | 322,755 |
| Apache Corp. | | 103,179 | 3,386,335 |
| Cabot Oil & Gas Corp. | | 33,512 | 836,124 |
| Centennial Resource Development, Inc. Class A (a)(b) | | 52,114 | 686,341 |
| Cheniere Energy, Inc. (b) | | 20,251 | 1,329,478 |
| Chesapeake Energy Corp. (a)(b) | | 255,871 | 729,232 |
| Chevron Corp. | | 553,456 | 63,453,730 |
| Cimarex Energy Co. | | 23,412 | 1,763,860 |
| CNX Resources Corp. (b) | | 61,023 | 740,819 |
| Concho Resources, Inc. (b) | | 48,982 | 5,870,003 |
| ConocoPhillips Co. | | 335,117 | 22,684,070 |
| Continental Resources, Inc. (b) | | 12,898 | 595,501 |
| Devon Energy Corp. | | 137,085 | 3,653,315 |
| Diamondback Energy, Inc. | | 38,370 | 3,956,714 |
| EOG Resources, Inc. | | 148,559 | 14,737,053 |
| EQT Corp. | | 75,383 | 1,467,707 |
| Equitrans Midstream Corp. | | 60,306 | 1,255,571 |
| Extraction Oil & Gas, Inc. (b) | | 31,524 | 124,205 |
| Exxon Mobil Corp. | | 1,230,718 | 90,187,015 |
| Hess Corp. | | 75,447 | 4,074,138 |
| HollyFrontier Corp. | | 46,224 | 2,604,260 |
| Kinder Morgan, Inc. | | 552,626 | 10,002,531 |
| Kosmos Energy Ltd. (a)(b) | | 54,659 | 280,401 |
| Marathon Oil Corp. | | 243,013 | 3,837,175 |
| Marathon Petroleum Corp. | | 194,862 | 12,911,556 |
| Murphy Oil Corp. | | 46,707 | 1,277,436 |
| Newfield Exploration Co. (b) | | 36,059 | 659,159 |
| Noble Energy, Inc. | | 138,338 | 3,090,471 |
| Occidental Petroleum Corp. | | 219,084 | 14,630,430 |
| ONEOK, Inc. | | 69,571 | 4,467,154 |
| Parsley Energy, Inc. Class A (b) | | 22,627 | 420,410 |
| PBF Energy, Inc. Class A | | 33,935 | 1,242,700 |
| Phillips 66 Co. | | 121,108 | 11,554,914 |
| Pioneer Natural Resources Co. | | 21,995 | 3,130,328 |
| QEP Resources, Inc. (b) | | 67,253 | 556,182 |
| Range Resources Corp. | | 59,791 | 659,495 |
| SM Energy Co. | | 31,591 | 619,815 |
| Targa Resources Corp. | | 65,752 | 2,827,994 |
| The Williams Companies, Inc. | | 351,574 | 9,467,888 |
| Valero Energy Corp. | | 123,087 | 10,809,500 |
| Whiting Petroleum Corp. (b) | | 25,520 | 730,638 |
| WPX Energy, Inc. (b) | | 112,979 | 1,385,123 |
| | | | 323,644,235 |
|
| TOTAL ENERGY | | | 352,607,761 |
|
| FINANCIALS - 22.6% | | | |
| Banks - 11.1% | | | |
| Associated Banc-Corp. | | 48,341 | 1,046,583 |
| Bank of America Corp. | | 2,656,293 | 75,624,662 |
| Bank of Hawaii Corp. | | 11,824 | 914,350 |
| Bank of the Ozarks, Inc. | | 34,613 | 1,050,158 |
| BankUnited, Inc. | | 29,670 | 1,003,143 |
| BB&T Corp. | | 222,476 | 10,856,829 |
| BOK Financial Corp. | | 7,455 | 619,585 |
| CIT Group, Inc. | | 32,029 | 1,479,420 |
| Citigroup, Inc. | | 709,422 | 45,729,342 |
| Citizens Financial Group, Inc. | | 135,837 | 4,607,591 |
| Comerica, Inc. | | 45,328 | 3,569,127 |
| Commerce Bancshares, Inc. | | 28,485 | 1,703,403 |
| Cullen/Frost Bankers, Inc. | | 16,302 | 1,585,859 |
| East West Bancorp, Inc. | | 38,069 | 1,915,632 |
| Fifth Third Bancorp | | 190,350 | 5,105,187 |
| First Citizens Bancshares, Inc. | | 2,365 | 963,808 |
| First Hawaiian, Inc. | | 30,308 | 779,825 |
| First Horizon National Corp. | | 92,233 | 1,353,980 |
| First Republic Bank | | 47,305 | 4,571,082 |
| FNB Corp., Pennsylvania | | 92,369 | 1,076,099 |
| Huntington Bancshares, Inc. | | 314,728 | 4,166,999 |
| JPMorgan Chase & Co. | | 960,656 | 99,427,896 |
| KeyCorp | | 300,899 | 4,955,807 |
| M&T Bank Corp. | | 40,858 | 6,722,775 |
| PacWest Bancorp | | 35,667 | 1,376,390 |
| Peoples United Financial, Inc. | | 110,689 | 1,813,086 |
| Pinnacle Financial Partners, Inc. | | 11,900 | 639,863 |
| PNC Financial Services Group, Inc. | | 134,737 | 16,528,188 |
| Popular, Inc. | | 28,811 | 1,573,369 |
| Prosperity Bancshares, Inc. | | 19,024 | 1,353,367 |
| Regions Financial Corp. | | 303,810 | 4,608,798 |
| Signature Bank | | 5,685 | 723,757 |
| Sterling Bancorp | | 63,472 | 1,221,201 |
| SunTrust Banks, Inc. | | 130,282 | 7,741,356 |
| SVB Financial Group (b) | | 3,487 | 813,796 |
| Synovus Financial Corp. | | 33,215 | 1,176,475 |
| TCF Financial Corp. | | 47,072 | 1,043,116 |
| Texas Capital Bancshares, Inc. (b) | | 4,936 | 287,621 |
| U.S. Bancorp | | 438,913 | 22,454,789 |
| Umpqua Holdings Corp. | | 61,742 | 1,091,599 |
| Webster Financial Corp. | | 26,116 | 1,407,130 |
| Wells Fargo & Co. | | 1,231,931 | 60,253,745 |
| Western Alliance Bancorp. (b) | | 11,238 | 497,619 |
| Wintrust Financial Corp. | | 16,348 | 1,162,997 |
| Zions Bancorporation | | 55,427 | 2,637,771 |
| | | | 411,235,175 |
| Capital Markets - 3.2% | | | |
| Affiliated Managers Group, Inc. | | 15,412 | 1,617,489 |
| Ameriprise Financial, Inc. | | 33,942 | 4,297,057 |
| Bank of New York Mellon Corp. | | 264,851 | 13,857,004 |
| BGC Partners, Inc. Class A | | 81,657 | 505,457 |
| BlackRock, Inc. Class A | | 35,193 | 14,607,910 |
| Brighthouse Financial, Inc. (b) | | 34,167 | 1,275,796 |
| Cboe Global Markets, Inc. | | 2,283 | 212,935 |
| CME Group, Inc. | | 90,583 | 16,511,469 |
| E*TRADE Financial Corp. | | 57,558 | 2,685,656 |
| Franklin Resources, Inc. | | 88,161 | 2,610,447 |
| Goldman Sachs Group, Inc. | | 101,188 | 20,036,236 |
| Interactive Brokers Group, Inc. | | 1,702 | 85,781 |
| IntercontinentalExchange, Inc. | | 78,920 | 6,057,899 |
| Invesco Ltd. | | 118,137 | 2,152,456 |
| Lazard Ltd. Class A | | 2,927 | 116,465 |
| Legg Mason, Inc. | | 23,849 | 710,700 |
| Morgan Stanley | | 352,052 | 14,891,800 |
| Northern Trust Corp. | | 43,279 | 3,828,460 |
| Raymond James Financial, Inc. | | 26,906 | 2,165,933 |
| State Street Corp. | | 101,622 | 7,205,000 |
| T. Rowe Price Group, Inc. | | 4,724 | 441,505 |
| The NASDAQ OMX Group, Inc. | | 33,497 | 2,949,076 |
| | | | 118,822,531 |
| Consumer Finance - 0.8% | | | |
| Ally Financial, Inc. | | 123,088 | 3,207,673 |
| American Express Co. | | 65,477 | 6,724,488 |
| Capital One Financial Corp. | | 128,584 | 10,362,585 |
| Credit Acceptance Corp. (b) | | 271 | 107,863 |
| Discover Financial Services | | 52,857 | 3,567,319 |
| Navient Corp. | | 74,403 | 848,194 |
| OneMain Holdings, Inc. (b) | | 20,233 | 604,764 |
| Santander Consumer U.S.A. Holdings, Inc. | | 28,578 | 544,697 |
| SLM Corp. | | 123,934 | 1,327,333 |
| Synchrony Financial | | 139,924 | 4,203,317 |
| | | | 31,498,233 |
| Diversified Financial Services - 2.9% | | | |
| AXA Equitable Holdings, Inc. (a) | | 56,485 | 1,047,232 |
| Berkshire Hathaway, Inc. Class B (b) | | 491,454 | 101,013,440 |
| Jefferies Financial Group, Inc. | | 85,822 | 1,785,956 |
| Voya Financial, Inc. | | 42,618 | 1,978,754 |
| | | | 105,825,382 |
| Insurance - 4.2% | | | |
| AFLAC, Inc. | | 221,945 | 10,586,777 |
| Alleghany Corp. | | 3,642 | 2,300,142 |
| Allstate Corp. | | 100,448 | 8,826,366 |
| American Financial Group, Inc. | | 20,838 | 1,987,737 |
| American International Group, Inc. | | 221,362 | 9,569,479 |
| American National Insurance Co. | | 2,116 | 294,526 |
| Arch Capital Group Ltd. (b) | | 94,666 | 2,778,447 |
| Arthur J. Gallagher & Co. | | 52,000 | 3,884,920 |
| Aspen Insurance Holdings Ltd. | | 16,710 | 697,308 |
| Assurant, Inc. | | 14,925 | 1,438,621 |
| Assured Guaranty Ltd. | | 30,426 | 1,234,079 |
| Athene Holding Ltd. (b) | | 46,339 | 1,987,943 |
| Axis Capital Holdings Ltd. | | 20,843 | 1,116,143 |
| Brown & Brown, Inc. | | 63,943 | 1,736,692 |
| Chubb Ltd. | | 133,212 | 17,723,857 |
| Cincinnati Financial Corp. | | 44,405 | 3,602,134 |
| CNA Financial Corp. | | 9,127 | 418,564 |
| Erie Indemnity Co. Class A | | 1,746 | 255,579 |
| Everest Re Group Ltd. | | 6,965 | 1,525,683 |
| First American Financial Corp. | | 30,884 | 1,546,671 |
| FNF Group | | 76,643 | 2,771,411 |
| Hanover Insurance Group, Inc. | | 12,075 | 1,377,033 |
| Hartford Financial Services Group, Inc. | | 103,005 | 4,832,995 |
| Lincoln National Corp. | | 62,134 | 3,634,218 |
| Loews Corp. | | 79,994 | 3,831,713 |
| Markel Corp.(b) | | 3,587 | 3,778,940 |
| Marsh & McLennan Companies, Inc. | | 78,676 | 6,938,436 |
| Mercury General Corp. | | 7,804 | 403,467 |
| MetLife, Inc. | | 244,769 | 11,178,600 |
| Old Republic International Corp. | | 80,641 | 1,624,916 |
| Principal Financial Group, Inc. | | 80,495 | 4,030,385 |
| Prudential Financial, Inc. | | 120,075 | 11,063,711 |
| Reinsurance Group of America, Inc. | | 18,342 | 2,649,502 |
| RenaissanceRe Holdings Ltd. | | 10,331 | 1,425,988 |
| The Travelers Companies, Inc. | | 62,185 | 7,806,705 |
| Torchmark Corp. | | 29,995 | 2,512,381 |
| Unum Group | | 59,623 | 2,072,495 |
| W.R. Berkley Corp. | | 27,994 | 2,152,459 |
| White Mountains Insurance Group Ltd. | | 869 | 776,521 |
| Willis Group Holdings PLC | | 37,819 | 6,156,555 |
| | | | 154,530,099 |
| Mortgage Real Estate Investment Trusts - 0.4% | | | |
| AGNC Investment Corp. | | 147,897 | 2,648,835 |
| Annaly Capital Management, Inc. | | 398,687 | 4,162,292 |
| Chimera Investment Corp. | | 52,962 | 1,007,867 |
| MFA Financial, Inc. | | 135,450 | 992,849 |
| New Residential Investment Corp. | | 103,495 | 1,757,345 |
| Starwood Property Trust, Inc. | | 79,107 | 1,746,683 |
| Two Harbors Investment Corp. | | 69,843 | 1,019,009 |
| | | | 13,334,880 |
| Thrifts & Mortgage Finance - 0.0% | | | |
| New York Community Bancorp, Inc. (a) | | 135,877 | 1,578,891 |
| TFS Financial Corp. | | 14,386 | 234,636 |
| | | | 1,813,527 |
|
| TOTAL FINANCIALS | | | 837,059,827 |
|
| HEALTH CARE - 15.1% | | | |
| Biotechnology - 0.4% | | | |
| Agios Pharmaceuticals, Inc. (a)(b) | | 970 | 51,992 |
| Alexion Pharmaceuticals, Inc. (b) | | 10,681 | 1,313,336 |
| Alnylam Pharmaceuticals, Inc. (b) | | 2,940 | 245,578 |
| Amgen, Inc. | | 10,948 | 2,048,480 |
| Biogen, Inc. (b) | | 2,999 | 1,001,006 |
| bluebird bio, Inc. (a)(b) | | 4,989 | 665,682 |
| Gilead Sciences, Inc. | | 95,775 | 6,705,208 |
| United Therapeutics Corp. (b) | | 12,550 | 1,447,392 |
| | | | 13,478,674 |
| Health Care Equipment & Supplies - 3.9% | | | |
| Abbott Laboratories | | 496,952 | 36,267,557 |
| Baxter International, Inc. | | 128,998 | 9,351,065 |
| Becton, Dickinson & Co. | | 70,037 | 17,471,430 |
| Boston Scientific Corp. (b) | | 92,112 | 3,514,073 |
| Danaher Corp. | | 179,585 | 19,919,568 |
| Dentsply Sirona, Inc. | | 63,635 | 2,669,488 |
| Hill-Rom Holdings, Inc. | | 6,563 | 656,431 |
| Hologic, Inc. (b) | | 78,663 | 3,492,637 |
| Integra LifeSciences Holdings Corp. (b) | | 4,588 | 217,288 |
| Medtronic PLC | | 392,937 | 34,731,701 |
| Steris PLC | | 24,434 | 2,786,942 |
| Teleflex, Inc. | | 10,674 | 2,919,339 |
| The Cooper Companies, Inc. | | 11,777 | 3,282,957 |
| West Pharmaceutical Services, Inc. | | 16,426 | 1,778,443 |
| Zimmer Biomet Holdings, Inc. | | 58,853 | 6,447,935 |
| | | | 145,506,854 |
| Health Care Providers & Services - 2.5% | | | |
| Acadia Healthcare Co., Inc. (a)(b) | | 24,627 | 673,795 |
| Anthem, Inc. | | 75,576 | 22,899,528 |
| Cardinal Health, Inc. | | 86,716 | 4,333,199 |
| Centene Corp. (b) | | 6,706 | 875,602 |
| Cigna Corp. | | 77,751 | 15,535,427 |
| CVS Health Corp. | | 344,709 | 22,595,675 |
| DaVita HealthCare Partners, Inc. (b) | | 17,813 | 999,844 |
| Elanco Animal Health, Inc. (a) | | 11,971 | 349,314 |
| HCA Holdings, Inc. | | 22,645 | 3,157,392 |
| Henry Schein, Inc. (b) | | 37,701 | 2,929,368 |
| Humana, Inc. | | 1,999 | 617,671 |
| Laboratory Corp. of America Holdings (b) | | 27,325 | 3,807,739 |
| McKesson Corp. | | 49,970 | 6,408,653 |
| MEDNAX, Inc. (b) | | 26,309 | 950,018 |
| Molina Healthcare, Inc. (b) | | 2,697 | 358,647 |
| Premier, Inc. (a)(b) | | 10,049 | 399,850 |
| Quest Diagnostics, Inc. | | 39,228 | 3,426,566 |
| Universal Health Services, Inc. Class B | | 24,089 | 3,192,515 |
| Wellcare Health Plans, Inc. (b) | | 926 | 256,020 |
| | | | 93,766,823 |
| Health Care Technology - 0.1% | | | |
| Cerner Corp. (b) | | 50,877 | 2,793,656 |
| Life Sciences Tools & Services - 1.3% | | | |
| Agilent Technologies, Inc. | | 92,171 | 7,009,605 |
| Bio-Rad Laboratories, Inc. Class A (b) | | 6,159 | 1,538,949 |
| Bruker Corp. | | 17,096 | 599,386 |
| Charles River Laboratories International, Inc. (b) | | 3,816 | 470,093 |
| IQVIA Holdings, Inc. (b) | | 47,148 | 6,082,563 |
| PerkinElmer, Inc. | | 32,134 | 2,908,127 |
| QIAGEN NV (b) | | 64,452 | 2,386,658 |
| Thermo Fisher Scientific, Inc. | | 109,512 | 26,903,813 |
| Waters Corp. (b) | | 1,570 | 363,015 |
| | | | 48,262,209 |
| Pharmaceuticals - 6.9% | | | |
| Allergan PLC | | 98,421 | 14,170,656 |
| Bristol-Myers Squibb Co. | | 222,405 | 10,980,135 |
| Catalent, Inc.(b) | | 31,228 | 1,153,250 |
| Eli Lilly & Co. | | 104,691 | 12,548,263 |
| Jazz Pharmaceuticals PLC (b) | | 1,384 | 174,232 |
| Johnson & Johnson | | 639,325 | 85,081,371 |
| Merck & Co., Inc. | | 705,150 | 52,484,315 |
| Mylan NV (b) | | 149,324 | 4,472,254 |
| Perrigo Co. PLC | | 36,811 | 1,709,871 |
| Pfizer, Inc. | | 1,685,014 | 71,528,844 |
| | | | 254,303,191 |
|
| TOTAL HEALTH CARE | | | 558,111,407 |
|
| INDUSTRIALS - 7.6% | | | |
| Aerospace & Defense - 1.4% | | | |
| Arconic, Inc. | | 125,503 | 2,361,966 |
| Curtiss-Wright Corp. | | 11,547 | 1,310,815 |
| General Dynamics Corp. | | 41,138 | 7,041,591 |
| Hexcel Corp. | | 20,089 | 1,360,226 |
| Huntington Ingalls Industries, Inc. | | 1,793 | 370,165 |
| L3 Technologies, Inc. | | 22,755 | 4,480,004 |
| Lockheed Martin Corp. | | 6,309 | 1,827,654 |
| Teledyne Technologies, Inc. (b) | | 10,312 | 2,312,157 |
| Textron, Inc. | | 59,003 | 3,140,730 |
| United Technologies Corp. | | 235,292 | 27,780,926 |
| | | | 51,986,234 |
| Airlines - 0.7% | | | |
| Alaska Air Group, Inc. | | 35,019 | 2,239,465 |
| American Airlines Group, Inc. | | 119,846 | 4,286,891 |
| Copa Holdings SA Class A | | 8,880 | 842,268 |
| Delta Air Lines, Inc. | | 138,400 | 6,841,112 |
| JetBlue Airways Corp. (b) | | 89,991 | 1,618,938 |
| Southwest Airlines Co. | | 43,780 | 2,484,953 |
| United Continental Holdings, Inc. (b) | | 70,708 | 6,170,687 |
| | | | 24,484,314 |
| Building Products - 0.4% | | | |
| Allegion PLC | | 4,456 | 382,592 |
| Fortune Brands Home & Security, Inc. | | 24,261 | 1,099,023 |
| Johnson Controls International PLC | | 267,901 | 9,047,017 |
| Lennox International, Inc. | | 677 | 155,223 |
| Masco Corp. | | 28,014 | 907,934 |
| Owens Corning | | 31,197 | 1,634,411 |
| Resideo Technologies, Inc. (b) | | 13,410 | 294,081 |
| USG Corp. | | 23,216 | 1,001,770 |
| | | | 14,522,051 |
| Commercial Services & Supplies - 0.2% | | | |
| Clean Harbors, Inc. (b) | | 14,646 | 867,190 |
| KAR Auction Services, Inc. | | 2,269 | 118,011 |
| Republic Services, Inc. | | 59,415 | 4,557,725 |
| Stericycle, Inc. (b) | | 23,593 | 1,039,979 |
| Waste Management, Inc. | | 18,686 | 1,787,690 |
| | | | 8,370,595 |
| Construction & Engineering - 0.2% | | | |
| AECOM (b) | | 45,467 | 1,391,745 |
| Arcosa, Inc. | | 13,950 | 410,549 |
| Fluor Corp. | | 41,142 | 1,504,563 |
| Jacobs Engineering Group, Inc. | | 36,850 | 2,387,880 |
| Quanta Services, Inc. | | 30,217 | 1,067,869 |
| Valmont Industries, Inc. | | 6,289 | 811,281 |
| | | | 7,573,887 |
| Electrical Equipment - 0.6% | | | |
| Acuity Brands, Inc. | | 11,575 | 1,399,533 |
| AMETEK, Inc. | | 53,576 | 3,905,690 |
| Eaton Corp. PLC | | 126,410 | 9,638,763 |
| Emerson Electric Co. | | 52,987 | 3,469,059 |
| Fortive Corp. | | 7,154 | 536,478 |
| GrafTech International Ltd. | | 16,980 | 224,306 |
| Hubbell, Inc. Class B | | 5,026 | 549,493 |
| Regal Beloit Corp. | | 12,459 | 956,353 |
| Sensata Technologies, Inc. PLC (b) | | 21,936 | 1,041,960 |
| | | | 21,721,635 |
| Industrial Conglomerates - 1.4% | | | |
| 3M Co. | | 27,114 | 5,430,934 |
| Carlisle Companies, Inc. | | 16,955 | 1,826,562 |
| General Electric Co. | | 2,504,044 | 25,441,087 |
| Honeywell International, Inc. | | 83,131 | 11,940,106 |
| ITT, Inc. | | 24,931 | 1,310,373 |
| Roper Technologies, Inc. | | 23,870 | 6,761,416 |
| | | | 52,710,478 |
| Machinery - 1.3% | | | |
| AGCO Corp. | | 18,963 | 1,217,425 |
| Apergy Corp. (b) | | 22,100 | 743,002 |
| Caterpillar, Inc. | | 13,403 | 1,784,743 |
| Colfax Corp. (b) | | 25,426 | 629,294 |
| Crane Co. | | 14,249 | 1,179,247 |
| Cummins, Inc. | | 27,780 | 4,086,716 |
| Donaldson Co., Inc. | | 2,544 | 120,280 |
| Dover Corp. | | 42,101 | 3,697,731 |
| Flowserve Corp. | | 38,344 | 1,688,670 |
| Gardner Denver Holdings, Inc. (b) | | 24,201 | 597,039 |
| Gates Industrial Corp. PLC (b) | | 12,063 | 179,859 |
| IDEX Corp. | | 1,125 | 155,093 |
| Ingersoll-Rand PLC | | 32,361 | 3,237,394 |
| Middleby Corp. (a)(b) | | 6,392 | 751,827 |
| Nordson Corp. | | 1,021 | 132,362 |
| Oshkosh Corp. | | 20,950 | 1,572,298 |
| PACCAR, Inc. | | 99,520 | 6,520,550 |
| Parker Hannifin Corp. | | 31,703 | 5,224,971 |
| Pentair PLC | | 45,820 | 1,887,326 |
| Snap-On, Inc. | | 16,302 | 2,705,969 |
| Stanley Black & Decker, Inc. | | 44,302 | 5,601,545 |
| Terex Corp. | | 19,383 | 595,252 |
| Timken Co. | | 19,548 | 832,549 |
| Trinity Industries, Inc. | | 41,851 | 978,476 |
| Wabtec Corp. | | 15,653 | 1,082,561 |
| Xylem, Inc. | | 22,528 | 1,605,345 |
| | | | 48,807,524 |
| Marine - 0.0% | | | |
| Kirby Corp. (b) | | 17,264 | 1,293,246 |
| Professional Services - 0.4% | | | |
| Dun & Bradstreet Corp. | | 5,980 | 865,545 |
| Equifax, Inc. | | 25,238 | 2,700,971 |
| IHS Markit Ltd. (b) | | 110,812 | 5,753,359 |
| Manpower, Inc. | | 18,683 | 1,476,517 |
| Nielsen Holdings PLC | | 103,484 | 2,657,469 |
| | | | 13,453,861 |
| Road & Rail - 0.9% | | | |
| AMERCO | | 2,001 | 725,683 |
| CSX Corp. | | 124,129 | 8,155,275 |
| Genesee & Wyoming, Inc. Class A (b) | | 13,366 | 1,049,498 |
| Kansas City Southern | | 29,796 | 3,150,927 |
| Knight-Swift Transportation Holdings, Inc. Class A (a) | | 36,657 | 1,163,860 |
| Norfolk Southern Corp. | | 79,183 | 13,282,156 |
| Ryder System, Inc. | | 14,812 | 857,763 |
| Schneider National, Inc. Class B | | 11,382 | 241,754 |
| Union Pacific Corp. | | 17,357 | 2,760,978 |
| | | | 31,387,894 |
| Trading Companies & Distributors - 0.1% | | | |
| Air Lease Corp. Class A | | 25,594 | 971,036 |
| HD Supply Holdings, Inc. (b) | | 38,164 | 1,600,598 |
| MSC Industrial Direct Co., Inc. Class A | | 7,016 | 585,766 |
| Univar, Inc. (b) | | 28,068 | 584,656 |
| Watsco, Inc. | | 1,682 | 248,061 |
| WESCO International, Inc. (b) | | 13,391 | 701,688 |
| | | | 4,691,805 |
| Transportation Infrastructure - 0.0% | | | |
| Macquarie Infrastructure Co. LLC | | 22,617 | 976,376 |
|
| TOTAL INDUSTRIALS | | | 281,979,900 |
|
| INFORMATION TECHNOLOGY - 9.2% | | | |
| Communications Equipment - 2.0% | | | |
| Arris International PLC (b) | | 48,530 | 1,523,357 |
| Cisco Systems, Inc. | | 1,316,552 | 62,259,744 |
| CommScope Holding Co., Inc. (b) | | 54,037 | 1,129,914 |
| EchoStar Holding Corp. Class A (b) | | 13,614 | 557,902 |
| Juniper Networks, Inc. | | 98,327 | 2,550,602 |
| Motorola Solutions, Inc. | | 41,787 | 4,885,318 |
| | | | 72,906,837 |
| Electronic Equipment & Components - 0.7% | | | |
| ADT, Inc. (a) | | 29,376 | 212,095 |
| Arrow Electronics, Inc. (b) | | 24,775 | 1,881,661 |
| Avnet, Inc. | | 33,347 | 1,373,896 |
| Coherent, Inc. (b) | | 1,992 | 235,454 |
| Corning, Inc. | | 228,118 | 7,587,205 |
| Dell Technologies, Inc. (b) | | 40,047 | 1,945,884 |
| Dolby Laboratories, Inc. Class A | | 18,009 | 1,163,922 |
| FLIR Systems, Inc. | | 34,832 | 1,702,588 |
| Jabil, Inc. | | 47,657 | 1,270,059 |
| Keysight Technologies, Inc. (b) | | 54,230 | 4,014,105 |
| Littelfuse, Inc. | | 1,134 | 199,266 |
| National Instruments Corp. | | 5,967 | 263,861 |
| Trimble, Inc. (b) | | 72,631 | 2,735,283 |
| | | | 24,585,279 |
| IT Services - 1.1% | | | |
| Akamai Technologies, Inc. (b) | | 2,778 | 180,848 |
| Amdocs Ltd. | | 41,503 | 2,319,188 |
| Booz Allen Hamilton Holding Corp. Class A | | 2,096 | 102,976 |
| Cognizant Technology Solutions Corp. Class A | | 16,287 | 1,134,878 |
| Conduent, Inc. (b) | | 54,230 | 691,433 |
| CoreLogic, Inc. (b) | | 8,699 | 315,774 |
| DXC Technology Co. | | 81,343 | 5,215,713 |
| Elastic NV | | 696 | 59,160 |
| Euronet Worldwide, Inc. (b) | | 6,959 | 800,355 |
| Fidelity National Information Services, Inc. | | 86,795 | 9,072,681 |
| Genpact Ltd. | | 27,090 | 808,095 |
| IBM Corp. | | 74,996 | 10,080,962 |
| Leidos Holdings, Inc. | | 40,715 | 2,361,470 |
| Sabre Corp. | | 16,191 | 372,069 |
| The Western Union Co. | | 92,650 | 1,690,863 |
| Worldpay, Inc. (b) | | 78,985 | 6,593,668 |
| | | | 41,800,133 |
| Semiconductors & Semiconductor Equipment - 3.3% | | | |
| Analog Devices, Inc. | | 89,964 | 8,893,841 |
| Broadcom, Inc. | | 47,970 | 12,867,953 |
| Cypress Semiconductor Corp. | | 31,026 | 430,331 |
| First Solar, Inc. (b) | | 23,319 | 1,179,708 |
| Intel Corp. | | 1,326,980 | 62,527,298 |
| Marvell Technology Group Ltd. | | 117,359 | 2,174,662 |
| Micron Technology, Inc. (b) | | 71,545 | 2,734,450 |
| NXP Semiconductors NV | | 94,236 | 8,201,359 |
| Qorvo, Inc. (b) | | 35,952 | 2,349,823 |
| Qualcomm, Inc. | | 352,025 | 17,432,278 |
| Skyworks Solutions, Inc. | | 15,114 | 1,103,927 |
| Teradyne, Inc. | | 44,861 | 1,614,547 |
| | | | 121,510,177 |
| Software - 1.5% | | | |
| Aspen Technology, Inc. (b) | | 1,092 | 105,520 |
| Autodesk, Inc. (b) | | 10,287 | 1,514,246 |
| FireEye, Inc. (b) | | 19,477 | 344,353 |
| LogMeIn, Inc. | | 4,978 | 463,054 |
| Microsoft Corp. | | 116,702 | 12,187,190 |
| Nuance Communications, Inc. (b) | | 81,814 | 1,298,388 |
| Oracle Corp. | | 667,863 | 33,546,758 |
| Pluralsight, Inc. | | 882 | 26,442 |
| SolarWinds, Inc. (b) | | 2,016 | 35,381 |
| SS&C Technologies Holdings, Inc. | | 4,080 | 210,079 |
| Symantec Corp. | | 185,650 | 3,902,363 |
| Synopsys, Inc. (b) | | 38,792 | 3,621,233 |
| Teradata Corp. (b) | | 9,896 | 439,184 |
| | | | 57,694,191 |
| Technology Hardware, Storage & Peripherals - 0.6% | | | |
| Hewlett Packard Enterprise Co. | | 424,488 | 6,617,768 |
| HP, Inc. | | 460,852 | 10,152,570 |
| NCR Corp. (b) | | 6,009 | 160,741 |
| Western Digital Corp. | | 85,307 | 3,837,962 |
| Xerox Corp. | | 63,489 | 1,791,025 |
| | | | 22,560,066 |
|
| TOTAL INFORMATION TECHNOLOGY | | | 341,056,683 |
|
| MATERIALS - 4.0% | | | |
| Chemicals - 2.8% | | | |
| Air Products & Chemicals, Inc. | | 64,304 | 10,570,935 |
| Albemarle Corp. U.S. | | 30,853 | 2,490,763 |
| Ashland Global Holdings, Inc. | | 17,737 | 1,346,238 |
| Axalta Coating Systems Ltd. (b) | | 36,859 | 944,328 |
| Cabot Corp. | | 17,275 | 810,025 |
| Celanese Corp. Class A | | 14,142 | 1,354,238 |
| CF Industries Holdings, Inc. | | 66,370 | 2,897,051 |
| DowDuPont, Inc. | | 666,736 | 35,877,064 |
| Eastman Chemical Co. | | 40,564 | 3,270,270 |
| Ecolab, Inc. | | 40,389 | 6,388,328 |
| Element Solutions, Inc. (b) | | 31,644 | 355,679 |
| FMC Corp. | | 23,261 | 1,856,228 |
| Huntsman Corp. | | 63,889 | 1,403,641 |
| International Flavors & Fragrances, Inc. | | 15,355 | 2,177,032 |
| Linde PLC | | 65,372 | 10,656,290 |
| LyondellBasell Industries NV Class A | | 48,075 | 4,181,083 |
| NewMarket Corp. | | 134 | 53,746 |
| Olin Corp. | | 47,491 | 1,121,263 |
| PPG Industries, Inc. | | 65,508 | 6,907,164 |
| RPM International, Inc. | | 30,497 | 1,743,209 |
| The Mosaic Co. | | 102,060 | 3,294,497 |
| The Scotts Miracle-Gro Co. Class A | | 5,779 | 429,669 |
| Valvoline, Inc. | | 55,728 | 1,232,146 |
| W.R. Grace & Co. | | 4,908 | 348,517 |
| Westlake Chemical Corp. | | 679 | 50,178 |
| | | | 101,759,582 |
| Construction Materials - 0.0% | | | |
| Eagle Materials, Inc. | | 1,478 | 104,938 |
| Martin Marietta Materials, Inc. | | 1,498 | 264,667 |
| nVent Electric PLC | | 47,250 | 1,182,195 |
| Vulcan Materials Co. | | 2,268 | 230,542 |
| | | | 1,782,342 |
| Containers & Packaging - 0.6% | | | |
| Aptargroup, Inc. | | 18,171 | 1,801,110 |
| Ardagh Group SA | | 4,868 | 59,000 |
| Ball Corp. | | 96,992 | 5,070,742 |
| Bemis Co., Inc. | | 25,766 | 1,258,411 |
| Berry Global Group, Inc. (b) | | 18,683 | 920,138 |
| Graphic Packaging Holding Co. | | 73,061 | 881,846 |
| International Paper Co. | | 105,502 | 5,003,960 |
| Owens-Illinois, Inc. | | 45,883 | 920,872 |
| Sealed Air Corp. | | 20,578 | 812,831 |
| Silgan Holdings, Inc. | | 14,509 | 400,739 |
| Sonoco Products Co. | | 28,794 | 1,657,959 |
| WestRock Co. | | 72,310 | 2,943,740 |
| | | | 21,731,348 |
| Metals & Mining - 0.6% | | | |
| Alcoa Corp. (b) | | 54,543 | 1,618,836 |
| Freeport-McMoRan, Inc. | | 418,475 | 4,871,049 |
| Newmont Mining Corp. | | 154,048 | 5,254,577 |
| Nucor Corp. | | 91,103 | 5,579,148 |
| Reliance Steel & Aluminum Co. | | 19,973 | 1,635,389 |
| Royal Gold, Inc. | | 11,001 | 961,157 |
| Steel Dynamics, Inc. | | 54,541 | 1,995,655 |
| United States Steel Corp. | | 50,164 | 1,130,697 |
| | | | 23,046,508 |
| Paper & Forest Products - 0.0% | | | |
| Domtar Corp. | | 17,817 | 835,617 |
|
| TOTAL MATERIALS | | | 149,155,397 |
|
| REAL ESTATE - 5.2% | | | |
| Equity Real Estate Investment Trusts (REITs) - 5.0% | | | |
| Alexandria Real Estate Equities, Inc. | | 28,555 | 3,760,979 |
| American Campus Communities, Inc. | | 38,764 | 1,783,919 |
| American Homes 4 Rent Class A | | 73,531 | 1,625,770 |
| Apartment Investment & Management Co. Class A | | 44,437 | 2,200,520 |
| Apple Hospitality (REIT), Inc. | | 61,655 | 1,011,759 |
| AvalonBay Communities, Inc. | | 39,994 | 7,715,642 |
| Boston Properties, Inc. | | 44,866 | 5,916,479 |
| Brandywine Realty Trust (SBI) | | 50,076 | 753,644 |
| Brixmor Property Group, Inc. | | 85,846 | 1,470,542 |
| Brookfield Property REIT, Inc. Class A | | 43,368 | 789,298 |
| Camden Property Trust (SBI) | | 25,816 | 2,502,861 |
| Colony Capital, Inc. | | 130,884 | 794,466 |
| Columbia Property Trust, Inc. | | 33,699 | 743,737 |
| Corporate Office Properties Trust (SBI) | | 29,284 | 723,022 |
| Crown Castle International Corp. | | 29,240 | 3,422,834 |
| CubeSmart | | 54,191 | 1,677,211 |
| CyrusOne, Inc. | | 30,402 | 1,647,788 |
| DDR Corp. | | 43,488 | 568,388 |
| Digital Realty Trust, Inc. | | 59,359 | 6,430,954 |
| Douglas Emmett, Inc. | | 45,689 | 1,728,415 |
| Duke Realty Corp. | | 101,505 | 2,968,006 |
| Empire State Realty Trust, Inc. | | 38,417 | 593,927 |
| EPR Properties | | 21,050 | 1,537,913 |
| Equity Commonwealth | | 34,597 | 1,119,559 |
| Equity Residential (SBI) | | 103,900 | 7,538,984 |
| Essex Property Trust, Inc. | | 18,900 | 5,125,680 |
| Extra Space Storage, Inc. | | 4,622 | 455,775 |
| Federal Realty Investment Trust (SBI) | | 20,729 | 2,748,044 |
| Gaming & Leisure Properties | | 36,762 | 1,378,575 |
| HCP, Inc. | | 135,504 | 4,273,796 |
| Healthcare Trust of America, Inc. | | 60,352 | 1,715,204 |
| Highwoods Properties, Inc. (SBI) | | 28,943 | 1,282,754 |
| Hospitality Properties Trust (SBI) | | 46,336 | 1,235,318 |
| Host Hotels & Resorts, Inc. | | 210,180 | 3,795,851 |
| Hudson Pacific Properties, Inc. | | 38,507 | 1,250,322 |
| Invitation Homes, Inc. | | 84,965 | 1,910,863 |
| Iron Mountain, Inc. | | 82,447 | 3,067,028 |
| JBG SMITH Properties | | 29,379 | 1,135,498 |
| Kilroy Realty Corp. | | 28,731 | 2,024,386 |
| Kimco Realty Corp. | | 115,688 | 1,967,853 |
| Lamar Advertising Co. Class A | | 2,213 | 164,758 |
| Liberty Property Trust (SBI) | | 42,055 | 1,982,473 |
| Life Storage, Inc. | | 12,296 | 1,208,328 |
| Medical Properties Trust, Inc. | | 103,477 | 1,883,281 |
| Mid-America Apartment Communities, Inc. | | 32,260 | 3,267,293 |
| National Retail Properties, Inc. | | 45,687 | 2,408,162 |
| Omega Healthcare Investors, Inc. | | 52,610 | 2,114,396 |
| Outfront Media, Inc. | | 39,673 | 823,215 |
| Paramount Group, Inc. | | 59,023 | 854,653 |
| Park Hotels & Resorts, Inc. | | 57,141 | 1,718,230 |
| Prologis, Inc. | | 183,168 | 12,667,899 |
| Rayonier, Inc. | | 36,713 | 1,117,544 |
| Realty Income Corp. | | 90,063 | 6,186,427 |
| Regency Centers Corp. | | 43,207 | 2,808,455 |
| Retail Properties America, Inc. | | 62,446 | 789,317 |
| Senior Housing Properties Trust (SBI) | | 67,028 | 922,976 |
| Simon Property Group, Inc. | | 7,184 | 1,308,350 |
| SL Green Realty Corp. | | 24,296 | 2,245,679 |
| Spirit Realty Capital, Inc. | | 24,355 | 967,381 |
| Store Capital Corp. | | 67,860 | 2,193,235 |
| Sun Communities, Inc. | | 24,414 | 2,683,343 |
| The Macerich Co. | | 38,692 | 1,786,023 |
| UDR, Inc. | | 75,520 | 3,304,000 |
| Uniti Group, Inc. | | 49,174 | 979,054 |
| Ventas, Inc. | | 103,338 | 6,664,268 |
| VEREIT, Inc. | | 275,925 | 2,229,474 |
| Vornado Realty Trust | | 50,336 | 3,518,990 |
| Weingarten Realty Investors (SBI) | | 34,040 | 976,608 |
| Welltower, Inc. | | 108,032 | 8,371,400 |
| Weyerhaeuser Co. | | 217,291 | 5,701,716 |
| WP Carey, Inc. | | 50,045 | 3,747,870 |
| | | | 181,988,362 |
| Real Estate Management & Development - 0.2% | | | |
| CBRE Group, Inc. (b) | | 48,046 | 2,198,105 |
| Howard Hughes Corp. (b) | | 6,583 | 730,976 |
| Jones Lang LaSalle, Inc. | | 13,240 | 1,898,748 |
| Realogy Holdings Corp. (a) | | 36,113 | 641,006 |
| Retail Value, Inc. | | 4,367 | 132,800 |
| VICI Properties, Inc. | | 114,625 | 2,467,876 |
| | | | 8,069,511 |
|
| TOTAL REAL ESTATE | | | 190,057,873 |
|
| UTILITIES - 6.3% | | | |
| Electric Utilities - 3.7% | | | |
| Alliant Energy Corp. | | 73,742 | 3,279,307 |
| American Electric Power Co., Inc. | | 143,474 | 11,351,663 |
| Duke Energy Corp. | | 206,293 | 18,108,400 |
| Edison International | | 91,841 | 5,232,182 |
| Entergy Corp. | | 52,323 | 4,666,688 |
| Evergy, Inc. | | 77,402 | 4,436,683 |
| Eversource Energy | | 91,443 | 6,347,059 |
| Exelon Corp. | | 279,025 | 13,326,234 |
| FirstEnergy Corp. | | 140,767 | 5,518,066 |
| Hawaiian Electric Industries, Inc. | | 30,920 | 1,149,915 |
| NextEra Energy, Inc. | | 138,236 | 24,741,479 |
| OGE Energy Corp. | | 56,790 | 2,325,551 |
| PG&E Corp. (b) | | 148,360 | 1,928,680 |
| Pinnacle West Capital Corp. | | 31,801 | 2,802,304 |
| PPL Corp. | | 210,080 | 6,579,706 |
| Southern Co. | | 298,721 | 14,517,841 |
| Vistra Energy Corp. (b) | | 116,617 | 2,928,253 |
| Xcel Energy, Inc. | | 149,486 | 7,827,087 |
| | | | 137,067,098 |
| Gas Utilities - 0.2% | | | |
| Atmos Energy Corp. | | 31,608 | 3,085,889 |
| National Fuel Gas Co. | | 23,112 | 1,324,318 |
| UGI Corp. | | 50,230 | 2,864,617 |
| | | | 7,274,824 |
| Independent Power and Renewable Electricity Producers - 0.2% | | | |
| NRG Energy, Inc. | | 85,160 | 3,483,896 |
| The AES Corp. | | 190,987 | 3,130,277 |
| | | | 6,614,173 |
| Multi-Utilities - 2.0% | | | |
| Ameren Corp. | | 70,518 | 4,889,718 |
| Avangrid, Inc. | | 16,015 | 798,668 |
| CenterPoint Energy, Inc. | | 147,870 | 4,572,140 |
| CMS Energy Corp. | | 81,544 | 4,251,704 |
| Consolidated Edison, Inc. | | 91,335 | 7,092,163 |
| Dominion Resources, Inc. | | 220,114 | 15,460,807 |
| DTE Energy Co. | | 51,957 | 6,117,937 |
| MDU Resources Group, Inc. | | 55,280 | 1,421,249 |
| NiSource, Inc. | | 105,726 | 2,884,205 |
| Public Service Enterprise Group, Inc. | | 146,182 | 7,974,228 |
| Sempra Energy | | 79,366 | 9,284,235 |
| Vectren Corp. | | 24,014 | 1,738,133 |
| WEC Energy Group, Inc. | | 90,896 | 6,638,135 |
| | | | 73,123,322 |
| Water Utilities - 0.2% | | | |
| American Water Works Co., Inc. | | 52,197 | 4,993,687 |
| Aqua America, Inc. | | 52,103 | 1,826,210 |
| | | | 6,819,897 |
|
| TOTAL UTILITIES | | | 230,899,314 |
|
| TOTAL COMMON STOCKS | | | |
| (Cost $3,258,079,695) | | | 3,684,632,154 |
|
| Money Market Funds - 1.1% | | | |
| Fidelity Cash Central Fund, 2.43% (c) | | 18,430,671 | 18,434,357 |
| Fidelity Securities Lending Cash Central Fund 2.43% (c)(d) | | 20,133,502 | 20,135,515 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $38,569,496) | | | 38,569,872 |
| TOTAL INVESTMENT IN SECURITIES - 100.7% | | | |
| (Cost $3,296,649,191) | | | 3,723,202,026 |
| NET OTHER ASSETS (LIABILITIES) - (0.7)% | | | (24,783,605) |
| NET ASSETS - 100% | | | $3,698,418,421 |
| 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) | 119 | March 2019 | $16,091,775 | $893,699 | $893,699 |
The notional amount of futures purchased as a percentage of Net Assets is 0.4%
Legend
(a) Security or a portion of the security is on loan at period end.
(b) Non-income producing
(c) 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.
(d) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $165,753 |
| Fidelity Securities Lending Cash Central Fund | 85,600 |
| Total | $251,353 |
Amounts in the 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.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2019, 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 | $260,031,475 | $260,031,475 | $-- | $-- |
| Consumer Discretionary | 198,912,009 | 198,912,009 | -- | -- |
| Consumer Staples | 284,760,508 | 284,760,508 | -- | -- |
| Energy | 352,607,761 | 352,607,761 | -- | -- |
| Financials | 837,059,827 | 837,059,827 | -- | -- |
| Health Care | 558,111,407 | 558,111,407 | -- | -- |
| Industrials | 281,979,900 | 281,979,900 | -- | -- |
| Information Technology | 341,056,683 | 341,056,683 | -- | -- |
| Materials | 149,155,397 | 149,155,397 | -- | -- |
| Real Estate | 190,057,873 | 190,057,873 | -- | -- |
| Utilities | 230,899,314 | 230,899,314 | -- | -- |
| Money Market Funds | 38,569,872 | 38,569,872 | -- | -- |
| Total Investments in Securities: | $3,723,202,026 | $3,723,202,026 | $-- | $-- |
| Derivative Instruments: | | | | |
| Assets | | | | |
| Futures Contracts | $893,699 | $893,699 | $-- | $-- |
| Total Assets | $893,699 | $893,699 | $-- | $-- |
| Total Derivative Instruments: | $893,699 | $893,699 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2019. 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) | $893,699 | $0 |
| Total Equity Risk | 893,699 | 0 |
| Total Value of Derivatives | $893,699 | $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 net unrealized appreciation (depreciation).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | January 31, 2019 |
| Assets | | |
Investment in securities, at value (including securities loaned of $19,772,306) — See accompanying schedule:
Unaffiliated issuers (cost $3,258,079,695) | $3,684,632,154 | |
| Fidelity Central Funds (cost $38,569,496) | 38,569,872 | |
| Total Investment in Securities (cost $3,296,649,191) | | $3,723,202,026 |
| Segregated cash with brokers for derivative instruments | | 1,080,000 |
| Receivable for fund shares sold | | 1,793,773 |
| Dividends receivable | | 5,634,071 |
| Distributions receivable from Fidelity Central Funds | | 21,597 |
| Receivable for daily variation margin on futures contracts | | 191,965 |
| Other receivables | | 343 |
| Total assets | | 3,731,923,775 |
| Liabilities | | |
| Payable for investments purchased | $12,074,203 | |
| Payable for fund shares redeemed | 1,295,244 | |
| Other payables and accrued expenses | 11,872 | |
| Collateral on securities loaned | 20,124,035 | |
| Total liabilities | | 33,505,354 |
| Net Assets | | $3,698,418,421 |
| Net Assets consist of: | | |
| Paid in capital | | $3,260,129,933 |
| Total distributable earnings (loss) | | 438,288,488 |
| Net Assets | | $3,698,418,421 |
| Net Asset Value, offering price and redemption price per share ($3,698,418,421 ÷ 307,608,828 shares) | | $12.02 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended January 31, 2019 |
| Investment Income | | |
| Dividends | | $95,319,124 |
| Interest | | 14,413 |
| Income from Fidelity Central Funds | | 251,353 |
| Total income | | 95,584,890 |
| Expenses | | |
| Custodian fees and expenses | $57,613 | |
| Independent trustees' fees and expenses | 17,508 | |
| Interest | 4,142 | |
| Commitment fees | 10,393 | |
| Total expenses | | 89,656 |
| Net investment income (loss) | | 95,495,234 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 77,223,053 | |
| Fidelity Central Funds | 2,210 | |
| Futures contracts | (569,025) | |
| Total net realized gain (loss) | | 76,656,238 |
| Change in net unrealized appreciation (depreciation) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | (358,784,458) | |
| Fidelity Central Funds | (1,127) | |
| Futures contracts | 354,948 | |
| Total change in net unrealized appreciation (depreciation) | | (358,430,637) |
| Net gain (loss) | | (281,774,399) |
| Net increase (decrease) in net assets resulting from operations | | $(186,279,165) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended January 31, 2019 | Year ended January 31, 2018 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $95,495,234 | $89,665,724 |
| Net realized gain (loss) | 76,656,238 | 67,820,057 |
| Change in net unrealized appreciation (depreciation) | (358,430,637) | 449,647,036 |
| Net increase (decrease) in net assets resulting from operations | (186,279,165) | 607,132,817 |
| Distributions to shareholders | (163,907,299) | – |
| Distributions to shareholders from net investment income | – | (89,211,981) |
| Distributions to shareholders from net realized gain | – | (65,574,355) |
| Total distributions | (163,907,299) | (154,786,336) |
| Share transactions - net increase (decrease) | 24,332,620 | (28,820,316) |
| Total increase (decrease) in net assets | (325,853,844) | 423,526,165 |
| Net Assets | | |
| Beginning of period | 4,024,272,265 | 3,600,746,100 |
| End of period | $3,698,418,421 | $4,024,272,265 |
| Other Information | | |
| Undistributed net investment income end of period | | $4,286,936 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Series Large Cap Value Index Fund
| Years ended January 31, | 2019 | 2018 | 2017 | 2016 | 2015 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $13.22 | $11.75 | $9.68 | $10.89 | $10.01 |
| Income from Investment Operations | | | | | |
| Net investment income (loss)A | .32 | .30 | .26 | .26 | .24 |
| Net realized and unrealized gain (loss) | (.96) | 1.69 | 2.10 | (.78) | 1.06 |
| Total from investment operations | (.64) | 1.99 | 2.36 | (.52) | 1.30 |
| Distributions from net investment income | (.33) | (.30) | (.19) | (.26) | (.24) |
| Distributions from net realized gain | (.22) | (.22) | (.10) | (.43) | (.18) |
| Total distributions | (.56)B | (.52) | (.29) | (.69) | (.42) |
| Net asset value, end of period | $12.02 | $13.22 | $11.75 | $9.68 | $10.89 |
| Total ReturnC,D | (4.73)% | 17.16% | 24.44% | (4.98)% | 12.86% |
| Ratios to Average Net AssetsE,F | | | | | |
| Expenses before reductions | - %G | .03% | .10% | .10% | .10% |
| Expenses net of fee waivers, if any | - %G | .03% | .10% | .10% | .10% |
| Expenses net of all reductions | - %G | .03% | .10% | .10% | .10% |
| Net investment income (loss) | 2.52% | 2.39% | 2.41% | 2.35% | 2.18% |
| Supplemental Data | | | | | |
| Net assets, end of period (000 omitted) | $3,698,418 | $4,024,272 | $1,529,003 | $759,885 | $852,575 |
| Portfolio turnover rateH | 19% | 17% | 16% | 20% | 16% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $.56 per share is comprised of distributions from net investment income of $.333 and distributions from net realized gain of $.223 per share.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
G Amount represents less than .005%.
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended January 31, 2019
1. Organization.
Fidelity Series Large Cap Value Index Fund (the Fund) (formerly Fidelity Series 1000 Value Index Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares of the Fund are only available for purchase by mutual funds for which FMR or an affiliate serves as an investment manager. 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. Effective August 28, 2017, the Fund no longer offered Class F, and all outstanding shares of Class F were exchanged for shares of Series Large Cap Value Index.
2. Investments in Fidelity Central Funds.
The Fund invests 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 Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC 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 – Investments 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 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 delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
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 – 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 vendor 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, Exchange-Traded Funds (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.
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 January 31, 2019 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. 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. 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 January 31, 2019, 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 the short-term gain distributions from the Underlying Funds, certain deemed dividends, futures contracts, market discount, 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 | $696,117,491 |
| Gross unrealized depreciation | (281,373,726) |
| Net unrealized appreciation (depreciation) | $414,743,765 |
| Tax Cost | $3,308,458,261 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $10,378,667 |
| Undistributed long-term capital gain | $13,166,055 |
| Net unrealized appreciation (depreciation) on securities and other investments | $414,743,765 |
The tax character of distributions paid was as follows:
| | January 31, 2019 | January 31, 2018 |
| Ordinary Income | $118,443,089 | $ 133,112,221 |
| Long-term Capital Gains | 45,464,210 | 21,674,115 |
| Total | $163,907,299 | $ 154,786,336 |
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
| Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
| Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss)
Accumulated/Undistributed net realized gain (loss)
Net unrealized appreciation (depreciation) |
| Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
| Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain |
| Distributions to Shareholders Note to Financial Statements | Distributions to shareholders | Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, 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.
The Fund used derivatives 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 Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
| 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.
|
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the 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 the Fund. Counterparty credit risk related to exchange-traded futures 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. The Fund used futures contracts to manage its 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 (variation margin) 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. 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, aggregated $704,779,559 and $730,654,265, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund does not pay a management fee. Under the management contract, the investment adviser or an affiliate pays all ordinary operating expenses of the Fund, except custody fees, fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
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 SEC, the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company (FMR) or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. The Fund's 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 |
| Borrower | $5,804,917 | 2.14% | $4,142 |
Interfund Trades. The Fund 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $10,393 and is reflected in Commitment fees on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the 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 the Fund and any additional required collateral is delivered to the Fund on the next business day. The 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, the Fund may apply collateral received from the borrower against the obligation. The 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. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. At period end, there were no security loans outstanding with FCM. 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. Total security lending income during the period amounted to $85,600, including $390 from securities loaned to FCM.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| | Year ended
January 31, 2019 | Year ended
January 31, 2018 |
| Distributions to shareholders | | |
| Series Large Cap Value Index | $163,907,299 | $– |
| Total | $163,907,299 | $– |
| From net investment income | | |
| Series Large Cap Value Index | $– | $86,916,367 |
| Class F | – | 2,295,614 |
| Total | $– | $89,211,981 |
| From net realized gain | | |
| Series Large Cap Value Index | $– | $64,338,255 |
| Class F | – | 1,236,100 |
| Total | $– | $65,574,355 |
10. Share Transactions.
Transactions for each class of shares were as follows:
| | Shares | Shares | Dollars | Dollars |
| | Year ended January 31, 2019 | Year ended January 31, 2018 | Year ended January 31, 2019 | Year ended January 31, 2018 |
| Series Large Cap Value Index | | | | |
| Shares sold | 21,281,385 | 195,535,706 | $263,998,068 | $2,379,540,138 |
| Reinvestment of distributions | 14,044,982 | 11,956,005 | 163,907,299 | 151,254,621 |
| Shares redeemed | (32,054,982) | (33,319,128) | (403,572,747) | (417,036,365) |
| Net increase (decrease) | 3,271,385 | 174,172,583 | $24,332,620 | $2,113,758,394 |
| Class F | | | | |
| Shares sold | – | 12,563,131 | $– | $152,132,779 |
| Reinvestment of distributions | – | 291,155 | – | 3,531,713 |
| Shares redeemed | – | (189,185,896) | – | (2,298,243,202) |
| Net increase (decrease) | – | (176,331,610) | $– | $(2,142,578,710) |
11. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Series Large Cap Value Index Fund (formerly Fidelity Series 1000 Value Index Fund):
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Series Large Cap Value Index Fund (formerly Fidelity Series 1000 Value Index Fund) (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2019, 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 January 31, 2019, 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 January 31, 2019, by correspondence with the custodians 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
March 15, 2019
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Trustees and Officers
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 260 funds. Mr. Chiel oversees 155 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. Arthur E. Johnson 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 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 FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, 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. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a 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 in April 2012, Ms. Acton was 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 of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton 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). She is the President of First to Four LLC (leadership and mentoring services, 2012-present). She also serves as a member of the Board of Directors and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor, and aerospace systems, 2013-present), Board of Directors and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and Board of Directors of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a Member of the Advisory Board of certain Fidelity® funds (2018), a member of the Board of Directors and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board of Directors, Chair of the Nomination and Governance Committee and member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Board of Directors of the Army Historical Foundation (2015-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present) and a member of the Board of Trustees of Florida Institute of Technology (2015-present) and ThanksUSA (military family education non-profit, 2014-present).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as interim president of Michigan State University (2018-2019), a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). 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).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). 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 previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Vice Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.
Marie L. Knowles (1946)
Year of Election or Appointment: 2001
Trustee
Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors 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 is also a director or trustee of many community and professional organizations.
+ 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 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
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
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).
William C. Coffey (1969)
Year of Election or Appointment: 2018
Secretary and Chief Legal Officer (CLO)
Mr. Coffey also serves as Secretary and CLO of other funds. Mr. Coffey serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2018-present); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2018-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2018-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Assistant Secretary of certain funds (2009-2018) and as Vice President and Associate General Counsel of FMR LLC (2005-2009).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.
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 is an employee of Fidelity Investments (2017-present). 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).
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 FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as 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).
John B. McGinty, Jr. (1962)
Year of Election or Appointment: 2016
Chief Compliance Officer
Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).
Jason P. Pogorelec (1975)
Year of Election or Appointment: 2015
Assistant Secretary
Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).
Nancy D. Prior (1967)
Year of Election or Appointment: 2014
Vice President
Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as President Fixed Income, High Income/Emerging Market Debt and Multi Asset Class Strategies of FIAM LLC (2018-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), President Multi-Asset Class Strategies of FMR's Global Asset Allocation Division (2017-2018), Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).
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 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 (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Deputy Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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 (August 1, 2018 to January 31, 2019).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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.
| | Annualized Expense Ratio-A | Beginning
Account Value
August 1, 2018 | Ending
Account Value
January 31, 2019 | Expenses Paid
During Period-B
August 1, 2018
to January 31, 2019 |
| Series Large Cap Value Index | - %-C | | | |
| Actual | | $1,000.00 | $967.50 | $--D |
| Hypothetical-E | | $1,000.00 | $1,025.21 | $--D |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
C Amount represents less than .005%.
D Amount represents less than $.005.
E 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity Series Large Cap Value Index Fund voted to pay on March 11, 2019 to shareholders of record at the opening of business on March 8, 2019, a distribution of $0.072 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.006 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended January 31, 2019, $53,571,825, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 76% and 77% of the dividends distributed in March and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 82% of the dividends distributed 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 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Series Large Cap Value Index Fund (formerly known as Fidelity Series 1000 Value Index Fund)
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund, including the fund's sub-advisory agreement with Geode Capital Management, LLC (Geode). FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
At its September 2018 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In considering whether to renew the Advisory Contracts for the fund, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable.
Nature, Extent, and Quality of Services Provided. The Board considered staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity and Geode, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups and with representatives of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of the fund.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.
Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers.
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer an investment option for other investment companies managed by Fidelity and ultimately to enhance the performance of those investment companies.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered that the fund does not pay FMR a management fee for investment advisory services. The Board also noted that FMR or an affiliate undertakes to pay all operating expenses of the fund, except transfer agent fees, 12b-1 fees, Independent Trustee fees and expenses, custodian fees and expenses, proxy and shareholder meeting expenses, interest, taxes, brokerage expenses, and extraordinary expenses (such as litigation expenses).
The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of its average net assets, exceed 0.014% through March 31, 2021.
Based on its review, the Board considered that the fund does not pay a management fee and concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds.
PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund, with limited exceptions.
Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR or an affiliate bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contracts.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of Fidelity's voluntary expense limitation agreements; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (ix) the impact of recent changes to the money market fund landscape, including the full implementation of money market fund reform and rising interest rates, on Fidelity's money market funds; (x) the funds' share class structures and distribution channels; and (xi) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory and sub-advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
XS6-ANN-0319
1.967963.105
Fidelity® Tax-Free Bond Fund
Annual Report January 31, 2019 |
|
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the fund or from your financial intermediary, such as a financial advisor, broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a fund electronically, by contacting your financial intermediary. For Fidelity customers, visit Fidelity's web site or call Fidelity using the contact information listed below.
You may elect to receive all future reports in paper free of charge. If you wish to continue receiving paper copies of your shareholder reports, you may contact your financial intermediary or, if you are a Fidelity customer, visit Fidelity’s website, or call Fidelity at the applicable toll-free number listed below. Your election to receive reports in paper will apply to all funds held with the fund complex/your financial intermediary.
| Account Type | Website | Phone Number |
| Brokerage, Mutual Fund, or Annuity Contracts: | fidelity.com/mailpreferences | 1-800-343-3548 |
| Employer Provided Retirement Accounts: | netbenefits.fidelity.com/preferences (choose 'no' under Required Disclosures to continue to print) | 1-800-343-0860 |
| Advisor Sold Accounts Serviced Through Your Financial Intermediary: | Contact Your Financial Intermediary | Your Financial Intermediary's phone number |
| Advisor Sold Accounts Serviced by Fidelity: | institutional.fidelity.com | 1-877-208-0098 |
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.
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. © 2019 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-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q 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.
Performance: The Bottom Line
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
| For the periods ended January 31, 2019 | Past 1 year | Past 5 years | Past 10 years |
| Fidelity® Tax-Free Bond Fund | 3.09% | 3.95% | 4.93% |
$25,000 Over 10 Years
Let's say hypothetically that $25,000 was invested in Fidelity® Tax-Free Bond Fund on January 31,2009.
The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays 3+ Year Non-AMT Municipal Bond Index performed over the same period.
| Period Ending Values |
| $40,451 | Fidelity® Tax-Free Bond Fund |
| $40,423 | Bloomberg Barclays 3+ Year Non-AMT Municipal Bond Index |
Management's Discussion of Fund Performance
Market Recap: Tax-exempt municipal bonds posted healthy gains for the 12 months ending January 31, 2019, supported by lower bond issuance and solid U.S. economic growth. The Bloomberg Barclays Municipal Bond Index returned 3.26% for the fiscal year. Tax reform had a significant impact on both the supply of and demand for tax-exempt bonds during the period. In the final months of 2017, municipal issuers accelerated their bond financings in order to issue tax-exempt debt under the old tax rules, prompting a surge in supply. Investors absorbed this excess supply, anticipating that issuance would fall significantly in 2018. The municipal market turned lower early in the period, as domestic fixed-income markets reacted to robust economic data and signs of inflation, before stabilizing in March and rallying through August. The municipal market experienced volatility in September and October amid concerns of an economic slowdown, then rebounded in December and January. Gross municipal bond issuance declined notably year-over-year. There was little differentiation in performance across municipal sectors for the period. General obligation bonds gained 3.38%, and within this segment, state and local bonds performed similarly. Looking ahead, market volatility is possible due to uncertainty about how the U.S. Federal Reserve will react to labor and inflation trends.
Comments from Co-Portfolio Managers Cormac Cullen, Elizah McLaughlin and Kevin Ramundo: For the year ending January 31 31, 2018, the fund gained 3.09%, lagging, net of fees, the 3.46% advance of its benchmark, the Bloomberg Barclays 3+ Year Non-AMT Municipal Bond Index. The fund handily outpaced the Lipper peer group average. Relative to the 3+ Year Non-AMT benchmark, differences in the way fund holdings and index components were priced detracted from fund performance. Also detracting was the fund's exposure to bonds issued by South Carolina Service Authority (Santee Cooper), which were hurt by a range of concerns about the utility. Underweighting bonds backed by the state of California, some of the best performers in the national municipal marketplace, also detracted versus the index. In contrast, an overweighting in lower-investment-grade bonds contributed to relative performance. The portfolio's overweighting in bonds with exposure to 10-year interest rates was another positive for the fund versus the index. On an individual security basis, overweighting bonds issued by Presence Health helped since they performed quite well.
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.
Note to Shareholders: On September 1, 2018, Elizah McLaughlin joined the municipal bond portfolio management team, succeeding Mark Sommer, who retired from Fidelity on December 31, 2018, after 27 years with the firm.
Investment Summary (Unaudited)
Top Five States as of January 31, 2019
| | % of fund's net assets |
| Illinois | 18.9 |
| Texas | 9.9 |
| Florida | 9.5 |
| New York | 6.3 |
| New Jersey | 4.6 |
Top Five Sectors as of January 31, 2019
| | % of fund's net assets |
| General Obligations | 26.4 |
| Health Care | 24.0 |
| Transportation | 16.2 |
| Electric Utilities | 8.3 |
| Special Tax | 6.6 |
Quality Diversification (% of fund's net assets)
| As of January 31, 2019 |
| | AAA | 3.4% |
| | AA,A | 73.8% |
| | BBB | 15.3% |
| | BB and Below | 1.6% |
| | Not Rated | 2.5% |
| | Short-Term Investments and Net Other Assets | 3.4% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Schedule of Investments January 31, 2019
Showing Percentage of Net Assets
| Municipal Bonds - 96.6% | | | |
| | | Principal Amount | Value |
| Alabama - 0.1% | | | |
| Auburn Univ. Gen. Fee Rev. Series 2018 A, 5% 6/1/43 | | 1,800,000 | 2,059,974 |
| Montgomery Med. Clinic Facilities 5% 3/1/36 | | 2,450,000 | 2,624,538 |
|
| TOTAL ALABAMA | | | 4,684,512 |
|
| Alaska - 0.3% | | | |
| Alaska Gen. Oblig. Series 2016 A, 5% 8/1/31 | | 4,340,000 | 4,986,443 |
| Alaska Int'l. Arpts. Revs. Series 2016 B: | | | |
| 5% 10/1/31 | | $1,685,000 | $1,911,986 |
| 5% 10/1/33 | | 2,200,000 | 2,479,246 |
| North Slope Borough Gen. Oblig. Series 2017 A, 5% 6/30/21 (Pre-Refunded to 6/30/20 @ 100) | | 965,000 | 1,009,438 |
|
| TOTAL ALASKA | | | 10,387,113 |
|
| Arizona - 1.8% | | | |
| Arizona Board of Regents Ctfs. of Prtn.: | | | |
| (Univ. of Arizona Univ. Revs.) Series 2018 B: | | | |
| 5% 6/1/26 | | 1,100,000 | 1,309,748 |
| 5% 6/1/27 | | 500,000 | 602,155 |
| 5% 6/1/29 | | 1,725,000 | 2,084,852 |
| (Univ. of Arizona Univ. Revs.). Series 2018 B, 5% 6/1/30 | | 1,470,000 | 1,760,428 |
| Arizona Ctfs. of Prtn. Series 2010 A: | | | |
| 5.25% 10/1/23 (FSA Insured) | | 5,000,000 | 5,116,600 |
| 5.25% 10/1/26 (FSA Insured) | | 1,000,000 | 1,023,320 |
| 5.25% 10/1/28 (FSA Insured) | | 500,000 | 511,660 |
| Arizona Health Facilities Auth. Rev. (Banner Health Sys. Proj.) Series 2007 B, 3 month U.S. LIBOR + 0.810% 2.684%, tender 1/1/37 (a)(b) | | 1,000,000 | 952,520 |
| Arizona Indl. Dev. Auth. Rev. (Provident Group-Eastern Michigan Univ. Parking Proj.) Series 2018: | | | |
| 5% 5/1/37 | | 1,090,000 | 1,185,757 |
| 5% 5/1/43 | | 1,000,000 | 1,066,210 |
| Glendale Gen. Oblig.: | | | |
| Series 2015, 4% 7/1/21 (FSA Insured) | | 1,205,000 | 1,266,612 |
| Series 2017, 5% 7/1/24 | | 3,475,000 | 3,999,134 |
| Glendale Indl. Dev. Auth. (Terraces of Phoenix Proj.) Series 2018 A: | | | |
| 5% 7/1/38 | | 155,000 | 158,408 |
| 5% 7/1/48 | | 200,000 | 202,042 |
| Maricopa County Indl. Dev. Auth. Sr. Living Facilities Series 2016: | | | |
| 5.75% 1/1/36 (c) | | 455,000 | 454,964 |
| 6% 1/1/48 (c) | | 2,825,000 | 2,838,927 |
| Maricopa County School District #28 Kyrene Elementary Series 2010 B, 4% 7/1/21 | | 375,000 | 395,081 |
| Maricopa County Unified School District #48 Scottsdale Series 2017 B: | | | |
| 5% 7/1/29 | | 1,150,000 | 1,385,152 |
| 5% 7/1/30 | | 1,500,000 | 1,789,035 |
| 5% 7/1/31 | | 800,000 | 946,808 |
| 5% 7/1/32 | | 3,250,000 | 3,830,255 |
| Phoenix Civic Impt. Board Arpt. Rev.: | | | |
| Series 2015 A, 5% 7/1/45 | | 3,170,000 | 3,550,780 |
| Series 2017 B: | | | |
| 5% 7/1/30 | | 4,000,000 | 4,754,000 |
| 5% 7/1/34 | | 2,000,000 | 2,325,940 |
| 5% 7/1/35 | | 2,000,000 | 2,317,820 |
| Phoenix Civic Impt. Corp. District Rev. (Plaza Expansion Proj.) Series 2005 B, 5.5% 7/1/38 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 5,000,000 | 6,424,650 |
| Pima County Swr. Sys. Rev. Series 2012 A, 5% 7/1/27 | | 1,000,000 | 1,098,000 |
| Salt Verde Finl. Corp. Sr. Gas Rev. Series 2007: | | | |
| 5.25% 12/1/23 | | 2,500,000 | 2,819,075 |
| 5.5% 12/1/29 | | 2,100,000 | 2,547,447 |
| Scottsdale Indl. Dev. Auth. Hosp. Rev. (Scottsdale Healthcare Proj.) Series 2006 C, 5% 9/1/35 (FSA Insured) | | 285,000 | 297,147 |
| Tempe Indl. Dev. Auth. Rev. (Mirabella At Asu, Inc. Proj.): | | | |
| Series 2017 A: | | | |
| 6.125% 10/1/47 (c) | | 285,000 | 306,666 |
| 6.125% 10/1/52 (c) | | 285,000 | 305,631 |
| Series 2017 B: | | | |
| 4% 10/1/23 (c) | | 4,300,000 | 4,316,254 |
| 6% 10/1/37 (c) | | 140,000 | 151,365 |
|
| TOTAL ARIZONA | | | 64,094,443 |
|
| California - 3.4% | | | |
| Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Bonds: | | | |
| Series A, 2.95%, tender 4/1/26 (a) | | 4,695,000 | 4,914,867 |
| Series B, 2.85%, tender 4/1/25 (a) | | 3,840,000 | 3,999,091 |
| Series C, 2.1%, tender 4/1/22 (a) | | 3,585,000 | 3,605,327 |
| Cabrillo Cmnty. College District Series B, 0% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 2,155,000 | 2,060,396 |
| California Edl. Facilities Auth. Rev. Series T1, 5% 3/15/39 | | 2,140,000 | 2,715,382 |
| California Gen. Oblig.: | | | |
| Series 2007, 5.625% 5/1/20 | | 5,000 | 5,017 |
| Series 2009, 6% 4/1/38 | | 1,625,000 | 1,635,579 |
| 5.25% 12/1/33 | | 35,000 | 35,089 |
| 5.25% 4/1/35 | | 2,920,000 | 3,193,020 |
| 5.5% 4/1/30 | | 5,000 | 5,015 |
| 5.5% 3/1/40 | | 600,000 | 621,756 |
| 5.6% 3/1/36 | | 300,000 | 311,295 |
| California Health Facilities Fing. Auth. Rev. Series 2013 A, 5% 8/15/52 | | 15,070,000 | 16,172,521 |
| California Pub. Works Board Lease Rev.: | | | |
| (Coalinga State Hosp. Proj.) Series 2013 E, 5% 6/1/26 | | 5,265,000 | 5,932,444 |
| (Various Judicial Council Projs.) Series 2011 D, 5% 12/1/22 | | 1,400,000 | 1,528,492 |
| California Statewide Cmntys. Dev. Auth. Series 2016: | | | |
| 5% 5/15/25 | | 1,000,000 | 1,145,690 |
| 5% 5/15/26 | | 1,000,000 | 1,158,220 |
| 5% 5/15/27 | | 1,000,000 | 1,151,770 |
| 5% 5/15/28 | | 1,000,000 | 1,146,790 |
| 5% 5/15/32 | | 1,250,000 | 1,401,075 |
| 5% 5/15/33 | | 1,500,000 | 1,674,045 |
| Carlsbad Unified School District Series 2009 B, 0% 5/1/34 (Pre-Refunded to 5/1/24 @ 100) (d) | | 1,450,000 | 1,726,776 |
| Fontana Unified School District Gen. Oblig.: | | | |
| 5% 5/1/21 (Assured Guaranty Corp. Insured) | | 1,880,000 | 1,894,871 |
| 5% 5/1/22 (Assured Guaranty Corp. Insured) | | 1,840,000 | 1,854,426 |
| Golden State Tobacco Securitization Corp. Tobacco Settlement Rev.: | | | |
| Series 2013 A, 5% 6/1/29 | | 2,500,000 | 2,776,300 |
| Series 2017 A1: | | | |
| 5% 6/1/21 | | 1,110,000 | 1,182,638 |
| 5% 6/1/22 | | 1,555,000 | 1,692,260 |
| 5% 6/1/23 | | 1,780,000 | 1,971,297 |
| 5% 6/1/24 | | 1,000,000 | 1,115,430 |
| Merced Union High School District Series A, 0% 8/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,455,000 | 1,387,008 |
| Northern California Transmission Agcy. Rev. Series 2009: | | | |
| 5% 5/1/23 | | 1,000,000 | 1,007,740 |
| 5% 5/1/23 (Pre-Refunded to 5/1/19 @ 100) | | 1,235,000 | 1,245,325 |
| 5% 5/1/24 | | 675,000 | 680,211 |
| 5% 5/1/24 (Pre-Refunded to 5/1/19 @ 100) | | 835,000 | 841,981 |
| Oakland-Alameda County Coliseum Auth. (Oakland Coliseum Proj.) Series 2012 A, 5% 2/1/19 | | 1,500,000 | 1,500,000 |
| Poway Unified School District: | | | |
| (District #2007-1 School Facilities Proj.) Series 2008 A, 0% 8/1/32 | | 1,300,000 | 834,808 |
| Series B: | | | |
| 0% 8/1/33 | | 4,350,000 | 2,661,113 |
| 0% 8/1/37 | | 8,000,000 | 4,039,200 |
| 0% 8/1/38 | | 4,225,000 | 2,036,239 |
| 0% 8/1/39 | | 7,220,000 | 3,318,240 |
| 0% 8/1/41 | | 4,900,000 | 2,055,452 |
| Poway Unified School District Pub. Fing.: | | | |
| 5% 9/1/27 | | 1,050,000 | 1,162,550 |
| 5% 9/1/30 | | 1,370,000 | 1,492,245 |
| Riverside Swr. Rev. Series 2015 A: | | | |
| 5% 8/1/30 | | 2,880,000 | 3,363,437 |
| 5% 8/1/31 | | 1,630,000 | 1,896,114 |
| Sacramento City Fing. Auth. Rev. Series A, 0% 12/1/26 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,600,000 | 1,302,128 |
| San Bernardino County Ctfs. of Prtn. (Arrowhead Proj.) Series 2009 A, 5.25% 8/1/26 | | 1,000,000 | 1,016,860 |
| San Diego Cmnty. College District Series 2011, 0% 8/1/35 | | 3,000,000 | 1,720,500 |
| San Diego Unified School District: | | | |
| Series 2008 C: | | | |
| 0% 7/1/34 | | 1,300,000 | 767,442 |
| 0% 7/1/37 | | 5,105,000 | 2,623,153 |
| Series 2008 E, 0% 7/1/47 (d) | | 2,600,000 | 1,707,784 |
| San Jose Fing. Auth. Lease Rev. (Civic Ctr. Proj.) Series 2013 A: | | | |
| 5% 6/1/24 | | 1,000,000 | 1,141,960 |
| 5% 6/1/27 | | 1,000,000 | 1,127,660 |
| San Marcos Unified School District Series 2010 B, 0% 8/1/47 | | 3,700,000 | 1,179,116 |
| Santa Monica-Malibu Unified School District Series 1999, 0% 8/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,000,000 | 975,490 |
| Santa Rosa Wastewtr. Rev. Series 2002 B, 0% 9/1/25 (AMBAC Insured) | | 1,700,000 | 1,456,033 |
| Univ. of California Revs.: | | | |
| Series 2016, 5.25% 5/15/39 (Pre-Refunded to 5/15/19 @ 100) | | 550,000 | 555,797 |
| Series 2017 AV, 5% 5/15/36 | | 1,610,000 | 1,868,808 |
| Washington Township Health Care District Gen. Oblig. Series 2013 B, 5.5% 8/1/38 | | 2,000,000 | 2,332,900 |
| Washington Township Health Care District Rev.: | | | |
| Series 2009 A: | | | |
| 5.5% 7/1/19 | | 390,000 | 395,239 |
| 6% 7/1/29 | | 1,000,000 | 1,014,260 |
| Series 2010 A, 5.25% 7/1/30 | | 1,900,000 | 1,977,729 |
| Yuba City Unified School District Series A, 0% 9/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,000,000 | 928,690 |
|
| TOTAL CALIFORNIA | | | 122,240,091 |
|
| Colorado - 1.2% | | | |
| Arkansas River Pwr. Auth. Rev. Series 2018 A: | | | |
| 5% 10/1/38 | | 1,450,000 | 1,559,127 |
| 5% 10/1/43 | | 1,810,000 | 1,925,369 |
| Colorado Health Facilities Auth.: | | | |
| (Parkview Episcopal Med. Ctr., Co. Proj.) Series 2017: | | | |
| 5% 9/1/23 | | 270,000 | 303,604 |
| 5% 9/1/24 | | 225,000 | 257,753 |
| 5% 9/1/25 | | 260,000 | 302,778 |
| 5% 9/1/28 | | 2,200,000 | 2,583,130 |
| (Parkview Med. Ctr., Inc. Proj.) Series 2016, 5% 9/1/46 | | 3,700,000 | 4,017,682 |
| Colorado Health Facilities Auth. Retirement Hsg. Rev. (Liberty Heights Proj.): | | | |
| Series B, 0% 7/15/20 (Escrowed to Maturity) | | 2,000,000 | 1,944,900 |
| 0% 7/15/22 (Escrowed to Maturity) | | 4,500,000 | 4,197,330 |
| Colorado Reg'l. Trans. District Ctfs. of Prtn. Series 2013 A, 5% 6/1/20 | | 1,450,000 | 1,511,814 |
| Colorado Univ. Co. Hosp. Auth. Rev. Bonds Series 2017C-2, 5%, tender 3/1/22 (a) | | 3,825,000 | 4,106,558 |
| Denver City & County Arpt. Rev.: | | | |
| Series 2017 B, 5% 11/15/33 | | 6,500,000 | 7,611,630 |
| Series 2018 B, 5% 12/1/48 | | 3,640,000 | 4,129,325 |
| E-470 Pub. Hwy. Auth. Rev.: | | | |
| Series 2000 B, 0% 9/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 2,090,000 | 2,017,623 |
| Series 2010 C, 5.375% 9/1/26 | | 1,000,000 | 1,045,220 |
| Univ. of Colorado Enterprise Sys. Rev.: | | | |
| Series 2009 A, 5.5% 6/1/26 (Pre-Refunded to 6/1/19 @ 100) | | 1,250,000 | 1,265,613 |
| Series 2016 A, 5% 6/1/47 | | 3,115,000 | 3,515,278 |
|
| TOTAL COLORADO | | | 42,294,734 |
|
| Connecticut - 1.8% | | | |
| Connecticut Gen. Oblig.: | | | |
| Series 2016 B, 5% 5/15/27 | | 10,000,000 | 11,376,000 |
| Series 2016 E: | | | |
| 5% 10/15/26 | | 2,030,000 | 2,340,265 |
| 5% 10/15/29 | | 2,930,000 | 3,312,775 |
| Series 2018 F: | | | |
| 5% 9/15/25 | | 1,950,000 | 2,228,831 |
| 5% 9/15/27 | | 1,000,000 | 1,158,200 |
| 5% 9/15/28 | | 4,500,000 | 5,246,685 |
| Connecticut Health & Edl. Facilities Auth. Rev.: | | | |
| (Sacred Heart Univ., CT. Proj.) Series 2017 I-1: | | | |
| 5% 7/1/34 | | 1,050,000 | 1,182,563 |
| 5% 7/1/35 | | 1,200,000 | 1,344,948 |
| 5% 7/1/36 | | 400,000 | 446,760 |
| 5% 7/1/37 | | 1,555,000 | 1,729,564 |
| 5% 7/1/42 | | 1,655,000 | 1,816,727 |
| Bonds Series U2, 2%, tender 2/8/22 (a)(e) | | 11,500,000 | 11,557,040 |
| Series 2016 K, 4% 7/1/46 | | 4,465,000 | 4,399,007 |
| Series K1: | | | |
| 5% 7/1/31 | | 1,400,000 | 1,568,252 |
| 5% 7/1/35 | | 1,180,000 | 1,295,003 |
| Connecticut State Revolving Fund Gen. Rev. Series 2017 A: | | | |
| 5% 5/1/33 | | 3,125,000 | 3,662,875 |
| 5% 5/1/35 | | 2,325,000 | 2,700,883 |
| Hbr. Point Infra Impt. District Series 2017: | | | |
| 5% 4/1/30 (c) | | 2,430,000 | 2,654,168 |
| 5% 4/1/39 (c) | | 3,125,000 | 3,263,063 |
| New Haven Gen. Oblig. Series 2016 A: | | | |
| 5% 8/15/19 (Escrowed to Maturity) | | 260,000 | 264,442 |
| 5% 8/15/19 (Escrowed to Maturity) | | 1,990,000 | 2,025,060 |
| 5% 8/15/25 (FSA Insured) | | 570,000 | 665,082 |
|
| TOTAL CONNECTICUT | | | 66,238,193 |
|
| Delaware - 0.4% | | | |
| Delaware Trans. Auth. (U.S. 301 Proj.) Series 2015, 5% 6/1/55 | | 13,000,000 | 14,214,590 |
| District Of Columbia - 0.8% | | | |
| District of Columbia Gen. Oblig. Series 2017 A, 5% 6/1/33 | | 2,300,000 | 2,697,578 |
| District of Columbia Hosp. Rev. Series 2015: | | | |
| 5% 7/15/29 | | 4,000,000 | 4,565,560 |
| 5% 7/15/30 | | 6,495,000 | 7,365,005 |
| District of Columbia Income Tax Rev. Series 2011 A, 5% 12/1/36 | | 2,340,000 | 2,509,112 |
| District of Columbia Rev. Series B, 4.75% 6/1/32 | | 800,000 | 825,944 |
| Washington Convention & Sports Auth. Series 2018 A, 5% 10/1/22 | | 5,250,000 | 5,824,560 |
| Washington D.C. Metropolitan Transit Auth. Rev. Series 2017 B, 5% 7/1/33 | | 4,545,000 | 5,326,513 |
|
| TOTAL DISTRICT OF COLUMBIA | | | 29,114,272 |
|
| Florida - 9.5% | | | |
| Brevard County School Board Ctfs. of Prtn.: | | | |
| Series 2014, 5% 7/1/27 | | 1,700,000 | 1,949,832 |
| Series 2015 C: | | | |
| 5% 7/1/25 | | 1,375,000 | 1,614,690 |
| 5% 7/1/27 | | 1,455,000 | 1,685,923 |
| Broward County Arpt. Sys. Rev. Series 2012 P-2, 5% 10/1/21 | | 1,630,000 | 1,763,872 |
| Broward County School Board Ctfs. of Prtn.: | | | |
| (Broward County School District Proj.) Series 2016 A, 5% 7/1/28 | | 1,595,000 | 1,864,284 |
| (Broward County School District) Series 2012 A, 5% 7/1/24 | | 4,345,000 | 4,764,814 |
| Series 2012 A, 5% 7/1/24 (Pre-Refunded to 7/1/22 @ 100) | | 4,485,000 | 4,957,315 |
| Series 2015 A: | | | |
| 5% 7/1/24 | | 940,000 | 1,084,901 |
| 5% 7/1/26 | | 3,635,000 | 4,244,917 |
| Series 2016, 5% 7/1/32 | | 1,020,000 | 1,166,972 |
| Central Florida Expressway Auth. Sr. Lien Rev. Orlando & Orange County Expressway Auth. Rev. Series 2017: | | | |
| 5% 7/1/37 | | 5,500,000 | 6,259,385 |
| 5% 7/1/38 | | 3,000,000 | 3,400,230 |
| 5% 7/1/39 | | 1,250,000 | 1,413,700 |
| Citizens Property Ins. Corp.: | | | |
| Series 2011 A1, 5% 6/1/20 | | 1,000,000 | 1,041,690 |
| Series 2012 A1, 5% 6/1/21 | | 4,525,000 | 4,852,067 |
| Collier County Indl. Dev. Auth. Healthcare Facilities Rev. (NCH Healthcare Sys. Proj.) Series 2011, 6.25% 10/1/39 | | 3,505,000 | 3,805,589 |
| Duval County School Board Ctfs. of Prtn. Series 2015 B, 5% 7/1/29 | | 6,380,000 | 7,355,630 |
| Florida Board of Ed. Pub. Ed. Cap. Outlay Series 2011 E, 5% 6/1/24 | | 2,385,000 | 2,559,081 |
| Florida Mid-Bay Bridge Auth. Rev.: | | | |
| Series 2015 A, 5% 10/1/35 | | 2,600,000 | 2,841,254 |
| Series 2015 C, 5% 10/1/35 | | 2,000,000 | 2,171,760 |
| Florida Muni. Pwr. Agcy. Rev.: | | | |
| (Pwr. Supply Proj.) Series 2017 A, 5% 10/1/28 | | 400,000 | 490,716 |
| (Requirements Pwr. Supply Proj.) Series 2016 A: | | | |
| 5% 10/1/30 | | 985,000 | 1,151,278 |
| 5% 10/1/31 | | 1,075,000 | 1,250,849 |
| (St. Lucie Proj.) Series 2012 A, 5% 10/1/26 | | 1,125,000 | 1,237,601 |
| Series 2015 B, 5% 10/1/29 | | 1,250,000 | 1,449,688 |
| Gainesville Utils. Sys. Rev. Series 2017 A: | | | |
| 5% 10/1/30 | | 2,810,000 | 3,365,874 |
| 5% 10/1/35 | | 5,000,000 | 5,848,750 |
| Halifax Hosp. Med. Ctr. Rev.: | | | |
| 4% 6/1/27 | | 585,000 | 619,492 |
| 5% 6/1/24 | | 835,000 | 940,218 |
| 5% 6/1/28 | | 655,000 | 733,135 |
| Highlands County Health Facilities Auth. Rev. Series 2008: | | | |
| 6% 11/15/37 | | 4,990,000 | 5,150,778 |
| 6% 11/15/37 (Pre-Refunded to 11/15/19 @ 100) | | 10,000 | 10,333 |
| Hillsborough County Aviation Auth. Rev. Series 2018 F, 5% 10/1/48 | | 2,500,000 | 2,840,075 |
| Hillsborough County Indl. Dev. Auth. Indl. Dev. Rev. (Health Facilities/Univ. Cmnty. Hosp. Proj.) Series 2008 B, 8% 8/15/32 (Pre-Refunded to 8/15/19 @ 101) | | 1,500,000 | 1,564,140 |
| Hillsborough County School Board Ctfs. of Prtn. Series 2015 A, 5% 7/1/26 | | 8,000,000 | 9,347,520 |
| Indian River County School Board Ctfs. of Prtn. Series 2014, 5% 7/1/24 | | 2,600,000 | 2,990,702 |
| Jacksonville Elec. Auth. Elec. Sys. Rev. Series 2012 A: | | | |
| 4% 10/1/23 | | 175,000 | 182,922 |
| 4% 10/1/23 (Pre-Refunded to 4/1/21 @ 100) | | 2,160,000 | 2,263,874 |
| Jacksonville Fla Health Care F (Baptist Med. Ctr. Proj.) Series 2017: | | | |
| 5% 8/15/26 | | 2,000,000 | 2,377,500 |
| 5% 8/15/34 | | 2,750,000 | 3,150,098 |
| Jacksonville Sales Tax Rev. Series 2012, 5% 10/1/25 | | 2,250,000 | 2,476,890 |
| Lake County School Board Ctfs. of Prtn. Series 2014 A, 5% 6/1/29 (FSA Insured) | | 1,500,000 | 1,681,860 |
| Miami-Dade County Aviation Rev.: | | | |
| Series 2010 A, 5.5% 10/1/41 (Pre-Refunded to 10/1/20 @ 100) | | 1,500,000 | 1,593,540 |
| Series 2010: | | | |
| 5.375% 10/1/35 | | 900,000 | 947,610 |
| 5.5% 10/1/30 (Pre-Refunded to 10/1/20 @ 100) | | 755,000 | 802,082 |
| Series 2014 A, 5% 10/1/37 | | 8,500,000 | 9,434,405 |
| Series 2014 B, 5% 10/1/34 | | 2,225,000 | 2,488,062 |
| Series 2016 A, 5% 10/1/41 | | 8,500,000 | 9,482,685 |
| Miami-Dade County Cap. Asset Acquisition Series 2012 A, 5% 10/1/24 | | 1,000,000 | 1,103,810 |
| Miami-Dade County Expressway Auth.: | | | |
| Series 2010 A, 5% 7/1/40 | | 3,300,000 | 3,424,113 |
| Series 2014 A: | | | |
| 5% 7/1/25 | | 1,430,000 | 1,644,100 |
| 5% 7/1/27 | | 1,000,000 | 1,140,920 |
| 5% 7/1/28 | | 2,225,000 | 2,533,674 |
| 5% 7/1/29 | | 1,010,000 | 1,147,370 |
| 5% 7/1/44 | | 18,800,000 | 20,683,572 |
| Series 2014 B, 5% 7/1/30 | | 2,500,000 | 2,827,800 |
| Miami-Dade County School Board Ctfs. of Prtn.: | | | |
| Series 2011 B, 5.625% 5/1/31 | | 2,195,000 | 2,352,996 |
| Series 2014 D: | | | |
| 5% 11/1/22 | | 2,085,000 | 2,311,744 |
| 5% 11/1/25 | | 6,655,000 | 7,585,302 |
| Series 2015 A, 5% 5/1/29 | | 12,370,000 | 14,154,125 |
| Series 2015 B, 5% 5/1/27 | | 13,000,000 | 14,972,360 |
| Series 2016 A, 5% 5/1/32 | | 10,000,000 | 11,299,600 |
| Series 2016 B, 5% 8/1/26 | | 4,505,000 | 5,307,160 |
| Miami-Dade County Transit Sales Surtax Rev. Series 2012: | | | |
| 5% 7/1/22 | | 765,000 | 845,830 |
| 5% 7/1/42 | | 800,000 | 864,664 |
| Miami-Dade County Wtr. & Swr. Rev. Series 2008 A, 5.25% 10/1/22 (FSA Insured) | | 6,000,000 | 6,729,540 |
| Orange County Health Facilities Auth.: | | | |
| (Orlando Health, Inc.) Series 2009, 5.375% 10/1/23 | | 2,500,000 | 2,559,825 |
| Series 2012 A, 5% 10/1/42 | | 6,315,000 | 6,686,764 |
| Series 2012 B, 5% 10/1/42 | | 2,500,000 | 2,647,175 |
| Orange County School Board Ctfs. of Prtn. Series 2015 C, 5% 8/1/28 | | 5,000,000 | 5,803,250 |
| Orlando & Orange County Expressway Auth. Rev. Series 2012, 5% 7/1/23 | | 1,150,000 | 1,268,703 |
| Orlando Utils. Commission Util. Sys. Rev. Series 2009 B, 5% 10/1/33 | | 3,540,000 | 3,558,904 |
| Palm Beach County Health Facilities Auth. Hosp. Rev. Series 2014: | | | |
| 5% 12/1/23 | | 190,000 | 211,915 |
| 5% 12/1/24 | | 380,000 | 430,966 |
| 5% 12/1/31 | | 1,500,000 | 1,637,385 |
| Palm Beach County School Board Ctfs. of Prtn.: | | | |
| (Palm Beach County School District Proj.) Series 2018 A, 5% 8/1/24 | | 760,000 | 879,305 |
| Series 2014 B: | | | |
| 5% 8/1/22 | | 3,025,000 | 3,352,245 |
| 5% 8/1/23 | | 3,550,000 | 4,029,854 |
| Series 2015 B: | | | |
| 5% 8/1/23 | | 1,500,000 | 1,702,755 |
| 5% 8/1/25 | | 875,000 | 1,029,980 |
| Series 2015 D: | | | |
| 5% 8/1/28 | | 1,980,000 | 2,301,968 |
| 5% 8/1/29 | | 6,765,000 | 7,838,538 |
| 5% 8/1/31 | | 7,015,000 | 8,055,325 |
| Saint Lucie County School Board Ctfs. of Prtn. Series 2013 A, 5% 7/1/26 | | 2,515,000 | 2,794,718 |
| South Florida Wtr. Mgmt. District Ctfs. of Prtn. Series 2015: | | | |
| 5% 10/1/27 | | 500,000 | 589,340 |
| 5% 10/1/28 | | 4,000,000 | 4,680,760 |
| 5% 10/1/30 | | 2,000,000 | 2,314,440 |
| 5% 10/1/32 | | 3,310,000 | 3,786,177 |
| South Lake County Hosp. District (South Lake Hosp., Inc.) Series 2009 A, 6% 4/1/29 | | 2,375,000 | 2,387,421 |
| South Miami Health Facilities Auth. Hosp. Rev. (Baptist Med. Ctr., FL. Proj.) Series 2017: | | | |
| 5% 8/15/29 | | 1,480,000 | 1,746,459 |
| 5% 8/15/32 | | 3,920,000 | 4,522,112 |
| 5% 8/15/35 | | 705,000 | 802,459 |
| 5% 8/15/37 | | 5,000,000 | 5,643,300 |
| 5% 8/15/42 | | 3,400,000 | 3,794,536 |
| 5% 8/15/47 | | 5,200,000 | 5,774,964 |
| Tallahassee Health Facilities Rev.: | | | |
| (Tallahassee Memorial Healthcare, Inc. Proj.) Series 2016 A: | | | |
| 5% 12/1/29 | | 1,425,000 | 1,604,336 |
| 5% 12/1/36 | | 1,100,000 | 1,201,442 |
| Series 2015 A, 5% 12/1/40 | | 1,000,000 | 1,073,830 |
| Tampa Bay Wtr. Reg'l. Wtr. Supply Auth. Util. Sys. Rev. Series 2011 B: | | | |
| 5% 10/1/19 (Escrowed to Maturity) | | 1,420,000 | 1,450,327 |
| 5% 10/1/19 (Escrowed to Maturity) | | 1,305,000 | 1,333,305 |
| Tampa Tax Allocation (H. Lee Moffitt Cancer Ctr. Proj.) Series 2012 A, 5% 9/1/25 | | 900,000 | 989,100 |
| Volusia County School Board Ctfs. of Prtn.: | | | |
| (Florida Master Lease Prog.) Series 2016 A: | | | |
| 5% 8/1/30 (Build America Mutual Assurance Insured) | | 1,160,000 | 1,325,776 |
| 5% 8/1/31 (Build America Mutual Assurance Insured) | | 2,215,000 | 2,516,462 |
| (Master Lease Prog.) Series 2014 B, 5% 8/1/22 | | 810,000 | 894,443 |
|
| TOTAL FLORIDA | | | 342,819,827 |
|
| Georgia - 2.2% | | | |
| Burke County Indl. Dev. Auth. Poll. Cont. Rev. Bonds: | | | |
| (Georgia Pwr. Co. Plant Vogtle Proj.) Series 1995 5, 2.05%, tender 11/19/21 (a) | | 2,725,000 | 2,665,404 |
| (Oglethorpe Pwr. Corp. Vogtle Proj.) Series 2013 A, 2.4%, tender 4/1/20 (a) | | 2,400,000 | 2,396,424 |
| 2.2%, tender 4/2/19 (a) | | 5,900,000 | 5,900,608 |
| Colquitt County Dev. Auth. Rev.: | | | |
| Series A, 0% 12/1/21 (Escrowed to Maturity) | | 4,120,000 | 3,896,943 |
| Series C, 0% 12/1/21 (Escrowed to Maturity) | | 3,000,000 | 2,837,580 |
| DeKalb County Wtr. & Swr. Rev. Series 2011 A, 5.25% 10/1/36 | | 1,000,000 | 1,077,770 |
| Fulton County Wtr. & Swr. Rev. Series 2013, 5% 1/1/32 | | 10,000,000 | 11,062,700 |
| Georgia Muni. Elec. Auth. Pwr. Rev.: | | | |
| Series C, 5% 1/1/22 | | 2,900,000 | 3,118,138 |
| Series GG, 5% 1/1/23 | | 1,600,000 | 1,764,336 |
| Georgia Muni. Gas Auth. Rev. (Gas Portfolio III Proj.): | | | |
| Series R, 5% 10/1/21 | | 1,225,000 | 1,322,302 |
| Series S, 5% 10/1/24 | | 1,575,000 | 1,737,320 |
| Main Street Natural Gas, Inc. Bonds Series 2018 C, 4%, tender 12/1/23 (a) | | 24,120,000 | 25,585,531 |
| Monroe County Dev. Auth. Poll. Cont. Rev. Bonds (Georgia Pwr. Co. Plant Scherer Proj.) Series 2009 1, 2.05%, tender 11/19/21 (a) | | 2,750,000 | 2,689,858 |
| Private Colleges & Univs. Auth. Rev. (The Savannah College of Art and Design Projs.) Series 2014: | | | |
| 5% 4/1/28 | | 2,560,000 | 2,854,707 |
| 5% 4/1/44 | | 9,105,000 | 9,707,114 |
| Valdosta & Lowndes County Hosp. Series 2007, 5% 10/1/24 | | 1,000,000 | 1,008,910 |
|
| TOTAL GEORGIA | | | 79,625,645 |
|
| Hawaii - 0.1% | | | |
| Hawaii Gen. Oblig. Series 2017 FK, 5% 5/1/33 | | 4,200,000 | 4,922,904 |
| Idaho - 0.5% | | | |
| Idaho Health Facilities Auth. Rev. Series 2015 ID: | | | |
| 5% 12/1/24 | | 500,000 | 579,095 |
| 5.5% 12/1/26 | | 1,200,000 | 1,435,728 |
| 5.5% 12/1/27 | | 3,250,000 | 3,867,273 |
| Idaho Hsg. & Fin. Assoc. Single Family Mtg. (Idaho St Garvee Proj.) Series 2017 A: | | | |
| 5% 7/15/20 | | 1,115,000 | 1,164,105 |
| 5% 7/15/21 | | 1,660,000 | 1,782,873 |
| 5% 7/15/22 | | 1,850,000 | 2,039,218 |
| 5% 7/15/23 | | 880,000 | 992,596 |
| 5% 7/15/24 | | 705,000 | 810,390 |
| 5% 7/15/25 | | 705,000 | 824,892 |
| 5% 7/15/26 | | 500,000 | 592,660 |
| 5% 7/15/27 | | 1,765,000 | 2,115,458 |
|
| TOTAL IDAHO | | | 16,204,288 |
|
| Illinois - 18.9% | | | |
| Boone & Winnebago County Cmnty. Unit School District 200 Series 2003, 0% 1/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,065,000 | 1,042,731 |
| Chicago Board of Ed.: | | | |
| Series 1998 B1, 0% 12/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,505,000 | 1,382,042 |
| Series 1999 A, 5.25% 12/1/21 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,115,000 | 1,187,720 |
| Series 2010 F, 5% 12/1/20 | | 570,000 | 586,490 |
| Series 2011 A: | | | |
| 5% 12/1/41 | | 1,865,000 | 1,866,324 |
| 5.25% 12/1/41 | | 1,510,000 | 1,520,902 |
| 5.5% 12/1/39 | | 2,700,000 | 2,742,768 |
| Series 2012 A, 5% 12/1/42 | | 2,815,000 | 2,821,587 |
| Series 2015 C, 5.25% 12/1/39 | | 800,000 | 818,048 |
| Series 2016 B, 6.5% 12/1/46 | | 400,000 | 448,324 |
| Series 2017 A, 7% 12/1/46 (c) | | 1,400,000 | 1,646,904 |
| Series 2017 C: | | | |
| 5% 12/1/22 | | 1,370,000 | 1,427,937 |
| 5% 12/1/23 | | 2,730,000 | 2,861,996 |
| 5% 12/1/24 | | 1,840,000 | 1,939,562 |
| 5% 12/1/25 | | 1,710,000 | 1,806,974 |
| 5% 12/1/26 | | 500,000 | 529,150 |
| Series 2017 D, 5% 12/1/24 | | 1,805,000 | 1,902,669 |
| Series 2018 A: | | | |
| 5% 12/1/24 | | 1,280,000 | 1,349,261 |
| 5% 12/1/29 | | 4,445,000 | 4,739,659 |
| 5% 12/1/31 | | 850,000 | 893,044 |
| Series 2018 C, 5% 12/1/46 | | 8,695,000 | 8,748,040 |
| Chicago Midway Arpt. Rev. Series 2016 B: | | | |
| 4% 1/1/35 | | 815,000 | 829,760 |
| 5% 1/1/36 | | 4,500,000 | 4,951,485 |
| 5% 1/1/37 | | 5,300,000 | 5,797,564 |
| 5% 1/1/41 | | 6,000,000 | 6,490,500 |
| 5% 1/1/46 | | 8,470,000 | 9,130,237 |
| Chicago O'Hare Int'l. Arpt. Rev.: | | | |
| Series 2013 D, 5% 1/1/27 | | 5,175,000 | 5,698,400 |
| Series 2016 B, 5% 1/1/34 | | 2,835,000 | 3,158,247 |
| Series 2016 C: | | | |
| 5% 1/1/32 | | 4,750,000 | 5,341,803 |
| 5% 1/1/33 | | 1,305,000 | 1,459,812 |
| 5% 1/1/34 | | 1,510,000 | 1,682,170 |
| Series 2017 B: | | | |
| 5% 1/1/34 | | 1,515,000 | 1,707,541 |
| 5% 1/1/35 | | 2,540,000 | 2,851,480 |
| 5% 1/1/36 | | 1,650,000 | 1,846,235 |
| 5% 1/1/37 | | 6,400,000 | 7,132,864 |
| 5% 1/1/38 | | 2,250,000 | 2,497,725 |
| 5% 1/1/39 | | 5,000,000 | 5,535,900 |
| Chicago Transit Auth.: | | | |
| Series 2014, 5.25% 12/1/49 | | 12,000,000 | 13,104,000 |
| Series 2017, 5% 12/1/46 | | 1,900,000 | 2,034,387 |
| Chicago Transit Auth. Cap. Grant Receipts Rev. Series 2017: | | | |
| 5% 6/1/22 | | 980,000 | 1,064,535 |
| 5% 6/1/23 | | 880,000 | 974,195 |
| 5% 6/1/24 | | 1,495,000 | 1,684,177 |
| 5% 6/1/25 | | 745,000 | 849,568 |
| 5% 6/1/26 | | 1,595,000 | 1,833,851 |
| Chicago Wtr. Rev. Series 2017, 5.25% 11/1/33 (FSA Insured) | | 445,000 | 446,108 |
| Cook County Forest Preservation District Series 2012 C, 5% 12/15/22 | | 1,230,000 | 1,330,651 |
| Cook County Gen. Oblig.: | | | |
| Series 2010 A: | | | |
| 5.25% 11/15/22 | | 2,065,000 | 2,168,395 |
| 5.25% 11/15/33 | | 13,180,000 | 13,682,817 |
| Series 2011 A, 5.25% 11/15/28 | | 1,625,000 | 1,723,556 |
| Series 2012 C: | | | |
| 5% 11/15/23 | | 4,375,000 | 4,775,313 |
| 5% 11/15/24 | | 3,500,000 | 3,812,340 |
| 5% 11/15/25 (FSA Insured) | | 5,800,000 | 6,363,702 |
| Series 2016 A, 5% 11/15/29 | | 6,110,000 | 6,795,175 |
| Des Plaines Pub. Library District 5.5% 1/1/30 | | 4,210,000 | 4,328,385 |
| Grundy & Will Counties Cmnty. School Gen. Obligan Series 2018, 5% 2/1/29 | | 675,000 | 779,146 |
| Illinois Dev. Fin. Auth. Retirement Hsg. Regency Park Rev. 0% 7/15/23 (Escrowed to Maturity) | | 5,600,000 | 5,098,688 |
| Illinois Fin. Auth. Rev.: | | | |
| (Bradley Univ. Proj.) Series 2017 C, 5% 8/1/31 | | 1,175,000 | 1,333,978 |
| (Depaul Univ. Proj.) Series 2016 A: | | | |
| 4% 10/1/31 | | 1,480,000 | 1,561,859 |
| 5% 10/1/33 | | 1,500,000 | 1,704,945 |
| (Northwestern Memorial Hosp.,IL. Proj.) Series 2017 A: | | | |
| 5% 7/15/25 | | 795,000 | 933,330 |
| 5% 7/15/27 | | 1,300,000 | 1,568,060 |
| 5% 7/15/30 | | 1,490,000 | 1,756,874 |
| (OSF Healthcare Sys.) Series 2018 A: | | | |
| 4.125% 5/15/47 | | 11,085,000 | 11,002,084 |
| 5% 5/15/43 | | 10,000,000 | 11,040,900 |
| (Palos Cmnty. Hosp. Proj.) Series 2010 C, 5.375% 5/15/30 | | 7,630,000 | 7,900,560 |
| (Presence Health Proj.) Series 2016 C: | | | |
| 5% 2/15/26 | | 1,425,000 | 1,682,555 |
| 5% 2/15/29 | | 3,455,000 | 4,060,662 |
| 5% 2/15/36 | | 2,390,000 | 2,692,502 |
| (Rosalind Franklin Univ. Research Bldg. Proj.) Series 2017 C, 5% 8/1/49 | | 490,000 | 520,630 |
| (Rush Univ. Med. Ctr. Proj.) Series 2015 A, 5% 11/15/34 | | 1,200,000 | 1,321,236 |
| Bonds: | | | |
| (Ascension Health Cr. Group Proj.) Series 2012 E2, 1.75%, tender 4/1/21 (a) | | 1,045,000 | 1,036,661 |
| Series 2017 B, 5%, tender 12/15/22 (a) | | 3,045,000 | 3,388,963 |
| Series 2009, 7.75% 8/15/34 (Pre-Refunded to 8/15/19 @ 100) | | 60,000 | 61,892 |
| Series 2010 A: | | | |
| 5.5% 8/15/24 (Pre-Refunded to 2/15/20 @ 100) | | 1,050,000 | 1,090,037 |
| 5.75% 8/15/29 (Pre-Refunded to 2/15/20 @ 100) | | 700,000 | 728,469 |
| Series 2012 A: | | | |
| 5% 5/15/19 | | 1,000,000 | 1,008,821 |
| 5% 5/15/23 | | 700,000 | 762,146 |
| Series 2012: | | | |
| 4% 9/1/32 | | 3,020,000 | 3,101,963 |
| 5% 9/1/22 | | 800,000 | 885,608 |
| 5% 9/1/32 | | 4,000,000 | 4,321,360 |
| 5% 9/1/38 | | 5,400,000 | 5,769,090 |
| 5% 11/15/43 | | 1,640,000 | 1,728,101 |
| Series 2013: | | | |
| 4% 5/15/33 | | 1,055,000 | 1,067,903 |
| 5% 11/15/24 | | 1,115,000 | 1,226,768 |
| 5% 11/15/27 | | 400,000 | 435,544 |
| 5% 5/15/43 | | 3,750,000 | 3,900,263 |
| Series 2014, 5% 8/1/38 | | 6,800,000 | 7,422,676 |
| Series 2015 A: | | | |
| 5% 11/15/31 | | 3,500,000 | 3,919,615 |
| 5% 11/15/45 | | 9,750,000 | 10,413,000 |
| Series 2015 B, 5% 11/15/23 | | 1,845,000 | 2,090,699 |
| Series 2015 C: | | | |
| 5% 8/15/35 | | 3,340,000 | 3,638,329 |
| 5% 8/15/44 | | 15,400,000 | 16,423,022 |
| Series 2016 A: | | | |
| 5% 7/1/33 | | 1,850,000 | 2,068,041 |
| 5% 7/1/34 | | 1,000,000 | 1,112,280 |
| 5% 8/15/34 | | 1,800,000 | 1,966,158 |
| 5% 7/1/36 | | 1,530,000 | 1,685,922 |
| 5.25% 8/15/29 | | 1,015,000 | 1,159,820 |
| Series 2016 B: | | | |
| 5% 8/15/30 | | 3,000,000 | 3,481,050 |
| 5% 8/15/33 | | 4,585,000 | 5,228,046 |
| 5% 8/15/34 | | 2,415,000 | 2,738,972 |
| Series 2016 C: | | | |
| 3.75% 2/15/34 | | 725,000 | 729,495 |
| 4% 2/15/36 | | 3,085,000 | 3,161,693 |
| 4% 2/15/41 | | 9,595,000 | 9,680,300 |
| 5% 2/15/21 | | 4,080,000 | 4,337,489 |
| 5% 2/15/22 | | 3,600,000 | 3,931,560 |
| 5% 2/15/24 | | 325,000 | 371,105 |
| 5% 2/15/30 | | 13,250,000 | 15,457,715 |
| 5% 2/15/31 | | 2,080,000 | 2,407,038 |
| 5% 2/15/41 | | 5,375,000 | 5,950,985 |
| Series 2016: | | | |
| 5% 12/1/29 | | 1,030,000 | 1,168,144 |
| 5% 12/1/46 | | 2,660,000 | 2,829,043 |
| Series 2017 A, 5% 8/1/47 | | 430,000 | 457,834 |
| Series 2017: | | | |
| 5% 1/1/22 | | 2,795,000 | 3,049,764 |
| 5% 7/1/24 | | 1,375,000 | 1,593,075 |
| 5% 1/1/28 | | 3,075,000 | 3,662,356 |
| 5% 7/1/28 | | 2,745,000 | 3,262,762 |
| 5% 7/1/33 | | 3,365,000 | 3,881,662 |
| 5% 7/1/34 | | 2,765,000 | 3,181,077 |
| 5% 7/1/35 | | 2,290,000 | 2,627,615 |
| Series 2018 A: | | | |
| 4.25% 1/1/44 | | 1,895,000 | 1,908,928 |
| 5% 1/1/44 | | 11,470,000 | 12,348,831 |
| Illinois Gen. Oblig.: | | | |
| Serie 2014, 5% 4/1/24 | | 3,945,000 | 4,214,207 |
| Series 2006, 5.5% 1/1/31 | | 1,945,000 | 2,183,846 |
| Series 2010: | | | |
| 5% 1/1/21 (FSA Insured) | | 900,000 | 922,851 |
| 5% 1/1/23 (FSA Insured) | | 2,100,000 | 2,151,786 |
| Series 2012 A: | | | |
| 4% 1/1/23 | | 1,220,000 | 1,239,056 |
| 5% 1/1/33 | | 1,700,000 | 1,730,753 |
| Series 2012: | | | |
| 5% 8/1/19 | | 1,995,000 | 2,020,982 |
| 5% 8/1/21 | | 1,695,000 | 1,776,631 |
| 5% 3/1/23 | | 1,500,000 | 1,570,365 |
| 5% 8/1/23 | | 1,675,000 | 1,784,327 |
| 5% 3/1/36 | | 1,000,000 | 1,014,460 |
| Series 2013 A, 5% 4/1/35 | | 900,000 | 919,575 |
| Series 2013: | | | |
| 5% 7/1/22 | | 320,000 | 338,662 |
| 5.5% 7/1/38 | | 2,000,000 | 2,087,200 |
| Series 2014: | | | |
| 5% 2/1/23 | | 1,880,000 | 1,992,838 |
| 5% 2/1/25 | | 2,245,000 | 2,384,257 |
| 5% 2/1/27 | | 1,075,000 | 1,129,159 |
| 5% 4/1/28 | | 580,000 | 608,693 |
| 5% 5/1/28 | | 3,325,000 | 3,491,849 |
| 5% 5/1/32 | | 1,400,000 | 1,447,460 |
| 5% 5/1/33 | | 1,600,000 | 1,651,200 |
| 5.25% 2/1/29 | | 3,000,000 | 3,169,560 |
| 5.25% 2/1/30 | | 2,700,000 | 2,842,614 |
| 5.25% 2/1/31 | | 1,305,000 | 1,367,327 |
| Series 2016: | | | |
| 5% 2/1/23 | | 880,000 | 932,818 |
| 5% 6/1/25 | | 4,465,000 | 4,805,099 |
| 5% 6/1/26 | | 610,000 | 659,227 |
| 5% 2/1/27 | | 6,685,000 | 7,238,184 |
| 5% 2/1/28 | | 3,495,000 | 3,754,294 |
| 5% 2/1/29 | | 3,285,000 | 3,505,489 |
| Series 2017 C, 5% 11/1/29 | | 4,605,000 | 4,931,080 |
| Series 2017 D: | | | |
| 5% 11/1/25 | | 17,430,000 | 18,802,438 |
| 5% 11/1/26 | | 6,970,000 | 7,540,564 |
| 5% 11/1/27 | | 8,000,000 | 8,676,960 |
| Series 2018 A, 5% 10/1/28 | | 3,500,000 | 3,783,780 |
| Illinois Muni. Elec. Agcy. Pwr. Supply Series 2015 A: | | | |
| 5% 2/1/23 | | 1,075,000 | 1,190,724 |
| 5% 2/1/29 | | 10,000,000 | 11,470,100 |
| 5% 2/1/31 | | 1,890,000 | 2,154,506 |
| Illinois Toll Hwy. Auth. Toll Hwy. Rev.: | | | |
| Series 2013 A, 5% 1/1/38 | | 20,000,000 | 21,702,600 |
| Series 2015 A: | | | |
| 5% 1/1/37 | | 1,700,000 | 1,916,903 |
| 5% 1/1/40 | | 6,700,000 | 7,513,112 |
| Series 2015 B, 5% 1/1/40 | | 3,800,000 | 4,190,184 |
| Series 2016 A: | | | |
| 5% 12/1/31 | | 945,000 | 1,072,254 |
| 5% 12/1/32 | | 6,700,000 | 7,574,015 |
| Joliet School District #86 Gen. Oblig. Series 2002: | | | |
| 0% 11/1/19 (FSA Insured) | | 2,260,000 | 2,225,254 |
| 0% 11/1/20 (FSA Insured) | | 3,850,000 | 3,707,319 |
| Kane & DeKalb Counties Cmnty. Unit School District #302 Series 2004, 0% 2/1/22 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 5,025,000 | 4,684,406 |
| Kane, McHenry, Cook & DeKalb Counties Unit School District #300: | | | |
| Series 2015: | | | |
| 5% 1/1/27 | | 1,500,000 | 1,710,060 |
| 5% 1/1/28 | | 2,780,000 | 3,161,110 |
| Series 2017, 5% 1/1/29 | | 1,030,000 | 1,197,015 |
| 6.5% 1/1/20 (AMBAC Insured) | | 310,000 | 322,803 |
| Kendall, Kane & Will Counties Cmnty. Unit School District #308 Series 2016, 5% 2/1/33 | | 10,875,000 | 12,164,884 |
| McHenry & Kane Counties Cmnty. Consolidated School District #158 Series 2004, 0% 1/1/24 (FSA Insured) | | 1,600,000 | 1,402,656 |
| McHenry County Cmnty. School District #200 Series 2006 B: | | | |
| 0% 1/15/24 | | 4,260,000 | 3,758,087 |
| 0% 1/15/25 | | 4,440,000 | 3,794,291 |
| 0% 1/15/26 | | 3,335,000 | 2,752,942 |
| Metropolitan Pier & Exposition: | | | |
| (McCormick Place Expansion Proj.): | | | |
| Series 2010 B1: | | | |
| 0% 6/15/43 (FSA Insured) | | 15,500,000 | 5,154,835 |
| 0% 6/15/44 (FSA Insured) | | 19,125,000 | 6,064,346 |
| 0% 6/15/45 (FSA Insured) | | 12,145,000 | 3,671,069 |
| 0% 6/15/47 (FSA Insured) | | 5,760,000 | 1,576,858 |
| Series 2012 B, 0% 12/15/51 | | 5,900,000 | 1,162,300 |
| Series 2017 B: | | | |
| 5% 12/15/28 | | 2,000,000 | 2,174,380 |
| 5% 12/15/32 | | 900,000 | 963,099 |
| Railsplitter Tobacco Settlement Auth. Rev. Series 2017: | | | |
| 5% 6/1/23 | | 1,250,000 | 1,385,975 |
| 5% 6/1/24 | | 1,635,000 | 1,844,509 |
| Univ. of Illinois Rev.: | | | |
| (Auxiliary Facilities Sys. Proj.) Series 1999 A, 0% 4/1/20 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 2,015,000 | 1,962,328 |
| Series 2010 A: | | | |
| 5% 4/1/25 | | 1,700,000 | 1,753,822 |
| 5.25% 4/1/30 | | 1,020,000 | 1,053,181 |
| Series 2013: | | | |
| 6% 10/1/42 | | 1,935,000 | 2,179,294 |
| 6.25% 10/1/38 | | 1,900,000 | 2,165,658 |
| Series 2018 A, 5% 4/1/29 | | 3,940,000 | 4,639,311 |
| Will County Cmnty. Unit School District #365-U: | | | |
| Series 2007 B, 0% 11/1/26 (FSA Insured) | | 3,175,000 | 2,546,445 |
| 0% 11/1/19 (Escrowed to Maturity) | | 1,290,000 | 1,272,314 |
| 0% 11/1/19 (FSA Insured) | | 8,310,000 | 8,182,239 |
| Will County Illinois Series 2016, 5% 11/15/41 | | 13,255,000 | 14,664,272 |
|
| TOTAL ILLINOIS | | | 682,913,760 |
|
| Indiana - 1.7% | | | |
| Beech Grove School Bldg. Corp. Series 1996, 5.625% 7/5/24 (Escrowed to Maturity) | | 2,075,000 | 2,287,978 |
| Indiana Fin. Auth. Hosp. Rev. (Parkview Health Sys. Proj.) Series 2017 A: | | | |
| 5% 11/1/24 | | 1,000,000 | 1,150,800 |
| 5% 11/1/28 | | 450,000 | 541,112 |
| 5% 11/1/29 | | 1,400,000 | 1,698,452 |
| 5% 11/1/30 | | 315,000 | 382,517 |
| Indiana Fin. Auth. Rev.: | | | |
| Series 2012: | | | |
| 5% 3/1/25 | | 1,000,000 | 1,086,840 |
| 5% 3/1/30 | | 500,000 | 539,075 |
| 5% 3/1/41 | | 2,590,000 | 2,760,655 |
| Series 2015 A, 5.25% 2/1/32 | | 2,940,000 | 3,446,680 |
| Series 2015, 5% 3/1/36 | | 4,500,000 | 4,920,480 |
| Series 2016: | | | |
| 5% 9/1/27 | | 1,850,000 | 2,167,331 |
| 5% 9/1/31 | | 1,835,000 | 2,091,331 |
| Indiana Fin. Auth. Wastewtr. Util. Rev.: | | | |
| (CWA Auth. Proj.): | | | |
| Series 2012 A: | | | |
| 5% 10/1/24 | | 850,000 | 948,099 |
| 5% 10/1/37 | | 1,700,000 | 1,855,108 |
| Series 2014 A: | | | |
| 5% 10/1/25 | | 1,200,000 | 1,390,272 |
| 5% 10/1/26 | | 1,750,000 | 2,022,405 |
| (CWA Auth. Proj.) Series 2014 A, 5% 10/1/27 | | 1,750,000 | 2,017,365 |
| (CWA Auth. Proj.) Series 2015 A, 5% 10/1/29 | | 2,295,000 | 2,632,434 |
| Series 2011 A, 5.25% 10/1/26 | | 1,000,000 | 1,086,140 |
| Series 2011 B, 5% 10/1/41 | | 2,000,000 | 2,133,620 |
| Indiana Muni. Pwr. Agcy. Pwr. Supply Sys. Rev.: | | | |
| Series 2011 A, 5% 1/1/21 | | 800,000 | 847,952 |
| Series 2017 A: | | | |
| 5% 1/1/32 | | 4,000,000 | 4,710,160 |
| 5% 1/1/34 | | 2,000,000 | 2,319,080 |
| Indianapolis Thermal Energy Sys. Series 2010 B, 5% 10/1/19 | | 8,390,000 | 8,559,147 |
| Indianapolis Wtr. Sys. Rev. Series 2018 A, 5% 10/1/32 (FSA Insured) | | 3,000,000 | 3,588,720 |
| Lake Central Multi-District School Bldg. Corp. Series 2012 B, 5% 1/15/30 | | 4,300,000 | 4,740,750 |
|
| TOTAL INDIANA | | | 61,924,503 |
|
| Iowa - 0.1% | | | |
| Iowa Fin. Auth. Rev.: | | | |
| Series 2018 B, 5% 2/15/48 | | 2,500,000 | 2,759,225 |
| Series A: | | | |
| 5% 5/15/43 | | 820,000 | 847,741 |
| 5% 5/15/48 | | 1,440,000 | 1,482,898 |
|
| TOTAL IOWA | | | 5,089,864 |
|
| Kansas - 0.5% | | | |
| Desoto Usd # 232 Series 2015 A, 5% 9/1/22 | | 1,390,000 | 1,542,302 |
| Johnson County Unified School District # 233: | | | |
| Series 2016 A, 5% 9/1/21 | | 750,000 | 811,493 |
| Series 2016 B: | | | |
| 5% 9/1/22 | | 1,600,000 | 1,778,240 |
| 5% 9/1/23 | | 290,000 | 330,029 |
| Wyandotte County/Kansas City Unified Govt. Util. Sys. Rev.: | | | |
| Series 2012 A, 5% 9/1/26 | | 4,020,000 | 4,425,256 |
| Series 2016 A: | | | |
| 5% 9/1/40 | | 4,200,000 | 4,719,078 |
| 5% 9/1/45 | | 5,125,000 | 5,729,135 |
|
| TOTAL KANSAS | | | 19,335,533 |
|
| Kentucky - 1.8% | | | |
| Ashland Med. Ctr. Rev. (Ashland Hosp. Corp. d/b/a King's Daughters Med. Ctr. Proj.) Series 2016 A, 5% 2/1/40 | | 1,200,000 | 1,241,472 |
| Kenton County Arpt. Board Arpt. Rev. Series 2016: | | | |
| 5% 1/1/20 | | 485,000 | 498,601 |
| 5% 1/1/24 | | 800,000 | 904,064 |
| 5% 1/1/27 | | 1,500,000 | 1,739,640 |
| 5% 1/1/33 | | 1,300,000 | 1,459,380 |
| Kentucky Econ. Dev. Fin. Auth. Hosp. Rev. Series 2017 B: | | | |
| 5% 8/15/32 | | 2,680,000 | 2,978,418 |
| 5% 8/15/33 | | 1,325,000 | 1,466,351 |
| 5% 8/15/35 | | 1,500,000 | 1,642,665 |
| Kentucky Econ. Dev. Fin. Auth. Rev. Louisville Arena Auth., Inc. Series 2017 A, 5% 12/1/47 (FSA Insured) | | 855,000 | 923,716 |
| Kentucky State Property & Buildings Commission Rev.: | | | |
| (Proj. No. 119) Series 2018: | | | |
| 5% 5/1/27 | | 2,255,000 | 2,630,412 |
| 5% 5/1/29 | | 1,865,000 | 2,180,427 |
| 5% 5/1/30 | | 1,250,000 | 1,449,325 |
| 5% 5/1/31 | | 535,000 | 622,654 |
| 5% 5/1/32 | | 280,000 | 323,915 |
| 5% 5/1/33 | | 630,000 | 724,973 |
| 5% 5/1/34 | | 720,000 | 824,184 |
| 5% 5/1/35 | | 425,000 | 478,877 |
| 5% 5/1/36 | | 360,000 | 403,816 |
| Series 2016 B, 5% 11/1/26 | | 11,400,000 | 13,263,558 |
| Louisville & Jefferson County: | | | |
| Series 2013 A: | | | |
| 5.5% 10/1/33 | | 1,275,000 | 1,424,902 |
| 5.75% 10/1/38 | | 3,105,000 | 3,477,817 |
| Series 2016 A: | | | |
| 5% 10/1/31 | | 6,400,000 | 7,204,480 |
| 5% 10/1/32 | | 7,745,000 | 8,668,204 |
| 5% 10/1/33 | | 4,400,000 | 4,911,808 |
| Louisville/Jefferson County Metropolitan Gov. Series 2012 A: | | | |
| 5% 12/1/28 | | 405,000 | 434,018 |
| 5% 12/1/30 | | 405,000 | 431,491 |
| Pikeville Hosp. Rev. (Pikeville Med. Ctr., Inc. Proj.) Series 2011, 6.5% 3/1/41 | | 1,000,000 | 1,069,870 |
|
| TOTAL KENTUCKY | | | 63,379,038 |
|
| Louisiana - 0.6% | | | |
| Louisiana Citizens Property Ins. Corp. Assessment Rev. Series 2015, 5% 6/1/20 | | 3,750,000 | 3,906,338 |
| Louisiana Pub. Facilities Auth. Hosp. Rev. (Franciscan Missionaries of Our Lady Health Sys. Proj.) Series 2009, 6.75% 7/1/39 (Pre-Refunded to 7/1/19 @ 100) | | 800,000 | 816,352 |
| Louisiana Pub. Facilities Auth. Rev. (Tulane Univ. of Louisiana Proj.) Series 2016 A: | | | |
| 5% 12/15/25 | | 445,000 | 522,728 |
| 5% 12/15/27 | | 2,000,000 | 2,354,040 |
| 5% 12/15/29 | | 1,200,000 | 1,386,972 |
| New Orleans Gen. Oblig. Series 2012: | | | |
| 5% 12/1/24 | | 2,455,000 | 2,707,669 |
| 5% 12/1/25 | | 2,400,000 | 2,642,376 |
| Tobacco Settlement Fing. Corp. Series 2013 A: | | | |
| 5% 5/15/21 | | 610,000 | 643,581 |
| 5% 5/15/23 | | 2,500,000 | 2,724,525 |
| 5.5% 5/15/29 | | 5,000,000 | 5,042,200 |
|
| TOTAL LOUISIANA | | | 22,746,781 |
|
| Maine - 1.2% | | | |
| Maine Health & Higher Edl. Facilities Auth. Rev.: | | | |
| (Eastern Maine Healthcare Systems Proj.) Series 2013, 5% 7/1/43 | | 1,730,000 | 1,802,055 |
| Series 2013, 5% 7/1/33 | | 1,000,000 | 1,057,400 |
| Series 2016 A: | | | |
| 4% 7/1/41 | | 1,165,000 | 1,128,058 |
| 4% 7/1/46 | | 1,515,000 | 1,437,508 |
| 5% 7/1/41 | | 480,000 | 507,970 |
| 5% 7/1/46 | | 330,000 | 347,936 |
| Series 2017 D, 5.75% 7/1/38 | | 275,000 | 275,844 |
| Series 2018 A: | | | |
| 5% 7/1/30 | | 1,185,000 | 1,388,595 |
| 5% 7/1/31 | | 1,100,000 | 1,276,209 |
| 5% 7/1/34 | | 2,000,000 | 2,285,180 |
| 5% 7/1/35 | | 2,745,000 | 3,124,469 |
| 5% 7/1/36 | | 3,250,000 | 3,682,413 |
| 5% 7/1/37 | | 3,000,000 | 3,378,480 |
| 5% 7/1/38 | | 2,275,000 | 2,550,343 |
| 5% 7/1/43 | | 4,500,000 | 5,002,650 |
| Series 2018, 5% 7/1/48 | | 4,235,000 | 4,802,109 |
| Maine Tpk. Auth. Tpk. Rev.: | | | |
| Series 2015, 5% 7/1/37 | | 1,700,000 | 1,922,224 |
| Series 2018: | | | |
| 5% 7/1/33 | | 700,000 | 827,218 |
| 5% 7/1/34 | | 1,000,000 | 1,176,310 |
| 5% 7/1/35 | | 1,100,000 | 1,287,011 |
| 5% 7/1/36 | | 2,000,000 | 2,329,280 |
|
| TOTAL MAINE | | | 41,589,262 |
|
| Maryland - 0.3% | | | |
| Maryland Health & Higher Edl. Facilities Auth. Rev.: | | | |
| (Medstar Health, Inc. Proj.) Series 2017 A, 5% 5/15/45 | | 1,655,000 | 1,812,109 |
| Series 2010, 5.625% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) | | 1,100,000 | 1,159,499 |
| Series 2015, 5% 7/1/40 | | 2,000,000 | 2,148,240 |
| Series 2016 A: | | | |
| 4% 7/1/42 | | 780,000 | 769,462 |
| 5% 7/1/35 | | 2,055,000 | 2,258,794 |
| 5% 7/1/38 | | 1,125,000 | 1,220,490 |
| Rockville Mayor & Council Econ. Dev. (Rfdg.-Ingleside King Farm Proj.) Series 2017: | | | |
| 2.5% 11/1/24 | | 875,000 | 835,100 |
| 3% 11/1/25 | | 640,000 | 620,909 |
| 5% 11/1/30 | | 230,000 | 248,416 |
|
| TOTAL MARYLAND | | | 11,073,019 |
|
| Massachusetts - 1.2% | | | |
| Massachusetts Commonwealth Trans. Fund Rev. (Rail Enhancement & Accelerated Bridge Prog.) Series 2018 A, 5% 6/1/48 | | 7,780,000 | 8,867,333 |
| Massachusetts Dev. Fin. Agcy. Rev.: | | | |
| (Lesley Univ. Proj.) Series 2016, 5% 7/1/39 | | 1,015,000 | 1,127,553 |
| (Tufts Med. Ctr. Proj.) Series 2011, 6.75% 1/1/36 | | 400,000 | 434,920 |
| (Univ. of Massachusetts Health Cr., Inc. Proj.) Series 2017 L, 4% 7/1/44 | | 10,000,000 | 9,952,300 |
| (Wentworth Institute of Technology Proj.) Series 2017: | | | |
| 5% 10/1/30 | | 1,165,000 | 1,314,819 |
| 5% 10/1/33 | | 1,355,000 | 1,504,863 |
| Series 2015 D, 5% 7/1/44 | | 2,575,000 | 2,728,161 |
| Series BB1, 5% 10/1/46 | | 4,230,000 | 4,725,206 |
| Massachusetts Gen. Oblig.: | | | |
| Series 2017 A: | | | |
| 5% 4/1/33 | | 3,280,000 | 3,826,350 |
| 5% 4/1/36 | | 1,280,000 | 1,471,987 |
| Series 2017 D: | | | |
| 5% 2/1/33 | | 3,265,000 | 3,801,570 |
| 5% 2/1/35 | | 2,850,000 | 3,282,972 |
|
| TOTAL MASSACHUSETTS | | | 43,038,034 |
|
| Michigan - 4.1% | | | |
| Detroit Downtown Dev. Auth. Tax Series A, 5% 7/1/37 (FSA Insured) | | 1,035,000 | 1,112,449 |
| Detroit Wtr. Supply Sys. Rev.: | | | |
| Series 2006 B, 7% 7/1/36 (Pre-Refunded to 7/1/19 @ 100) | | 1,400,000 | 1,430,086 |
| Series 2009, 6.25% 7/1/36 (Pre-Refunded to 7/1/19 @ 100) | | 1,500,000 | 1,527,675 |
| Great Lakes Wtr. Auth. Sew Disp. Sys. Series 2018 A: | | | |
| 5% 7/1/43 | | 1,500,000 | 1,698,270 |
| 5% 7/1/48 | | 6,500,000 | 7,336,810 |
| Kalamazoo Hosp. Fin. Auth. Hosp. Facilities Rev. Series 2016, 5% 5/15/28 | | 1,455,000 | 1,660,330 |
| Lansing Board of Wtr. & Lt. Util. Rev. 5.5% 7/1/41 | | 1,000,000 | 1,080,400 |
| Michigan Bldg. Auth. Rev. (Facilities Prog.): | | | |
| Series 2015 I: | | | |
| 5% 4/15/27 | | 14,000,000 | 16,485,420 |
| 5% 4/15/28 | | 2,000,000 | 2,345,540 |
| Series 2016 I, 5% 4/15/24 | | 705,000 | 813,408 |
| Michigan Fin. Auth. Rev.: | | | |
| (Charter County of Wayne Criminal Justice Ctr. Proj.) Series 2018, 5% 11/1/43 | | 1,845,000 | 2,076,548 |
| (Trinity Health Proj.) Series 2017: | | | |
| 5% 12/1/35 | | 9,085,000 | 10,423,584 |
| 5% 12/1/42 | | 1,035,000 | 1,164,499 |
| Series 2012 A: | | | |
| 4.125% 6/1/32 (Pre-Refunded to 6/1/22 @ 100) | | 2,350,000 | 2,525,522 |
| 5% 6/1/20 (Escrowed to Maturity) | | 750,000 | 780,563 |
| 5% 6/1/27 (Pre-Refunded to 6/1/22 @ 100) | | 1,100,000 | 1,213,080 |
| 5% 6/1/39 (Pre-Refunded to 6/1/22 @ 100) | | 2,400,000 | 2,646,720 |
| Series 2012: | | | |
| 5% 11/15/36 | | 1,300,000 | 1,394,614 |
| 5% 11/15/42 | | 2,950,000 | 3,144,022 |
| Series 2013, 5% 8/15/29 | | 3,865,000 | 4,292,160 |
| Series 2015 MI, 5% 12/1/25 | | 3,000,000 | 3,516,570 |
| Series 2016: | | | |
| 5% 11/15/32 | | 4,815,000 | 5,411,097 |
| 5% 11/15/41 | | 1,085,000 | 1,169,652 |
| Michigan Hosp. Fin. Auth. Rev.: | | | |
| (Trinity Health Proj.) Series 2008 C, 5% 12/1/32 | | 345,000 | 401,332 |
| Bonds (Ascension Health Cr. Group Proj.) Series F5: | | | |
| 1.9%, tender 4/1/21 (a) | | 4,395,000 | 4,373,728 |
| 2.4%, tender 3/15/23 (a) | | 1,720,000 | 1,728,720 |
| 6.5% 12/1/33 | | 125,000 | 125,170 |
| Michigan Strategic Fund Ltd. Oblig. Rev. Bonds Series CC, 1.45%, tender 9/1/21 (a) | | 6,380,000 | 6,164,292 |
| Portage Pub. Schools Series 2016: | | | |
| 5% 11/1/33 | | 1,000,000 | 1,146,790 |
| 5% 11/1/36 | | 1,250,000 | 1,414,188 |
| 5% 11/1/37 | | 1,000,000 | 1,127,190 |
| Univ. of Michigan Rev. Series 2017 A, 5% 4/1/42 | | 15,370,000 | 17,543,472 |
| Warren Consolidated School District Series 2016: | | | |
| 5% 5/1/28 | | 4,100,000 | 4,733,819 |
| 5% 5/1/29 | | 4,230,000 | 4,868,899 |
| Wayne County Arpt. Auth. Rev.: | | | |
| Series 2015 D: | | | |
| 5% 12/1/30 | | 1,300,000 | 1,495,676 |
| 5% 12/1/31 | | 2,300,000 | 2,633,799 |
| 5% 12/1/40 (FSA Insured) | | 3,000,000 | 3,355,920 |
| Series 2015 G: | | | |
| 5% 12/1/31 | | 1,500,000 | 1,717,695 |
| 5% 12/1/32 | | 1,500,000 | 1,710,660 |
| 5% 12/1/33 | | 2,000,000 | 2,272,880 |
| Series 2015, 5% 12/1/29 | | 1,600,000 | 1,850,576 |
| Series 2017 A: | | | |
| 5% 12/1/28 | | 600,000 | 713,400 |
| 5% 12/1/29 | | 550,000 | 648,725 |
| 5% 12/1/30 | | 700,000 | 817,264 |
| 5% 12/1/33 | | 350,000 | 404,495 |
| 5% 12/1/37 | | 500,000 | 566,645 |
| 5% 12/1/37 | | 270,000 | 304,663 |
| Series 2017 C, 5% 12/1/28 | | 1,100,000 | 1,313,653 |
| Western Michigan Univ. Rev.: | | | |
| 5.25% 11/15/19 (Assured Guaranty Corp. Insured) | | 3,015,000 | 3,023,793 |
| 5.25% 11/15/22 (Assured Guaranty Corp. Insured) | | 4,640,000 | 4,653,456 |
|
| TOTAL MICHIGAN | | | 146,359,919 |
|
| Minnesota - 1.0% | | | |
| Duluth Econ. Dev. Auth. Health Care Facilities Rev. Series 2018 A: | | | |
| 5% 2/15/48 | | 7,080,000 | 7,712,952 |
| 5% 2/15/58 | | 11,845,000 | 12,809,894 |
| Duluth Independent School District #709 Ctfs. of Prtn. Series 2009 B, 4% 3/1/21 | | 1,500,000 | 1,500,090 |
| Maple Grove Health Care Sys. Rev.: | | | |
| Series 2015, 5% 9/1/27 | | 1,285,000 | 1,441,372 |
| Series 2017: | | | |
| 3% 5/1/19 | | 1,000,000 | 1,002,222 |
| 4% 5/1/22 | | 500,000 | 529,125 |
| 5% 5/1/23 | | 500,000 | 556,170 |
| 5% 5/1/24 | | 1,200,000 | 1,362,900 |
| Minneapolis & Saint Paul Hsg. & Redev. Auth. Health Care Sys. Rev. (Allina Health Sys. Proj.) Series 2017 A: | | | |
| 5% 11/15/20 | | 675,000 | 713,765 |
| 5% 11/15/24 | | 1,780,000 | 2,067,968 |
| 5% 11/15/25 | | 1,365,000 | 1,612,966 |
| Minnesota Higher Ed. Facilities Auth. Rev. Series 2018 A: | | | |
| 5% 10/1/29 | | 1,000,000 | 1,154,790 |
| 5% 10/1/32 | | 715,000 | 807,850 |
| 5% 10/1/33 | | 875,000 | 984,025 |
| 5% 10/1/45 | | 1,035,000 | 1,122,375 |
| Saint Paul Hsg. & Redev. Auth. Hosp. Rev. (HealthEast Care Sys. Proj.) Series 2015 A, 5% 11/15/40 (Pre-Refunded to 11/15/25 @ 100) | | 700,000 | 830,081 |
|
| TOTAL MINNESOTA | | | 36,208,545 |
|
| Missouri - 0.6% | | | |
| Cape Girardeau County Indl. Dev. Auth. (Southeast Hosp. Proj.) Series 2017 A, 5% 3/1/29 | | 1,470,000 | 1,653,603 |
| Hannibal Indl. Dev. Auth. Health Facilities Rev. (Hannibal Reg'l. Healthcare Sys. Proj.) Series 2017: | | | |
| 5% 10/1/42 | | 3,425,000 | 3,736,230 |
| 5% 10/1/47 | | 2,125,000 | 2,309,896 |
| Kansas City Santn Swr. Sys. R Series 2018 B: | | | |
| 5% 1/1/21 | | 575,000 | 610,920 |
| 5% 1/1/26 | | 240,000 | 286,409 |
| 5% 1/1/28 | | 500,000 | 612,235 |
| 5% 1/1/33 | | 475,000 | 558,215 |
| Kansas City Spl. Oblig.: | | | |
| 5% 9/1/21 | | 295,000 | 300,286 |
| 5% 9/1/22 | | 500,000 | 508,960 |
| 5% 9/1/23 | | 400,000 | 407,168 |
| Missouri Envir. Impt. & Energy Resources Auth. Wtr. Poll. Cont. & Drinking Wtr. Rev. 5.125% 1/1/21 | | 125,000 | 125,348 |
| Missouri Health & Edl. Facilities Auth. Edl. Facilities Rev. Series 2015 B: | | | |
| 3.125% 2/1/27 | | 400,000 | 412,468 |
| 3.25% 2/1/28 | | 400,000 | 414,228 |
| 4% 2/1/40 | | 400,000 | 406,636 |
| 5% 2/1/34 | | 3,115,000 | 3,481,947 |
| 5% 2/1/36 | | 1,200,000 | 1,333,140 |
| 5% 2/1/45 | | 1,900,000 | 2,065,357 |
| Saint Louis County Indl. Dev. Auth. Sr. Living Facilities Rev. Series 2018 A: | | | |
| 5% 9/1/38 | | 1,060,000 | 1,065,565 |
| 5.125% 9/1/48 | | 1,875,000 | 1,881,263 |
|
| TOTAL MISSOURI | | | 22,169,874 |
|
| Nebraska - 0.5% | | | |
| Douglas County Neb Edl. Facilities Rev. (Creighton Univ. Proj.) Series 2017, 4% 7/1/33 | | 775,000 | 842,410 |
| Lincoln Elec. Sys. Rev. Series 2018: | | | |
| 5% 9/1/31 | | 2,000,000 | 2,358,720 |
| 5% 9/1/32 | | 3,735,000 | 4,378,092 |
| 5% 9/1/33 | | 2,240,000 | 2,611,504 |
| Nebraska Pub. Pwr. District Rev.: | | | |
| Series 2016 A: | | | |
| 5% 1/1/32 | | 1,670,000 | 1,918,496 |
| 5% 1/1/34 | | 1,000,000 | 1,139,990 |
| Series 2016 B, 5% 1/1/32 | | 5,000,000 | 5,744,000 |
|
| TOTAL NEBRASKA | | | 18,993,212 |
|
| Nevada - 1.1% | | | |
| Carson City Hosp. Rev. (Carson Tahoe Hosp. Proj.) Series 2017: | | | |
| 5% 9/1/37 | | 2,705,000 | 2,913,880 |
| 5% 9/1/42 | | 6,665,000 | 7,050,304 |
| Las Vegas Valley Wtr. District Wtr. Impt. Gen. Oblig.: | | | |
| Series 2011 C, 5% 6/1/24 | | 1,900,000 | 2,035,983 |
| Series 2012 B, 5% 6/1/42 | | 3,260,000 | 3,529,211 |
| Series 2016 A: | | | |
| 5% 6/1/35 | | 4,150,000 | 4,750,713 |
| 5% 6/1/36 | | 6,000,000 | 6,842,880 |
| Series 2016 B: | | | |
| 5% 6/1/34 | | 7,495,000 | 8,606,658 |
| 5% 6/1/36 | | 2,700,000 | 3,079,296 |
|
| TOTAL NEVADA | | | 38,808,925 |
|
| New Hampshire - 1.2% | | | |
| New Hampshire Health & Ed. Facilities Auth.: | | | |
| (Concord Hosp.) Series 2017, 5% 10/1/42 | | 2,000,000 | 2,201,920 |
| (Dartmouth-Hitchcock Oblgtd Grp Proj.) Series 2018 A: | | | |
| 5% 8/1/32 | | 250,000 | 286,815 |
| 5% 8/1/34 | | 3,000,000 | 3,408,990 |
| (Dartmouth-Hitchcock Oblgtd Grp Proj.): | | | |
| Series 2018 A: | | | |
| 5% 8/1/31 | | 1,300,000 | 1,502,462 |
| 5% 8/1/36 | | 2,000,000 | 2,246,120 |
| 5% 8/1/37 | | 2,400,000 | 2,677,608 |
| Series 2018, 5% 8/1/35 | | 2,750,000 | 3,106,593 |
| (Partners Healthcare Sys., Inc. Proj.) Series 2017, 5% 7/1/41 | | 2,100,000 | 2,346,057 |
| Series 2017 B, 4.125% 7/1/24 (c) | | 965,000 | 966,515 |
| Series 2017 C, 3.5% 7/1/22 (c) | | 320,000 | 320,064 |
| Series 2017: | | | |
| 5% 7/1/36 | | 1,200,000 | 1,320,912 |
| 5% 7/1/44 | | 1,000,000 | 1,081,900 |
| New Hampshire Health & Ed. Facilities Auth. Rev.: | | | |
| Series 2012: | | | |
| 4% 7/1/23 | | 1,000,000 | 1,054,730 |
| 4% 7/1/32 | | 900,000 | 919,836 |
| Series 2016: | | | |
| 4% 10/1/38 | | 1,165,000 | 1,147,781 |
| 5% 10/1/28 | | 3,000,000 | 3,387,990 |
| 5% 10/1/32 | | 5,160,000 | 5,683,069 |
| 5% 10/1/38 | | 3,765,000 | 4,049,634 |
| New Hampshire Tpk. Sys. Rev. Series 2012 B: | | | |
| 5% 10/1/19 | | 2,890,000 | 2,951,722 |
| 5% 2/1/20 | | 1,300,000 | 1,341,746 |
|
| TOTAL NEW HAMPSHIRE | | | 42,002,464 |
|
| New Jersey - 4.6% | | | |
| New Jersey Ctfs. of Prtn. Series 2009 A: | | | |
| 5.125% 6/15/24 (Pre-Refunded to 6/15/19 @ 100) | | 1,500,000 | 1,518,960 |
| 5.25% 6/15/28 (Pre-Refunded to 6/15/19 @ 100) | | 1,000,000 | 1,013,090 |
| New Jersey Econ. Dev. Auth. Rev.: | | | |
| (New Jersey Gen. Oblig. Proj.): | | | |
| Series 2015 XX, 5% 6/15/25 | | 6,215,000 | 6,972,111 |
| Series 2017 B, 5% 11/1/24 | | 10,000,000 | 11,164,600 |
| Series 2011 EE: | | | |
| 5% 9/1/20 | | 1,255,000 | 1,309,279 |
| 5% 9/1/20 (Escrowed to Maturity) | | 3,395,000 | 3,561,830 |
| Series 2013: | | | |
| 5% 3/1/23 | | 7,040,000 | 7,663,533 |
| 5% 3/1/24 | | 6,200,000 | 6,739,152 |
| 5% 3/1/25 | | 700,000 | 758,905 |
| Series 2015 XX: | | | |
| 5% 6/15/22 | | 1,525,000 | 1,643,127 |
| 5% 6/15/23 | | 1,000,000 | 1,094,480 |
| 5% 6/15/26 | | 15,000,000 | 16,689,000 |
| Series 2016 AAA: | | | |
| 5% 6/15/41 | | 2,510,000 | 2,641,449 |
| 5.5% 6/15/30 | | 4,995,000 | 5,680,014 |
| Series 2016 BBB, 5% 6/15/22 | | 3,120,000 | 3,361,675 |
| New Jersey Edl. Facility Series 2016 A, 5% 7/1/29 | | 2,625,000 | 2,967,641 |
| New Jersey Health Care Facilities Fing. Auth. Rev.: | | | |
| Series 2016 A: | | | |
| 5% 7/1/20 | | 500,000 | 519,085 |
| 5% 7/1/21 | | 1,155,000 | 1,229,867 |
| 5% 7/1/22 | | 155,000 | 169,066 |
| 5% 7/1/23 | | 550,000 | 611,171 |
| 5% 7/1/24 | | 435,000 | 490,858 |
| 5% 7/1/25 | | 1,055,000 | 1,205,559 |
| 5% 7/1/25 | | 470,000 | 537,074 |
| 5% 7/1/26 | | 155,000 | 178,788 |
| 5% 7/1/27 | | 235,000 | 269,538 |
| 5% 7/1/28 | | 685,000 | 780,263 |
| 5% 7/1/30 | | 1,000,000 | 1,157,110 |
| Series 2016: | | | |
| 4% 7/1/48 | | 1,800,000 | 1,745,388 |
| 5% 7/1/41 | | 2,190,000 | 2,327,685 |
| New Jersey Trans. Trust Fund Auth.: | | | |
| (Trans. Prog.) Series 2019 AA: | | | |
| 5% 6/15/46 | | 10,700,000 | 11,234,893 |
| 5.25% 6/15/43 | | 22,300,000 | 24,061,700 |
| Series 2001 A, 6% 6/15/35 | | 1,300,000 | 1,389,843 |
| Series 2005 B, 5.25% 12/15/22 (AMBAC Insured) | | 400,000 | 441,660 |
| Series 2014 AA, 5% 6/15/24 | | 15,000,000 | 16,664,100 |
| Series 2016 A: | | | |
| 5% 6/15/27 | | 945,000 | 1,073,019 |
| 5% 6/15/28 | | 3,225,000 | 3,634,607 |
| 5% 6/15/29 | | 3,550,000 | 3,976,036 |
| Series 2016 A-2, 5% 6/15/23 | | 2,495,000 | 2,753,457 |
| Series 2018 A: | | | |
| 5% 12/15/32 | | 3,205,000 | 3,493,995 |
| 5% 12/15/33 | | 3,205,000 | 3,488,514 |
| 5% 12/15/34 | | 1,000,000 | 1,083,340 |
| 5% 12/15/35 | | 3,205,000 | 3,458,548 |
| Series AA, 5% 6/15/25 | | 2,380,000 | 2,669,932 |
|
| TOTAL NEW JERSEY | | | 165,423,942 |
|
| New York - 6.3% | | | |
| Dorm. Auth. New York Univ. Rev.: | | | |
| (Memorial Sloan-Kettring Cancer Ctr.) Series 2017 1, 5% 7/1/42 | | 1,555,000 | 1,752,547 |
| Series 2016 A, 5% 7/1/32 | | 2,500,000 | 2,880,025 |
| Hudson Yards Infrastructure Corp. New York Rev.: | | | |
| Series 2012 A, 5.75% 2/15/47 | | 1,975,000 | 2,121,229 |
| Series 2017 A: | | | |
| 5% 2/15/33 | | 3,595,000 | 4,165,850 |
| 5% 2/15/39 | | 10,000,000 | 11,311,100 |
| 5% 2/15/42 | | 9,860,000 | 11,078,302 |
| Long Island Pwr. Auth. Elec. Sys. Rev. Series 2017: | | | |
| 5% 9/1/33 | | 500,000 | 580,435 |
| 5% 9/1/35 | | 2,000,000 | 2,303,680 |
| 5% 9/1/36 | | 1,135,000 | 1,302,708 |
| MTA Hudson Rail Yards Trust Oblig. Series 2016 A, 5% 11/15/56 | | 17,050,000 | 18,243,500 |
| New York City Gen. Oblig.: | | | |
| Series 2009, 5.625% 4/1/29 | | 85,000 | 85,510 |
| Series 2012 A1, 5% 8/1/24 | | 2,720,000 | 2,927,699 |
| Series 2015 C, 5% 8/1/27 | | 1,600,000 | 1,859,952 |
| Series 2016 C and D, 5% 8/1/28 | | 1,500,000 | 1,760,190 |
| Series 2016 E, 5% 8/1/28 | | 2,550,000 | 3,021,317 |
| Series F, 5% 4/1/34 | | 6,000,000 | 7,033,140 |
| New York City Indl. Dev. Agcy. Rev.: | | | |
| (Queens Ballpark Co. LLC Proj.) Series 2006, 5% 1/1/22 (AMBAC Insured) | | 1,000,000 | 1,002,400 |
| (Yankee Stadium Proj.) Series 2006, 5% 3/1/31 | | 1,000,000 | 1,007,610 |
| New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.: | | | |
| Series 2011 EE, 5.375% 6/15/43 | | 10,205,000 | 10,839,547 |
| Series 2012 EE, 5.25% 6/15/30 | | 6,300,000 | 6,958,413 |
| Series 2013 EE, 5% 6/15/47 | | 11,710,000 | 12,760,973 |
| New York City Transitional Fin. Auth. Bldg. Aid Rev. Series S1, 5% 7/15/27 | | 2,000,000 | 2,201,700 |
| New York City Transitional Fin. Auth. Rev.: | | | |
| Series 2015 E1, 5% 2/1/41 | | 1,615,000 | 1,784,397 |
| Series 2016 A, 5% 5/1/40 | | 1,950,000 | 2,184,546 |
| Series 2017 B, 5% 8/1/40 | | 2,000,000 | 2,248,040 |
| Series 2017 E, 5% 2/1/39 | | 6,440,000 | 7,290,531 |
| Series 2018 C2: | | | |
| 5% 5/1/32 | | 5,300,000 | 6,295,658 |
| 5% 5/1/37 | | 10,000,000 | 11,577,100 |
| Series 2019 B1: | | | |
| 5% 8/1/34 | | 2,000,000 | 2,357,220 |
| 5% 8/1/35 | | 5,000,000 | 5,865,750 |
| New York Convention Ctr. Dev. Corp. Rev. Series 2015: | | | |
| 5% 11/15/28 | | 7,205,000 | 8,414,720 |
| 5% 11/15/29 | | 5,000,000 | 5,815,650 |
| New York Dorm. Auth. Mental Health Svcs. Facilities Impt. Rev. Series 2012 A, 5% 5/15/23 | | 2,000,000 | 2,202,940 |
| New York Dorm. Auth. Sales Tax Rev.: | | | |
| Series 2016 A: | | | |
| 5% 3/15/31 | | 4,400,000 | 5,144,920 |
| 5% 3/15/32 | | 1,945,000 | 2,259,682 |
| 5% 3/15/34 | | 3,200,000 | 3,684,352 |
| Series 2018 C, 5% 3/15/38 | | 8,285,000 | 9,547,551 |
| Series 2018 E, 5% 3/15/48 | | 3,000,000 | 3,422,430 |
| New York Metropolitan Trans. Auth. Rev.: | | | |
| Series 2012 D, 5% 11/15/25 | | 9,500,000 | 10,463,205 |
| Series 2012 F, 5% 11/15/24 | | 4,600,000 | 5,073,432 |
| Series 2014 B, 5.25% 11/15/44 | | 2,215,000 | 2,461,175 |
| Series 2014 C, 5% 11/15/21 | | 2,500,000 | 2,703,900 |
| Series 2016 B, 5% 11/15/21 | | 1,950,000 | 2,109,042 |
| Series 2017 C-2: | | | |
| 0% 11/15/29 | | 2,275,000 | 1,601,987 |
| 0% 11/15/33 | | 5,600,000 | 3,276,224 |
| New York Urban Dev. Corp. Rev.: | | | |
| (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/34 | | 3,700,000 | 4,275,424 |
| Gen. Oblig. (New York State Gen. Oblig. Proj.) Series 2017 A, 5% 3/15/32 | | 3,130,000 | 3,651,333 |
| Series 2017 C, 5% 3/15/31 | | 2,375,000 | 2,808,271 |
| Triborough Bridge & Tunnel Auth. Revs. 5% 11/15/22 | | 1,970,000 | 2,208,547 |
|
| TOTAL NEW YORK | | | 227,925,854 |
|
| North Carolina - 1.1% | | | |
| Charlotte Int'l. Arpt. Rev.: | | | |
| Series 2017 A: | | | |
| 5% 7/1/35 | | 2,000,000 | 2,324,300 |
| 5% 7/1/42 | | 2,875,000 | 3,269,680 |
| Series 2017 C: | | | |
| 4% 7/1/36 | | 1,500,000 | 1,595,790 |
| 4% 7/1/37 | | 1,500,000 | 1,588,950 |
| 5% 7/1/29 | | 2,575,000 | 3,094,996 |
| Nash Health Care Sys. Health Care Facilities Rev.: | | | |
| Series 2003, 5.5% 11/1/26 (FSA Insured) | | 1,200,000 | 1,222,404 |
| Series 2012, 5% 11/1/41 | | 1,630,000 | 1,720,106 |
| New Hanover County Hosp. Rev. Series 2017, 5% 10/1/29 | | 3,500,000 | 4,097,065 |
| North Carolina Med. Care Cmnty. Health Series 2017: | | | |
| 5% 10/1/30 | | 630,000 | 632,155 |
| 5% 10/1/34 | | 1,000,000 | 1,003,420 |
| North Carolina Med. Care Commission Health Care Facilities Rev. (Rex Healthcare Proj.) Series 2010 A, 5% 7/1/30 | | 2,780,000 | 2,882,971 |
| North Carolina Muni. Pwr. Agcy. #1 Catawba Elec. Rev.: | | | |
| Series 2009 A, 5% 1/1/30 | | 285,000 | 285,690 |
| Series 2015 A, 5% 1/1/28 | | 3,500,000 | 4,095,490 |
| Series 2015 C, 5% 1/1/29 | | 8,000,000 | 9,316,720 |
| Raleigh Durham Arpt. Auth. Arpt. Rev. Series 2010 A, 5% 5/1/32 | | 2,900,000 | 3,005,357 |
|
| TOTAL NORTH CAROLINA | | | 40,135,094 |
|
| North Dakota - 0.2% | | | |
| Cass County Health Care Facilities Rev. (Essentia Health Obligated Group Proj.) Series 2008, 5.125% 2/15/37 (Assured Guaranty Corp. Insured) | | 1,500,000 | 1,543,515 |
| McLean County Solid Waste Facilities Rev. (Great River Energy Projs.) Series 2010 B, 5.15% 7/1/40 | | 3,700,000 | 3,824,875 |
|
| TOTAL NORTH DAKOTA | | | 5,368,390 |
|
| Ohio - 2.1% | | | |
| Akron Bath Copley Hosp. District Rev. Series 2016, 5.25% 11/15/46 | | 4,200,000 | 4,594,800 |
| Allen County Hosp. Facilities Rev. Bonds (Mercy Health) Series 2017 B, 5%, tender 5/5/22 (a) | | 1,600,000 | 1,752,512 |
| American Muni. Pwr., Inc. (Solar Electricity Prepayment Proj.) Series 2019 A: | | | |
| 5% 2/15/38 | | 1,500,000 | 1,703,880 |
| 5% 2/15/39 | | 1,000,000 | 1,132,290 |
| 5% 2/15/44 | | 3,150,000 | 3,529,764 |
| American Muni. Pwr., Inc. Rev.: | | | |
| (Greenup Hydroelectric Proj.): | | | |
| Series 2016 A, 5% 2/15/41 | | 4,000,000 | 4,397,200 |
| Series 2016, 5% 2/15/46 | | 1,280,000 | 1,400,397 |
| (Prairie State Energy Campus Proj.) Series 2015, 5% 2/15/28 | | 5,900,000 | 6,652,604 |
| Series 2012 B: | | | |
| 5% 2/15/42 | | 705,000 | 752,298 |
| 5% 2/15/42 (Pre-Refunded to 2/15/22 @ 100) | | 195,000 | 213,322 |
| Cleveland Arpt. Sys. Rev. Series 2016 A: | | | |
| 5% 1/1/26 (FSA Insured) | | 500,000 | 572,980 |
| 5% 1/1/27 (FSA Insured) | | 2,175,000 | 2,486,025 |
| 5% 1/1/31 (FSA Insured) | | 1,000,000 | 1,124,810 |
| Cleveland Gen. Oblig. Series C, 5.25% 11/15/19 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,050,000 | 1,078,172 |
| Cleveland Income Tax Rev. Series 2018 A: | | | |
| 5% 10/1/35 | | 2,000,000 | 2,311,240 |
| 5% 10/1/37 | | 1,250,000 | 1,430,550 |
| 5% 10/1/38 | | 1,500,000 | 1,710,255 |
| Columbus City School District 5% 12/1/32 | | 1,000,000 | 1,154,770 |
| Fairfield County Hosp. Facilities Rev. (Fairfield Med. Ctr. Proj.) Series 2013, 5.25% 6/15/43 | | 5,000,000 | 5,255,900 |
| Franklin County Rev. (Trinity Health Proj.) Series 2017, 5% 12/1/47 | | 8,235,000 | 9,145,709 |
| Hamilton County Convention Facilities Auth. Rev. Series 2014, 5% 12/1/26 | | 1,900,000 | 2,117,322 |
| Lake County Hosp. Facilities Rev.: | | | |
| Series 2015, 5% 8/15/26 | | 1,170,000 | 1,342,189 |
| 6% 8/15/43 | | 400,000 | 401,320 |
| Lucas County Hosp. Rev. (ProMedica Healthcare Oblig. Group Proj.) Series 2011 A, 6.5% 11/15/37 (Pre-Refunded to 11/15/21 @ 100) | | 1,900,000 | 2,141,623 |
| Muskingum County Hosp. Facilities (Genesis Healthcare Sys. Obligated Group Proj.) Series 2013: | | | |
| 5% 2/15/44 | | 1,900,000 | 1,938,133 |
| 5% 2/15/48 | | 4,400,000 | 4,473,700 |
| Ohio Gen. Oblig. Series 2018 A, 5% 6/15/37 | | 3,470,000 | 3,947,229 |
| Ohio Hosp. Facilities Rev. Series 2017 A, 5% 1/1/31 | | 2,500,000 | 2,980,900 |
| Ohio Tpk. Commission Tpk. Rev. (Infrastructure Proj.) Series 2005 A, 0% 2/15/42 | | 5,800,000 | 2,324,408 |
| Scioto County Hosp. Facilities Rev. Series 2016, 5% 2/15/29 | | 1,265,000 | 1,441,480 |
| Wood County Hosp. Facilities Rev. (Wood County Hosp. Assoc. Proj.) Series 2012: | | | |
| 5% 12/1/32 | | 400,000 | 417,644 |
| 5% 12/1/42 | | 505,000 | 518,751 |
|
| TOTAL OHIO | | | 76,444,177 |
|
| Oklahoma - 0.7% | | | |
| Canadian Cny Edl. Facilities Auth. (Mustang Pub. Schools Proj.) Series 2017: | | | |
| 5% 9/1/26 | | 1,155,000 | 1,365,764 |
| 5% 9/1/28 | | 1,180,000 | 1,375,325 |
| Grand River Dam Auth. Rev. Series 2014 A, 5% 6/1/39 | | 7,000,000 | 7,841,260 |
| Oklahoma City Pub. Property Auth. Hotel Tax Rev. Series 2015: | | | |
| 5% 10/1/24 | | 1,105,000 | 1,275,734 |
| 5% 10/1/32 | | 1,100,000 | 1,266,221 |
| Oklahoma Dev. Fin. Auth. Health Sys. Rev. (OU Medicine Proj.) Series 2018 B: | | | |
| 5% 8/15/33 | | 600,000 | 665,208 |
| 5% 8/15/38 | | 1,800,000 | 1,935,540 |
| Oklahoma Dev. Fin. Auth. Rev.: | | | |
| (Saint John Health Sys. Proj.) Series 2012, 5% 2/15/42 (Pre-Refunded to 2/15/22 @ 100) | | 3,625,000 | 3,965,605 |
| Series 2012: | | | |
| 5% 2/15/21 (Escrowed to Maturity) | | 955,000 | 1,016,254 |
| 5% 2/15/24 (Pre-Refunded to 2/15/22 @ 100) | | 1,800,000 | 1,969,128 |
| Oklahoma Pwr. Auth. Pwr. Supply Sys. Rev. Series 2014 A, 5% 1/1/38 | | 3,705,000 | 4,202,026 |
|
| TOTAL OKLAHOMA | | | 26,878,065 |
|
| Oregon - 1.1% | | | |
| Clackamas County Hosp. Facility Auth. (Willamette View Proj.) Series 2017 B, 3% 11/15/22 | | 425,000 | 425,315 |
| Oregon Bus. Dev. Commn Recovery Zone Facility Bonds (Intel Corp. Proj.) Series 232, 2.4%, tender 8/14/23 (a) | | 18,000,000 | 18,224,280 |
| Oregon State Dept. of Administrative Svcs. Lottery Rev. Series 2011 A: | | | |
| 5.25% 4/1/31 | | 260,000 | 278,385 |
| 5.25% 4/1/31 (Pre-Refunded to 4/1/21 @ 100) | | 1,640,000 | 1,762,098 |
| Polk Marion & Benton School District # 13J Series B, 0% 12/15/38 | | 2,115,000 | 991,597 |
| Washington, Multnomah & Yamhill County School District #1J Series 2017: | | | |
| 5% 6/15/33 | | 1,080,000 | 1,268,363 |
| 5% 6/15/35 | | 3,135,000 | 3,645,597 |
| 5% 6/15/36 | | 3,000,000 | 3,474,480 |
| 5% 6/15/37 | | 4,000,000 | 4,613,320 |
| 5% 6/15/38 | | 3,000,000 | 3,446,280 |
|
| TOTAL OREGON | | | 38,129,715 |
|
| Pennsylvania - 3.7% | | | |
| Allegheny County Hosp. Dev. Auth. Rev. (Univ. of Pittsburgh Med. Ctr. Proj.) Series 2009 A, 4.7% 8/15/19 | | 1,000,000 | 1,015,559 |
| Cap. Region Wtr. Wtr. Rev. Series 2018: | | | |
| 5% 7/15/26 | | 1,000,000 | 1,179,320 |
| 5% 7/15/38 | | 1,000,000 | 1,130,930 |
| Centre County Pennsylvania Hosp. Auth. Rev. (Mount Nittany Med. Ctr. Proj.): | | | |
| Series 2011, 7% 11/15/46 (Pre-Refunded to 11/15/21 @ 100) | | 1,000,000 | 1,139,500 |
| Series 2018 A, 5% 11/15/24 | | 1,000,000 | 1,141,840 |
| Coatesville Area School District Series 2017: | | | |
| 5% 8/1/21 (FSA Insured) | | 920,000 | 978,208 |
| 5% 8/1/22 (FSA Insured) | | 260,000 | 282,329 |
| 5% 8/1/23 (FSA Insured) | | 450,000 | 497,516 |
| Dauphin County Gen. Auth. (Pinnacle Health Sys. Proj.) Series 2016 A, 5% 6/1/29 | | 1,330,000 | 1,532,985 |
| Doylestown Hosp. Auth. Hosp. Rev. Series 2016 A, 5% 7/1/46 | | 830,000 | 862,221 |
| Lehigh County Indl. Dev. Auth. Poll. Cont. Rev. Bonds: | | | |
| (PPL Elec. Utils. Corp. Proj.) Series 2016 A, 1.8%, tender 9/1/22 (a) | | 2,450,000 | 2,387,574 |
| Series B, 1.8%, tender 8/15/22 (a) | | 3,255,000 | 3,173,072 |
| Monroeville Fin. Auth. UPMC Rev. Series 2012, 5% 2/15/26 | | 1,700,000 | 1,999,999 |
| Montgomery County Higher Ed. & Health Auth. Rev.: | | | |
| Series 2014 A, 5% 10/1/23 | | 2,345,000 | 2,582,760 |
| Series 2016 A: | | | |
| 5% 10/1/30 | | 4,350,000 | 4,903,103 |
| 5% 10/1/36 | | 4,430,000 | 4,832,421 |
| 5% 10/1/40 | | 2,045,000 | 2,195,389 |
| Northampton County Gen. Purp. Auth. Hosp. Rev. (St. Luke's Univ. Health Network Proj.) Series 2018 A, 4% 8/15/48 | | 7,240,000 | 7,092,304 |
| Pennsylvania Ctfs. Prtn. Series 2018 A: | | | |
| 5% 7/1/35 | | 750,000 | 844,748 |
| 5% 7/1/36 | | 1,000,000 | 1,121,380 |
| 5% 7/1/37 | | 800,000 | 892,512 |
| 5% 7/1/38 | | 750,000 | 833,678 |
| 5% 7/1/43 | | 2,000,000 | 2,198,880 |
| Pennsylvania Gen. Oblig.: | | | |
| Series 2015 1, 5% 3/15/31 | | 2,130,000 | 2,418,466 |
| Series 2015, 5% 3/15/33 | | 2,460,000 | 2,776,848 |
| Series 2016, 5% 2/1/29 | | 8,935,000 | 10,316,351 |
| Series 2017: | | | |
| 5% 1/1/26 | | 10,420,000 | 12,214,637 |
| 5% 1/1/28 | | 5,000,000 | 5,868,800 |
| Pennsylvania Higher Edl. Facilities Auth. Rev.: | | | |
| (Drexel Univ. Proj.) Series 2016, 5% 5/1/35 | | 1,585,000 | 1,764,787 |
| Series 2016: | | | |
| 5% 5/1/29 | | 1,000,000 | 1,151,750 |
| 5% 5/1/31 | | 1,000,000 | 1,134,140 |
| Series 2017 A, 5% 8/15/46 | | 7,035,000 | 7,968,052 |
| Pennsylvania Pub. School Bldg. Auth. School Rev. (The School District of Harrisburg Proj.) Series 2016 A, 5% 12/1/29 (FSA Insured) | | 5,630,000 | 6,524,776 |
| Philadelphia Arpt. Rev. Series 2017 A: | | | |
| 5% 7/1/28 | | 500,000 | 593,420 |
| 5% 7/1/29 | | 500,000 | 589,685 |
| 5% 7/1/30 | | 550,000 | 642,774 |
| 5% 7/1/31 | | 600,000 | 696,318 |
| 5% 7/1/32 | | 550,000 | 634,288 |
| 5% 7/1/33 | | 600,000 | 688,578 |
| 5% 7/1/42 | | 2,390,000 | 2,665,710 |
| 5% 7/1/47 | | 2,000,000 | 2,222,980 |
| Philadelphia Gas Works Rev.: | | | |
| Series 2016 14, 5% 10/1/19 | | 730,000 | 745,348 |
| Series 9, 5.25% 8/1/40 | | 2,325,000 | 2,426,393 |
| 5% 8/1/26 | | 1,000,000 | 1,153,480 |
| 5% 8/1/27 | | 1,000,000 | 1,150,240 |
| 5% 8/1/28 | | 2,000,000 | 2,291,440 |
| Philadelphia School District: | | | |
| Series 2016 F, 5% 9/1/29 | | 3,475,000 | 3,967,998 |
| Series 2018 A: | | | |
| 5% 9/1/34 | | 1,450,000 | 1,635,687 |
| 5% 9/1/35 | | 1,000,000 | 1,122,850 |
| Series 2018 B, 5% 9/1/43 | | 1,395,000 | 1,520,090 |
| Pittsburgh & Alleg County Parkin Series 2017: | | | |
| 5% 12/15/35 | | 1,125,000 | 1,262,621 |
| 5% 12/15/37 | | 500,000 | 556,310 |
| Pocono Mountains Indl. Park Auth. (St. Luke's Hosp. - Monroe Proj.) Series 2015 A, 5% 8/15/40 | | 1,795,000 | 1,938,187 |
| Southeastern Pennsylvania Trans. Auth. Rev. Series 2011, 5% 6/1/22 (Pre-Refunded to 6/1/21 @ 100) | | 1,000,000 | 1,074,180 |
| State Pub. School Bldg. Auth. Lease Rev. (Philadelphia School District Proj.) Series 2015 A, 5% 6/1/26 | | 735,000 | 836,327 |
| Union County Hosp. Auth. Rev. Series 2018 B: | | | |
| 5% 8/1/33 | | 1,000,000 | 1,130,440 |
| 5% 8/1/38 | | 3,205,000 | 3,564,729 |
| 5% 8/1/48 | | 2,850,000 | 3,138,192 |
|
| TOTAL PENNSYLVANIA | | | 135,205,100 |
|
| Rhode Island - 0.3% | | | |
| Rhode Island Health & Edl. Bldg. Corp. Higher Ed. Facilities Rev.: | | | |
| Series 2016 B: | | | |
| 5% 9/1/31 | | 4,680,000 | 5,049,720 |
| 5% 9/1/36 | | 185,000 | 195,249 |
| Series 2016: | | | |
| 5% 5/15/20 | | 340,000 | 351,900 |
| 5% 5/15/21 | | 2,000,000 | 2,120,620 |
| 5% 5/15/39 | | 3,285,000 | 3,542,150 |
|
| TOTAL RHODE ISLAND | | | 11,259,639 |
|
| South Carolina - 3.1% | | | |
| Lancaster County School District ( South Carolina Gen. Oblig. Proj.) Series 2017, 5% 3/1/22 | | 1,845,000 | 2,025,478 |
| Richland County School District #2 Gen. Oblig. (South Carolina Gen. Oblig. Proj.) Series 2015 A, 5% 2/1/23 | | 2,380,000 | 2,674,025 |
| Scago Edl. Facilities Corp. for Colleton School District (School District of Colleton County Proj.) Series 2015, 5% 12/1/24 | | 4,535,000 | 5,206,815 |
| South Carolina Jobs-Econ. Dev. Auth. Econ. Dev. Rev.: | | | |
| (Bon Secours Health Sys. Proj.) Series 2013, 5% 11/1/28 (Pre-Refunded to 11/1/22 @ 100) | | 1,800,000 | 1,999,188 |
| Series 2013, 5% 11/1/27 (Pre-Refunded to 11/1/22 @ 100) | | 2,900,000 | 3,220,914 |
| South Carolina Pub. Svc. Auth. Rev.: | | | |
| Series 2013 E, 5.5% 12/1/53 | | 14,025,000 | 14,957,943 |
| Series 2014 A: | | | |
| 5% 12/1/49 | | 16,565,000 | 17,351,506 |
| 5.5% 12/1/54 | | 14,400,000 | 15,440,112 |
| Series 2015 A, 5% 12/1/50 | | 2,045,000 | 2,143,037 |
| Series 2015 E, 5.25% 12/1/55 | | 3,265,000 | 3,490,383 |
| Series 2016 B: | | | |
| 5% 12/1/35 | | 3,630,000 | 3,984,107 |
| 5% 12/1/36 | | 5,445,000 | 5,952,801 |
| Series 2016 C: | | | |
| 5% 12/1/22 | | 500,000 | 547,800 |
| 5% 12/1/23 | | 840,000 | 936,079 |
| 5% 12/1/24 | | 515,000 | 582,583 |
| 5% 12/1/25 | | 600,000 | 686,676 |
| 5% 12/1/26 | | 1,000,000 | 1,152,840 |
| 5% 12/1/27 | | 1,600,000 | 1,832,448 |
| South Carolina Trans. Infrastructure Bank Rev. Series 2015 A, 5% 10/1/23 | | 1,430,000 | 1,624,652 |
| Spartanburg County Reg'l. Health Series 2017 A: | | | |
| 4% 4/15/43 | | 9,915,000 | 9,718,485 |
| 4% 4/15/48 | | 6,915,000 | 6,683,209 |
| 5% 4/15/48 | | 9,380,000 | 10,231,047 |
|
| TOTAL SOUTH CAROLINA | | | 112,442,128 |
|
| South Dakota - 0.2% | | | |
| South Dakota Health & Edl. Facilities Auth. Rev.: | | | |
| Series 2014 B, 5% 11/1/44 | | 5,000,000 | 5,394,900 |
| Series 2017: | | | |
| 5% 7/1/30 | | 850,000 | 989,213 |
| 5% 7/1/35 | | 725,000 | 817,670 |
|
| TOTAL SOUTH DAKOTA | | | 7,201,783 |
|
| Tennessee - 0.8% | | | |
| Greeneville Health & Edl. Facilities Board Series 2018 A: | | | |
| 5% 7/1/20 | | 1,500,000 | 1,562,370 |
| 5% 7/1/23 | | 500,000 | 557,610 |
| 5% 7/1/24 | | 1,000,000 | 1,115,220 |
| 5% 7/1/25 | | 1,000,000 | 1,112,110 |
| Shelby County Health Edl. & Hsg. Facilities Board Rev. (Methodist Le Bonheur Health Proj.) Series 2017 A: | | | |
| 5% 5/1/22 | | 705,000 | 773,604 |
| 5% 5/1/23 | | 1,600,000 | 1,794,912 |
| 5% 5/1/25 | | 1,300,000 | 1,515,280 |
| 5% 5/1/27 | | 1,230,000 | 1,469,838 |
| 5% 5/1/29 | | 1,240,000 | 1,466,511 |
| 5% 5/1/30 | | 2,395,000 | 2,809,143 |
| 5% 5/1/31 | | 1,260,000 | 1,466,728 |
| Tennessee Energy Acquisition Corp. Bonds: | | | |
| (Gas Rev. Proj.) Series A, 4%, tender 5/1/23 (a) | | 6,645,000 | 6,942,630 |
| Series 2018, 4%, tender 11/1/49 | | 6,255,000 | 6,606,594 |
|
| TOTAL TENNESSEE | | | 29,192,550 |
|
| Texas - 9.9% | | | |
| Arlington Spl. Tax Rev. Series 2018 C, 5% 2/15/45 | | 1,730,000 | 1,809,840 |
| Austin Wtr. & Wastewtr. Sys. Rev. Series 2016, 5% 11/15/37 | | 4,010,000 | 4,571,641 |
| Central Reg'l. Mobility Auth.: | | | |
| Series 2015 A: | | | |
| 5% 1/1/40 | | 2,000,000 | 2,179,200 |
| 5% 1/1/45 | | 1,000,000 | 1,082,430 |
| Series 2016: | | | |
| 5% 1/1/40 | | 3,000,000 | 3,283,560 |
| 5% 1/1/46 | | 1,800,000 | 1,955,160 |
| Corpus Christi Util. Sys. Rev. 5% 7/15/23 | | 3,400,000 | 3,739,286 |
| Cypress-Fairbanks Independent School District: | | | |
| Series 2014 C, 5% 2/15/44 | | 3,175,000 | 3,508,470 |
| Series 2016, 5% 2/15/27 | | 1,885,000 | 2,232,443 |
| Dallas Area Rapid Transit Sales Tax Rev. Series 2016 A, 5% 12/1/33 | | 1,625,000 | 1,878,386 |
| Dallas Fort Worth Int'l. Arpt. Rev. Series 2010 A, 5% 11/1/42 | | 5,200,000 | 5,420,012 |
| Dallas Gen. Oblig. Series 2017: | | | |
| 5% 2/15/29 | | 3,420,000 | 4,052,221 |
| 5% 2/15/30 | | 4,935,000 | 5,807,952 |
| Dallas Independent School District Bonds Series 2016: | | | |
| 5%, tender 2/15/22 (a) | | 30,000 | 32,819 |
| 5%, tender 2/15/22 (a) | | 1,925,000 | 2,096,941 |
| Frisco Independent School District Series 2009, 5.375% 8/15/39 (Assured Guaranty Corp. Insured) | | 2,610,000 | 2,654,135 |
| Granbury Independent School District 0% 8/1/19 | | 1,000,000 | 991,518 |
| Grand Parkway Trans. Corp.: | | | |
| Bonds Series 2018 B, 5%, tender 10/1/23 (a) | | 10,590,000 | 11,935,777 |
| Series 2013 B: | | | |
| 5% 4/1/53 | | 27,390,000 | 29,420,969 |
| 5.25% 10/1/51 | | 25,400,000 | 27,693,112 |
| 5.5% 4/1/53 | | 2,300,000 | 2,535,520 |
| Series 2018 A: | | | |
| 5% 10/1/36 | | 5,000,000 | 5,795,400 |
| 5% 10/1/37 | | 10,000,000 | 11,530,300 |
| 5% 10/1/43 | | 5,500,000 | 6,238,265 |
| Harris County Cultural Ed. Facilities Fin. Corp. Med. Facilities Rev. (Baylor College of Medicine Proj.) Series 2012 A, 5% 11/15/37 | | 3,800,000 | 4,129,080 |
| Harris County Toll Road Rev. (Harris County Toll Road Auth. Proj.) Series 2018 A, 5% 8/15/33 | | 2,000,000 | 2,340,220 |
| Houston Arpt. Sys. Rev.: | | | |
| Series 2011 B: | | | |
| 5% 7/1/25 | | 1,460,000 | 1,564,594 |
| 5% 7/1/26 | | 3,000,000 | 3,212,010 |
| Series 2018 D: | | | |
| 5% 7/1/29 | | 1,900,000 | 2,299,532 |
| 5% 7/1/30 | | 2,500,000 | 2,997,850 |
| 5% 7/1/31 | | 2,250,000 | 2,675,318 |
| 5% 7/1/32 | | 2,000,000 | 2,361,660 |
| Houston Gen. Oblig. Series 2017 A, 5% 3/1/29 | | 1,080,000 | 1,282,381 |
| Houston Independent School District Series 2017, 5% 2/15/35 | | 1,600,000 | 1,851,568 |
| Houston Util. Sys. Rev.: | | | |
| Series 2014 C, 5% 5/15/28 | | 1,485,000 | 1,698,350 |
| Series 2016 B, 5% 11/15/33 | | 1,400,000 | 1,618,176 |
| Series 2018 D, 5% 11/15/43 | | 1,845,000 | 2,110,256 |
| Irving Hosp. Auth. Hosp. Rev. Series 2017 A: | | | |
| 5% 10/15/33 | | 1,055,000 | 1,167,569 |
| 5% 10/15/34 | | 1,670,000 | 1,837,835 |
| 5% 10/15/44 | | 835,000 | 895,220 |
| Lower Colorado River Auth. Rev.: | | | |
| (LCRA Transmission Svcs. Corp. Proj.) Series 2018: | | | |
| 5% 5/15/33 | | 4,510,000 | 5,239,718 |
| 5% 5/15/35 | | 2,125,000 | 2,448,978 |
| Series 2015 B: | | | |
| 5% 5/15/30 | | 4,500,000 | 5,149,980 |
| 5% 5/15/31 | | 7,200,000 | 8,208,504 |
| Series 2015 D: | | | |
| 5% 5/15/27 | | 1,500,000 | 1,737,435 |
| 5% 5/15/29 | | 2,150,000 | 2,469,963 |
| New Hope Cultural Ed. Facilities Finc (Childrens Med. Ctr. of Dallas) Series 2017 A: | | | |
| 5% 8/15/28 | | 1,500,000 | 1,790,280 |
| 5% 8/15/47 | | 1,205,000 | 1,342,936 |
| Newark Higher Ed. Fin. Corp. (Abilene Christian Univ. Proj.) Series 2016 A, 5% 4/1/29 | | 2,100,000 | 2,371,551 |
| North Texas Tollway Auth. Rev.: | | | |
| (Sr. Lien Proj.) Series 2017 A, 5% 1/1/35 | | 1,300,000 | 1,478,867 |
| (Sr. Lien Proj.) Series 2017 A: | | | |
| 5% 1/1/30 | | 1,425,000 | 1,640,360 |
| 5% 1/1/34 | | 1,000,000 | 1,143,630 |
| 5% 1/1/36 | | 1,200,000 | 1,360,596 |
| 5% 1/1/37 | | 4,705,000 | 5,313,498 |
| (Sub Lien Proj.) Series 2017 B: | | | |
| 5% 1/1/30 | | 265,000 | 304,252 |
| 5% 1/1/31 | | 370,000 | 421,985 |
| 5% 1/1/33 | | 1,500,000 | 1,714,305 |
| Series 2008 I, 6.2% 1/1/42 (Assured Guaranty Corp. Insured) | | 1,700,000 | 2,045,525 |
| Series 2009, 6.25% 1/1/39 | | 560,000 | 561,887 |
| Series 2011 A: | | | |
| 5.5% 9/1/41 (Pre-Refunded to 9/1/21 @ 100) | | 6,870,000 | 7,510,353 |
| 6% 9/1/41 (Pre-Refunded to 9/1/21 @ 100) | | 2,100,000 | 2,322,054 |
| Series 2014 A: | | | |
| 5% 1/1/23 | | 950,000 | 1,061,169 |
| 5% 1/1/24 | | 2,500,000 | 2,848,925 |
| Series 2015 A, 5% 1/1/32 | | 1,550,000 | 1,742,557 |
| Series 2015 B, 5% 1/1/31 | | 7,115,000 | 8,048,630 |
| Series 2016 A: | | | |
| 5% 1/1/32 | | 3,000,000 | 3,421,980 |
| 5% 1/1/39 | | 1,000,000 | 1,109,330 |
| Series 2017 A, 5% 1/1/43 | | 6,500,000 | 7,309,315 |
| Series 2018, 0% 1/1/29 (Assured Guaranty Corp. Insured) | | 15,110,000 | 11,315,426 |
| Northside Independent School District Bonds 2%, tender 6/1/21 (a) | | 1,915,000 | 1,911,093 |
| San Antonio Elec. & Gas Sys. Rev.: | | | |
| Series 2012, 5.25% 2/1/25 | | 1,600,000 | 1,902,192 |
| Series 2017: | | | |
| 5% 2/1/32 | | 1,250,000 | 1,475,175 |
| 5% 2/1/34 | | 1,500,000 | 1,751,565 |
| 5% 2/1/47 | | 7,500,000 | 8,406,000 |
| San Antonio Gen. Oblig. Series 2018: | | | |
| 5% 8/1/37 | | 1,315,000 | 1,540,312 |
| 5% 8/1/38 | | 3,470,000 | 4,048,900 |
| San Antonio Independent School District Series 2016, 5% 8/15/31 | | 2,010,000 | 2,342,454 |
| San Antonio Wtr. Sys. Rev. Series 2012: | | | |
| 5% 5/15/25 | | 3,540,000 | 3,890,885 |
| 5% 5/15/26 | | 7,000,000 | 7,682,080 |
| Southwest Higher Ed. Auth. Rev.: | | | |
| (Southern Methodist Univ. Proj.) Series 2016 A: | | | |
| 5% 10/1/40 | | 3,525,000 | 3,962,981 |
| 5% 10/1/45 | | 4,000,000 | 4,471,040 |
| (Southern Methodist Univ., TX. Proj.) Series 2017: | | | |
| 5% 10/1/32 | | 750,000 | 879,833 |
| 5% 10/1/41 | | 1,500,000 | 1,703,925 |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Hosp. Rev. Series 2015, 5% 9/1/30 | | 5,000,000 | 5,555,850 |
| Tarrant County Cultural Ed. Facilities Fin. Corp. Rev. Series 2016 A: | | | |
| 5% 2/15/25 | | 395,000 | 458,595 |
| 5% 2/15/41 | | 8,335,000 | 9,220,177 |
| Texas Gen. Oblig.: | | | |
| Series 2014 A, 5% 10/1/44 | | 3,000,000 | 3,334,740 |
| Series 2016, 5% 4/1/41 | | 3,120,000 | 3,517,020 |
| Series 2017 B, 5% 10/1/36 | | 3,300,000 | 3,832,620 |
| Series A, 5% 10/1/23 | | 1,500,000 | 1,712,085 |
| Texas State Univ. Sys. Fing. Rev. Series 2017 A: | | | |
| 5% 3/15/28 | | 3,045,000 | 3,627,935 |
| 5% 3/15/31 | | 2,000,000 | 2,339,480 |
| Univ. of Houston Univ. Revs. Series 2017 A: | | | |
| 5% 2/15/30 | | 3,455,000 | 4,018,372 |
| 5% 2/15/33 | | 3,500,000 | 3,997,875 |
| Univ. of Texas Permanent Univ. Fund Rev. Series 2016 B, 5% 7/1/29 | | 940,000 | 1,111,954 |
|
| TOTAL TEXAS | | | 358,616,103 |
|
| Utah - 0.4% | | | |
| Salt Lake City Arpt. Rev.: | | | |
| Series 2017 B: | | | |
| 5% 7/1/34 | | 1,640,000 | 1,888,706 |
| 5% 7/1/35 | | 1,500,000 | 1,721,445 |
| 5% 7/1/36 | | 1,500,000 | 1,713,075 |
| 5% 7/1/37 | | 1,000,000 | 1,137,280 |
| Series 2018 B: | | | |
| 5% 7/1/43 | | 3,000,000 | 3,396,540 |
| 5% 7/1/48 | | 3,000,000 | 3,381,060 |
| Utah Associated Muni. Pwr. Sys. Rev. Series 2012 A, 5% 9/1/25 (Pre-Refunded to 9/1/22 @ 100) | | 1,680,000 | 1,865,304 |
|
| TOTAL UTAH | | | 15,103,410 |
|
| Vermont - 0.2% | | | |
| Vermont Edl. & Health Bldg. Fin. Agcy. Rev. (Champlain College Proj.) Series 2016 A: | | | |
| 5% 10/15/41 | | 2,400,000 | 2,560,800 |
| 5% 10/15/46 | | 2,800,000 | 2,974,244 |
|
| TOTAL VERMONT | | | 5,535,044 |
|
| Virginia - 0.5% | | | |
| Fredericksburg Econ. Dev. Auth. Rev. 5% 6/15/26 | | 1,960,000 | 2,201,335 |
| Louisa Indl. Dev. Auth. Poll. Cont. Rev. Bonds Series 2008 B, 2.15%, tender 9/1/20 (a) | | 6,000,000 | 5,993,460 |
| Stafford County Econ. Dev. Auth. Hosp. Facilities Rev.: | | | |
| (Mary Washington Hosp. Proj.) Series 2016, 3% 6/15/29 | | 370,000 | 370,477 |
| Series 2016: | | | |
| 4% 6/15/37 | | 345,000 | 347,615 |
| 5% 6/15/28 | | 1,000,000 | 1,145,450 |
| 5% 6/15/33 | | 225,000 | 250,749 |
| 5% 6/15/36 | | 1,000,000 | 1,100,680 |
| Virginia College Bldg. Auth. Edl. Facilities Rev. Series 2015 A, 5% 1/1/40 | | 1,400,000 | 1,585,066 |
| Virginia Commonwealth Trans. Board Rev. (Virginia Gen. Oblig. Proj.) Series 2017 A: | | | |
| 5% 5/15/32 | | 475,000 | 563,963 |
| 5% 5/15/33 | | 2,000,000 | 2,359,100 |
| Winchester Econ. Dev. Auth. Series 2015, 5% 1/1/44 | | 2,500,000 | 2,720,275 |
|
| TOTAL VIRGINIA | | | 18,638,170 |
|
| Washington - 2.8% | | | |
| Chelan County Pub. Util. District #1 Columbia River-Rock Island Hydro-Elec. Sys. Rev. Series A, 0% 6/1/28 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | | 1,200,000 | 911,568 |
| Port of Seattle Rev. Series 2016: | | | |
| 5% 2/1/25 | | 1,250,000 | 1,454,688 |
| 5% 2/1/28 | | 2,000,000 | 2,339,180 |
| Spokane Pub. Facilities District Hotel/Motel Tax & Sales/Use Tax Rev. Series 2013 B, 5% 12/1/26 | | 3,880,000 | 4,320,652 |
| Tacoma Elec. Sys. Rev. Series 2017: | | | |
| 5% 1/1/37 | | 1,000,000 | 1,138,630 |
| 5% 1/1/38 | | 1,000,000 | 1,134,580 |
| Tobacco Settlement Auth. Rev. Series 2013, 5% 6/1/22 | | 3,500,000 | 3,784,375 |
| Washington Gen. Oblig.: | | | |
| Series 2015 C: | | | |
| 5% 2/1/33 | | 1,500,000 | 1,700,325 |
| 5% 2/1/34 | | 2,400,000 | 2,710,560 |
| Series 2017 D, 5% 2/1/33 | | 2,100,000 | 2,441,817 |
| Series 2018 D, 5% 8/1/33 | | 5,450,000 | 6,386,528 |
| Series C, 0% 6/1/21 (AMBAC Insured) | | 5,000,000 | 4,784,950 |
| Series R-2017 A: | | | |
| 5% 8/1/27 | | 945,000 | 1,131,883 |
| 5% 8/1/28 | | 945,000 | 1,126,119 |
| 5% 8/1/30 | | 945,000 | 1,110,432 |
| Washington Health Care Facilities Auth. Rev.: | | | |
| (Catholic Health Initiatives Proj.) Series 2008 D, 6.375% 10/1/36 | | 7,000,000 | 7,024,010 |
| (MultiCare Health Sys. Proj.): | | | |
| Series 2008 B, 6% 8/15/39 (Pre-Refunded to 8/15/19 @ 100) | | 1,500,000 | 1,533,510 |
| Series 2010 A, 5.25% 8/15/20 | | 2,325,000 | 2,368,640 |
| (Overlake Hosp. Med. Ctr. Proj.) Series 2010, 5.5% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) | | 3,800,000 | 3,996,232 |
| (Overlake Hosp. Med. Ctr., WA. Proj.) Series 2017 B: | | | |
| 5% 7/1/29 | | 405,000 | 476,904 |
| 5% 7/1/31 | | 860,000 | 992,105 |
| 5% 7/1/34 | | 2,645,000 | 2,991,707 |
| 5% 7/1/35 | | 2,350,000 | 2,642,599 |
| 5% 7/1/36 | | 2,250,000 | 2,513,633 |
| 5% 7/1/42 | | 9,220,000 | 10,122,269 |
| (Providence Health Systems Proj.): | | | |
| Series 2012 A, 5% 10/1/24 | | 6,700,000 | 7,410,468 |
| Series 2018 B: | | | |
| 5% 10/1/30 | | 1,200,000 | 1,429,848 |
| 5% 10/1/31 | | 1,500,000 | 1,771,950 |
| 5% 10/1/32 | | 1,035,000 | 1,214,997 |
| 5% 10/1/33 | | 2,500,000 | 2,911,900 |
| (Seattle Children's Hosp. Proj.) Series 2009, 5.625% 10/1/38 (Pre-Refunded to 10/1/19 @ 100) | | 2,200,000 | 2,256,672 |
| (Virginia Mason Med. Ctr. Proj.) Series 2017: | | | |
| 5% 8/15/29 | | 2,250,000 | 2,548,440 |
| 5% 8/15/30 | | 1,000,000 | 1,123,910 |
| Series 2015, 5% 1/1/26 | | 2,000,000 | 2,313,560 |
| Washington Higher Ed. Facilities Auth. Rev. (Whitworth Univ. Proj.) Series 2016 A: | | | |
| 5% 10/1/34 | | 1,600,000 | 1,743,104 |
| 5% 10/1/35 | | 1,000,000 | 1,085,270 |
| 5% 10/1/40 | | 1,625,000 | 1,732,299 |
| Washington Hsg. Fin. Commission Nonprofit Hsg. Rev. (Judson Park Proj.) Series 2018: | | | |
| 4% 7/1/28 (c) | | 100,000 | 98,151 |
| 5% 7/1/33 (c) | | 100,000 | 103,535 |
| 5% 7/1/38 (c) | | 100,000 | 102,409 |
| 5% 7/1/48 (c) | | 300,000 | 304,722 |
|
| TOTAL WASHINGTON | | | 99,289,131 |
|
| West Virginia - 0.3% | | | |
| West Virginia Econ. Dev. Auth. Solid Waste Disp. Facilities Rev. Bonds 1.9%, tender 4/1/19 (a) | | 4,555,000 | 4,551,809 |
| West Virginia Hosp. Fin. Auth. Hosp. Rev. Series 2018 A, 5% 1/1/33 | | 1,840,000 | 2,087,498 |
| West Virginia Univ. Revs. (West Virginia Univ. Projs.) Series 2014 A, 5% 10/1/44 | | 2,900,000 | 3,243,418 |
|
| TOTAL WEST VIRGINIA | | | 9,882,725 |
|
| Wisconsin - 1.3% | | | |
| Pub. Fin. Auth. Sr Liv Rev. (Mary's Woods At Marylhurst, Inc. Proj.): | | | |
| Series 2017 A: | | | |
| 5% 5/15/25 (c) | | 705,000 | 755,090 |
| 5% 5/15/28 (c) | | 580,000 | 619,243 |
| 5.25% 5/15/37 (c) | | 190,000 | 198,677 |
| 5.25% 5/15/42 (c) | | 235,000 | 243,928 |
| 5.25% 5/15/47 (c) | | 235,000 | 243,112 |
| 5.25% 5/15/52 (c) | | 435,000 | 447,615 |
| Series 2017 B-1 3.95% 11/15/24 (c) | | 195,000 | 195,932 |
| Series 2017 B-2, 3.5% 11/15/23 (c) | | 250,000 | 250,045 |
| Series 2017 B-3, 3% 11/15/22 (c) | | 345,000 | 345,028 |
| Pub. Fin. Auth. Wisconsin Retirement Facility Rev. Series 2018: | | | |
| 5% 10/1/43 (c) | | 515,000 | 519,285 |
| 5% 10/1/48 (c) | | 615,000 | 617,768 |
| 5% 10/1/53 (c) | | 1,050,000 | 1,050,725 |
| Wisconsin Health & Edl. Facilities: | | | |
| Bonds Series 2018 B, 5%, tender 1/29/25 (a) | | 10,000,000 | 11,550,200 |
| Series 2010: | | | |
| 5.75% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) | | 370,000 | 390,387 |
| 5.75% 7/1/30 (Pre-Refunded to 7/1/20 @ 100) | | 630,000 | 664,713 |
| Series 2014: | | | |
| 4% 5/1/33 | | 1,475,000 | 1,493,039 |
| 5% 5/1/23 | | 1,410,000 | 1,548,589 |
| 5% 5/1/25 | | 775,000 | 861,149 |
| Series 2015, 5% 12/15/44 | | 10,000,000 | 10,673,800 |
| Series 2016, 5% 2/15/29 (Pre-Refunded to 8/15/25 @ 100) | | 1,290,000 | 1,518,898 |
| Series 2017 A: | | | |
| 5% 9/1/30 | | 1,270,000 | 1,412,024 |
| 5% 9/1/32 | | 1,100,000 | 1,205,072 |
| Wisconsin Health & Edl. Facilities Auth. Rev.: | | | |
| (Agnesian HealthCare, Inc. Proj.): | | | |
| Series 2010, 5.5% 7/1/40 (Pre-Refunded to 7/1/20 @ 100) | | 1,000,000 | 1,051,640 |
| Series 2013 B: | | | |
| 5% 7/1/26 (Pre-Refunded to 7/1/23 @ 100) | | 750,000 | 849,218 |
| 5% 7/1/36 (Pre-Refunded to 7/1/23 @ 100) | | 1,900,000 | 2,151,351 |
| Series 2012: | | | |
| 5% 10/1/24 | | 1,400,000 | 1,544,340 |
| 5% 6/1/27 | | 1,000,000 | 1,076,270 |
| 5% 6/1/39 | | 1,190,000 | 1,260,472 |
| Wisconsin St Gen. Fund Annual Appropriation Series 2019 A, 5% 5/1/29 | | 3,000,000 | 3,604,860 |
|
| TOTAL WISCONSIN | | | 48,342,470 |
|
| Wyoming - 0.1% | | | |
| Campbell County Solid Waste Facilities Rev. (Basin Elec. Pwr. Coop. - Dry Fork Station Facilities Proj.) Series 2009 A, 5.75% 7/15/39 | | 2,600,000 | 2,643,581 |
| TOTAL MUNICIPAL BONDS | | | |
| (Cost $3,415,490,065) | | | 3,486,130,416 |
| | | Shares | Value |
|
| Money Market Funds - 2.3% | | | |
| Fidelity Tax-Free Cash Central Fund, 1.42% (f)(g) | | | |
| (Cost $84,000,000) | | 83,991,601 | 84,000,000 |
| TOTAL INVESTMENT IN SECURITIES - 98.9% | | | |
| (Cost $3,499,490,065) | | | 3,570,130,416 |
| NET OTHER ASSETS (LIABILITIES) - 1.1% | | | 41,372,432 |
| NET ASSETS - 100% | | | $3,611,502,848 |
Legend
(a) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(b) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $23,319,786 or 0.6% of net assets.
(d) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f) Information in this report regarding holdings by state and security types does not reflect the holdings of the Fidelity Tax-Free Cash Central Fund.
(g) Affiliated fund that is 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.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Tax-Free Cash Central Fund | $414,229 |
| Total | $414,229 |
Amounts in the 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.
Investment Valuation
The following is a summary of the inputs used, as of January 31, 2019, 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: | | | | |
| Municipal Securities | $3,486,130,416 | $-- | $3,486,130,416 | $-- |
| Money Market Funds | 84,000,000 | 84,000,000 | -- | -- |
| Total Investments in Securities: | $3,570,130,416 | $84,000,000 | $3,486,130,416 | $-- |
Other Information
The distribution of municipal securities by revenue source, as a percentage of total Net Assets, is as follows (Unaudited):
| General Obligations | 26.4% |
| Health Care | 24.0% |
| Transportation | 16.2% |
| Electric Utilities | 8.3% |
| Special Tax | 6.6% |
| Others* (Individually Less Than 5%) | 18.5% |
| | 100.0% |
* Includes net other assets
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | January 31, 2019 |
| Assets | | |
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $3,415,490,065) | $3,486,130,416 | |
| Fidelity Central Funds (cost $84,000,000) | 84,000,000 | |
| Total Investment in Securities (cost $3,499,490,065) | | $3,570,130,416 |
| Cash | | 35,150,954 |
| Receivable for fund shares sold | | 1,914,966 |
| Interest receivable | | 38,547,362 |
| Distributions receivable from Fidelity Central Funds | | 50,352 |
| Prepaid expenses | | 4,388 |
| Receivable from investment adviser for expense reductions | | 623,605 |
| Other receivables | | 9,041 |
| Total assets | | 3,646,431,084 |
| Liabilities | | |
| Payable for investments purchased on a delayed delivery basis | $11,500,000 | |
| Payable for fund shares redeemed | 17,022,072 | |
| Distributions payable | 4,962,504 | |
| Accrued management fee | 1,067,897 | |
| Other affiliated payables | 309,540 | |
| Other payables and accrued expenses | 66,223 | |
| Total liabilities | | 34,928,236 |
| Net Assets | | $3,611,502,848 |
| Net Assets consist of: | | |
| Paid in capital | | $3,543,354,130 |
| Total distributable earnings (loss) | | 68,148,718 |
| Net Assets, for 317,718,033 shares outstanding | | $3,611,502,848 |
| Net Asset Value, offering price and redemption price per share ($3,611,502,848 ÷ 317,718,033 shares) | | $11.37 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended January 31, 2019 |
| Investment Income | | |
| Interest | | $119,003,215 |
| Income from Fidelity Central Funds | | 414,229 |
| Total income | | 119,417,444 |
| Expenses | | |
| Management fee | $12,999,153 | |
| Transfer agent fees | 3,099,393 | |
| Accounting fees and expenses | 603,955 | |
| Custodian fees and expenses | 26,923 | |
| Independent trustees' fees and expenses | 16,734 | |
| Registration fees | 134,225 | |
| Audit | 80,728 | |
| Legal | 7,262 | |
| Miscellaneous | 24,644 | |
| Total expenses before reductions | 16,993,017 | |
| Expense reductions | (7,871,777) | |
| Total expenses after reductions | | 9,121,240 |
| Net investment income (loss) | | 110,296,204 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | (2,269,012) | |
| Total net realized gain (loss) | | (2,269,012) |
| Change in net unrealized appreciation (depreciation) on investment securities | | (1,393,192) |
| Net gain (loss) | | (3,662,204) |
| Net increase (decrease) in net assets resulting from operations | | $106,634,000 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended January 31, 2019 | Year ended January 31, 2018 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $110,296,204 | $103,753,347 |
| Net realized gain (loss) | (2,269,012) | 14,800,741 |
| Change in net unrealized appreciation (depreciation) | (1,393,192) | 16,885,586 |
| Net increase (decrease) in net assets resulting from operations | 106,634,000 | 135,439,674 |
| Distributions to shareholders | (117,926,798) | – |
| Distributions to shareholders from net investment income | – | (103,677,226) |
| Distributions to shareholders from net realized gain | – | (14,330,519) |
| Total distributions | (117,926,798) | (118,007,745) |
| Share transactions | | |
| Proceeds from sales of shares | 1,289,299,373 | 1,185,580,313 |
| Reinvestment of distributions | 55,686,296 | 60,877,913 |
| Cost of shares redeemed | (1,499,889,554) | (607,578,370) |
| Net increase (decrease) in net assets resulting from share transactions | (154,903,885) | 638,879,856 |
| Total increase (decrease) in net assets | (166,196,683) | 656,311,785 |
| Net Assets | | |
| Beginning of period | 3,777,699,531 | 3,121,387,746 |
| End of period | $3,611,502,848 | $3,777,699,531 |
| Other Information | | |
| Undistributed net investment income end of period | | $45,711 |
| Shares | | |
| Sold | 114,579,701 | 103,174,916 |
| Issued in reinvestment of distributions | 4,941,784 | 5,314,256 |
| Redeemed | (133,580,163) | (53,049,241) |
| Net increase (decrease) | (14,058,678) | 55,439,931 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Tax-Free Bond Fund
| | | | | | |
| Years ended January 31, | 2019 | 2018 | 2017 | 2016 | 2015 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $11.39 | $11.30 | $11.77 | $11.91 | $11.18 |
| Income from Investment Operations | | | | | |
| Net investment income (loss)A | .340 | .352 | .377 | .401 | .414 |
| Net realized and unrealized gain (loss) | .003B | .139 | (.408) | (.124) | .734 |
| Total from investment operations | .343 | .491 | (.031) | .277 | 1.148 |
| Distributions from net investment income | (.340) | (.352) | (.377) | (.401) | (.417) |
| Distributions from net realized gain | (.023) | (.049) | (.062) | (.016) | (.001) |
| Total distributions | (.363) | (.401) | (.439) | (.417) | (.418) |
| Redemption fees added to paid in capitalA | – | – | –C | –C | –C |
| Net asset value, end of period | $11.37 | $11.39 | $11.30 | $11.77 | $11.91 |
| Total ReturnD | 3.09% | 4.38% | (.31)% | 2.43% | 10.45% |
| Ratios to Average Net AssetsE,F | | | | | |
| Expenses before reductions | .46% | .46% | .46% | .46% | .46% |
| Expenses net of fee waivers, if any | .25% | .25% | .25% | .25% | .25% |
| Expenses net of all reductions | .25% | .25% | .25% | .25% | .25% |
| Net investment income (loss) | 3.02% | 3.06% | 3.21% | 3.46% | 3.59% |
| Supplemental Data | | | | | |
| Net assets, end of period (000 omitted) | $3,611,503 | $3,777,700 | $3,121,388 | $3,069,030 | $2,922,473 |
| Portfolio turnover rateG | 23% | 17% | 23% | 9% | 5% |
A Calculated based on average shares outstanding during the period.
B The 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.
C Amount represents less than $.0005 per share.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended January 31, 2019
1. Organization.
Fidelity Tax-Free Bond 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.
The Fund invests 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 Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC 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 – Investments 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 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 delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
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 – 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Municipal securities are valued by pricing vendors 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 vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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 January 31, 2019 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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
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. 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 January 31, 2019, 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 daily and paid monthly from net investment income. Distributions from realized gains, if any, 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 market discount and capital loss carryforwards.
The Fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the IRS will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
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 | $87,008,357 |
| Gross unrealized depreciation | (16,193,716) |
| Net unrealized appreciation (depreciation) | $70,814,641 |
| Tax Cost | $3,499,315,775 |
The tax-based components of distributable earnings as of period end were as follows:
| Capital loss carryforward | $(2,189,333) |
| Net unrealized appreciation (depreciation) on securities and other investments | $70,814,641 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
| No expiration | |
| Short-term | $(2,189,333) |
The tax character of distributions paid was as follows:
| | January 31, 2019 | January 21, 2018 |
| Tax-exempt Income | $110,484,531 | $103,677,226 |
| Long-term Capital Gains | 7,442,267 | 14,330,519 |
| Total | $117,926,798 | $ 118,007,745 |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
New Rule Issuance. During August 2018, the U.S. Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification. This Final Rule includes amendments specific to registered investment companies that are intended to eliminate overlap in disclosure requirements between Regulation S-X and GAAP. In accordance with these amendments, certain line-items in the Fund's financial statements have been combined or removed for the current period as outlined in the table below.
| Financial Statement | Current Line-Item Presentation (As Applicable) | Prior Line-Item Presentation (As Applicable) |
| Statement of Assets and Liabilities | Total distributable earnings (loss) | Undistributed/Distributions in excess of/Accumulated net investment income (loss)
Accumulated/Undistributed net realized gain (loss)
Net unrealized appreciation (depreciation) |
| Statement of Changes in Net Assets | N/A - removed | Undistributed/Distributions in excess of/Accumulated net investment income (loss) end of period |
| Statement of Changes in Net Assets | Distributions to shareholders | Distributions to shareholders from net investment income
Distributions to shareholders from net realized gain |
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $803,162,913 and $930,775,159, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (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 the sum of an individual fund fee rate that is based on an annual rate of .25% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .36% of the Fund's average net assets.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for the Fund. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees were equivalent to an annual rate of .08% of average net assets.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month. For the period, the fees were equivalent to an annual rate of .02%.
Interfund Trades. The Fund 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates 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 Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $9,942 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .25% of average net assets. This reimbursement will remain in place through May 31, 2020. 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 $7,825,030.
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. During the period, these credits reduced the Fund's custody expenses by $26,923.
In addition, during the period the investment adviser reimbursed and/or waived a portion of operating expenses in the amount of $19,824.
8. Other.
The 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, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Tax-Free Bond Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Tax-Free Bond Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of January 31, 2019, 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 January 31, 2019, 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 January 31, 2019, by correspondence with the custodians 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
March 14, 2019
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Trustees and Officers
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 260 funds. Mr. Chiel oversees 155 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. Arthur E. Johnson 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 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 FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, 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. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a 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 in April 2012, Ms. Acton was 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 of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton 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). She is the President of First to Four LLC (leadership and mentoring services, 2012-present). She also serves as a member of the Board of Directors and Nominating and Corporate Governance Committee of L3 Technologies, Inc. (communication, electronic, sensor, and aerospace systems, 2013-present), Board of Directors and Nomination and Corporate Governance Committees of Kforce Inc. (professional staffing services, 2016-present) and Board of Directors of Automattic Inc. (software engineering, 2018-present). Previously, General Dunwoody served as a Member of the Advisory Board of certain Fidelity® funds (2018), a member of the Board of Directors and Audit and Sustainability and Corporate Responsibility Committees of Republic Services, Inc. (waste collection, disposal and recycling, 2013-2016). Ms. Dunwoody also serves on several boards for non-profit organizations, including as a member of the Board of Directors, Chair of the Nomination and Governance Committee and member of the Audit Committee of Logistics Management Institute (consulting non-profit, 2012-present), a member of the Board of Directors of the Army Historical Foundation (2015-present), a member of the Council of Trustees for the Association of the United States Army (advocacy non-profit, 2013-present) and a member of the Board of Trustees of Florida Institute of Technology (2015-present) and ThanksUSA (military family education non-profit, 2014-present).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as interim president of Michigan State University (2018-2019), a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.
Robert F. Gartland (1951)
Year of Election or Appointment: 2010
Trustee
Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). 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).
Arthur E. Johnson (1947)
Year of Election or Appointment: 2008
Trustee
Chairman of the Independent Trustees
Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). 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 previously served as Vice Chairman (2015-2018) of the Independent Trustees of certain Fidelity® funds and on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.
Michael E. Kenneally (1954)
Year of Election or Appointment: 2009
Trustee
Vice Chairman of the Independent Trustees
Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.
Marie L. Knowles (1946)
Year of Election or Appointment: 2001
Trustee
Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Chairman (2015-2018) and Vice Chairman (2012-2015) of the Independent Trustees of certain Fidelity® funds.
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors 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 is also a director or trustee of many community and professional organizations.
+ 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 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
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2017
Anti-Money Laundering (AML) Officer
Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.
Craig S. Brown (1977)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Brown also serves as Assistant Treasurer of other funds. Mr. Brown is an employee of Fidelity Investments (2013-present).
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).
William C. Coffey (1969)
Year of Election or Appointment: 2018
Secretary and Chief Legal Officer (CLO)
Mr. Coffey also serves as Secretary and CLO of other funds. Mr. Coffey serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2018-present); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2018-present); and CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2018-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Assistant Secretary of certain funds (2009-2018) and as Vice President and Associate General Counsel of FMR LLC (2005-2009).
Jonathan Davis (1968)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2010
Assistant Treasurer
Mr. Deberghes also serves as an officer of other funds. He serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as President and Treasurer of certain Fidelity® funds (2013-2018). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.
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 is an employee of Fidelity Investments (2017-present). 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).
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 FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Assistant Treasurer of certain Fidelity® funds (2016-2018).
Chris Maher (1972)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight, serves as Assistant Treasurer of FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments. Previously, Mr. Maher served as 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).
John B. McGinty, Jr. (1962)
Year of Election or Appointment: 2016
Chief Compliance Officer
Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).
Jason P. Pogorelec (1975)
Year of Election or Appointment: 2015
Assistant Secretary
Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).
Nancy D. Prior (1967)
Year of Election or Appointment: 2014
Vice President
Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as President Fixed Income, High Income/Emerging Market Debt and Multi Asset Class Strategies of FIAM LLC (2018-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice Chairman of FIAM LLC (investment adviser firm, 2014-2018), a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-2018), President Multi-Asset Class Strategies of FMR's Global Asset Allocation Division (2017-2018), Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).
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 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 (2013-2018) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.
Marc L. Spector (1972)
Year of Election or Appointment: 2016
Deputy Treasurer
Mr. Spector also serves as an officer of other funds. Mr. Spector serves as Assistant Treasurer of FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as Assistant Treasurer of other funds. Mr. Wegmann is an employee of Fidelity Investments (2011-present).
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the 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 (August 1, 2018 to January 31, 2019).
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 under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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 Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's 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.
| | Annualized Expense Ratio-A | Beginning
Account Value
August 1, 2018 | Ending
Account Value
January 31, 2019 | Expenses Paid
During Period-B
August 1, 2018
to January 31, 2019 |
| Actual | .25% | $1,000.00 | $1,020.70 | $1.27 |
| Hypothetical-C | | $1,000.00 | $1,023.95 | $1.28 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
During fiscal year ended 2019, 100% of the fund's income dividends was free from federal income tax, and 0.00% of the fund's income dividends was subject to the federal alternative minimum tax.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Tax-Free Bond Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
At its September 2018 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.
Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, investor education materials and asset allocation tools, and the expanded availability of Fidelity Investor Centers.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity's investment research process, which includes meetings with management of issuers of securities in which the funds invest, and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes, and converting certain voluntary expense caps to contractual caps, to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for funds that had such fees; (ix) rationalizing product lines and gaining increased efficiencies from fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xi) continuing to implement enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history.
The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.
The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.
Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (
e.g., flat rate charged for advisory services, all-inclusive fee rate,
etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and was considered by the Board.
Fidelity Tax-Free Bond Fund
The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2017.
The Board noted that it and the boards of other Fidelity funds formed an ad hoc Committee on Group Fee, which meets periodically, to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. The Committee's focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
Total Expense Ratio. In its review of the fund's total expense ratio, the Board considered the fund's management fee rate as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of the fund compared to competitive fund median expenses. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the fund's total expense ratio ranked below the competitive median for 2017.
The Board further considered that FMR has contractually agreed to reimburse the fund to the extent that total operating expenses (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, fees and expenses of the Independent Trustees, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of its average net assets, exceed 0.25% through March 31, 2019.
Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.
Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
PricewaterhouseCoopers LLP (PwC), auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of the fund profitability information and its conformity to established allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the fund's business. The Board noted that changes to fall-out benefits year-over-year reflect business developments at Fidelity's various businesses.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus the assets of sector funds previously under FMR's management). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as group assets increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds and the treatment of such compensation within Fidelity's fund profitability methodology; (v) the terms of Fidelity's voluntary expense limitation agreements; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) new developments in the retail and institutional marketplaces and the competitive positioning of the funds relative to other investment products and services; (ix) the impact of recent changes to the money market fund landscape, including the full implementation of money market fund reform and rising interest rates, on Fidelity's money market funds; (x) the funds' share class structures and distribution channels; and (xi) explanations regarding the relative total expense ratios of certain funds and classes, total expense competitive trends and methodologies for total expense competitive comparisons, and actions that might be taken by Fidelity to reduce total expense ratios for certain classes. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
SFB-ANN-0319
1.769635.117
Item 2.
Code of Ethics
As of the end of the period, January 31, 2019, 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 SAI Tax-Free Bond Fund, Fidelity Series Large Cap Value Index Fund and Fidelity Tax-Free Bond Fund (the “Funds”):
Services Billed by Deloitte Entities
January 31, 2019 FeesA,B
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity SAI Tax-Free Bond Fund | $44,000 | $- | $4,900 | $300 |
Fidelity Series Large Cap Value Index Fund | $47,000 | $100 | $6,300 | $1,400 |
Fidelity Tax-Free Bond Fund | $52,000 | $100 | $5,100 | $1,500 |
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity SAI Tax-Free Bond Fund | $- | $- | $- | $- |
Fidelity Series Large Cap Value Index Fund | $48,000 | $100 | $6,300 | $1,500 |
Fidelity Tax-Free Bond Fund | $54,000 | $100 | $5,100 | $1,200 |
| | | | |
AAmounts may reflect rounding.
BFidelity SAI Tax-Free Bond Fund commenced operations on October 2, 2018.
The following table presents fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Funds and that are rendered on behalf of Fidelity Management & Research Company (“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 Funds (“Fund Service Providers”):
Services Billed by Deloitte Entities
| | |
| January 31, 2019A,B | January 31, 2018A,B |
Audit-Related Fees | $290,000 | $3,000 |
Tax Fees | $5,000 | $20,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
BMay include amounts billed prior to the Fidelity SAI Tax-Free Bond Fund’s commencement of operations.
“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 for services rendered to the Funds, 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 Funds are as follows:
| | |
Billed By | January 31, 2019A,B | January 31, 2018A,B |
Deloitte Entities | $775,000 | $320,000 |
A Amounts may reflect rounding.
BMay include amounts billed prior to the Fidelity SAI Tax-Free Bond Fund’s commencement of operations.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the Funds, taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Funds and 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 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 Funds’ last two fiscal years relating to services provided to (i) the Funds or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Funds.
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
| | |
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
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: | March 27, 2019 |
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: | March 27, 2019 |
| |
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer |
| |
Date: | March 27, 2019 |
