UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-2105
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: | July 31 |
| |
Date of reporting period: | July 31, 2019 |
Item 1.
Reports to Stockholders
Fidelity® Real Estate Index Fund
Annual Report July 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 |
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| 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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 July 31, 2019 | Past 1 year | Past 5 years | Life of fundA |
| Fidelity® Real Estate Index Fund | 10.84% | 7.87% | 9.96% |
A From September 8, 2011
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Real Estate Index Fund on September 8, 2011, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Dow Jones U.S. Select Real Estate Securities Index℠ performed over the same period.
| Period Ending Values |
| $21,171 | Fidelity® Real Estate Index Fund |
| $21,290 | Dow Jones U.S. Select Real Estate Securities Index℠ |
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500
® index gained 7.99% for the 12 months ending July 31, 2019, beginning the new year on a high note after enduring a historically volatile final quarter of 2018. Upbeat company earnings/outlooks and signs the Federal Reserve may pause on rates boosted stocks to an all-time high on April 30. In May, however, volatility spiked and stocks returned -6.35% for the month amid the Fed’s decision to hold interest rates steady and signal that it had little appetite to adjust them any time soon, as well as retaliatory tariffs imposed on the U.S. by China. The downtrend was similar to late 2018, when many investors fled from risk assets on elevated concerns about future economic growth, global trade and tighter monetary policy. The bull market roared back in June, with the S&P 500
® rising 7.05%, and recorded a series of all-time highs in a productive July (+1.44%). For the full 12 months, growth stocks outpaced value, while large-caps handily bested small-caps. By sector, information technology (+19%) led the way, boosted by continued strength in software & services (+26%), the market’s largest industry segment. Three defensive groups also stood out – real estate (+18%), utilities (+17%) and consumer staples (+15%) – followed by consumer discretionary (+10%) and communication services (+8%). In contrast, energy (-16%) was by far the weakest sector. Other notable laggards included materials (0%), financials (+3%), industrials (+4%) and health care (+4%).
Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year, the fund gained 10.84%, performing roughly in line with the 10.89% increase in the Dow Jones U.S. Select Real Estate Securities Index℠. In what was a generally strong year of performance for the real estate investment trust (REIT) asset class, it was the health care (+26%) and residential (+24%) groups that led the way. On the other hand, hotel (-13%) and retail REITs (-3%) struggled due to mounting investor concerns about a slowing U.S. economy. On an individual basis, Prologis (+27%) was a significant contributor as this, and other industrial REITs, continued to benefit from strong demand for specialized distribution facilities serving the needs of e-commerce companies. Shares of Welltower, the largest health care REIT in the index, rose about 39% the past 12 months, easily outpacing the broader health care segment. Meanwhile, apartment REITs Equity Residential (+24%) and AvalonBay Communities (+22%) continued to benefit from industry trends boosting demand for apartments, while the stock of self-storage REIT Public Storage (+16%) gained on investors' hopes for improving industry fundamentals. In contrast, retail REITs struggled amid continued concern about competition from e-commerce outlets. In particular, mall owners Macerich (-40%) and Simon Property Group (-4%) were large detractors within this group. Another notable laggard was Senior Housing Properties Trust (-50%), an owner of retirement communities that was hurt by the company's large amount of debt and significant financial trouble for one of its major tenants during the period.
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 March 22, 2019, Pat Waddell retired and is no longer a portfolio manager with Geode Capital Management.
Investment Summary (Unaudited)
Top Ten Stocks as of July 31, 2019
| | % of fund's net assets |
| Prologis, Inc. | 7.3 |
| Simon Property Group, Inc. | 7.2 |
| Public Storage | 5.2 |
| Welltower, Inc. | 4.8 |
| Equity Residential (SBI) | 4.2 |
| AvalonBay Communities, Inc. | 4.2 |
| Ventas, Inc. | 3.5 |
| Digital Realty Trust, Inc. | 3.4 |
| Boston Properties, Inc. | 2.9 |
| Essex Property Trust, Inc. | 2.8 |
| | 45.5 |
Top Five REIT Sectors as of July 31, 2019
| | % of fund's net assets |
| REITs - Apartments | 21.2 |
| REITs - Health Care | 11.9 |
| REITs - Office Property | 11.3 |
| REITs - Diversified | 10.0 |
| REITs - Warehouse/Industrial | 9.6 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2019 |
| | Stocks and Equity Futures | 99.9% |
| | Short-Term Investments and Net Other Assets (Liabilities) | 0.1% |
Schedule of Investments July 31, 2019
Showing Percentage of Net Assets
| Common Stocks - 99.7% | | | |
| | | Shares | Value |
| Equity Real Estate Investment Trusts (REITs) - 99.6% | | | |
| REITs - Apartments - 21.2% | | | |
| American Campus Communities, Inc. | | 443,897 | $20,752,185 |
| American Homes 4 Rent Class A | | 841,568 | 20,374,361 |
| Apartment Investment & Management Co. Class A | | 481,276 | 23,842,413 |
| AvalonBay Communities, Inc. | | 450,823 | 94,127,334 |
| Camden Property Trust (SBI) | | 312,649 | 32,424,828 |
| Equity Residential (SBI) | | 1,198,053 | 94,514,401 |
| Essex Property Trust, Inc. | | 212,530 | 64,230,817 |
| Front Yard Residential Corp. Class B | | 157,479 | 1,891,323 |
| Independence Realty Trust, Inc. | | 290,419 | 3,586,675 |
| Invitation Homes, Inc. | | 1,358,360 | 37,314,149 |
| Mid-America Apartment Communities, Inc. | | 368,651 | 43,441,800 |
| UDR, Inc. | | 911,250 | 41,972,175 |
| | | | 478,472,461 |
| REITs - Diversified - 10.0% | | | |
| Apple Hospitality (REIT), Inc. | | 680,476 | 10,690,278 |
| CorePoint Lodging, Inc. | | 125,626 | 1,473,593 |
| Cousins Properties, Inc. | | 469,991 | 16,534,283 |
| Digital Realty Trust, Inc. | | 673,618 | 77,034,954 |
| Duke Realty Corp. | | 1,162,408 | 38,743,059 |
| Liberty Property Trust (SBI) | | 479,532 | 25,079,524 |
| NorthStar Realty Europe Corp. | | 162,196 | 2,757,332 |
| PS Business Parks, Inc. | | 64,729 | 11,327,575 |
| Vornado Realty Trust | | 561,350 | 36,106,032 |
| Washington REIT (SBI) | | 259,101 | 6,982,772 |
| | | | 226,729,402 |
| REITs - Health Care - 11.9% | | | |
| HCP, Inc. | | 1,545,822 | 49,358,096 |
| Healthcare Realty Trust, Inc. | | 417,852 | 13,362,907 |
| LTC Properties, Inc. | | 128,738 | 5,933,534 |
| Senior Housing Properties Trust (SBI) | | 769,985 | 6,313,877 |
| Universal Health Realty Income Trust (SBI) | | 40,771 | 3,757,455 |
| Ventas, Inc. | | 1,194,728 | 80,393,247 |
| Welltower, Inc. | | 1,309,633 | 108,856,695 |
| | | | 267,975,811 |
| REITs - Hotels - 6.4% | | | |
| Ashford Hospitality Trust, Inc. | | 283,103 | 767,209 |
| Chatham Lodging Trust | | 150,690 | 2,691,323 |
| Chesapeake Lodging Trust | | 196,961 | 5,410,519 |
| DiamondRock Hospitality Co. | | 652,363 | 6,569,295 |
| Hersha Hospitality Trust | | 116,268 | 1,816,106 |
| Hospitality Properties Trust (SBI) | | 531,758 | 13,139,740 |
| Host Hotels & Resorts, Inc. | | 2,396,150 | 41,669,049 |
| Park Hotels & Resorts, Inc. | | 651,949 | 17,217,973 |
| Pebblebrook Hotel Trust | | 422,536 | 11,826,783 |
| RLJ Lodging Trust | | 561,631 | 9,704,984 |
| Ryman Hospitality Properties, Inc. | | 166,361 | 12,477,075 |
| Summit Hotel Properties, Inc. | | 339,134 | 3,767,779 |
| Sunstone Hotel Investors, Inc. | | 739,414 | 9,767,659 |
| Xenia Hotels & Resorts, Inc. | | 364,520 | 7,811,664 |
| | | | 144,637,158 |
| REITs - Management/Investment - 1.0% | | | |
| American Assets Trust, Inc. | | 152,620 | 7,081,568 |
| Empire State Realty Trust, Inc. | | 461,851 | 6,470,533 |
| Retail Properties America, Inc. | | 690,992 | 8,402,463 |
| | | | 21,954,564 |
| REITs - Manufactured Homes - 3.3% | | | |
| Equity Lifestyle Properties, Inc. | | 290,832 | 36,135,876 |
| Sun Communities, Inc. | | 291,665 | 38,736,029 |
| | | | 74,871,905 |
| REITs - Office Buildings - 0.2% | | | |
| Government Properties Income Trust (a) | | 155,037 | 4,367,392 |
| REITs - Office Property - 11.3% | | | |
| Boston Properties, Inc. | | 499,746 | 66,441,231 |
| Brandywine Realty Trust (SBI) | | 569,852 | 8,405,317 |
| Columbia Property Trust, Inc. | | 378,154 | 8,292,917 |
| Corporate Office Properties Trust (SBI) | | 361,922 | 10,104,862 |
| Douglas Emmett, Inc. | | 523,171 | 21,355,840 |
| Easterly Government Properties, Inc. | | 219,687 | 4,145,494 |
| Equity Commonwealth | | 394,121 | 13,234,583 |
| Franklin Street Properties Corp. | | 346,438 | 2,792,290 |
| Highwoods Properties, Inc. (SBI) | | 335,341 | 15,201,008 |
| Hudson Pacific Properties, Inc. | | 499,293 | 17,625,043 |
| JBG SMITH Properties | | 390,313 | 15,272,948 |
| Kilroy Realty Corp. | | 326,564 | 25,948,775 |
| Mack-Cali Realty Corp. | | 292,494 | 6,955,507 |
| Paramount Group, Inc. | | 652,259 | 9,020,742 |
| Piedmont Office Realty Trust, Inc. Class A | | 406,311 | 8,455,332 |
| SL Green Realty Corp. | | 272,722 | 22,112,300 |
| | | | 255,364,189 |
| REITs - Regional Malls - 8.3% | | | |
| CBL & Associates Properties, Inc. (a) | | 559,172 | 587,131 |
| Pennsylvania Real Estate Investment Trust (SBI) (a) | | 192,064 | 1,148,543 |
| Simon Property Group, Inc. | | 999,294 | 162,085,487 |
| Tanger Factory Outlet Centers, Inc. (a) | | 305,304 | 4,848,228 |
| Taubman Centers, Inc. | | 197,936 | 8,020,367 |
| The Macerich Co. (a) | | 342,581 | 11,322,302 |
| | | | 188,012,058 |
| REITs - Shopping Centers - 7.3% | | | |
| Acadia Realty Trust (SBI) | | 267,885 | 7,519,532 |
| Brixmor Property Group, Inc. | | 963,732 | 18,291,633 |
| DDR Corp. | | 461,944 | 6,582,702 |
| Federal Realty Investment Trust (SBI) | | 242,245 | 31,978,762 |
| Kimco Realty Corp. | | 1,364,938 | 26,220,459 |
| Kite Realty Group Trust | | 272,410 | 4,334,043 |
| Ramco-Gershenson Properties Trust (SBI) | | 258,975 | 3,172,444 |
| Regency Centers Corp. | | 540,441 | 36,047,415 |
| Retail Opportunity Investments Corp. | | 370,155 | 6,714,612 |
| Seritage Growth Properties (a) | | 89,782 | 3,750,194 |
| Urban Edge Properties | | 389,882 | 6,522,726 |
| Washington Prime Group, Inc. (a) | | 601,194 | 2,182,334 |
| Weingarten Realty Investors (SBI) | | 386,821 | 10,796,174 |
| | | | 164,113,030 |
| REITs - Storage - 9.1% | | | |
| CubeSmart | | 609,482 | 20,691,914 |
| Extra Space Storage, Inc. | | 412,189 | 46,325,922 |
| Life Storage, Inc. | | 150,786 | 14,700,127 |
| National Storage Affiliates Trust | | 184,366 | 5,584,446 |
| Public Storage | | 485,394 | 117,834,247 |
| | | | 205,136,656 |
| REITs - Warehouse/Industrial - 9.6% | | | |
| EastGroup Properties, Inc. | | 118,864 | 14,320,735 |
| First Industrial Realty Trust, Inc. | | 409,070 | 15,622,383 |
| Prologis, Inc. | | 2,040,113 | 164,453,506 |
| QTS Realty Trust, Inc. Class A | | 179,120 | 8,289,674 |
| Rexford Industrial Realty, Inc. | | 336,475 | 13,930,065 |
| | | | 216,616,363 |
|
| TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | | | 2,248,250,989 |
|
| Real Estate Management & Development - 0.1% | | | |
| Real Estate Services - 0.1% | | | |
| Retail Value, Inc. | | 50,941 | 1,917,419 |
| TOTAL COMMON STOCKS | | | |
| (Cost $2,046,203,754) | | | 2,250,168,408 |
| | | Principal Amount | Value |
|
| U.S. Treasury Obligations - 0.1% | | | |
| U.S. Treasury Bills, yield at date of purchase 2.41% 9/12/19 (b) | | | |
| (Cost $698,056) | | 700,000 | 698,417 |
| | | Shares | Value |
|
| Money Market Funds - 1.6% | | | |
| Fidelity Cash Central Fund 2.43% (c) | | 9,969,381 | $9,971,375 |
| Fidelity Securities Lending Cash Central Fund 2.43% (c)(d) | | 26,480,367 | 26,483,015 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $36,454,390) | | | 36,454,390 |
| TOTAL INVESTMENT IN SECURITIES - 101.4% | | | |
| (Cost $2,083,356,200) | | | 2,287,321,215 |
| NET OTHER ASSETS (LIABILITIES) - (1.4)% | | | (30,826,046) |
| NET ASSETS - 100% | | | $2,256,495,169 |
| 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) | 36 | Sept. 2019 | $5,368,140 | $141,227 | $141,227 |
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
Legend
(a) Security or a portion of the security is on loan at period end.
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $469,935.
(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 | $155,862 |
| Fidelity Securities Lending Cash Central Fund | 53,607 |
| Total | $209,469 |
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. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of July 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: | | | | |
| Common Stocks | $2,250,168,408 | $2,250,168,408 | $-- | $-- |
| U.S. Treasury Obligations | 698,417 | -- | 698,417 | -- |
| Money Market Funds | 36,454,390 | 36,454,390 | -- | -- |
| Total Investments in Securities: | $2,287,321,215 | $2,286,622,798 | $698,417 | $-- |
| Derivative Instruments: | | | | |
| Assets | | | | |
| Futures Contracts | $141,227 | $141,227 | $-- | $-- |
| Total Assets | $141,227 | $141,227 | $-- | $-- |
| Total Derivative Instruments: | $141,227 | $141,227 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 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) | $141,227 | $0 |
| Total Equity Risk | 141,227 | 0 |
| Total Value of Derivatives | $141,227 | $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 distributable earnings.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | July 31, 2019 |
| Assets | | |
Investment in securities, at value (including securities loaned of $25,284,529) — See accompanying schedule:
Unaffiliated issuers (cost $2,046,901,810) | $2,250,866,825 | |
| Fidelity Central Funds (cost $36,454,390) | 36,454,390 | |
| Total Investment in Securities (cost $2,083,356,200) | | $2,287,321,215 |
| Receivable for fund shares sold | | 3,131,370 |
| Dividends receivable | | 641,222 |
| Distributions receivable from Fidelity Central Funds | | 27,226 |
| Total assets | | 2,291,121,033 |
| Liabilities | | |
| Payable for investments purchased | $6,956,509 | |
| Payable for fund shares redeemed | 935,807 | |
| Accrued management fee | 129,833 | |
| Payable for daily variation margin on futures contracts | 114,815 | |
| Collateral on securities loaned | 26,488,900 | |
| Total liabilities | | 34,625,864 |
| Net Assets | | $2,256,495,169 |
| Net Assets consist of: | | |
| Paid in capital | | $2,035,595,735 |
| Total distributable earnings (loss) | | 220,899,434 |
| Net Assets | | $2,256,495,169 |
| Net Asset Value and Maximum Offering Price | | |
| Net Asset Value, offering price and redemption price per share ($2,256,495,169 ÷ 134,192,855 shares) | | $16.82 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended July 31, 2019 |
| Investment Income | | |
| Dividends | | $57,954,580 |
| Interest | | 8,829 |
| Income from Fidelity Central Funds (including $53,607 from security lending) | | 209,469 |
| Total income | | 58,172,878 |
| Expenses | | |
| Management fee | $1,196,611 | |
| Independent trustees' fees and expenses | 7,123 | |
| Interest | 2,858 | |
| Miscellaneous | 4,370 | |
| Total expenses before reductions | 1,210,962 | |
| Expense reductions | (186) | |
| Total expenses after reductions | | 1,210,776 |
| Net investment income (loss) | | 56,962,102 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 18,935,860 | |
| Fidelity Central Funds | (3) | |
| Futures contracts | 279,501 | |
| Total net realized gain (loss) | | 19,215,358 |
| Change in net unrealized appreciation (depreciation) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 110,471,073 | |
| Futures contracts | 65,932 | |
| Total change in net unrealized appreciation (depreciation) | | 110,537,005 |
| Net gain (loss) | | 129,752,363 |
| Net increase (decrease) in net assets resulting from operations | | $186,714,465 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended July 31, 2019 | Year ended July 31, 2018 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $56,962,102 | $33,316,737 |
| Net realized gain (loss) | 19,215,358 | 6,326,241 |
| Change in net unrealized appreciation (depreciation) | 110,537,005 | 13,515,625 |
| Net increase (decrease) in net assets resulting from operations | 186,714,465 | 53,158,603 |
| Distributions to shareholders | (60,280,960) | – |
| Distributions to shareholders from net investment income | – | (30,389,560) |
| Distributions to shareholders from net realized gain | – | (5,602,968) |
| Total distributions | (60,280,960) | (35,992,528) |
| Share transactions - net increase (decrease) | 762,656,425 | 363,151,944 |
| Redemption fees | – | 27,089 |
| Total increase (decrease) in net assets | 889,089,930 | 380,345,108 |
| Net Assets | | |
| Beginning of period | 1,367,405,239 | 987,060,131 |
| End of period | $2,256,495,169 | $1,367,405,239 |
| Other Information | | |
| Undistributed net investment income end of period | | $7,454,197 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Real Estate Index Fund
| Years ended July 31, | 2019 | 2018 | 2017 | 2016 | 2015 |
| Selected Per–Share Data | | | | | |
| Net asset value, beginning of period | $15.76 | $15.70 | $17.28 | $14.69 | $13.60 |
| Income from Investment Operations | | | | | |
| Net investment income (loss)A | .53 | .46 | .39 | .41 | .36 |
| Net realized and unrealized gain (loss) | 1.13 | .13 | (1.37) | 2.56 | 1.15 |
| Total from investment operations | 1.66 | .59 | (.98) | 2.97 | 1.51 |
| Distributions from net investment income | (.50) | (.44) | (.39) | (.38) | (.34) |
| Distributions from net realized gain | (.10) | (.09) | (.21) | – | (.09) |
| Total distributions | (.60) | (.53) | (.60) | (.38) | (.43) |
| Redemption fees added to paid in capitalA | – | –B | –B | –B | .01 |
| Net asset value, end of period | $16.82 | $15.76 | $15.70 | $17.28 | $14.69 |
| Total ReturnC | 10.84% | 3.90% | (5.61)% | 20.71% | 11.29% |
| Ratios to Average Net AssetsD,E | | | | | |
| Expenses before reductions | .07% | .07% | .07% | .14% | .15% |
| Expenses net of fee waivers, if any | .07% | .07% | .07% | .07% | .07% |
| Expenses net of all reductions | .07% | .07% | .07% | .07% | .07% |
| Net investment income (loss) | 3.33% | 3.12% | 2.49% | 2.69% | 2.43% |
| Supplemental Data | | | | | |
| Net assets, end of period (000 omitted) | $2,256,495 | $380,099 | $45,866 | $19,098 | $13,484 |
| Portfolio turnover rateF | 10% | 6% | 8% | 5% | 12% |
A Calculated based on average shares outstanding during the period.
B Amount represents less than $.005 per share.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D 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.
E 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.
F 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 July 31, 2019
1. Organization.
Fidelity Real Estate Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. 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 after the close of business November 2, 2018, the Fund's publicly offered shares classes were consolidated into a single share class. The surviving class is Fidelity Real Estate Index Fund (formerly Institutional Class). All current fiscal period dollar and share amounts for the classes that closed, which are presented in the Notes to Financial Statements, are for the period August 1, 2018 through November 2, 2018.
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 ranged from less than .005% to .01%.
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:
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.
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. U.S. government and government agency obligations 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
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 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.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. 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 July 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 declared separately for each class. 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 short-term capital gains, futures contracts, market discount 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 | $301,446,597 |
| Gross unrealized depreciation | (109,818,624) |
| Net unrealized appreciation (depreciation) | $191,627,973 |
| Tax Cost | $2,095,693,242 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $14,612,423 |
| Undistributed long-term capital gain | $14,659,037 |
| Net unrealized appreciation (depreciation) on securities and other investments | $191,627,973 |
The tax character of distributions paid was as follows:
| | July 31, 2019 | July 31, 2018 |
| Ordinary Income | $51,233,791 | $ 30,389,560 |
| Long-term Capital Gains | 9,047,169 | 5,602,968 |
| Total | $60,280,960 | $ 35,992,528 |
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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $958,010,571 and $169,165,456, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. 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 based on an annual rate of .07% of the Fund's average net assets. Under the management contract, the investment adviser pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees.
Effective August 1, 2018, the Board approved an amendment to the expense contract. Under the expense contract, the investment adviser pays class-level expenses as necessary so that the total expenses do not exceed .07% of each class' average net assets on an annual basis with certain exceptions. Prior to August 1, 2018 the investment adviser paid class-level expenses as necessary so that the total expenses did not exceed certain amounts of each class' average net assets on an annual basis with certain exceptions, as noted in the following table:
| Investor Class | .23% |
| Premium Class | .09% |
| Fidelity Real Estate Index Fund | .07% |
During July 2019, the Board approved to change the management fee structure for the Fund from a flat fee to unitary fee effective August 1, 2019, which will eliminate the need for a separate expense contract. There will be no change to the total expenses paid by the shareholders of the Fund.
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 | $7,883,400 | 2.61% | $2,858 |
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 $4,362 and is reflected in Miscellaneous expenses 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 from time to time in order to earn additional income. For equity securities, lending agents are used, including National Financial Services (NFS), an affiliate of the Fund. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of daily lending revenue, for its services as lending agent. The Fund may lend securities to certain qualified borrowers, including NFS. 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 NFS, as affiliated borrower. 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, and includes $5,382 from securities loaned to NFS, as affiliated borrower.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $186.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| | Year ended
July 31, 2019 | Year ended
July 31, 2018 |
| Distributions to shareholders | | |
| Investor Class | $427,706 | $– |
| Premium Class | 11,530,768 | – |
| Fidelity Real Estate Index Fund | 48,322,486 | – |
| Total | $60,280,960 | $ - |
| From net investment income | | |
| Investor Class | $– | $901,682 |
| Premium Class | – | 24,627,043 |
| Fidelity Real Estate Index Fund | – | 4,860,835 |
| Total | $– | $30,389,560 |
| From net realized gain | | |
| Investor Class | $– | $195,809 |
| Premium Class | – | 5,145,321 |
| Fidelity Real Estate Index Fund | – | 261,838 |
| Total | $– | $5,602,968 |
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
| | Shares | Shares | Dollars | Dollars |
| | Year ended July 31, 2019 | Year ended July 31, 2018 | Year ended July 31, 2019 | Year ended July 31, 2018 |
| Investor Class | | | | |
| Shares sold | 398,814 | 1,655,111 | $6,238,275 | $25,009,221 |
| Reinvestment of distributions | 26,242 | 69,789 | 415,680 | 1,063,947 |
| Shares redeemed | (2,660,628) | (1,565,088) | (40,117,896) | (23,568,906) |
| Net increase (decrease) | (2,235,572) | 159,812 | $(33,463,941) | $2,504,262 |
| Premium Class | | | | |
| Shares sold | 5,615,265 | 22,252,890 | $87,786,180 | $334,525,602 |
| Reinvestment of distributions | 675,441 | 1,807,393 | 10,705,751 | 27,560,332 |
| Shares redeemed | (66,713,459) | (21,524,541) | (1,008,259,232) | (325,921,346) |
| Net increase (decrease) | (60,422,753) | 2,535,742 | $(909,767,301) | $36,164,588 |
| Fidelity Real Estate Index Fund | | | | |
| Shares sold | 127,547,047 | 24,133,975 | $1,986,947,471 | $368,690,381 |
| Reinvestment of distributions | 2,719,968 | 325,615 | 43,119,946 | 4,924,698 |
| Shares redeemed | (20,192,675) | (3,262,703) | (324,179,750) | (49,131,985) |
| Net increase (decrease) | 110,074,340 | 21,196,887 | $1,705,887,667 | $324,483,094 |
12. 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 Real Estate Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Real Estate Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 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 July 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 July 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 12, 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 276 funds. Mr. Chiel oversees 170 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 (February 1, 2019 to July 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
February 1, 2019 | Ending
Account Value
July 31, 2019 | Expenses Paid
During Period-B
February 1, 2019
to July 31, 2019 |
| Fidelity Real Estate Index Fund | .07% | | | |
| Actual | | $1,000.00 | $1,064.10 | $.36 |
| Hypothetical-C | | $1,000.00 | $1,024.45 | $.35 |
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 181/365 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity Real Estate Index Fund voted to pay on September 9, 2019, to shareholders of record at the opening of business on September 6, 2019, a distribution of $0.125 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.139 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2019, $17,039,854, or, if subsequently determined to be different, the net capital gain of such year.
A total of 0.07% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates 100% of the dividends distributed during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts
Fidelity Real Estate Index Fund
At its July 2019 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve (i) an amended and restated management contract with Fidelity Management & Research Company (FMR) for the fund (the Amended Management Contract) to implement a comprehensive unitary fee; and (ii) an amended and restated sub-advisory agreement with Geode Capital Management, LLC (Geode) for the fund (the Amended Sub-Advisory Agreement and together with the Amended Management Contract, the Amended Contracts) to decrease the sub-advisory fee rate paid by FMR to Geode, on behalf of the fund, by 0.2 basis points. 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 noted that it previously received and considered materials relating to the nature, extent and quality of services provided by FMR and Geode to the fund, including the resources dedicated to investment management and support services, shareholder and administrative services, the benefits to shareholders of investment in a large fund family, and the investment performance of the fund in connection with the annual renewal of the fund's current management contract and sub-advisory agreements (Advisory Contracts). At its September 2018 meeting, the Board concluded that the nature, extent and quality of the services provided to the fund under the existing Advisory Contracts should benefit the fund's shareholders. The Board noted that approval of the Amended Contracts would not change the fund's portfolio manager, the investment processes, the level or nature of services provided, the resources and personnel allocated or trading and compliance operations. The Board concluded that the nature, extent, and quality of services to be provided to the fund under the Amended Contracts will continue to benefit the fund's shareholders.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered that it received and reviewed information regarding the fund's current management fee and total expense ratio compared to "mapped groups" of competitive funds and classes in connection with the annual renewal of the Advisory Contracts.
Based on its review, the Board concluded at its September 2018 meeting that the fund's current management fee and total expenses are fair and reasonable in light of the services that the fund receives and the other factors considered.
The Board considered that the Amended Management Contract would implement a comprehensive unitary fee set at the fund's current management fee and expense contract levels and payable to FMR for managing the fund and paying all of the fund's operating expenses, subject to certain exceptions. In addition, in its review of the proposed sub-advisory fee rate under the Amended Sub-Advisory Agreement, the Board considered that the proposed sub-advisory fee rate is lower by 0.2 basis points than the current sub-advisory fee rate. The Board noted that FMR, and not the fund, pays the sub-advisory fee out of its management fee. The Board also considered that the Amended Contracts would not result in any changes to the fund's management fee rate, and that the management fee rate would continue to rank below the total mapped group median of its competitor funds based on the competitive mapped group data provided to the Board in connection with the annual renewal of the existing management contract. In addition, the Board considered that the Amended Contracts would not result in any changes to FMR's contractual obligation to pay all operating expenses of the fund with certain exceptions.
Based on its review, the Board concluded that the management fee and the total expenses continue to be fair and reasonable in light of the services that the fund receives and the other factors considered.
Costs of the Services and Profitability. The Board considered that it previously reviewed information regarding the revenues earned and the expenses incurred by FMR in providing services to the fund and the level of FMR's profitability. At its September 2018 meeting, the Board concluded that it was satisfied that FMR's profitability in connection with the operation of the fund was not excessive under the circumstances. Because the Board was approving an arrangement that would not result in any changes to the management fee rate, the Board did not consider the costs of the services provided by and the profits realized by FMR to be significant factors in its decision to approve the Amended Contracts.
Economies of Scale. The Board considered that it previously received and reviewed information regarding 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 and that it concluded, at its September 2018 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity. The Board did not consider economies of scale to be a significant factor in its decision to approve the Amended Contracts because the comprehensive unitary fee will be set at the fund's current management fee, the proposed sub-advisory fee rate will be lower than the current sub-advisory fee rate and FMR will continue to bear the fund's operating expenses, with limited exceptions.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the fund's advisory fee structures are fair and reasonable, and that the Amended Contracts should be approved.
URX-I-ANN-0919
1.929343.107
Fidelity® SAI Small-Mid Cap 500 Index Fund Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Annual Report July 31, 2019 |
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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.
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Contents
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You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
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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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 July 31, 2019 | Past 1 year | Life of fundA |
| Fidelity® SAI Small-Mid Cap 500 Index Fund | 5.26% | 9.16% |
A From August 12, 2015
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® SAI Small-Mid Cap 500 Index Fund on August 12, 2015, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Russell SMID 500 Index performed over the same period.
| Period Ending Values |
| $14,162 | Fidelity® SAI Small-Mid Cap 500 Index Fund |
| $14,206 | Russell SMID 500 Index |
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500
® index gained 7.99% for the 12 months ending July 31, 2019, beginning the new year on a high note after enduring a historically volatile final quarter of 2018. Upbeat company earnings/outlooks and signs the Federal Reserve may pause on rates boosted stocks to an all-time high on April 30. In May, however, volatility spiked and stocks returned -6.35% for the month amid the Fed’s decision to hold interest rates steady and signal that it had little appetite to adjust them any time soon, as well as retaliatory tariffs imposed on the U.S. by China. The downtrend was similar to late 2018, when many investors fled from risk assets on elevated concerns about future economic growth, global trade and tighter monetary policy. The bull market roared back in June, with the S&P 500
® rising 7.05%, and recorded a series of all-time highs in a productive July (+1.44%). For the full 12 months, growth stocks outpaced value, while large-caps handily bested small-caps. By sector, information technology (+19%) led the way, boosted by continued strength in software & services (+26%), the market’s largest industry segment. Three defensive groups also stood out – real estate (+18%), utilities (+17%) and consumer staples (+15%) – followed by consumer discretionary (+10%) and communication services (+8%). In contrast, energy (-16%) was by far the weakest sector. Other notable laggards included materials (0%), financials (+3%), industrials (+4%) and health care (+4%).
Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year, the fund gained 5.26%, performing roughly in line with the 5.27% increase in the Russell SMID 500
® Index. Many of the portfolio's top individual contributors came from the information technology sector which was the strongest-performing segment within the index. Specifically, shares of semiconductor manufacturer Advanced Micro Devices rose 62%, benefiting from investors' anticipated increased demand for the company's products. Cadence Design Systems (+60%), which makes automation software for electronic design, was propelled higher by stronger-than-expected financial results. Another key contributor – identity-management software specialist Okta (+162%) – saw its stock rise in response to the company's rapid growth. Among health care holdings, top contributors included Veeva Systems (+113%), a cloud-computing company serving the pharmaceutical and life science industry, and Exact Sciences (+96%), best known for its DNA-based screening tool for colorectal cancer. Conversely, the biggest individual detractor was online food-ordering company Grubhub (-45%), whose weaker-than-expected earnings forecast weighed on the firm's shares this period. Capri Holdings (-47%), which owns Michael Kors and other luxury retail brands, announced weaker-than-expected sales, weighing on the stock. Shares of oil and natural gas exploration company Parsley Energy (-47%) struggled in a weak energy pricing environment, while chemical manufacturer Chemours also underperformed, returning -57%.
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 March 22, 2019, Pat Waddell retired and is no longer a portfolio manager with Geode Capital Management.
Investment Summary (Unaudited)
Top Five Stocks as of July 31, 2019
| | % of fund's net assets |
| Exact Sciences Corp. | 0.5 |
| DexCom, Inc. | 0.5 |
| Okta, Inc. | 0.5 |
| Tableau Software, Inc. | 0.5 |
| IDEX Corp. | 0.5 |
| | 2.5 |
Top Five Market Sectors as of July 31, 2019
| | % of fund's net assets |
| Information Technology | 18.2 |
| Financials | 14.9 |
| Industrials | 14.0 |
| Consumer Discretionary | 12.3 |
| Real Estate | 11.5 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2019* |
| | Stocks and Equity Futures | 100.0% |
* Foreign investments - 5.4%
Schedule of Investments July 31, 2019
Showing Percentage of Net Assets
| Common Stocks - 99.6% | | | |
| | | Shares | Value |
| COMMUNICATION SERVICES - 3.7% | | | |
| Diversified Telecommunication Services - 0.5% | | | |
| GCI Liberty, Inc. (a) | | 65,535 | $3,914,406 |
| Zayo Group Holdings, Inc. (a) | | 151,613 | 5,113,906 |
| | | | 9,028,312 |
| Entertainment - 0.7% | | | |
| Cinemark Holdings, Inc. | | 71,579 | 2,857,434 |
| Lions Gate Entertainment Corp.: | | | |
| Class A (b) | | 32,713 | 422,325 |
| Class B | | 69,451 | 846,608 |
| The Madison Square Garden Co. (a) | | 12,389 | 3,593,306 |
| World Wrestling Entertainment, Inc. Class A (b) | | 29,043 | 2,113,750 |
| Zynga, Inc. (a) | | 568,348 | 3,626,060 |
| | | | 13,459,483 |
| Interactive Media & Services - 0.5% | | | |
| TripAdvisor, Inc. (a)(b) | | 70,769 | 3,124,451 |
| Zillow Group, Inc.: | | | |
| Class A (a)(b) | | 37,597 | 1,873,834 |
| Class C (a)(b) | | 82,809 | 4,137,138 |
| | | | 9,135,423 |
| Media - 1.9% | | | |
| AMC Networks, Inc. Class A (a) | | 28,685 | 1,531,205 |
| Cable One, Inc. | | 2,929 | 3,564,007 |
| Interpublic Group of Companies, Inc. | | 258,298 | 5,920,190 |
| John Wiley & Sons, Inc. Class A | | 29,633 | 1,348,598 |
| Liberty Media Corp.: | | | |
| Liberty Formula One Group Series C (a) | | 132,084 | 5,201,468 |
| Liberty Media Class A (a) | | 16,930 | 634,536 |
| News Corp.: | | | |
| Class A | | 256,826 | 3,379,830 |
| Class B | | 82,585 | 1,111,594 |
| Nexstar Broadcasting Group, Inc. Class A | | 30,013 | 3,054,423 |
| Sinclair Broadcast Group, Inc. Class A (b) | | 40,339 | 2,027,035 |
| The New York Times Co. Class A | | 108,268 | 3,863,002 |
| Tribune Media Co. Class A | | 58,731 | 2,729,230 |
| | | | 34,365,118 |
| Wireless Telecommunication Services - 0.1% | | | |
| Telephone & Data Systems, Inc. | | 67,398 | 2,179,651 |
| U.S. Cellular Corp. (a) | | 10,290 | 492,788 |
| | | | 2,672,439 |
|
| TOTAL COMMUNICATION SERVICES | | | 68,660,775 |
|
| CONSUMER DISCRETIONARY - 12.3% | | | |
| Auto Components - 0.7% | | | |
| BorgWarner, Inc. | | 138,031 | 5,217,572 |
| Gentex Corp. | | 171,643 | 4,706,451 |
| The Goodyear Tire & Rubber Co. | | 155,893 | 2,140,411 |
| | | | 12,064,434 |
| Automobiles - 0.3% | | | |
| Harley-Davidson, Inc. | | 105,770 | 3,784,451 |
| Thor Industries, Inc. (b) | | 35,326 | 2,105,430 |
| | | | 5,889,881 |
| Distributors - 0.3% | | | |
| Pool Corp. | | 25,707 | 4,868,135 |
| Diversified Consumer Services - 1.5% | | | |
| Bright Horizons Family Solutions, Inc. (a) | | 38,497 | 5,854,239 |
| Frontdoor, Inc. (a) | | 56,968 | 2,600,020 |
| Graham Holdings Co. | | 2,815 | 2,090,785 |
| Grand Canyon Education, Inc. (a) | | 31,766 | 3,455,188 |
| H&R Block, Inc. | | 136,226 | 3,772,098 |
| Service Corp. International | | 118,929 | 5,487,384 |
| ServiceMaster Global Holdings, Inc. (a) | | 91,301 | 4,859,952 |
| | | | 28,119,666 |
| Hotels, Restaurants & Leisure - 2.8% | | | |
| ARAMARK Holdings Corp. | | 163,854 | 5,929,876 |
| Caesars Entertainment Corp. (a)(b) | | 381,807 | 4,520,595 |
| Choice Hotels International, Inc. | | 22,404 | 1,922,487 |
| Domino's Pizza, Inc. | | 27,441 | 6,710,148 |
| Dunkin' Brands Group, Inc. | | 55,409 | 4,441,585 |
| Extended Stay America, Inc. unit | | 125,374 | 2,096,253 |
| Hilton Grand Vacations, Inc. (a) | | 60,485 | 1,977,860 |
| Hyatt Hotels Corp. Class A | | 25,233 | 1,951,773 |
| International Game Technology PLC (b) | | 65,746 | 877,709 |
| Planet Fitness, Inc. (a) | | 56,695 | 4,459,629 |
| Six Flags Entertainment Corp. | | 53,350 | 2,818,481 |
| Vail Resorts, Inc. | | 26,907 | 6,633,114 |
| Wendy's Co. | | 124,484 | 2,264,364 |
| Wyndham Destinations, Inc. | | 61,818 | 2,909,155 |
| Wyndham Hotels & Resorts, Inc. | | 64,044 | 3,621,688 |
| | | | 53,134,717 |
| Household Durables - 1.7% | | | |
| Leggett & Platt, Inc. | | 87,825 | 3,510,365 |
| Newell Brands, Inc. | | 253,840 | 3,601,990 |
| NVR, Inc. (a) | | 2,132 | 7,129,706 |
| PulteGroup, Inc. | | 172,373 | 5,431,473 |
| Roku, Inc. Class A (a) | | 54,860 | 5,668,684 |
| Tempur Sealy International, Inc. (a) | | 30,785 | 2,469,573 |
| Toll Brothers, Inc. | | 90,195 | 3,244,314 |
| | | | 31,056,105 |
| Internet & Direct Marketing Retail - 0.7% | | | |
| Etsy, Inc. (a) | | 79,880 | 5,353,558 |
| GrubHub, Inc. (a)(b) | | 61,227 | 4,140,782 |
| Liberty Interactive Corp. QVC Group Series A (a) | | 264,912 | 3,745,856 |
| | | | 13,240,196 |
| Leisure Products - 0.5% | | | |
| Brunswick Corp. | | 58,050 | 2,853,738 |
| Mattel, Inc. (a)(b) | | 230,507 | 3,365,402 |
| Polaris Industries, Inc. | | 38,495 | 3,644,322 |
| | | | 9,863,462 |
| Multiline Retail - 0.9% | | | |
| Kohl's Corp. | | 108,991 | 5,870,255 |
| Macy's, Inc. | | 207,419 | 4,714,634 |
| Nordstrom, Inc. (b) | | 71,959 | 2,382,562 |
| Ollie's Bargain Outlet Holdings, Inc. (a) | | 35,326 | 2,991,759 |
| | | | 15,959,210 |
| Specialty Retail - 1.9% | | | |
| AutoNation, Inc. (a) | | 36,253 | 1,764,796 |
| Burlington Stores, Inc. (a) | | 43,856 | 7,926,972 |
| Carvana Co. Class A (a)(b) | | 26,657 | 1,694,319 |
| Dick's Sporting Goods, Inc. | | 45,951 | 1,707,999 |
| Five Below, Inc. (a) | | 36,739 | 4,315,363 |
| Floor & Decor Holdings, Inc. Class A (a) | | 44,836 | 1,755,329 |
| Foot Locker, Inc. | | 74,934 | 3,076,790 |
| IAA Spinco, Inc. (a) | | 89,076 | 4,164,303 |
| L Brands, Inc. | | 152,343 | 3,953,301 |
| Penske Automotive Group, Inc. | | 23,354 | 1,073,583 |
| Urban Outfitters, Inc. (a)(b) | | 48,877 | 1,163,761 |
| Williams-Sonoma, Inc. (b) | | 52,506 | 3,501,100 |
| | | | 36,097,616 |
| Textiles, Apparel & Luxury Goods - 1.0% | | | |
| Capri Holdings Ltd. (a) | | 95,639 | 3,403,792 |
| Carter's, Inc. | | 29,912 | 2,782,414 |
| Columbia Sportswear Co. | | 19,876 | 2,106,458 |
| Hanesbrands, Inc. | | 241,272 | 3,882,066 |
| Ralph Lauren Corp. | | 34,909 | 3,638,565 |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (a) | | 88,302 | 3,350,178 |
| | | | 19,163,473 |
|
| TOTAL CONSUMER DISCRETIONARY | | | 229,456,895 |
|
| CONSUMER STAPLES - 2.6% | | | |
| Food & Staples Retailing - 0.6% | | | |
| Casey's General Stores, Inc. | | 24,439 | 3,956,918 |
| Sprouts Farmers Market LLC (a) | | 78,951 | 1,336,640 |
| U.S. Foods Holding Corp. (a) | | 146,122 | 5,168,335 |
| | | | 10,461,893 |
| Food Products - 1.6% | | | |
| Beyond Meat, Inc. (b) | | 6,502 | 1,277,708 |
| Bunge Ltd. | | 92,031 | 5,377,371 |
| Flowers Foods, Inc. | | 130,707 | 3,097,756 |
| Ingredion, Inc. | | 44,856 | 3,466,920 |
| Lamb Weston Holdings, Inc. | | 97,828 | 6,566,215 |
| Pilgrim's Pride Corp. (a) | | 35,691 | 965,798 |
| Post Holdings, Inc. (a) | | 43,576 | 4,672,219 |
| Seaboard Corp. | | 172 | 702,042 |
| The Hain Celestial Group, Inc. (a)(b) | | 60,997 | 1,327,905 |
| TreeHouse Foods, Inc. (a) | | 36,993 | 2,195,165 |
| | | | 29,649,099 |
| Household Products - 0.2% | | | |
| Energizer Holdings, Inc. (b) | | 42,863 | 1,803,675 |
| Spectrum Brands Holdings, Inc. (b) | | 23,610 | 1,183,097 |
| | | | 2,986,772 |
| Personal Products - 0.2% | | | |
| Herbalife Nutrition Ltd. (a) | | 68,607 | 2,814,259 |
| Nu Skin Enterprises, Inc. Class A | | 36,957 | 1,477,541 |
| | | | 4,291,800 |
|
| TOTAL CONSUMER STAPLES | | | 47,389,564 |
|
| ENERGY - 2.4% | | | |
| Energy Equipment & Services - 0.4% | | | |
| Helmerich & Payne, Inc. | | 71,701 | 3,562,106 |
| Patterson-UTI Energy, Inc. | | 136,374 | 1,586,030 |
| Transocean Ltd. (United States) (a)(b) | | 388,606 | 2,362,724 |
| | | | 7,510,860 |
| Oil, Gas & Consumable Fuels - 2.0% | | | |
| Antero Midstream GP LP (b) | | 150,617 | 1,373,627 |
| Antero Resources Corp. (a) | | 179,298 | 826,564 |
| Centennial Resource Development, Inc. Class A (a) | | 124,103 | 738,413 |
| Chesapeake Energy Corp. (a)(b) | | 870,177 | 1,575,020 |
| Cimarex Energy Co. | | 66,607 | 3,374,977 |
| EQT Corp. | | 171,047 | 2,584,520 |
| Equitrans Midstream Corp. (b) | | 137,059 | 2,273,809 |
| HollyFrontier Corp. | | 105,342 | 5,242,871 |
| Kosmos Energy Ltd. | | 241,343 | 1,450,471 |
| Murphy Oil Corp. (b) | | 110,852 | 2,664,882 |
| Parsley Energy, Inc. Class A (a) | | 180,754 | 2,998,709 |
| PBF Energy, Inc. Class A | | 80,236 | 2,240,991 |
| Range Resources Corp. (b) | | 140,777 | 801,021 |
| Targa Resources Corp. (b) | | 153,611 | 5,977,004 |
| WPX Energy, Inc. (a) | | 281,489 | 2,938,745 |
| | | | 37,061,624 |
|
| TOTAL ENERGY | | | 44,572,484 |
|
| FINANCIALS - 14.9% | | | |
| Banks - 4.7% | | | |
| Associated Banc-Corp. | | 108,773 | 2,357,111 |
| Bank of Hawaii Corp. | | 27,314 | 2,328,519 |
| Bank OZK | | 81,290 | 2,485,848 |
| BankUnited, Inc. | | 65,026 | 2,237,545 |
| BOK Financial Corp. | | 21,749 | 1,819,956 |
| CIT Group, Inc. | | 64,441 | 3,257,493 |
| Commerce Bancshares, Inc. | | 67,183 | 4,086,742 |
| Cullen/Frost Bankers, Inc. | | 37,703 | 3,579,523 |
| East West Bancorp, Inc. | | 96,531 | 4,634,453 |
| First Citizens Bancshares, Inc. | | 5,023 | 2,345,841 |
| First Hawaiian, Inc. | | 91,105 | 2,437,970 |
| First Horizon National Corp. | | 209,230 | 3,431,372 |
| FNB Corp., Pennsylvania | | 217,093 | 2,615,971 |
| PacWest Bancorp | | 78,623 | 3,037,206 |
| Peoples United Financial, Inc. (b) | | 261,883 | 4,300,119 |
| Pinnacle Financial Partners, Inc. | | 50,568 | 3,071,500 |
| Popular, Inc. | | 63,933 | 3,679,983 |
| Prosperity Bancshares, Inc. (b) | | 44,801 | 3,108,741 |
| Signature Bank | | 36,176 | 4,610,993 |
| Sterling Bancorp | | 138,630 | 3,029,066 |
| Synovus Financial Corp. | | 100,657 | 3,842,078 |
| TCF Financial Corp. | | 107,964 | 2,308,270 |
| Texas Capital Bancshares, Inc. (a) | | 33,486 | 2,107,274 |
| Umpqua Holdings Corp. | | 147,140 | 2,569,064 |
| Webster Financial Corp. | | 61,251 | 3,123,801 |
| Western Alliance Bancorp. | | 64,831 | 3,205,245 |
| Wintrust Financial Corp. | | 37,616 | 2,691,049 |
| Zions Bancorp NA | | 118,248 | 5,329,437 |
| | | | 87,632,170 |
| Capital Markets - 2.4% | | | |
| Affiliated Managers Group, Inc. | | 34,154 | 2,930,072 |
| BGC Partners, Inc. Class A | | 191,980 | 1,057,810 |
| Eaton Vance Corp. (non-vtg.) (b) | | 74,798 | 3,328,511 |
| Evercore, Inc. Class A | | 27,321 | 2,359,715 |
| FactSet Research Systems, Inc. | | 25,107 | 6,962,171 |
| Janus Henderson Group PLC | | 109,917 | 2,206,034 |
| Lazard Ltd. Class A (b) | | 71,878 | 2,782,397 |
| Legg Mason, Inc. | | 56,397 | 2,123,911 |
| LPL Financial | | 55,763 | 4,676,843 |
| MarketAxess Holdings, Inc. | | 24,673 | 8,315,788 |
| Morningstar, Inc. | | 13,158 | 1,999,753 |
| SEI Investments Co. | | 86,419 | 5,149,708 |
| Virtu Financial, Inc. Class A (b) | | 31,787 | 689,142 |
| | | | 44,581,855 |
| Consumer Finance - 0.6% | | | |
| Credit Acceptance Corp. (a)(b) | | 7,032 | 3,361,507 |
| Navient Corp. | | 140,610 | 1,989,632 |
| OneMain Holdings, Inc. | | 43,714 | 1,811,945 |
| Santander Consumer U.S.A. Holdings, Inc. | | 70,935 | 1,908,861 |
| SLM Corp. | | 289,738 | 2,639,513 |
| | | | 11,711,458 |
| Diversified Financial Services - 0.5% | | | |
| Jefferies Financial Group, Inc. | | 172,303 | 3,675,223 |
| Voya Financial, Inc. | | 96,287 | 5,408,441 |
| | | | 9,083,664 |
| Insurance - 5.0% | | | |
| Alleghany Corp. (a) | | 9,359 | 6,417,747 |
| American Financial Group, Inc. | | 49,322 | 5,049,586 |
| American National Insurance Co. | | 5,012 | 606,552 |
| Assurant, Inc. | | 41,196 | 4,669,979 |
| Assured Guaranty Ltd. | | 66,533 | 2,906,827 |
| Axis Capital Holdings Ltd. | | 55,358 | 3,524,644 |
| Brighthouse Financial, Inc. (a) | | 77,746 | 3,045,311 |
| Brown & Brown, Inc. | | 157,903 | 5,673,455 |
| Erie Indemnity Co. Class A | | 16,526 | 3,681,497 |
| Everest Re Group Ltd. | | 26,918 | 6,639,056 |
| First American Financial Corp. | | 73,234 | 4,234,390 |
| Hanover Insurance Group, Inc. | | 27,244 | 3,533,819 |
| Kemper Corp. | | 41,059 | 3,614,013 |
| Mercury General Corp. | | 18,376 | 1,042,103 |
| Old Republic International Corp. | | 189,155 | 4,314,626 |
| Primerica, Inc. | | 28,266 | 3,467,956 |
| Reinsurance Group of America, Inc. | | 41,854 | 6,525,876 |
| RenaissanceRe Holdings Ltd. | | 29,198 | 5,289,218 |
| Torchmark Corp. | | 72,564 | 6,626,544 |
| Unum Group | | 141,438 | 4,518,944 |
| W.R. Berkley Corp. | | 96,502 | 6,696,274 |
| White Mountains Insurance Group Ltd. | | 2,066 | 2,223,016 |
| | | | 94,301,433 |
| Mortgage Real Estate Investment Trusts - 1.2% | | | |
| AGNC Investment Corp. | | 357,798 | 6,132,658 |
| Chimera Investment Corp. | | 124,684 | 2,403,908 |
| MFA Financial, Inc. | | 300,236 | 2,155,694 |
| New Residential Investment Corp. | | 278,056 | 4,362,699 |
| Starwood Property Trust, Inc. | | 182,637 | 4,242,658 |
| Two Harbors Investment Corp. | | 181,587 | 2,444,161 |
| | | | 21,741,778 |
| Thrifts & Mortgage Finance - 0.5% | | | |
| LendingTree, Inc. (a)(b) | | 5,175 | 1,669,145 |
| MGIC Investment Corp. | | 237,865 | 3,056,565 |
| New York Community Bancorp, Inc. | | 304,250 | 3,508,003 |
| TFS Financial Corp. | | 32,914 | 591,135 |
| | | | 8,824,848 |
|
| TOTAL FINANCIALS | | | 277,877,206 |
|
| HEALTH CARE - 10.3% | | | |
| Biotechnology - 3.2% | | | |
| Agios Pharmaceuticals, Inc. (a)(b) | | 34,696 | 1,669,225 |
| Alkermes PLC (a) | | 104,203 | 2,413,341 |
| Alnylam Pharmaceuticals, Inc. (a)(b) | | 70,940 | 5,504,235 |
| bluebird bio, Inc. (a)(b) | | 36,881 | 4,839,894 |
| Exact Sciences Corp. (a) | | 85,618 | 9,855,483 |
| Exelixis, Inc. (a) | | 200,408 | 4,262,678 |
| Ionis Pharmaceuticals, Inc. (a) | | 85,703 | 5,644,400 |
| Moderna, Inc. | | 17,758 | 232,630 |
| Neurocrine Biosciences, Inc. (a) | | 60,513 | 5,832,848 |
| Sage Therapeutics, Inc. (a) | | 33,776 | 5,415,644 |
| Sarepta Therapeutics, Inc. (a)(b) | | 47,254 | 7,033,758 |
| Seattle Genetics, Inc. (a)(b) | | 73,073 | 5,532,357 |
| United Therapeutics Corp. (a) | | 28,846 | 2,285,757 |
| | | | 60,522,250 |
| Health Care Equipment & Supplies - 2.8% | | | |
| Cantel Medical Corp. | | 24,726 | 2,281,715 |
| DexCom, Inc. (a) | | 60,660 | 9,515,734 |
| Hill-Rom Holdings, Inc. | | 44,724 | 4,769,367 |
| ICU Medical, Inc. (a) | | 12,909 | 3,284,566 |
| Insulet Corp. (a)(b) | | 39,722 | 4,883,423 |
| Integra LifeSciences Holdings Corp. (a) | | 47,538 | 3,013,434 |
| Masimo Corp. (a) | | 31,512 | 4,974,169 |
| Penumbra, Inc. (a)(b) | | 21,105 | 3,537,198 |
| STERIS PLC | | 56,156 | 8,359,382 |
| West Pharmaceutical Services, Inc. | | 49,075 | 6,736,525 |
| | | | 51,355,513 |
| Health Care Providers & Services - 1.2% | | | |
| Acadia Healthcare Co., Inc. (a)(b) | | 58,453 | 1,866,989 |
| Chemed Corp. | | 10,402 | 4,216,867 |
| Covetrus, Inc. (a)(b) | | 65,231 | 1,544,018 |
| Encompass Health Corp. | | 65,736 | 4,196,586 |
| Guardant Health, Inc. | | 22,938 | 2,155,943 |
| MEDNAX, Inc. (a) | | 56,186 | 1,380,490 |
| Molina Healthcare, Inc. (a) | | 41,718 | 5,539,316 |
| Premier, Inc. (a) | | 34,428 | 1,334,085 |
| | | | 22,234,294 |
| Health Care Technology - 0.2% | | | |
| Medidata Solutions, Inc. (a) | | 40,423 | 3,693,450 |
| Life Sciences Tools & Services - 1.8% | | | |
| Bio-Rad Laboratories, Inc. Class A (a) | | 14,228 | 4,480,397 |
| Bio-Techne Corp. | | 25,114 | 5,277,707 |
| Bruker Corp. | | 69,321 | 3,317,010 |
| Charles River Laboratories International, Inc. (a) | | 32,234 | 4,336,762 |
| PerkinElmer, Inc. | | 73,865 | 6,361,254 |
| PRA Health Sciences, Inc. (a) | | 39,161 | 3,912,576 |
| QIAGEN NV (a) | | 148,256 | 5,592,216 |
| | | | 33,277,922 |
| Pharmaceuticals - 1.1% | | | |
| Catalent, Inc. (a) | | 97,034 | 5,481,451 |
| Horizon Pharma PLC (a) | | 122,769 | 3,055,720 |
| Jazz Pharmaceuticals PLC (a) | | 37,165 | 5,180,058 |
| Nektar Therapeutics (a)(b) | | 112,639 | 3,205,706 |
| Perrigo Co. PLC | | 84,673 | 4,573,189 |
| | | | 21,496,124 |
|
| TOTAL HEALTH CARE | | | 192,579,553 |
|
| INDUSTRIALS - 14.0% | | | |
| Aerospace & Defense - 1.6% | | | |
| BWX Technologies, Inc. | | 63,570 | 3,427,059 |
| Curtiss-Wright Corp. | | 28,431 | 3,608,178 |
| Hexcel Corp. | | 56,746 | 4,639,553 |
| Huntington Ingalls Industries, Inc. | | 27,251 | 6,221,403 |
| Spirit AeroSystems Holdings, Inc. Class A | | 68,879 | 5,292,662 |
| Teledyne Technologies, Inc. (a) | | 23,972 | 6,982,564 |
| | | | 30,171,419 |
| Air Freight & Logistics - 0.2% | | | |
| XPO Logistics, Inc. (a)(b) | | 61,294 | 4,136,119 |
| Airlines - 0.6% | | | |
| Alaska Air Group, Inc. | | 80,847 | 5,122,466 |
| Copa Holdings SA Class A | | 20,969 | 2,119,966 |
| JetBlue Airways Corp. (a) | | 201,162 | 3,868,345 |
| | | | 11,110,777 |
| Building Products - 1.7% | | | |
| A.O. Smith Corp. | | 92,581 | 4,207,806 |
| Allegion PLC | | 62,938 | 6,516,601 |
| Armstrong World Industries, Inc. | | 32,832 | 3,208,015 |
| Fortune Brands Home & Security, Inc. | | 93,220 | 5,121,507 |
| Lennox International, Inc. (b) | | 23,817 | 6,108,584 |
| Owens Corning | | 71,819 | 4,165,502 |
| Resideo Technologies, Inc. (a) | | 82,826 | 1,562,098 |
| | | | 30,890,113 |
| Commercial Services & Supplies - 0.6% | | | |
| Clean Harbors, Inc. (a) | | 34,553 | 2,688,569 |
| KAR Auction Services, Inc. | | 88,620 | 2,369,699 |
| Rollins, Inc. | | 95,154 | 3,190,514 |
| Stericycle, Inc. (a)(b) | | 59,881 | 2,752,131 |
| | | | 11,000,913 |
| Construction & Engineering - 1.0% | | | |
| AECOM (a) | | 104,035 | 3,740,058 |
| Fluor Corp. | | 93,846 | 3,050,933 |
| Jacobs Engineering Group, Inc. | | 88,238 | 7,280,517 |
| Quanta Services, Inc. | | 95,013 | 3,555,386 |
| Valmont Industries, Inc. | | 14,255 | 1,961,488 |
| | | | 19,588,382 |
| Electrical Equipment - 0.9% | | | |
| Acuity Brands, Inc. | | 26,459 | 3,551,327 |
| GrafTech International Ltd. | | 41,738 | 477,900 |
| Hubbell, Inc. Class B | | 36,275 | 4,711,397 |
| Regal Beloit Corp. | | 28,497 | 2,268,931 |
| Sensata Technologies, Inc. PLC (a) | | 106,723 | 5,061,872 |
| | | | 16,071,427 |
| Industrial Conglomerates - 0.5% | | | |
| Carlisle Companies, Inc. | | 37,610 | 5,423,738 |
| ITT, Inc. | | 58,874 | 3,674,915 |
| | | | 9,098,653 |
| Machinery - 4.5% | | | |
| AGCO Corp. | | 42,711 | 3,288,747 |
| Allison Transmission Holdings, Inc. | | 77,093 | 3,542,423 |
| Apergy Corp. (a) | | 51,557 | 1,677,149 |
| Colfax Corp. (a)(b) | | 61,703 | 1,707,939 |
| Crane Co. | | 33,668 | 2,818,012 |
| Donaldson Co., Inc. | | 85,345 | 4,262,983 |
| Flowserve Corp. | | 87,998 | 4,402,540 |
| Gardner Denver Holdings, Inc. (a) | | 87,490 | 2,884,545 |
| Gates Industrial Corp. PLC (a) | | 31,235 | 342,960 |
| Graco, Inc. | | 110,548 | 5,315,148 |
| IDEX Corp. | | 50,696 | 8,528,081 |
| Lincoln Electric Holdings, Inc. | | 40,411 | 3,415,538 |
| Middleby Corp. (a)(b) | | 37,080 | 4,982,810 |
| Nordson Corp. | | 38,311 | 5,427,136 |
| Oshkosh Corp. | | 46,627 | 3,896,618 |
| Pentair PLC | | 114,393 | 4,439,592 |
| Snap-On, Inc. (b) | | 36,781 | 5,613,148 |
| Timken Co. | | 44,684 | 2,042,506 |
| Toro Co. | | 70,796 | 5,155,365 |
| Trinity Industries, Inc. | | 71,641 | 1,404,164 |
| WABCO Holdings, Inc. (a) | | 34,245 | 4,534,380 |
| Woodward, Inc. | | 36,948 | 4,139,654 |
| | | | 83,821,438 |
| Marine - 0.2% | | | |
| Kirby Corp. (a) | | 39,870 | 3,124,213 |
| Professional Services - 0.4% | | | |
| Manpower, Inc. | | 39,995 | 3,653,543�� |
| Robert Half International, Inc. | | 77,515 | 4,682,681 |
| | | | 8,336,224 |
| Road & Rail - 0.8% | | | |
| AMERCO | | 5,934 | 2,296,458 |
| Genesee & Wyoming, Inc. Class A (a) | | 37,381 | 4,104,808 |
| Knight-Swift Transportation Holdings, Inc. Class A (b) | | 83,975 | 3,009,664 |
| Landstar System, Inc. | | 26,723 | 2,973,468 |
| Ryder System, Inc. | | 34,638 | 1,844,820 |
| Schneider National, Inc. Class B | | 37,522 | 724,175 |
| | | | 14,953,393 |
| Trading Companies & Distributors - 0.9% | | | |
| Air Lease Corp. Class A | | 69,715 | 2,913,390 |
| HD Supply Holdings, Inc. (a) | | 114,264 | 4,628,835 |
| MSC Industrial Direct Co., Inc. Class A | | 28,906 | 2,053,771 |
| Univar, Inc. (a) | | 105,304 | 2,329,324 |
| Watsco, Inc. | | 21,541 | 3,502,997 |
| WESCO International, Inc. (a) | | 29,565 | 1,500,128 |
| | | | 16,928,445 |
| Transportation Infrastructure - 0.1% | | | |
| Macquarie Infrastructure Co. LLC | | 49,201 | 2,038,889 |
|
| TOTAL INDUSTRIALS | | | 261,270,405 |
|
| INFORMATION TECHNOLOGY - 18.2% | | | |
| Communications Equipment - 0.7% | | | |
| Ciena Corp. (a) | | 103,899 | 4,698,313 |
| CommScope Holding Co., Inc. (a) | | 128,630 | 1,836,836 |
| EchoStar Holding Corp. Class A (a) | | 31,828 | 1,448,811 |
| Ubiquiti Networks, Inc. (b) | | 10,121 | 1,302,876 |
| ViaSat, Inc. (a) | | 37,326 | 3,045,428 |
| | | | 12,332,264 |
| Electronic Equipment & Components - 2.6% | | | |
| ADT, Inc. (b) | | 76,480 | 485,648 |
| Arrow Electronics, Inc. (a) | | 56,732 | 4,119,311 |
| Avnet, Inc. | | 70,525 | 3,203,246 |
| Cognex Corp. | | 109,707 | 4,828,205 |
| Coherent, Inc. (a) | | 16,029 | 2,225,627 |
| Dolby Laboratories, Inc. Class A | | 42,125 | 2,868,713 |
| FLIR Systems, Inc. | | 90,407 | 4,489,612 |
| Jabil, Inc. | | 99,926 | 3,085,715 |
| Littelfuse, Inc. | | 15,999 | 2,703,191 |
| National Instruments Corp. | | 87,037 | 3,634,665 |
| SYNNEX Corp. | | 27,731 | 2,732,613 |
| Trimble, Inc. (a) | | 168,402 | 7,116,669 |
| Zebra Technologies Corp. Class A (a) | | 35,813 | 7,552,604 |
| | | | 49,045,819 |
| IT Services - 4.2% | | | |
| Alliance Data Systems Corp. | | 29,769 | 4,671,351 |
| Amdocs Ltd. | | 91,993 | 5,886,632 |
| Booz Allen Hamilton Holding Corp. Class A | | 91,306 | 6,277,288 |
| CACI International, Inc. Class A (a) | | 16,477 | 3,545,027 |
| CoreLogic, Inc. (a) | | 53,733 | 2,448,613 |
| Elastic NV (b) | | 24,950 | 2,465,809 |
| EPAM Systems, Inc. (a) | | 34,799 | 6,743,698 |
| Euronet Worldwide, Inc. (a) | | 33,463 | 5,217,216 |
| Genpact Ltd. | | 109,417 | 4,341,667 |
| Jack Henry & Associates, Inc. | | 51,445 | 7,186,867 |
| Leidos Holdings, Inc. | | 91,172 | 7,485,221 |
| MongoDB, Inc. Class A (a)(b) | | 16,060 | 2,300,113 |
| Okta, Inc. (a) | | 68,381 | 8,946,286 |
| Sabre Corp. | | 184,568 | 4,339,194 |
| Switch, Inc. Class A (b) | | 39,733 | 539,177 |
| WEX, Inc. (a) | | 28,768 | 6,273,438 |
| | | | 78,667,597 |
| Semiconductors & Semiconductor Equipment - 2.5% | | | |
| Cree, Inc. (a) | | 70,407 | 4,377,907 |
| Cypress Semiconductor Corp. | | 244,608 | 5,618,646 |
| Entegris, Inc. (b) | | 90,087 | 3,919,685 |
| First Solar, Inc. (a) | | 55,131 | 3,555,398 |
| MKS Instruments, Inc. | | 36,227 | 3,084,005 |
| Monolithic Power Systems, Inc. | | 27,974 | 4,144,628 |
| ON Semiconductor Corp. (a) | | 273,177 | 5,876,037 |
| Teradyne, Inc. | | 114,416 | 6,376,404 |
| Universal Display Corp. | | 28,561 | 6,028,656 |
| Versum Materials, Inc. | | 73,155 | 3,802,597 |
| | | | 46,783,963 |
| Software - 7.7% | | | |
| 2U, Inc. (a)(b) | | 37,416 | 478,925 |
| Alteryx, Inc. Class A (a) | | 30,518 | 3,587,086 |
| Anaplan, Inc. | | 55,063 | 3,135,287 |
| Aspen Technology, Inc. (a) | | 46,224 | 6,095,559 |
| Avalara, Inc. (a) | | 28,524 | 2,324,136 |
| Black Knight, Inc. (a) | | 96,197 | 6,091,194 |
| CDK Global, Inc. | | 81,398 | 4,222,114 |
| Ceridian HCM Holding, Inc. (a)(b) | | 41,495 | 2,212,098 |
| Coupa Software, Inc. (a) | | 40,938 | 5,555,696 |
| DocuSign, Inc. (a)(b) | | 102,260 | 5,288,887 |
| Fair Isaac Corp. (a) | | 19,023 | 6,608,971 |
| FireEye, Inc. (a) | | 133,040 | 1,995,600 |
| Guidewire Software, Inc. (a) | | 54,658 | 5,579,489 |
| HubSpot, Inc. (a) | | 26,604 | 4,754,667 |
| LogMeIn, Inc. | | 32,950 | 2,503,212 |
| Manhattan Associates, Inc. (a) | | 43,224 | 3,673,608 |
| New Relic, Inc. (a) | | 31,431 | 2,928,426 |
| Nuance Communications, Inc. (a) | | 194,140 | 3,230,490 |
| Nutanix, Inc. Class A (a) | | 93,569 | 2,124,016 |
| Pagerduty, Inc. (b) | | 6,773 | 299,367 |
| Parametric Technology Corp. (a) | | 69,754 | 4,727,926 |
| Paycom Software, Inc. (a) | | 32,957 | 7,934,398 |
| Paylocity Holding Corp. (a) | | 21,639 | 2,209,126 |
| Pegasystems, Inc. | | 25,407 | 1,920,769 |
| Pluralsight, Inc. (a) | | 41,795 | 1,282,689 |
| Proofpoint, Inc. (a) | | 36,716 | 4,633,559 |
| RealPage, Inc. (a) | | 52,905 | 3,305,504 |
| RingCentral, Inc. (a) | | 46,909 | 6,660,140 |
| Smartsheet, Inc. (a) | | 57,183 | 2,854,004 |
| SolarWinds, Inc. (a)(b) | | 30,406 | 544,876 |
| Tableau Software, Inc. (a) | | 50,833 | 8,617,718 |
| Teradata Corp. (a) | | 78,295 | 2,867,163 |
| The Trade Desk, Inc. (a)(b) | | 25,380 | 6,682,808 |
| Tyler Technologies, Inc. (a) | | 25,279 | 5,898,855 |
| Zendesk, Inc. (a) | | 72,391 | 6,048,992 |
| Zscaler, Inc. (a) | | 41,257 | 3,476,727 |
| | | | 142,354,082 |
| Technology Hardware, Storage & Peripherals - 0.5% | | | |
| NCR Corp. (a) | | 80,509 | 2,722,009 |
| Pure Storage, Inc. Class A (a) | | 153,448 | 2,323,203 |
| Xerox Corp. | | 124,433 | 3,994,299 |
| | | | 9,039,511 |
|
| TOTAL INFORMATION TECHNOLOGY | | | 338,223,236 |
|
| MATERIALS - 6.2% | | | |
| Chemicals - 2.6% | | | |
| Albemarle Corp. U.S. (b) | | 70,629 | 5,153,092 |
| Ashland Global Holdings, Inc. | | 41,728 | 3,316,541 |
| Axalta Coating Systems Ltd. (a) | | 137,952 | 4,087,518 |
| Cabot Corp. | | 38,845 | 1,737,148 |
| CF Industries Holdings, Inc. | | 147,840 | 7,326,950 |
| Element Solutions, Inc. (a) | | 149,603 | 1,499,022 |
| Huntsman Corp. | | 149,365 | 3,069,451 |
| NewMarket Corp. | | 4,578 | 1,930,131 |
| Olin Corp. | | 109,728 | 2,202,241 |
| RPM International, Inc. | | 86,558 | 5,871,229 |
| The Chemours Co. LLC | | 109,153 | 2,081,548 |
| The Scotts Miracle-Gro Co. Class A | | 26,512 | 2,974,116 |
| Valvoline, Inc. | | 125,936 | 2,542,648 |
| W.R. Grace & Co. | | 38,362 | 2,601,327 |
| Westlake Chemical Corp. | | 23,806 | 1,608,571 |
| | | | 48,001,533 |
| Construction Materials - 0.3% | | | |
| Eagle Materials, Inc. | | 30,550 | 2,528,929 |
| nVent Electric PLC | | 104,970 | 2,602,206 |
| | | | 5,131,135 |
| Containers & Packaging - 2.2% | | | |
| Aptargroup, Inc. | | 42,341 | 5,124,108 |
| Ardagh Group SA | | 12,411 | 206,395 |
| Avery Dennison Corp. | | 56,406 | 6,479,357 |
| Berry Global Group, Inc. (a) | | 88,492 | 3,986,565 |
| Crown Holdings, Inc. (a) | | 87,100 | 5,575,271 |
| Graphic Packaging Holding Co. | | 196,683 | 2,922,709 |
| Owens-Illinois, Inc. | | 104,184 | 1,768,002 |
| Packaging Corp. of America | | 62,734 | 6,334,252 |
| Sealed Air Corp. | | 104,332 | 4,360,034 |
| Silgan Holdings, Inc. | | 52,056 | 1,564,803 |
| Sonoco Products Co. (b) | | 66,493 | 3,991,575 |
| | | | 42,313,071 |
| Metals & Mining - 1.0% | | | |
| Alcoa Corp. (a) | | 124,902 | 2,809,046 |
| Reliance Steel & Aluminum Co. | | 43,685 | 4,366,316 |
| Royal Gold, Inc. | | 43,682 | 4,999,405 |
| Steel Dynamics, Inc. | | 142,533 | 4,491,215 |
| United States Steel Corp. (b) | | 114,255 | 1,717,253 |
| | | | 18,383,235 |
| Paper & Forest Products - 0.1% | | | |
| Domtar Corp. | | 42,236 | 1,792,918 |
|
| TOTAL MATERIALS | | | 115,621,892 |
|
| REAL ESTATE - 11.5% | | | |
| Equity Real Estate Investment Trusts (REITs) - 11.0% | | | |
| American Campus Communities, Inc. | | 91,339 | 4,270,098 |
| American Homes 4 Rent Class A | | 171,708 | 4,157,051 |
| Americold Realty Trust | | 128,110 | 4,295,528 |
| Apartment Investment & Management Co. Class A | | 99,132 | 4,910,999 |
| Apple Hospitality (REIT), Inc. | | 139,951 | 2,198,630 |
| Brandywine Realty Trust (SBI) | | 117,021 | 1,726,060 |
| Brixmor Property Group, Inc. | | 199,202 | 3,780,854 |
| Camden Property Trust (SBI) | | 62,372 | 6,468,600 |
| Colony Capital, Inc. | | 321,153 | 1,814,514 |
| Columbia Property Trust, Inc. | | 78,189 | 1,714,685 |
| CoreSite Realty Corp. | | 24,492 | 2,567,007 |
| Corporate Office Properties Trust (SBI) | | 75,401 | 2,105,196 |
| Cousins Properties, Inc. | | 97,891 | 3,443,805 |
| CubeSmart | | 126,250 | 4,286,188 |
| CyrusOne, Inc. | | 75,006 | 4,305,344 |
| DDR Corp. | | 93,739 | 1,335,781 |
| Douglas Emmett, Inc. | | 107,645 | 4,394,069 |
| Duke Realty Corp. | | 240,502 | 8,015,932 |
| Empire State Realty Trust, Inc. | | 98,288 | 1,377,015 |
| EPR Properties | | 50,068 | 3,726,561 |
| Equity Commonwealth | | 80,606 | 2,706,749 |
| Equity Lifestyle Properties, Inc. | | 57,305 | 7,120,146 |
| Gaming & Leisure Properties | | 135,746 | 5,118,982 |
| Healthcare Trust of America, Inc. | | 136,904 | 3,686,825 |
| Highwoods Properties, Inc. (SBI) | | 68,609 | 3,110,046 |
| Hospitality Properties Trust (SBI) | | 108,654 | 2,684,840 |
| Hudson Pacific Properties, Inc. | | 100,908 | 3,562,052 |
| Iron Mountain, Inc. (b) | | 190,612 | 5,605,899 |
| JBG SMITH Properties | | 81,636 | 3,194,417 |
| Kilroy Realty Corp. | | 66,196 | 5,259,934 |
| Kimco Realty Corp. | | 269,895 | 5,184,683 |
| Lamar Advertising Co. Class A | | 57,025 | 4,614,463 |
| Liberty Property Trust (SBI) | | 99,238 | 5,190,147 |
| Life Storage, Inc. | | 31,226 | 3,044,223 |
| Medical Properties Trust, Inc. | | 291,511 | 5,101,443 |
| National Retail Properties, Inc. | | 108,763 | 5,681,779 |
| Omega Healthcare Investors, Inc. | | 142,907 | 5,187,524 |
| Outfront Media, Inc. | | 94,765 | 2,575,713 |
| Paramount Group, Inc. | | 135,358 | 1,872,001 |
| Park Hotels & Resorts, Inc. | | 134,820 | 3,560,596 |
| Rayonier, Inc. | | 86,398 | 2,508,998 |
| Regency Centers Corp. | | 111,634 | 7,445,988 |
| Retail Properties America, Inc. | | 143,063 | 1,739,646 |
| SL Green Realty Corp. | | 56,376 | 4,570,966 |
| Spirit Realty Capital, Inc. (b) | | 58,383 | 2,575,858 |
| Store Capital Corp. | | 138,918 | 4,752,385 |
| Sun Communities, Inc. | | 56,498 | 7,503,499 |
| Taubman Centers, Inc. | | 39,291 | 1,592,071 |
| The Macerich Co. (b) | | 94,866 | 3,135,321 |
| VEREIT, Inc. | | 652,791 | 5,953,454 |
| VICI Properties, Inc. (b) | | 299,778 | 6,397,263 |
| Weingarten Realty Investors (SBI) | | 80,090 | 2,235,312 |
| | | | 205,367,140 |
| Real Estate Management & Development - 0.5% | | | |
| Howard Hughes Corp. (a) | | 26,876 | 3,628,260 |
| Jones Lang LaSalle, Inc. | | 34,318 | 4,999,789 |
| | | | 8,628,049 |
|
| TOTAL REAL ESTATE | | | 213,995,189 |
|
| UTILITIES - 3.5% | | | |
| Electric Utilities - 1.8% | | | |
| Alliant Energy Corp. | | 159,192 | 7,886,372 |
| Hawaiian Electric Industries, Inc. | | 72,638 | 3,254,182 |
| IDACORP, Inc. | | 33,743 | 3,443,811 |
| OGE Energy Corp. | | 133,868 | 5,749,631 |
| Pinnacle West Capital Corp. | | 75,105 | 6,851,078 |
| Vistra Energy Corp. | | 278,314 | 5,972,618 |
| | | | 33,157,692 |
| Gas Utilities - 0.9% | | | |
| Atmos Energy Corp. | | 77,532 | 8,454,089 |
| National Fuel Gas Co. | | 54,691 | 2,610,948 |
| UGI Corp. | | 116,247 | 5,939,059 |
| | | | 17,004,096 |
| Independent Power and Renewable Electricity Producers - 0.3% | | | |
| NRG Energy, Inc. | | 178,388 | 6,090,166 |
| Multi-Utilities - 0.2% | | | |
| MDU Resources Group, Inc. | | 131,636 | 3,519,947 |
| Water Utilities - 0.3% | | | |
| Aqua America, Inc. | | 144,658 | 6,068,403 |
|
| TOTAL UTILITIES | | | 65,840,304 |
|
| TOTAL COMMON STOCKS | | | |
| (Cost $1,574,874,793) | | | 1,855,487,503 |
| | | Principal Amount | Value |
|
| U.S. Treasury Obligations - 0.1% | | | |
| U.S. Treasury Bills, yield at date of purchase 2.6% 9/12/19 (c) | | | |
| (Cost $997,038) | | 1,000,000 | 997,739 |
| | | Shares | Value |
|
| Money Market Funds - 7.1% | | | |
| Fidelity Cash Central Fund 2.43% (d) | | 1,694,230 | $1,694,569 |
| Fidelity Securities Lending Cash Central Fund 2.43% (d)(e) | | 130,689,714 | 130,702,782 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $132,397,351) | | | 132,397,351 |
| TOTAL INVESTMENT IN SECURITIES - 106.8% | | | |
| (Cost $1,708,269,182) | | | 1,988,882,593 |
| NET OTHER ASSETS (LIABILITIES) - (6.8)% | | | (126,597,340) |
| NET ASSETS - 100% | | | $1,862,285,253 |
| Futures Contracts | | | | | |
| | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) |
| Purchased | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P MidCap 400 Index Contracts (United States) | 35 | Sept. 2019 | $6,888,350 | $114,811 | $114,811 |
The notional amount of futures purchased as a percentage of Net Assets is 0.4%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $323,267.
(d) 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.
(e) 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 | $129,655 |
| Fidelity Securities Lending Cash Central Fund | 357,084 |
| Total | $486,739 |
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. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of July 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 | $68,660,775 | $68,660,775 | $-- | $-- |
| Consumer Discretionary | 229,456,895 | 229,456,895 | -- | -- |
| Consumer Staples | 47,389,564 | 47,389,564 | -- | -- |
| Energy | 44,572,484 | 44,572,484 | -- | -- |
| Financials | 277,877,206 | 277,877,206 | -- | -- |
| Health Care | 192,579,553 | 192,579,553 | -- | -- |
| Industrials | 261,270,405 | 261,270,405 | -- | -- |
| Information Technology | 338,223,236 | 338,223,236 | -- | -- |
| Materials | 115,621,892 | 115,621,892 | -- | -- |
| Real Estate | 213,995,189 | 213,995,189 | -- | -- |
| Utilities | 65,840,304 | 65,840,304 | -- | -- |
| U.S. Government and Government Agency Obligations | 997,739 | -- | 997,739 | -- |
| Money Market Funds | 132,397,351 | 132,397,351 | -- | -- |
| Total Investments in Securities: | $1,988,882,593 | $1,987,884,854 | $997,739 | $-- |
| Derivative Instruments: | | | | |
| Assets | | | | |
| Futures Contracts | $114,811 | $114,811 | $-- | $-- |
| Total Assets | $114,811 | $114,811 | $-- | $-- |
| Total Derivative Instruments: | $114,811 | $114,811 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 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) | $114,811 | $0 |
| Total Equity Risk | 114,811 | 0 |
| Total Value of Derivatives | $114,811 | $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 distributable earnings.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | July 31, 2019 |
| Assets | | |
Investment in securities, at value (including securities loaned of $125,748,337) — See accompanying schedule:
Unaffiliated issuers (cost $1,575,871,831) | $1,856,485,242 | |
| Fidelity Central Funds (cost $132,397,351) | 132,397,351 | |
| Total Investment in Securities (cost $1,708,269,182) | | $1,988,882,593 |
| Cash | | 264 |
| Receivable for investments sold | | 3,960,017 |
| Receivable for fund shares sold | | 583,497 |
| Dividends receivable | | 1,033,008 |
| Distributions receivable from Fidelity Central Funds | | 127,587 |
| Prepaid expenses | | 4,499 |
| Receivable from investment adviser for expense reductions | | 275,421 |
| Total assets | | 1,994,866,886 |
| Liabilities | | |
| Payable for fund shares redeemed | $1,452,590 | |
| Accrued management fee | 172,075 | |
| Payable for daily variation margin on futures contracts | 36,428 | |
| Other affiliated payables | 157,289 | |
| Other payables and accrued expenses | 67,879 | |
| Collateral on securities loaned | 130,695,372 | |
| Total liabilities | | 132,581,633 |
| Net Assets | | $1,862,285,253 |
| Net Assets consist of: | | |
| Paid in capital | | $1,540,316,970 |
| Total distributable earnings (loss) | | 321,968,283 |
| Net Assets, for 145,545,536 shares outstanding | | $1,862,285,253 |
| Net Asset Value, offering price and redemption price per share ($1,862,285,253 ÷ 145,545,536 shares) | | $12.80 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended July 31, 2019 |
| Investment Income | | |
| Dividends | | $31,814,244 |
| Interest | | 22,943 |
| Income from Fidelity Central Funds (including $357,084 from security lending) | | 486,739 |
| Total income | | 32,323,926 |
| Expenses | | |
| Management fee | $2,202,224 | |
| Transfer agent fees | 1,501,516 | |
| Accounting and security lending fees | 517,285 | |
| Custodian fees and expenses | 109,745 | |
| Independent trustees' fees and expenses | 9,207 | |
| Registration fees | 47,914 | |
| Audit | 55,787 | |
| Legal | 6,339 | |
| Interest | 33,273 | |
| Miscellaneous | 14,354 | |
| Total expenses before reductions | 4,497,644 | |
| Expense reductions | (2,836,276) | |
| Total expenses after reductions | | 1,661,368 |
| Net investment income (loss) | | 30,662,558 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 46,428,561 | |
| Fidelity Central Funds | (487) | |
| Futures contracts | (596,545) | |
| Total net realized gain (loss) | | 45,831,529 |
| Change in net unrealized appreciation (depreciation) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 20,778,255 | |
| Futures contracts | 86,089 | |
| Total change in net unrealized appreciation (depreciation) | | 20,864,344 |
| Net gain (loss) | | 66,695,873 |
| Net increase (decrease) in net assets resulting from operations | | $97,358,431 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended July 31, 2019 | Year ended July 31, 2018 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $30,662,558 | $25,735,157 |
| Net realized gain (loss) | 45,831,529 | 106,946,615 |
| Change in net unrealized appreciation (depreciation) | 20,864,344 | 142,150,184 |
| Net increase (decrease) in net assets resulting from operations | 97,358,431 | 274,831,956 |
| Distributions to shareholders | (136,561,154) | – |
| Distributions to shareholders from net investment income | – | (17,827,435) |
| Distributions to shareholders from net realized gain | – | (10,934,823) |
| Total distributions | (136,561,154) | (28,762,258) |
| Share transactions | | |
| Proceeds from sales of shares | 816,434,043 | 1,274,523,020 |
| Reinvestment of distributions | 17,561,702 | 5,077,657 |
| Cost of shares redeemed | (1,213,960,114) | (705,178,230) |
| Net increase (decrease) in net assets resulting from share transactions | (379,964,369) | 574,422,447 |
| Total increase (decrease) in net assets | (419,167,092) | 820,492,145 |
| Net Assets | | |
| Beginning of period | 2,281,452,345 | 1,460,960,200 |
| End of period | $1,862,285,253 | $2,281,452,345 |
| Other Information | | |
| Undistributed net investment income end of period | | $14,791,659 |
| Shares | | |
| Sold | 69,853,539 | 105,228,710 |
| Issued in reinvestment of distributions | 1,408,093 | 433,807 |
| Redeemed | (101,839,298) | (58,088,108) |
| Net increase (decrease) | (30,577,666) | 47,574,409 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI Small-Mid Cap 500 Index Fund
| | | | | |
| Years ended July 31, | 2019 | 2018 | 2017 | 2016 A |
| Selected Per–Share Data | | | | |
| Net asset value, beginning of period | $12.95 | $11.37 | $10.26 | $10.00 |
| Income from Investment Operations | | | | |
| Net investment income (loss)B | .19 | .17 | .15 | .14 |
| Net realized and unrealized gain (loss) | .46 | 1.62 | 1.11 | .18 |
| Total from investment operations | .65 | 1.79 | 1.26 | .32 |
| Distributions from net investment income | (.18) | (.13) | (.09) | (.05) |
| Distributions from net realized gain | (.63) | (.08) | (.06) | (.01) |
| Total distributions | (.80)C | (.21) | (.15) | (.06) |
| Net asset value, end of period | $12.80 | $12.95 | $11.37 | $10.26 |
| Total ReturnD,E | 5.26% | 15.91% | 12.41% | 3.26% |
| Ratios to Average Net AssetsF,G | | | | |
| Expenses before reductions | .22% | .23% | .29% | .35%H |
| Expenses net of fee waivers, if any | .08% | .13% | .15% | .15%H |
| Expenses net of all reductions | .08% | .13% | .15% | .15%H |
| Net investment income (loss) | 1.53% | 1.37% | 1.38% | 1.48%H |
| Supplemental Data | | | | |
| Net assets, end of period (000 omitted) | $1,862,285 | $2,281,452 | $1,460,960 | $355,719 |
| Portfolio turnover rateI | 41% | 39% | 22% | 99%H |
A For the period August 12, 2015 (commencement of operations) to July 31, 2016.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.80 per share is comprised of distributions from net investment income of $.176 and distributions from net realized gain of $.626 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
H Annualized
I 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 July 31, 2019
1. Organization.
Fidelity SAI Small-Mid Cap 500 Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company (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 ranged from less than .005% to .01%.
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:
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.
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. U.S. government and government agency obligations 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.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 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 July 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, 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 | $368,275,052 |
| Gross unrealized depreciation | (101,363,669) |
| Net unrealized appreciation (depreciation) | $266,911,383 |
| Tax Cost | $1,721,971,210 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $15,175,860 |
| Undistributed long-term capital gain | $39,881,040 |
| Net unrealized appreciation (depreciation) on securities and other investments | $266,911,383 |
The tax character of distributions paid was as follows:
| | July 31, 2019 | July 31, 2018 |
| Ordinary Income | $62,420,911 | $ 22,841,492 |
| Long-term Capital Gains | 74,140,243 | 5,920,766 |
| Total | $136,561,154 | $ 28,762,258 |
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. 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $812,935,395 and $1,261,848,932, 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 pays a monthly management fee that is based on an annual rate of .11% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
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 an asset-based fee of .075% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
During July 2019, the Board approved that effective August 1, 2019 transfer agent fees will not be paid by the Fund and will instead be paid by the investment adviser or an affiliate.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Prior to April 1, 2019, FSC had a separate agreement with the Fund for administration of the security lending program, based on the number and duration of lending transactions. For the period, the total fees paid for accounting and administration of securities lending were equivalent to an annual rate of .03%.
During July 2019, the Board approved that effective August 1, 2019 accounting fees will not be paid by the Fund and will instead be paid by the investment adviser or an affiliate.
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 | $13,935,312 | 2.48% | $15,364 |
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 $5,472 and is reflected in Miscellaneous expenses 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 from time to time in order to earn additional income. For equity securities, lending agents are used, including National Financial Services (NFS), an affiliate of the Fund. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of daily lending revenue, for its services as lending agent. The Fund may lend securities to certain qualified borrowers, including NFS. 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. Total fees paid by the Fund to NFS, as lending agent, amounted to $3,344. 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. During the period, there were no securities loaned to NFS.
9. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. The average loan balance during the period for which loans were outstanding amounted to $111,157,000. The weighted average interest rate was 2.90%. The interest expense amounted to $17,909 under the bank borrowing program. At period end, there were no bank borrowings outstanding.
10. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .05% of average net assets. This reimbursement will remain in place through November 30, 2020. The expense limitation prior to March 1, 2019 was .10%. 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 $2,835,145.
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 $1,131.
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, Strategic Advisers Small-Mid Cap Fund was the owner of record of approximately 10% of the total outstanding shares of the Fund.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI Small-Mid Cap 500 Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI Small-Mid Cap 500 Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 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 three years in the period then ended and for the period from August 12, 2015 (commencement of operations) to July 31, 2016, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 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 three years in the period then ended and for the period from August 12, 2015 (commencement of operations) to July 31, 2016 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 13, 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 276 funds. Mr. Chiel oversees 170 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 Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2019 to July 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
February 1, 2019 | Ending
Account Value
July 31, 2019 | Expenses Paid
During Period-B
February 1, 2019
to July 31, 2019 |
| Actual | .06% | $1,000.00 | $1,098.70 | $.31 |
| Hypothetical-C | | $1,000.00 | $1,024.50 | $.30 |
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 181/365 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity SAI Small-Mid Cap 500 Index Fund voted to pay on September 16, 2019, to shareholders of record at the opening of business on September 13, 2019, a distribution of $0.297 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.113 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2019, $40,747,185, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 22% and 61% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 24% and 68% of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund designates 14% of the dividends distributed during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
SV3-ANN-0919
1.9868212.103
Fidelity® SAI U.S. Quality Index Fund Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Annual Report July 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.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 July 31, 2019 | Past 1 year | Life of fundA |
| Fidelity® SAI U.S. Quality Index Fund | 9.70% | 14.13% |
A From October 8, 2015
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Quality Index Fund on October 8, 2015, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the MSCI USA Quality Index, Fidelity U.S. Quality Focus Index, and Fidelity SAI U.S. Quality Index Fund Linked Index performed over the same period.
| Period Ending Values |
| $16,556 | Fidelity® SAI U.S. Quality Index Fund |
| $16,573 | Fidelity U.S. Quality Focus Index |
| $17,130 | MSCI USA Quality Index |
| $16,640 | Fidelity SAI U.S. Quality Index Fund Linked Index |
Effective March 18, 2019, the Fidelity SAI U.S. Quality Index Fund began comparing its performance to the Fidelity U.S. Quality Focus Index rather than the MSCI USA Quality Index as a result of the change to the fund’s investment policies.
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500
® index gained 7.99% for the 12 months ending July 31, 2019, beginning the new year on a high note after enduring a historically volatile final quarter of 2018. Upbeat company earnings/outlooks and signs the Federal Reserve may pause on rates boosted stocks to an all-time high on April 30. In May, however, volatility spiked and stocks returned -6.35% for the month amid the Fed’s decision to hold interest rates steady and signal that it had little appetite to adjust them any time soon, as well as retaliatory tariffs imposed on the U.S. by China. The downtrend was similar to late 2018, when many investors fled from risk assets on elevated concerns about future economic growth, global trade and tighter monetary policy. The bull market roared back in June, with the S&P 500
® rising 7.05%, and recorded a series of all-time highs in a productive July (+1.44%). For the full 12 months, growth stocks outpaced value, while large-caps handily bested small-caps. By sector, information technology (+19%) led the way, boosted by continued strength in software & services (+26%), the market’s largest industry segment. Three defensive groups also stood out – real estate (+18%), utilities (+17%) and consumer staples (+15%) – followed by consumer discretionary (+10%) and communication services (+8%). In contrast, energy (-16%) was by far the weakest sector. Other notable laggards included materials (0%), financials (+3%), industrials (+4%) and health care (+4%).
Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year, the fund gained 9.70%, performing roughly in line with the 9.78% increase in the Fidelity SAI U.S. Quality Index Fund Linked Index. Many of the portfolio's top individual contributors came from the information technology sector, which was the strongest-performing segment of the index this period. Leading the way were by MasterCard (+38%) and Visa (+31%), two leaders in electronic-payments processing. Strong financial results driven by growth in non-cash financial transactions boosted these companies' share prices the past 12 months. Further aiding the fund's return was the stock of consumer electronics and personal computer manufacturer Apple (+13%), partly reflecting recent strength in its wearables and services businesses. A favorable earnings report also lifted shares of software manufacturer Microsoft (+27%), due notably to continued growth in the company's cloud-computing business. Elsewhere, Procter & Gamble (+29%) added value, as the consumer branded-goods company produced better-than-expected sales gains during the period. In contrast, the fund's biggest individual detractor was NVIDIA (-29%), a maker of graphics chips. Both of these stocks were not held at period end. Here, weaker-than-anticipated financial results weighed on the company's shares, particularly in the market selloff in the fourth quarter of 2018. Also hampering performance was Biogen (-29%), which plunged in March after the company announced plans to discontinue drug trials for a once-promising treatment for Alzheimer's disease. Lastly, poor earnings prospects weighed on the stock of 3M (-15%), as the maker of various consumer and industrial products reported first-quarter earnings that disappointed analysts.
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.
Notes to Shareholders: On March 18, 2019, the fund's benchmark changed from the MSCI USA Quality Index to the Fidelity U.S. Quality Focus Index. On March 22, 2019, Pat Waddell retired and is no longer a portfolio manager with Geode Capital Management.
Investment Summary (Unaudited)
Top Five Stocks as of July 31, 2019
| | % of fund's net assets |
| Apple, Inc. | 6.7 |
| Alphabet, Inc. Class A | 5.0 |
| Visa, Inc. Class A | 4.2 |
| The Home Depot, Inc. | 4.0 |
| MasterCard, Inc. Class A | 3.9 |
| | 23.8 |
Top Five Market Sectors as of July 31, 2019
| | % of fund's net assets |
| Information Technology | 32.3 |
| Health Care | 21.1 |
| Consumer Discretionary | 15.9 |
| Financials | 9.0 |
| Consumer Staples | 8.5 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2019* |
| | Stocks and Equity Futures | 100.0% |
* Foreign investments - 3.9%
Schedule of Investments July 31, 2019
Showing Percentage of Net Assets
| Common Stocks - 99.7% | | | |
| | | Shares | Value |
| COMMUNICATION SERVICES - 5.0% | | | |
| Interactive Media & Services - 5.0% | | | |
| Alphabet, Inc. Class A (a) | | 362,661 | $441,793,630 |
| CONSUMER DISCRETIONARY - 15.9% | | | |
| Auto Components - 0.2% | | | |
| Gentex Corp. | | 568,083 | 15,576,836 |
| Diversified Consumer Services - 0.1% | | | |
| Frontdoor, Inc. (a) | | 185,256 | 8,455,084 |
| Hotels, Restaurants & Leisure - 3.8% | | | |
| Las Vegas Sands Corp. | | 775,436 | 46,867,352 |
| McDonald's Corp. | | 910,144 | 191,785,544 |
| Planet Fitness, Inc. (a) | | 112,828 | 8,875,050 |
| Wyndham Destinations, Inc. | | 207,008 | 9,741,796 |
| Yum! Brands, Inc. | | 671,481 | 75,555,042 |
| | | | 332,824,784 |
| Internet & Direct Marketing Retail - 2.1% | | | |
| The Booking Holdings, Inc. (a) | | 98,642 | 186,098,984 |
| Specialty Retail - 6.5% | | | |
| AutoZone, Inc. (a) | | 54,693 | 61,422,427 |
| O'Reilly Automotive, Inc. (a) | | 171,755 | 65,397,434 |
| Ross Stores, Inc. | | 812,115 | 86,108,553 |
| The Home Depot, Inc. | | 1,632,441 | 348,836,317 |
| | | | 561,764,731 |
| Textiles, Apparel & Luxury Goods - 3.2% | | | |
| lululemon athletica, Inc. (a) | | 231,107 | 44,162,237 |
| NIKE, Inc. Class B | | 2,758,496 | 237,313,411 |
| | | | 281,475,648 |
|
| TOTAL CONSUMER DISCRETIONARY | | | 1,386,196,067 |
|
| CONSUMER STAPLES - 8.5% | | | |
| Beverages - 0.9% | | | |
| Brown-Forman Corp. Class B (non-vtg.) | | 361,643 | 19,821,653 |
| Monster Beverage Corp. (a) | | 856,990 | 55,250,145 |
| | | | 75,071,798 |
| Household Products - 3.2% | | | |
| Clorox Co. | | 280,861 | 45,667,999 |
| Colgate-Palmolive Co. | | 1,888,291 | 135,465,996 |
| Kimberly-Clark Corp. | | 754,794 | 102,387,806 |
| | | | 283,521,801 |
| Personal Products - 1.1% | | | |
| Estee Lauder Companies, Inc. Class A | | 478,288 | 88,095,867 |
| Herbalife Nutrition Ltd. (a) | | 224,442 | 9,206,611 |
| | | | 97,302,478 |
| Tobacco - 3.3% | | | |
| Philip Morris International, Inc. | | 3,406,610 | 284,826,662 |
|
| TOTAL CONSUMER STAPLES | | | 740,722,739 |
|
| FINANCIALS - 9.0% | | | |
| Banks - 0.3% | | | |
| SVB Financial Group (a) | | 115,336 | 26,754,492 |
| Capital Markets - 4.8% | | | |
| Ameriprise Financial, Inc. | | 296,928 | 43,205,993 |
| BlackRock, Inc. Class A | | 102,640 | 48,002,675 |
| Eaton Vance Corp. (non-vtg.) (b) | | 252,374 | 11,230,643 |
| Evercore, Inc. Class A | | 89,837 | 7,759,222 |
| FactSet Research Systems, Inc. (b) | | 83,355 | 23,114,342 |
| Federated Investors, Inc. Class B (non-vtg.) | | 209,835 | 7,291,766 |
| Lazard Ltd. Class A (b) | | 284,371 | 11,008,001 |
| LPL Financial | | 186,465 | 15,638,820 |
| MarketAxess Holdings, Inc. | | 82,584 | 27,834,111 |
| Moody's Corp. | | 364,148 | 78,051,482 |
| MSCI, Inc. | | 184,787 | 41,990,998 |
| SEI Investments Co. | | 282,911 | 16,858,666 |
| T. Rowe Price Group, Inc. | | 517,753 | 58,708,013 |
| TD Ameritrade Holding Corp. (b) | | 590,255 | 30,162,031 |
| | | | 420,856,763 |
| Consumer Finance - 0.2% | | | |
| Credit Acceptance Corp. (a) | | 26,610 | 12,720,378 |
| Insurance - 3.6% | | | |
| AFLAC, Inc. | | 1,644,291 | 86,555,478 |
| Erie Indemnity Co. Class A | | 43,524 | 9,695,841 |
| Marsh & McLennan Companies, Inc. | | 1,067,657 | 105,484,512 |
| Primerica, Inc. | | 93,317 | 11,449,063 |
| Progressive Corp. | | 1,279,559 | 103,618,688 |
| | | | 316,803,582 |
| Thrifts & Mortgage Finance - 0.1% | | | |
| Essent Group Ltd. | | 215,390 | 9,942,402 |
|
| TOTAL FINANCIALS | | | 787,077,617 |
|
| HEALTH CARE - 21.1% | | | |
| Biotechnology - 8.2% | | | |
| AbbVie, Inc. | | 3,232,524 | 215,350,749 |
| Amgen, Inc. | | 1,363,671 | 254,433,735 |
| Biogen, Inc. (a) | | 431,071 | 102,517,305 |
| Celgene Corp. (a) | | 1,539,155 | 141,386,778 |
| | | | 713,688,567 |
| Health Care Equipment & Supplies - 2.4% | | | |
| Align Technology, Inc. (a) | | 159,503 | 33,348,887 |
| IDEXX Laboratories, Inc. (a) | | 180,110 | 50,800,026 |
| Intuitive Surgical, Inc. (a) | | 235,525 | 122,357,593 |
| | | | 206,506,506 |
| Health Care Providers & Services - 0.1% | | | |
| HealthEquity, Inc. (a)(b) | | 118,947 | 9,751,275 |
| Health Care Technology - 0.5% | | | |
| Veeva Systems, Inc. Class A (a) | | 274,221 | 45,493,264 |
| Life Sciences Tools & Services - 0.8% | | | |
| Mettler-Toledo International, Inc. (a) | | 54,336 | 41,118,768 |
| Waters Corp. (a) | | 156,713 | 32,997,489 |
| | | | 74,116,257 |
| Pharmaceuticals - 9.1% | | | |
| Bristol-Myers Squibb Co. | | 3,577,874 | 158,893,384 |
| Jazz Pharmaceuticals PLC (a) | | 125,033 | 17,427,100 |
| Merck & Co., Inc. | | 3,904,186 | 324,008,396 |
| Pfizer, Inc. | | 7,641,751 | 296,805,609 |
| | | | 797,134,489 |
|
| TOTAL HEALTH CARE | | | 1,846,690,358 |
|
| INDUSTRIALS - 5.6% | | | |
| Commercial Services & Supplies - 0.1% | | | |
| Rollins, Inc. | | 322,992 | 10,829,922 |
| Electrical Equipment - 0.5% | | | |
| Rockwell Automation, Inc. | | 260,059 | 41,812,286 |
| Industrial Conglomerates - 2.5% | | | |
| 3M Co. | | 1,261,818 | 220,464,841 |
| Machinery - 1.7% | | | |
| Allison Transmission Holdings, Inc. | | 261,364 | 12,009,676 |
| Illinois Tool Works, Inc. | | 661,500 | 102,023,145 |
| Snap-On, Inc. (b) | | 121,878 | 18,599,802 |
| Toro Co. (b) | | 232,579 | 16,936,403 |
| | | | 149,569,026 |
| Professional Services - 0.3% | | | |
| Insperity, Inc. | | 81,638 | 8,682,201 |
| Robert Half International, Inc. | | 260,949 | 15,763,929 |
| | | | 24,446,130 |
| Trading Companies & Distributors - 0.5% | | | |
| Fastenal Co. | | 1,254,183 | 38,628,836 |
|
| TOTAL INDUSTRIALS | | | 485,751,041 |
|
| INFORMATION TECHNOLOGY - 32.3% | | | |
| Communications Equipment - 0.2% | | | |
| F5 Networks, Inc. (a) | | 130,260 | 19,111,747 |
| IT Services - 14.2% | | | |
| Accenture PLC Class A | | 1,384,824 | 266,689,406 |
| Automatic Data Processing, Inc. | | 954,647 | 158,967,818 |
| MasterCard, Inc. Class A | | 1,260,549 | 343,209,676 |
| Paychex, Inc. | | 700,340 | 58,163,237 |
| VeriSign, Inc. (a) | | 230,864 | 48,733,082 |
| Visa, Inc. Class A | | 2,058,497 | 366,412,466 |
| | | | 1,242,175,685 |
| Semiconductors & Semiconductor Equipment - 4.1% | | | |
| Maxim Integrated Products, Inc. | | 599,129 | 35,462,446 |
| Texas Instruments, Inc. | | 2,056,611 | 257,096,941 |
| Xilinx, Inc. | | 544,931 | 62,236,570 |
| | | | 354,795,957 |
| Software - 6.7% | | | |
| ANSYS, Inc. (a) | | 176,792 | 35,909,991 |
| Cadence Design Systems, Inc. (a) | | 614,440 | 45,413,260 |
| Check Point Software Technologies Ltd. (a) | | 277,287 | 31,042,280 |
| Fortinet, Inc. (a) | | 317,841 | 25,525,811 |
| Intuit, Inc. | | 567,737 | 157,439,147 |
| Manhattan Associates, Inc. (a) | | 142,481 | 12,109,460 |
| Microsoft Corp. | | 429,185 | 58,485,040 |
| Oracle Corp. | | 2,863,230 | 161,199,849 |
| Paycom Software, Inc. (a) | | 105,435 | 25,383,476 |
| VMware, Inc. Class A | | 166,164 | 28,993,956 |
| | | | 581,502,270 |
| Technology Hardware, Storage & Peripherals - 7.1% | | | |
| Apple, Inc. | | 2,763,694 | 588,777,371 |
| NetApp, Inc. | | 541,225 | 31,656,250 |
| | | | 620,433,621 |
|
| TOTAL INFORMATION TECHNOLOGY | | | 2,818,019,280 |
|
| REAL ESTATE - 2.3% | | | |
| Equity Real Estate Investment Trusts (REITs) - 2.3% | | | |
| Apartment Investment & Management Co. Class A | | 340,625 | 16,874,563 |
| Public Storage | | 258,949 | 62,862,459 |
| Ryman Hospitality Properties, Inc. | | 112,492 | 8,436,900 |
| Simon Property Group, Inc. | | 677,064 | 109,819,781 |
| | | | 197,993,703 |
| TOTAL COMMON STOCKS | | | |
| (Cost $7,456,377,525) | | | 8,704,244,435 |
| | | Principal Amount | Value |
|
| U.S. Treasury Obligations - 0.0% | | | |
| U.S. Treasury Bills, yield at date of purchase 2.41% 9/12/19 (c) | | | |
| (Cost $797,778) | | 800,000 | 798,191 |
| | | Shares | Value |
|
| Money Market Funds - 0.8% | | | |
| Fidelity Cash Central Fund 2.43% (d) | | 17,965,586 | $17,969,179 |
| Fidelity Securities Lending Cash Central Fund 2.43% (d)(e) | | 54,714,755 | 54,720,226 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $72,689,287) | | | 72,689,405 |
| TOTAL INVESTMENT IN SECURITIES - 100.5% | | | |
| (Cost $7,529,864,590) | | | 8,777,732,031 |
| NET OTHER ASSETS (LIABILITIES) - (0.5)% | | | (44,975,648) |
| NET ASSETS - 100% | | | $8,732,756,383 |
| 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) | 194 | Sept. 2019 | $28,928,310 | $89,219 | $89,219 |
The notional amount of futures purchased as a percentage of Net Assets is 0.3%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $798,191.
(d) 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.
(e) 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 | $517,165 |
| Fidelity Securities Lending Cash Central Fund | 798,699 |
| Total | $1,315,864 |
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. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of July 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 | $441,793,630 | $441,793,630 | $-- | $-- |
| Consumer Discretionary | 1,386,196,067 | 1,386,196,067 | -- | -- |
| Consumer Staples | 740,722,739 | 740,722,739 | -- | -- |
| Financials | 787,077,617 | 787,077,617 | -- | -- |
| Health Care | 1,846,690,358 | 1,846,690,358 | -- | -- |
| Industrials | 485,751,041 | 485,751,041 | -- | -- |
| Information Technology | 2,818,019,280 | 2,818,019,280 | -- | -- |
| Real Estate | 197,993,703 | 197,993,703 | -- | -- |
| U.S. Government and Government Agency Obligations | 798,191 | -- | 798,191 | -- |
| Money Market Funds | 72,689,405 | 72,689,405 | -- | -- |
| Total Investments in Securities: | $8,777,732,031 | $8,776,933,840 | $798,191 | $-- |
| Derivative Instruments: | | | | |
| Assets | | | | |
| Futures Contracts | $89,219 | $89,219 | $-- | $-- |
| Total Assets | $89,219 | $89,219 | $-- | $-- |
| Total Derivative Instruments: | $89,219 | $89,219 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 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) | $89,219 | $0 |
| Total Equity Risk | 89,219 | 0 |
| Total Value of Derivatives | $89,219 | $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).
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | July 31, 2019 |
| Assets | | |
Investment in securities, at value (including securities loaned of $53,316,471) — See accompanying schedule:
Unaffiliated issuers (cost $7,457,175,303) | $8,705,042,626 | |
| Fidelity Central Funds (cost $72,689,287) | 72,689,405 | |
| Total Investment in Securities (cost $7,529,864,590) | | $8,777,732,031 |
| Segregated cash with brokers for derivative instruments | | 337,680 |
| Receivable for fund shares sold | | 3,197,795 |
| Dividends receivable | | 9,245,091 |
| Distributions receivable from Fidelity Central Funds | | 73,805 |
| Prepaid expenses | | 20,024 |
| Receivable from investment adviser for expense reductions | | 309,939 |
| Total assets | | 8,790,916,365 |
| Liabilities | | |
| Payable for fund shares redeemed | $1,678,125 | |
| Accrued management fee | 726,980 | |
| Payable for daily variation margin on futures contracts | 267,387 | |
| Other affiliated payables | 631,041 | |
| Other payables and accrued expenses | 152,196 | |
| Collateral on securities loaned | 54,704,253 | |
| Total liabilities | | 58,159,982 |
| Net Assets | | $8,732,756,383 |
| Net Assets consist of: | | |
| Paid in capital | | $6,515,185,588 |
| Total distributable earnings (loss) | | 2,217,570,795 |
| Net Assets, for 574,756,244 shares outstanding | | $8,732,756,383 |
| Net Asset Value, offering price and redemption price per share ($8,732,756,383 ÷ 574,756,244 shares) | | $15.19 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended July 31, 2019 |
| Investment Income | | |
| Dividends | | $143,894,117 |
| Interest | | 24,512 |
| Income from Fidelity Central Funds (including $798,699 from security lending) | | 1,315,864 |
| Total income | | 145,234,493 |
| Expenses | | |
| Management fee | $7,604,152 | |
| Transfer agent fees | 5,703,114 | |
| Accounting and security lending fees | 988,005 | |
| Custodian fees and expenses | 86,569 | |
| Independent trustees' fees and expenses | 33,238 | |
| Registration fees | 169,549 | |
| Audit | 55,236 | |
| Legal | 13,316 | |
| Interest | 12,393 | |
| Miscellaneous | 47,678 | |
| Total expenses before reductions | 14,713,250 | |
| Expense reductions | (3,238,863) | |
| Total expenses after reductions | | 11,474,387 |
| Net investment income (loss) | | 133,760,106 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 964,706,063 | |
| Fidelity Central Funds | 266 | |
| Futures contracts | 4,031,856 | |
| Total net realized gain (loss) | | 968,738,185 |
| Change in net unrealized appreciation (depreciation) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | (345,525,788) | |
| Fidelity Central Funds | 118 | |
| Futures contracts | (223,601) | |
| Total change in net unrealized appreciation (depreciation) | | (345,749,271) |
| Net gain (loss) | | 622,988,914 |
| Net increase (decrease) in net assets resulting from operations | | $756,749,020 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended July 31, 2019 | Year ended July 31, 2018 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $133,760,106 | $96,242,444 |
| Net realized gain (loss) | 968,738,185 | 87,427,749 |
| Change in net unrealized appreciation (depreciation) | (345,749,271) | 982,538,491 |
| Net increase (decrease) in net assets resulting from operations | 756,749,020 | 1,166,208,684 |
| Distributions to shareholders | (197,565,929) | – |
| Distributions to shareholders from net investment income | – | (87,325,140) |
| Distributions to shareholders from net realized gain | – | (134,730,131) |
| Total distributions | (197,565,929) | (222,055,271) |
| Share transactions | | |
| Proceeds from sales of shares | 1,813,165,441 | 4,206,625,253 |
| Reinvestment of distributions | 138,985,268 | 162,527,504 |
| Cost of shares redeemed | (1,026,220,857) | (3,159,543,842) |
| Net increase (decrease) in net assets resulting from share transactions | 925,929,852 | 1,209,608,915 |
| Total increase (decrease) in net assets | 1,485,112,943 | 2,153,762,328 |
| Net Assets | | |
| Beginning of period | 7,247,643,440 | 5,093,881,112 |
| End of period | $8,732,756,383 | $7,247,643,440 |
| Other Information | | |
| Undistributed net investment income end of period | | $48,909,433 |
| Shares | | |
| Sold | 127,001,447 | 317,003,949 |
| Issued in reinvestment of distributions | 9,901,495 | 13,154,961 |
| Redeemed | (71,472,984) | (235,826,171) |
| Net increase (decrease) | 65,429,958 | 94,332,739 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI U.S. Quality Index Fund
| | | | | |
| Years ended July 31, | 2019 | 2018 | 2017 | 2016 A |
| Selected Per–Share Data | | | | |
| Net asset value, beginning of period | $14.23 | $12.27 | $10.87 | $10.00 |
| Income from Investment Operations | | | | |
| Net investment income (loss)B | .25 | .21 | .21 | .13 |
| Net realized and unrealized gain (loss) | 1.10 | 2.25 | 1.36 | .77 |
| Total from investment operations | 1.35 | 2.46 | 1.57 | .90 |
| Distributions from net investment income | (.19) | (.19) | (.14) | (.03) |
| Distributions from net realized gain | (.20) | (.31) | (.03) | – |
| Total distributions | (.39) | (.50) | (.17) | (.03) |
| Net asset value, end of period | $15.19 | $14.23 | $12.27 | $10.87 |
| Total ReturnC,D | 9.70% | 20.71% | 14.70% | 9.01% |
| Ratios to Average Net AssetsE,F | | | | |
| Expenses before reductions | .19% | .20% | .21% | .25%G |
| Expenses net of fee waivers, if any | .15% | .15% | .15% | .15%G |
| Expenses net of all reductions | .15% | .15% | .15% | .15%G |
| Net investment income (loss) | 1.76% | 1.55% | 1.84% | 1.56%G |
| Supplemental Data | | | | |
| Net assets, end of period (000 omitted) | $8,732,756 | $7,247,643 | $5,093,881 | $3,598,609 |
| Portfolio turnover rateH | 99% | 34% | 31% | 25%G |
A For the period October 8, 2015 (commencement of operations) to July 31, 2016.
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 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 July 31, 2019
1. Organization.
Fidelity SAI U.S. Quality Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company (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 ranged from less than .005% to .01%.
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:
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.
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. U.S. government and government agency obligations 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.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 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. 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 July 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, 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 | $1,466,501,573 |
| Gross unrealized depreciation | (232,206,849) |
| Net unrealized appreciation (depreciation) | $1,234,294,724 |
| Tax Cost | $7,543,437,307 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $212,572,250 |
| Undistributed long-term capital gain | $770,703,820 |
| Net unrealized appreciation (depreciation) on securities and other investments | $1,234,294,724 |
The tax character of distributions paid was as follows:
| | July 31, 2019 | July 31, 2018 |
| Ordinary Income | $125,627,312 | $ 133,689,913 |
| Long-term Capital Gains | 71,938,617 | 88,365,358 |
| Total | $197,565,929 | $ 222,055,271 |
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. 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. 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 $8,458,567,817 and $7,521,021,350, 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 pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
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 an asset-based fee of .075% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
During July 2019, the Board approved that effective August 1, 2019 transfer agent fees will not be paid by the Fund and will instead be paid by the investment adviser or an affiliate.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Prior to April 1, 2019, FSC had a separate agreement with the Fund for administration of the security lending program, based on the number and duration of lending transactions. For the period, the total fees paid for accounting and administration of securities lending were equivalent to an annual rate of .01%.
During July 2019, the Board approved that effective August 1, 2019 accounting fees will not be paid by the Fund and will instead be paid by the investment adviser or an affiliate.
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 | $24,053,429 | 2.65% | $12,393 |
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.
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $307,222.
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 $20,020 and is reflected in Miscellaneous expenses 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 from time to time in order to earn additional income. For equity securities, lending agents are used, including National Financial Services (NFS), an affiliate of the Fund. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of daily lending revenue, for its services as lending agent. The Fund may lend securities to certain qualified borrowers, including NFS. 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. Total fees paid by the Fund to NFS, as lending agent, amounted to $332. 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. During the period, there were no securities loaned to NFS.
9. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .15% of average net assets. This reimbursement will remain in place through November 30, 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 $3,238,863.
10. 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, Strategic Advisers Core Fund, Strategic Advisers Growth Fund and Strategic Advisers Fidelity U.S. Total Stock Fund were the owners of record of approximately 26%, 12% and 32%, respectively, of the total outstanding shares of the Fund.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI U.S. Quality Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Quality Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 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 three years in the period then ended and for the period from October 8, 2015 (commencement of operations) to July 31, 2016, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 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 three years in the period then ended and for the period from October 8, 2015 (commencement of operations) to July 31, 2016 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 13, 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 276 funds. Mr. Chiel oversees 170 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 Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2019 to July 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
February 1, 2019 | Ending
Account Value
July 31, 2019 | Expenses Paid
During Period-B
February 1, 2019
to July 31, 2019 |
| Actual | .15% | $1,000.00 | $1,122.70 | $.79-C |
| Hypothetical-D | | $1,000.00 | $1,024.05 | $.75-C |
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 181/365 (to reflect the one-half year period).
C If fees and changes to the Fund level expense contract and/ or expense cap, effective August 1, 2019, had been in effect during the current period, the restated annualized expense ratio would have been .10% and the expenses paid in the actual and hypothetical examples above would have been $.53 and $.50, respectively.
D 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity SAI U.S. Quality Index Fund voted to pay on September 16, 2019, to shareholders of record at the opening of business on September 13, 2019, a distribution of $1.515 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.135 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2019, $770,842,488, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 77% and 93% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 80% and 97% of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
SV4-ANN-0919
1.9868208.103
Fidelity® SAI U.S. Large Cap Index Fund Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Annual Report July 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.
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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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 July 31, 2019 | Past 1 year | Life of fundA |
| Fidelity® SAI U.S. Large Cap Index Fund | 7.97% | 16.04% |
A From February 2, 2016
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Large Cap Index Fund on February 2, 2016, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period.
| Period Ending Values |
| $16,816 | Fidelity® SAI U.S. Large Cap Index Fund |
| $16,823 | S&P 500® Index |
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500
® index gained 7.99% for the 12 months ending July 31, 2019, beginning the new year on a high note after enduring a historically volatile final quarter of 2018. Upbeat company earnings/outlooks and signs the Federal Reserve may pause on rates boosted stocks to an all-time high on April 30. In May, however, volatility spiked and stocks returned -6.35% for the month amid the Fed’s decision to hold interest rates steady and signal that it had little appetite to adjust them any time soon, as well as retaliatory tariffs imposed on the U.S. by China. The downtrend was similar to late 2018, when many investors fled from risk assets on elevated concerns about future economic growth, global trade and tighter monetary policy. The bull market roared back in June, with the S&P 500
® rising 7.05%, and recorded a series of all-time highs in a productive July (+1.44%). For the full 12 months, growth stocks outpaced value, while large-caps handily bested small-caps. By sector, information technology (+19%) led the way, boosted by continued strength in software & services (+26%), the market’s largest industry segment. Three defensive groups also stood out – real estate (+18%), utilities (+17%) and consumer staples (+15%) – followed by consumer discretionary (+10%) and communication services (+8%). In contrast, energy (-16%) was by far the weakest sector. Other notable laggards included materials (0%), financials (+3%), industrials (+4%) and health care (+4%).
Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year, the fund gained 7.97%, performing roughly in line with the 7.99% increase in the benchmark S&P 500
® index. Many of the portfolio's top individual contributors came from the strongest-performing sector in the index: information technology. Leading the way was Microsoft (+30%), largely due to continued growth in the company's cloud-computing business. Shares of consumer electronics and personal computer manufacturer Apple gained about 13%, partly reflecting recent strength in its wearables and services businesses. Other key contributors within technology included Visa (+31%) and MasterCard (+38%), two leaders in electronic-payments processing. Here, strong financial results driven by growth in non-cash financial transactions boosted these companies' share prices the past 12 months. Elsewhere, Procter & Gamble (+50%) added value, as the consumer branded-goods company produced better-than-expected sales gains during the period. In contrast, the fund's biggest individual detractor was graphics-chip maker NVIDIA (-31%), which fell amid broad investor concerns about semiconductor-industry weakness, as well as the company’s worse-than-expected fourth-quarter financial outlook. Also, in what was a challenging environment for the energy sector – the worst-performing category in the index the 12 past months – oilfield services provider Schlumberger (-38%) weighed on performance. Lastly, within the health care sector, shares of pharmaceutical manufacturer AbbVie (-24%) declined notably as investors appeared to disapprove of the company’s plans to acquire Allergan in a $63 billion deal.
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 March 22, 2019, Pat Waddell retired and is no longer a portfolio manager with Geode Capital Management.
Investment Summary (Unaudited)
Top Five Stocks as of July 31, 2019
| | % of fund's net assets |
| Microsoft Corp. | 4.2 |
| Apple, Inc. | 3.7 |
| Amazon.com, Inc. | 3.1 |
| Facebook, Inc. Class A | 1.9 |
| Berkshire Hathaway, Inc. Class B | 1.6 |
| | 14.5 |
Top Five Market Sectors as of July 31, 2019
| | % of fund's net assets |
| Information Technology | 21.9 |
| Health Care | 13.8 |
| Financials | 13.2 |
| Communication Services | 10.4 |
| Consumer Discretionary | 10.1 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2019* |
| | Stocks and Equity Futures | 100.0% |
* Foreign investments - 3.6%
Schedule of Investments July 31, 2019
Showing Percentage of Net Assets
| Common Stocks - 99.7% | | | |
| | | Shares | Value |
| COMMUNICATION SERVICES - 10.4% | | | |
| Diversified Telecommunication Services - 2.0% | | | |
| AT&T, Inc. | | 4,119,479 | $140,268,260 |
| CenturyLink, Inc. (a) | | 541,592 | 6,547,847 |
| Verizon Communications, Inc. | | 2,334,469 | 129,026,102 |
| | | | 275,842,209 |
| Entertainment - 1.9% | | | |
| Activision Blizzard, Inc. (a) | | 432,386 | 21,074,494 |
| Electronic Arts, Inc. (b) | | 167,449 | 15,489,033 |
| Netflix, Inc. (b) | | 246,796 | 79,712,640 |
| Take-Two Interactive Software, Inc. (a)(b) | | 63,526 | 7,783,206 |
| The Walt Disney Co. | | 985,394 | 140,921,196 |
| Viacom, Inc. Class B (non-vtg.) | | 199,620 | 6,058,467 |
| | | | 271,039,036 |
| Interactive Media & Services - 5.0% | | | |
| Alphabet, Inc.: | | | |
| Class A (b) | | 169,022 | 205,902,600 |
| Class C (b) | | 172,993 | 210,477,123 |
| Facebook, Inc. Class A (b) | | 1,356,156 | 263,406,180 |
| TripAdvisor, Inc. (a)(b) | | 58,427 | 2,579,552 |
| Twitter, Inc. (b) | | 412,173 | 17,439,040 |
| | | | 699,804,495 |
| Media - 1.4% | | | |
| CBS Corp. Class B (a) | | 198,666 | 10,233,286 |
| Charter Communications, Inc. Class A (a)(b) | | 97,102 | 37,421,169 |
| Comcast Corp. Class A (a) | | 2,556,666 | 110,371,271 |
| Discovery Communications, Inc.: | | | |
| Class A (a)(b) | | 89,108 | 2,700,863 |
| Class C (non-vtg.) (a)(b) | | 203,512 | 5,747,179 |
| DISH Network Corp. Class A (a)(b) | | 130,241 | 4,409,960 |
| Fox Corp.: | | | |
| Class A (a) | | 200,010 | 7,464,373 |
| Class B (a) | | 91,660 | 3,409,752 |
| Interpublic Group of Companies, Inc. | | 218,471 | 5,007,355 |
| News Corp.: | | | |
| Class A (a) | | 217,665 | 2,864,471 |
| Class B | | 69,820 | 939,777 |
| Omnicom Group, Inc. (a) | | 124,278 | 9,969,581 |
| | | | 200,539,037 |
| Wireless Telecommunication Services - 0.1% | | | |
| T-Mobile U.S., Inc. (b) | | 178,424 | 14,225,746 |
|
| TOTAL COMMUNICATION SERVICES | | | 1,461,450,523 |
|
| CONSUMER DISCRETIONARY - 10.1% | | | |
| Auto Components - 0.1% | | | |
| Aptiv PLC | | 145,539 | 12,756,493 |
| BorgWarner, Inc. | | 116,995 | 4,422,411 |
| | | | 17,178,904 |
| Automobiles - 0.4% | | | |
| Ford Motor Co. | | 2,211,973 | 21,080,103 |
| General Motors Co. | | 744,591 | 30,036,801 |
| Harley-Davidson, Inc. (a) | | 89,791 | 3,212,722 |
| | | | 54,329,626 |
| Distributors - 0.1% | | | |
| Genuine Parts Co. (a) | | 82,448 | 8,007,350 |
| LKQ Corp. (b) | | 177,239 | 4,773,046 |
| | | | 12,780,396 |
| Diversified Consumer Services - 0.0% | | | |
| H&R Block, Inc. (a) | | 114,752 | 3,177,483 |
| Hotels, Restaurants & Leisure - 2.0% | | | |
| Carnival Corp. (a) | | 226,016 | 10,674,736 |
| Chipotle Mexican Grill, Inc. (a)(b) | | 13,766 | 10,951,266 |
| Darden Restaurants, Inc. (a) | | 69,416 | 8,438,209 |
| Hilton Worldwide Holdings, Inc. | | 164,295 | 15,862,682 |
| Marriott International, Inc. Class A | | 156,008 | 21,694,472 |
| McDonald's Corp. | | 431,002 | 90,820,741 |
| MGM Mirage, Inc. (a) | | 288,071 | 8,647,891 |
| Norwegian Cruise Line Holdings Ltd. (b) | | 121,583 | 6,011,064 |
| Royal Caribbean Cruises Ltd. | | 97,038 | 11,289,401 |
| Starbucks Corp. | | 683,682 | 64,737,849 |
| Wynn Resorts Ltd. (a) | | 54,694 | 7,114,049 |
| Yum! Brands, Inc. | | 172,713 | 19,433,667 |
| | | | 275,676,027 |
| Household Durables - 0.3% | | | |
| D.R. Horton, Inc. | | 191,688 | 8,804,230 |
| Garmin Ltd. (a) | | 68,444 | 5,379,014 |
| Leggett & Platt, Inc. (a) | | 74,097 | 2,961,657 |
| Lennar Corp. Class A | | 161,116 | 7,664,288 |
| Mohawk Industries, Inc. (b) | | 34,747 | 4,332,603 |
| Newell Brands, Inc. (a) | | 219,720 | 3,117,827 |
| PulteGroup, Inc. | | 143,920 | 4,534,919 |
| Whirlpool Corp. (a) | | 35,753 | 5,201,346 |
| | | | 41,995,884 |
| Internet & Direct Marketing Retail - 3.6% | | | |
| Amazon.com, Inc. (b) | | 233,440 | 435,781,123 |
| eBay, Inc. | | 462,431 | 19,047,533 |
| Expedia, Inc. (a) | | 78,149 | 10,373,498 |
| The Booking Holdings, Inc. (b) | | 24,436 | 46,101,202 |
| | | | 511,303,356 |
| Leisure Products - 0.1% | | | |
| Hasbro, Inc. (a) | | 65,357 | 7,918,654 |
| Multiline Retail - 0.5% | | | |
| Dollar General Corp. | | 145,815 | 19,542,126 |
| Dollar Tree, Inc. (b) | | 134,105 | 13,645,184 |
| Kohl's Corp. | | 91,458 | 4,925,928 |
| Macy's, Inc. (a) | | 174,348 | 3,962,930 |
| Nordstrom, Inc. (a) | | 59,361 | 1,965,443 |
| Target Corp. (a) | | 289,196 | 24,986,534 |
| | | | 69,028,145 |
| Specialty Retail - 2.3% | | | |
| Advance Auto Parts, Inc. (a) | | 40,493 | 6,099,866 |
| AutoZone, Inc. (b) | | 13,846 | 15,549,612 |
| Best Buy Co., Inc. | | 131,141 | 10,036,221 |
| CarMax, Inc. (a)(b) | | 93,810 | 8,232,766 |
| Foot Locker, Inc. (a) | | 63,396 | 2,603,040 |
| Gap, Inc. (a) | | 119,477 | 2,329,802 |
| L Brands, Inc. | | 129,467 | 3,359,669 |
| Lowe's Companies, Inc. | | 441,930 | 44,811,702 |
| O'Reilly Automotive, Inc. (b) | | 44,185 | 16,823,881 |
| Ross Stores, Inc. | | 207,408 | 21,991,470 |
| The Home Depot, Inc. | | 621,075 | 132,717,517 |
| Tiffany & Co., Inc. (a) | | 60,992 | 5,728,369 |
| TJX Companies, Inc. | | 684,511 | 37,346,920 |
| Tractor Supply Co. (a) | | 68,098 | 7,409,743 |
| Ulta Beauty, Inc. (a)(b) | | 31,348 | 10,948,289 |
| | | | 325,988,867 |
| Textiles, Apparel & Luxury Goods - 0.7% | | | |
| Capri Holdings Ltd. (b) | | 85,200 | 3,032,268 |
| Hanesbrands, Inc. (a) | | 204,038 | 3,282,971 |
| NIKE, Inc. Class B | | 709,380 | 61,027,961 |
| PVH Corp. | | 42,286 | 3,760,071 |
| Ralph Lauren Corp. | | 29,461 | 3,070,720 |
| Tapestry, Inc. | | 163,772 | 5,065,468 |
| Under Armour, Inc.: | | | |
| Class A (sub. vtg.) (a)(b) | | 106,127 | 2,448,350 |
| Class C (non-vtg.) (a)(b) | | 109,657 | 2,230,423 |
| VF Corp. (a) | | 183,830 | 16,064,904 |
| | | | 99,983,136 |
|
| TOTAL CONSUMER DISCRETIONARY | | | 1,419,360,478 |
|
| CONSUMER STAPLES - 7.3% | | | |
| Beverages - 1.8% | | | |
| Brown-Forman Corp. Class B (non-vtg.) (a) | | 93,896 | 5,146,440 |
| Constellation Brands, Inc. Class A (sub. vtg.) (a) | | 94,384 | 18,576,659 |
| Molson Coors Brewing Co. Class B | | 105,999 | 5,722,886 |
| Monster Beverage Corp. (b) | | 220,918 | 14,242,583 |
| PepsiCo, Inc. | | 791,282 | 101,133,752 |
| The Coca-Cola Co. (a) | | 2,167,272 | 114,063,525 |
| | | | 258,885,845 |
| Food & Staples Retailing - 1.5% | | | |
| Costco Wholesale Corp. | | 248,246 | 68,424,045 |
| Kroger Co. | | 455,345 | 9,635,100 |
| Sysco Corp. | | 266,912 | 18,302,156 |
| Walgreens Boots Alliance, Inc. (a) | | 438,678 | 23,903,564 |
| Walmart, Inc. | | 789,584 | 87,154,282 |
| | | | 207,419,147 |
| Food Products - 1.1% | | | |
| Archer Daniels Midland Co. (a) | | 316,195 | 12,989,291 |
| Campbell Soup Co. (a) | | 108,793 | 4,497,503 |
| Conagra Brands, Inc. (a) | | 274,283 | 7,918,550 |
| General Mills, Inc. | | 337,998 | 17,951,074 |
| Hormel Foods Corp. (a) | | 153,682 | 6,299,425 |
| Kellogg Co. (a) | | 140,305 | 8,168,557 |
| Lamb Weston Holdings, Inc. | | 82,567 | 5,541,897 |
| McCormick & Co., Inc. (non-vtg.) (a) | | 69,122 | 10,958,602 |
| Mondelez International, Inc. | | 813,078 | 43,491,542 |
| The Hershey Co. (a) | | 78,627 | 11,930,861 |
| The J.M. Smucker Co. (a) | | 64,206 | 7,139,065 |
| The Kraft Heinz Co. | | 351,194 | 11,241,720 |
| Tyson Foods, Inc. Class A | | 166,407 | 13,229,357 |
| | | | 161,357,444 |
| Household Products - 1.8% | | | |
| Church & Dwight Co., Inc. | | 138,982 | 10,484,802 |
| Clorox Co. (a) | | 71,895 | 11,690,127 |
| Colgate-Palmolive Co. | | 484,603 | 34,765,419 |
| Kimberly-Clark Corp. | | 194,061 | 26,324,375 |
| Procter & Gamble Co. | | 1,415,869 | 167,129,177 |
| | | | 250,393,900 |
| Personal Products - 0.2% | | | |
| Coty, Inc. Class A | | 169,656 | 1,850,947 |
| Estee Lauder Companies, Inc. Class A | | 123,772 | 22,797,565 |
| | | | 24,648,512 |
| Tobacco - 0.9% | | | |
| Altria Group, Inc. | | 1,056,072 | 49,709,309 |
| Philip Morris International, Inc. | | 878,199 | 73,426,218 |
| | | | 123,135,527 |
|
| TOTAL CONSUMER STAPLES | | | 1,025,840,375 |
|
| ENERGY - 4.9% | | | |
| Energy Equipment & Services - 0.5% | | | |
| Baker Hughes, a GE Co. Class A (a) | | 290,645 | 7,379,477 |
| Halliburton Co. | | 493,332 | 11,346,636 |
| Helmerich & Payne, Inc. (a) | | 62,379 | 3,098,989 |
| National Oilwell Varco, Inc. (a) | | 217,839 | 5,188,925 |
| Schlumberger Ltd. | | 781,855 | 31,250,744 |
| TechnipFMC PLC | | 237,742 | 6,547,415 |
| | | | 64,812,186 |
| Oil, Gas & Consumable Fuels - 4.4% | | | |
| Anadarko Petroleum Corp. | | 283,429 | 20,877,380 |
| Apache Corp. (a) | | 212,195 | 5,181,802 |
| Cabot Oil & Gas Corp. (a) | | 238,931 | 4,577,918 |
| Chevron Corp. (a) | | 1,075,260 | 132,375,259 |
| Cimarex Energy Co. | | 57,256 | 2,901,162 |
| Concho Resources, Inc. | | 113,229 | 11,060,209 |
| ConocoPhillips Co. | | 637,947 | 37,689,909 |
| Devon Energy Corp. | | 234,367 | 6,327,909 |
| Diamondback Energy, Inc. (a) | | 87,375 | 9,037,196 |
| EOG Resources, Inc. | | 327,574 | 28,122,228 |
| Exxon Mobil Corp. | | 2,388,312 | 177,594,880 |
| Hess Corp. | | 143,876 | 9,328,920 |
| HollyFrontier Corp. | | 88,680 | 4,413,604 |
| Kinder Morgan, Inc. (a) | | 1,098,915 | 22,659,627 |
| Marathon Oil Corp. | | 461,686 | 6,495,922 |
| Marathon Petroleum Corp. | | 374,026 | 21,091,326 |
| Noble Energy, Inc. (a) | | 269,946 | 5,960,408 |
| Occidental Petroleum Corp. | | 422,232 | 21,685,836 |
| ONEOK, Inc. | | 232,987 | 16,327,729 |
| Phillips 66 Co. | | 235,766 | 24,180,161 |
| Pioneer Natural Resources Co. | | 95,070 | 13,123,463 |
| The Williams Companies, Inc. | | 684,004 | 16,853,859 |
| Valero Energy Corp. | | 235,519 | 20,077,995 |
| | | | 617,944,702 |
|
| TOTAL ENERGY | | | 682,756,888 |
|
| FINANCIALS - 13.2% | | | |
| Banks - 5.6% | | | |
| Bank of America Corp. | | 4,991,370 | 153,135,232 |
| BB&T Corp. | | 432,336 | 22,278,274 |
| Citigroup, Inc. | | 1,305,311 | 92,885,931 |
| Citizens Financial Group, Inc. | | 258,727 | 9,640,168 |
| Comerica, Inc. (a) | | 87,019 | 6,369,791 |
| Fifth Third Bancorp | | 410,454 | 12,186,379 |
| First Republic Bank (a) | | 93,013 | 9,241,772 |
| Huntington Bancshares, Inc. (a) | | 590,681 | 8,417,204 |
| JPMorgan Chase & Co. | | 1,831,115 | 212,409,340 |
| KeyCorp (a) | | 569,146 | 10,455,212 |
| M&T Bank Corp. | | 77,119 | 12,666,796 |
| Peoples United Financial, Inc. (a) | | 222,612 | 3,655,289 |
| PNC Financial Services Group, Inc. | | 254,822 | 36,414,064 |
| Regions Financial Corp. | | 571,932 | 9,110,877 |
| SunTrust Banks, Inc. | | 250,525 | 16,684,965 |
| SVB Financial Group (a)(b) | | 29,534 | 6,851,002 |
| U.S. Bancorp | | 844,746 | 48,277,234 |
| Wells Fargo & Co. | | 2,283,217 | 110,530,535 |
| Zions Bancorp NA (a) | | 103,052 | 4,644,554 |
| | | | 785,854,619 |
| Capital Markets - 2.8% | | | |
| Affiliated Managers Group, Inc. (a) | | 28,900 | 2,479,331 |
| Ameriprise Financial, Inc. (a) | | 75,584 | 10,998,228 |
| Bank of New York Mellon Corp. | | 497,248 | 23,330,876 |
| BlackRock, Inc. Class A | | 67,161 | 31,409,856 |
| Cboe Global Markets, Inc. | | 63,057 | 6,892,761 |
| Charles Schwab Corp. | | 670,676 | 28,986,617 |
| CME Group, Inc. | | 202,063 | 39,285,088 |
| E*TRADE Financial Corp. | | 138,109 | 6,738,338 |
| Franklin Resources, Inc. (a) | | 166,170 | 5,422,127 |
| Goldman Sachs Group, Inc. (a) | | 192,049 | 42,275,746 |
| IntercontinentalExchange, Inc. | | 318,283 | 27,964,344 |
| Invesco Ltd. (a) | | 226,116 | 4,339,166 |
| MarketAxess Holdings, Inc. | | 21,279 | 7,171,874 |
| Moody's Corp. | | 93,110 | 19,957,197 |
| Morgan Stanley | | 721,670 | 32,157,615 |
| MSCI, Inc. (a) | | 47,798 | 10,861,618 |
| Northern Trust Corp. | | 122,871 | 12,041,358 |
| Raymond James Financial, Inc. | | 71,326 | 5,753,868 |
| S&P Global, Inc. | | 138,905 | 34,024,780 |
| State Street Corp. | | 210,639 | 12,236,020 |
| T. Rowe Price Group, Inc. | | 133,482 | 15,135,524 |
| The NASDAQ OMX Group, Inc. | | 65,474 | 6,309,729 |
| | | | 385,772,061 |
| Consumer Finance - 0.7% | | | |
| American Express Co. | | 386,528 | 48,072,487 |
| Capital One Financial Corp. | | 265,072 | 24,497,954 |
| Discover Financial Services (a) | | 182,734 | 16,398,549 |
| Synchrony Financial | | 357,968 | 12,843,892 |
| | | | 101,812,882 |
| Diversified Financial Services - 1.6% | | | |
| Berkshire Hathaway, Inc. Class B (b) | | 1,093,825 | 224,704,470 |
| Jefferies Financial Group, Inc. | | 143,022 | 3,050,659 |
| | | | 227,755,129 |
| Insurance - 2.5% | | | |
| AFLAC, Inc. | | 420,792 | 22,150,491 |
| Allstate Corp. | | 188,028 | 20,194,207 |
| American International Group, Inc. | | 490,947 | 27,488,123 |
| Aon PLC | | 135,767 | 25,693,905 |
| Arthur J. Gallagher & Co. (a) | | 104,569 | 9,456,175 |
| Assurant, Inc. | | 34,701 | 3,933,705 |
| Chubb Ltd. | | 258,453 | 39,501,957 |
| Cincinnati Financial Corp. (a) | | 85,635 | 9,191,205 |
| Everest Re Group Ltd. | | 22,993 | 5,670,994 |
| Hartford Financial Services Group, Inc. | | 204,054 | 11,759,632 |
| Lincoln National Corp. | | 114,216 | 7,462,873 |
| Loews Corp. | | 151,447 | 8,108,472 |
| Marsh & McLennan Companies, Inc. | | 288,637 | 28,517,336 |
| MetLife, Inc. | | 536,452 | 26,511,458 |
| Principal Financial Group, Inc. (a) | | 146,225 | 8,486,899 |
| Progressive Corp. | | 329,641 | 26,694,328 |
| Prudential Financial, Inc. | | 229,174 | 23,217,618 |
| The Travelers Companies, Inc. (a) | | 147,838 | 21,676,008 |
| Torchmark Corp. | | 57,093 | 5,213,733 |
| Unum Group (a) | | 119,600 | 3,821,220 |
| Willis Group Holdings PLC | | 72,949 | 14,241,104 |
| | | | 348,991,443 |
|
| TOTAL FINANCIALS | | | 1,850,186,134 |
|
| HEALTH CARE - 13.8% | | | |
| Biotechnology - 2.1% | | | |
| AbbVie, Inc. (a) | | 834,469 | 55,592,325 |
| Alexion Pharmaceuticals, Inc. (b) | | 126,574 | 14,339,568 |
| Amgen, Inc. (a) | | 344,289 | 64,237,442 |
| Biogen, Inc. (b) | | 109,446 | 26,028,448 |
| Celgene Corp. (b) | | 398,096 | 36,569,099 |
| Gilead Sciences, Inc. | | 717,751 | 47,027,046 |
| Incyte Corp. (b) | | 100,466 | 8,531,573 |
| Regeneron Pharmaceuticals, Inc. (b) | | 44,390 | 13,528,296 |
| Vertex Pharmaceuticals, Inc. (b) | | 144,572 | 24,088,587 |
| | | | 289,942,384 |
| Health Care Equipment & Supplies - 3.5% | | | |
| Abbott Laboratories | | 995,822 | 86,736,096 |
| Abiomed, Inc. (a)(b) | | 25,472 | 7,095,480 |
| Align Technology, Inc. (b) | | 41,096 | 8,592,352 |
| Baxter International, Inc. | | 267,815 | 22,488,426 |
| Becton, Dickinson & Co. | | 152,255 | 38,490,064 |
| Boston Scientific Corp. (b) | | 784,977 | 33,330,123 |
| Danaher Corp. | | 355,626 | 49,965,453 |
| Dentsply Sirona, Inc. | | 132,072 | 7,191,320 |
| Edwards Lifesciences Corp. (b) | | 117,692 | 25,050,742 |
| Hologic, Inc. (b) | | 151,305 | 7,754,381 |
| IDEXX Laboratories, Inc. (b) | | 48,548 | 13,692,963 |
| Intuitive Surgical, Inc. (b) | | 65,167 | 33,854,908 |
| Medtronic PLC | | 756,779 | 77,146,051 |
| ResMed, Inc. | | 80,941 | 10,417,107 |
| Stryker Corp. | | 174,802 | 36,669,964 |
| Teleflex, Inc. (a) | | 26,052 | 8,850,906 |
| The Cooper Companies, Inc. | | 27,934 | 9,424,932 |
| Varian Medical Systems, Inc. (b) | | 51,336 | 6,025,306 |
| Zimmer Biomet Holdings, Inc. | | 115,602 | 15,621,298 |
| | | | 498,397,872 |
| Health Care Providers & Services - 2.7% | | | |
| AmerisourceBergen Corp. (a) | | 87,792 | 7,651,073 |
| Anthem, Inc. | | 145,179 | 42,771,185 |
| Cardinal Health, Inc. | | 168,245 | 7,693,844 |
| Centene Corp. (b) | | 233,332 | 12,154,264 |
| Cigna Corp. | | 214,191 | 36,395,335 |
| CVS Health Corp. (a) | | 733,294 | 40,969,136 |
| DaVita HealthCare Partners, Inc. (b) | | 71,385 | 4,272,392 |
| HCA Holdings, Inc. | | 150,712 | 20,121,559 |
| Henry Schein, Inc. (a)(b) | | 84,147 | 5,599,141 |
| Humana, Inc. | | 76,223 | 22,619,175 |
| Laboratory Corp. of America Holdings (b) | | 55,600 | 9,314,112 |
| McKesson Corp. (a) | | 107,227 | 14,899,192 |
| Quest Diagnostics, Inc. | | 75,850 | 7,742,768 |
| UnitedHealth Group, Inc. | | 536,437 | 133,578,177 |
| Universal Health Services, Inc. Class B (a) | | 46,785 | 7,057,985 |
| Wellcare Health Plans, Inc. (b) | | 28,399 | 8,157,613 |
| | | | 380,996,951 |
| Health Care Technology - 0.1% | | | |
| Cerner Corp. | | 183,689 | 13,161,317 |
| Life Sciences Tools & Services - 1.0% | | | |
| Agilent Technologies, Inc. | | 178,368 | 12,380,523 |
| Illumina, Inc. (b) | | 82,977 | 24,841,654 |
| IQVIA Holdings, Inc. (b) | | 89,069 | 14,177,113 |
| Mettler-Toledo International, Inc. (b) | | 14,000 | 10,594,500 |
| PerkinElmer, Inc. | | 62,610 | 5,391,973 |
| Thermo Fisher Scientific, Inc. | | 225,776 | 62,693,480 |
| Waters Corp. (b) | | 39,216 | 8,257,321 |
| | | | 138,336,564 |
| Pharmaceuticals - 4.4% | | | |
| Allergan PLC | | 173,931 | 27,915,926 |
| Bristol-Myers Squibb Co. (a) | | 923,312 | 41,004,286 |
| Corteva, Inc. | | 422,681 | 12,469,090 |
| Eli Lilly & Co. | | 487,722 | 53,137,312 |
| Johnson & Johnson | | 1,498,691 | 195,159,542 |
| Merck & Co., Inc. | | 1,453,301 | 120,609,450 |
| Mylan NV (b) | | 290,961 | 6,081,085 |
| Nektar Therapeutics (a)(b) | | 98,391 | 2,800,208 |
| Perrigo Co. PLC (a) | | 70,621 | 3,814,240 |
| Pfizer, Inc. | | 3,133,810 | 121,717,180 |
| Zoetis, Inc. Class A | | 270,185 | 31,041,555 |
| | | | 615,749,874 |
|
| TOTAL HEALTH CARE | | | 1,936,584,962 |
|
| INDUSTRIALS - 9.3% | | | |
| Aerospace & Defense - 2.6% | | | |
| Arconic, Inc. | | 225,380 | 5,643,515 |
| General Dynamics Corp. | | 153,275 | 28,499,954 |
| Harris Corp. | | 124,980 | 25,945,848 |
| Huntington Ingalls Industries, Inc. | | 23,455 | 5,354,777 |
| Lockheed Martin Corp. | | 138,751 | 50,251,450 |
| Northrop Grumman Corp. | | 95,846 | 33,121,502 |
| Raytheon Co. | | 157,227 | 28,660,910 |
| Textron, Inc. | | 131,386 | 6,477,330 |
| The Boeing Co. | | 295,355 | 100,769,219 |
| TransDigm Group, Inc. (a)(b) | | 27,617 | 13,406,396 |
| United Technologies Corp. | | 457,857 | 61,169,695 |
| | | | 359,300,596 |
| Air Freight & Logistics - 0.6% | | | |
| C.H. Robinson Worldwide, Inc. (a) | | 77,085 | 6,454,327 |
| Expeditors International of Washington, Inc. | | 97,086 | 7,412,516 |
| FedEx Corp. | | 135,319 | 23,075,949 |
| United Parcel Service, Inc. Class B | | 393,731 | 47,039,043 |
| | | | 83,981,835 |
| Airlines - 0.4% | | | |
| Alaska Air Group, Inc. (a) | | 69,714 | 4,417,079 |
| American Airlines Group, Inc. (a) | | 223,474 | 6,818,192 |
| Delta Air Lines, Inc. | | 336,269 | 20,525,860 |
| Southwest Airlines Co. | | 275,888 | 14,216,509 |
| United Continental Holdings, Inc. (a)(b) | | 124,763 | 11,466,967 |
| | | | 57,444,607 |
| Building Products - 0.3% | | | |
| A.O. Smith Corp. (a) | | 79,667 | 3,620,865 |
| Allegion PLC (a) | | 53,029 | 5,490,623 |
| Fortune Brands Home & Security, Inc. | | 78,958 | 4,337,953 |
| Johnson Controls International PLC | | 449,192 | 19,063,708 |
| Masco Corp. | | 165,699 | 6,755,548 |
| | | | 39,268,697 |
| Commercial Services & Supplies - 0.4% | | | |
| Cintas Corp. | | 47,812 | 12,452,157 |
| Copart, Inc. (b) | | 113,807 | 8,823,457 |
| Republic Services, Inc. (a) | | 121,621 | 10,781,702 |
| Rollins, Inc. (a) | | 83,196 | 2,789,562 |
| Waste Management, Inc. | | 220,541 | 25,803,297 |
| | | | 60,650,175 |
| Construction & Engineering - 0.1% | | | |
| Jacobs Engineering Group, Inc. | | 64,773 | 5,344,420 |
| Quanta Services, Inc. | | 80,200 | 3,001,084 |
| | | | 8,345,504 |
| Electrical Equipment - 0.6% | | | |
| AMETEK, Inc. | | 128,609 | 11,524,652 |
| Eaton Corp. PLC | | 238,826 | 19,629,109 |
| Emerson Electric Co. | | 346,933 | 22,509,013 |
| Fortive Corp. | | 166,454 | 12,658,827 |
| Rockwell Automation, Inc. | | 66,811 | 10,741,873 |
| | | | 77,063,474 |
| Industrial Conglomerates - 1.4% | | | |
| 3M Co. | | 325,374 | 56,849,345 |
| General Electric Co. | | 4,922,606 | 51,441,233 |
| Honeywell International, Inc. | | 410,786 | 70,844,154 |
| Roper Technologies, Inc. | | 58,615 | 21,315,345 |
| | | | 200,450,077 |
| Machinery - 1.4% | | | |
| Caterpillar, Inc. (a) | | 322,805 | 42,503,734 |
| Cummins, Inc. | | 81,787 | 13,413,068 |
| Deere & Co. | | 178,934 | 29,640,417 |
| Dover Corp. (a) | | 82,033 | 7,944,896 |
| Flowserve Corp. | | 74,023 | 3,703,371 |
| Illinois Tool Works, Inc. | | 169,178 | 26,092,323 |
| Ingersoll-Rand PLC (a) | | 136,126 | 16,833,341 |
| PACCAR, Inc. | | 195,556 | 13,716,298 |
| Parker Hannifin Corp. | | 72,413 | 12,678,068 |
| Pentair PLC | | 89,265 | 3,464,375 |
| Snap-On, Inc. (a) | | 31,274 | 4,772,725 |
| Stanley Black & Decker, Inc. | | 85,535 | 12,624,111 |
| Wabtec Corp. (a) | | 91,320 | 7,093,738 |
| Xylem, Inc. (a) | | 101,566 | 8,154,734 |
| | | | 202,635,199 |
| Professional Services - 0.3% | | | |
| Equifax, Inc. | | 68,201 | 9,486,077 |
| IHS Markit Ltd. (a)(b) | | 205,336 | 13,227,745 |
| Nielsen Holdings PLC | | 200,665 | 4,647,401 |
| Robert Half International, Inc. | | 66,875 | 4,039,919 |
| Verisk Analytics, Inc. | | 92,384 | 14,016,500 |
| | | | 45,417,642 |
| Road & Rail - 1.0% | | | |
| CSX Corp. | | 433,909 | 30,547,194 |
| J.B. Hunt Transport Services, Inc. | | 49,104 | 5,026,776 |
| Kansas City Southern | | 56,778 | 7,025,710 |
| Norfolk Southern Corp. | | 150,130 | 28,692,846 |
| Union Pacific Corp. | | 399,551 | 71,899,202 |
| | | | 143,191,728 |
| Trading Companies & Distributors - 0.2% | | | |
| Fastenal Co. (a) | | 323,054 | 9,950,063 |
| United Rentals, Inc. (a)(b) | | 44,381 | 5,616,416 |
| W.W. Grainger, Inc. (a) | | 25,350 | 7,377,611 |
| | | | 22,944,090 |
|
| TOTAL INDUSTRIALS | | | 1,300,693,624 |
|
| INFORMATION TECHNOLOGY - 21.9% | | | |
| Communications Equipment - 1.2% | | | |
| Arista Networks, Inc. (b) | | 29,843 | 8,160,568 |
| Cisco Systems, Inc. | | 2,416,332 | 133,864,793 |
| F5 Networks, Inc. (b) | | 33,696 | 4,943,877 |
| Juniper Networks, Inc. | | 194,360 | 5,251,607 |
| Motorola Solutions, Inc. | | 93,016 | 15,436,935 |
| | | | 167,657,780 |
| Electronic Equipment & Components - 0.5% | | | |
| Amphenol Corp. Class A | | 168,624 | 15,735,992 |
| Corning, Inc. | | 442,968 | 13,621,266 |
| FLIR Systems, Inc. | | 76,441 | 3,796,060 |
| IPG Photonics Corp. (a)(b) | | 20,099 | 2,633,170 |
| Keysight Technologies, Inc. (b) | | 106,216 | 9,508,456 |
| TE Connectivity Ltd. | | 190,150 | 17,569,860 |
| | | | 62,864,804 |
| IT Services - 5.6% | | | |
| Accenture PLC Class A (a) | | 360,036 | 69,335,733 |
| Akamai Technologies, Inc. (b) | | 92,627 | 8,163,218 |
| Alliance Data Systems Corp. | | 25,429 | 3,990,319 |
| Automatic Data Processing, Inc. | | 245,672 | 40,909,301 |
| Broadridge Financial Solutions, Inc. | | 65,557 | 8,333,606 |
| Cognizant Technology Solutions Corp. Class A (a) | | 321,341 | 20,932,153 |
| DXC Technology Co. | | 151,430 | 8,445,251 |
| Fidelity National Information Services, Inc. (a) | | 345,942 | 46,096,772 |
| Fiserv, Inc. (a)(b) | | 321,659 | 33,912,508 |
| FleetCor Technologies, Inc. (b) | | 48,653 | 13,825,723 |
| Gartner, Inc. (a)(b) | | 50,853 | 7,085,348 |
| Global Payments, Inc. | | 88,446 | 14,851,852 |
| IBM Corp. | | 500,481 | 74,191,303 |
| Jack Henry & Associates, Inc. (a) | | 43,579 | 6,087,986 |
| MasterCard, Inc. Class A | | 507,330 | 138,130,739 |
| Paychex, Inc. (a) | | 180,550 | 14,994,678 |
| PayPal Holdings, Inc. (b) | | 663,211 | 73,218,494 |
| The Western Union Co. (a) | | 243,121 | 5,105,541 |
| Total System Services, Inc. | | 91,901 | 12,472,804 |
| VeriSign, Inc. (b) | | 59,202 | 12,496,950 |
| Visa, Inc. Class A (a) | | 981,601 | 174,724,978 |
| | | | 787,305,257 |
| Semiconductors & Semiconductor Equipment - 3.9% | | | |
| Advanced Micro Devices, Inc. (a)(b) | | 500,633 | 15,244,275 |
| Analog Devices, Inc. | | 208,718 | 24,516,016 |
| Applied Materials, Inc. (a) | | 528,400 | 26,087,108 |
| Broadcom, Inc. (a) | | 223,442 | 64,795,946 |
| Intel Corp. (a) | | 2,527,118 | 127,745,815 |
| KLA-Tencor Corp. (a) | | 91,229 | 12,436,337 |
| Lam Research Corp. | | 84,629 | 17,654,456 |
| Maxim Integrated Products, Inc. | | 153,775 | 9,101,942 |
| Microchip Technology, Inc. (a) | | 134,302 | 12,680,795 |
| Micron Technology, Inc. (b) | | 624,688 | 28,042,244 |
| NVIDIA Corp. | | 343,760 | 57,999,187 |
| Qorvo, Inc. (b) | | 67,256 | 4,929,192 |
| Qualcomm, Inc. | | 686,222 | 50,204,002 |
| Skyworks Solutions, Inc. | | 97,480 | 8,313,094 |
| Texas Instruments, Inc. (a) | | 529,586 | 66,203,546 |
| Xilinx, Inc. | | 143,329 | 16,369,605 |
| | | | 542,323,560 |
| Software - 6.6% | | | |
| Adobe, Inc. (b) | | 275,432 | 82,315,608 |
| ANSYS, Inc. (a)(b) | | 47,375 | 9,622,810 |
| Autodesk, Inc. (b) | | 123,968 | 19,360,083 |
| Cadence Design Systems, Inc. (b) | | 158,632 | 11,724,491 |
| Citrix Systems, Inc. | | 70,598 | 6,653,156 |
| Fortinet, Inc. (b) | | 81,931 | 6,579,879 |
| Intuit, Inc. | | 146,334 | 40,579,882 |
| Microsoft Corp. | | 4,325,406 | 589,423,059 |
| Oracle Corp. | | 1,369,698 | 77,113,997 |
| Salesforce.com, Inc. (a)(b) | | 438,333 | 67,722,449 |
| Symantec Corp. | | 348,950 | 7,523,362 |
| Synopsys, Inc. (b) | | 84,613 | 11,233,222 |
| | | | 929,851,998 |
| Technology Hardware, Storage & Peripherals - 4.1% | | | |
| Apple, Inc. | | 2,467,296 | 525,632,740 |
| Hewlett Packard Enterprise Co. | | 755,905 | 10,862,355 |
| HP, Inc. | | 850,252 | 17,889,302 |
| NetApp, Inc. (a) | | 139,409 | 8,154,032 |
| Seagate Technology LLC | | 142,204 | 6,585,467 |
| Western Digital Corp. | | 165,388 | 8,912,759 |
| Xerox Corp. | | 110,311 | 3,540,983 |
| | | | 581,577,638 |
|
| TOTAL INFORMATION TECHNOLOGY | | | 3,071,581,037 |
|
| MATERIALS - 2.6% | | | |
| Chemicals - 1.9% | | | |
| Air Products & Chemicals, Inc. | | 124,258 | 28,364,374 |
| Albemarle Corp. U.S. (a) | | 59,809 | 4,363,665 |
| Celanese Corp. Class A | | 71,468 | 8,016,566 |
| CF Industries Holdings, Inc. | | 124,791 | 6,184,642 |
| Dow, Inc. (b) | | 422,686 | 20,474,910 |
| DowDuPont, Inc. | | 422,670 | 30,499,867 |
| Eastman Chemical Co. | | 78,223 | 5,894,103 |
| Ecolab, Inc. (a) | | 143,179 | 28,883,500 |
| FMC Corp. | | 74,317 | 6,422,475 |
| International Flavors & Fragrances, Inc. (a) | | 57,212 | 8,237,956 |
| Linde PLC | | 306,373 | 58,603,027 |
| LyondellBasell Industries NV Class A | | 155,143 | 12,983,918 |
| PPG Industries, Inc. (a) | | 133,272 | 15,644,800 |
| Sherwin-Williams Co. | | 45,856 | 23,525,962 |
| The Mosaic Co. | | 200,343 | 5,046,640 |
| | | | 263,146,405 |
| Construction Materials - 0.1% | | | |
| Martin Marietta Materials, Inc. (a) | | 35,267 | 8,737,399 |
| Vulcan Materials Co. | | 74,562 | 10,315,653 |
| | | | 19,053,052 |
| Containers & Packaging - 0.4% | | | |
| Amcor PLC (b) | | 916,176 | 9,711,466 |
| Avery Dennison Corp. | | 47,650 | 5,473,556 |
| Ball Corp. (a) | | 188,952 | 13,506,289 |
| International Paper Co. | | 224,282 | 9,848,223 |
| Packaging Corp. of America (a) | | 53,339 | 5,385,639 |
| Sealed Air Corp. | | 87,890 | 3,672,923 |
| WestRock Co. | | 145,092 | 5,230,567 |
| | | | 52,828,663 |
| Metals & Mining - 0.2% | | | |
| Freeport-McMoRan, Inc. | | 818,835 | 9,056,315 |
| Newmont Goldcorp Corp. | | 462,656 | 16,896,197 |
| Nucor Corp. | | 172,042 | 9,355,644 |
| | | | 35,308,156 |
|
| TOTAL MATERIALS | | | 370,336,276 |
|
| REAL ESTATE - 3.0% | | | |
| Equity Real Estate Investment Trusts (REITs) - 3.0% | | | |
| Alexandria Real Estate Equities, Inc. | | 63,749 | 9,330,304 |
| American Tower Corp. | | 249,507 | 52,800,671 |
| Apartment Investment & Management Co. Class A | | 84,008 | 4,161,756 |
| AvalonBay Communities, Inc. | | 78,688 | 16,429,268 |
| Boston Properties, Inc. | | 87,221 | 11,596,032 |
| Crown Castle International Corp. | | 234,672 | 31,272,391 |
| Digital Realty Trust, Inc. | | 117,569 | 13,445,191 |
| Duke Realty Corp. | | 202,885 | 6,762,157 |
| Equinix, Inc. | | 47,455 | 23,827,156 |
| Equity Residential (SBI) | | 209,113 | 16,496,925 |
| Essex Property Trust, Inc. | | 37,095 | 11,210,851 |
| Extra Space Storage, Inc. | | 71,944 | 8,085,786 |
| Federal Realty Investment Trust (SBI) | | 42,282 | 5,581,647 |
| HCP, Inc. | | 269,806 | 8,614,906 |
| Host Hotels & Resorts, Inc. | | 418,210 | 7,272,672 |
| Iron Mountain, Inc. | | 161,935 | 4,762,508 |
| Kimco Realty Corp. | | 238,228 | 4,576,360 |
| Mid-America Apartment Communities, Inc. | | 64,347 | 7,582,650 |
| Prologis, Inc. | | 356,062 | 28,702,158 |
| Public Storage | | 84,720 | 20,566,627 |
| Realty Income Corp. | | 177,704 | 12,298,894 |
| Regency Centers Corp. | | 94,327 | 6,291,611 |
| SBA Communications Corp. Class A | | 63,926 | 15,688,080 |
| Simon Property Group, Inc. | | 174,412 | 28,289,626 |
| SL Green Realty Corp. | | 47,600 | 3,859,408 |
| The Macerich Co. (a) | | 59,794 | 1,976,192 |
| UDR, Inc. | | 159,064 | 7,326,488 |
| Ventas, Inc. | | 208,521 | 14,031,378 |
| Vornado Realty Trust | | 97,987 | 6,302,524 |
| Welltower, Inc. | | 228,576 | 18,999,237 |
| Weyerhaeuser Co. | | 420,407 | 10,682,542 |
| | | | 418,823,996 |
| Real Estate Management & Development - 0.0% | | | |
| CBRE Group, Inc. (b) | | 176,531 | 9,357,908 |
|
| TOTAL REAL ESTATE | | | 428,181,904 |
|
| UTILITIES - 3.2% | | | |
| Electric Utilities - 2.0% | | | |
| Alliant Energy Corp. | | 133,383 | 6,607,794 |
| American Electric Power Co., Inc. | | 278,528 | 24,457,544 |
| Duke Energy Corp. | | 410,958 | 35,638,278 |
| Edison International | | 199,714 | 14,886,682 |
| Entergy Corp. (a) | | 107,207 | 11,323,203 |
| Evergy, Inc. | | 137,785 | 8,334,615 |
| Eversource Energy (a) | | 181,251 | 13,749,701 |
| Exelon Corp. | | 548,072 | 24,696,124 |
| FirstEnergy Corp. (a) | | 284,982 | 12,530,659 |
| NextEra Energy, Inc. (a) | | 270,343 | 56,006,959 |
| Pinnacle West Capital Corp. | | 63,377 | 5,781,250 |
| PPL Corp. | | 407,399 | 12,071,232 |
| Southern Co. | | 587,516 | 33,018,399 |
| Xcel Energy, Inc. | | 290,516 | 17,317,659 |
| | | | 276,420,099 |
| Gas Utilities - 0.0% | | | |
| Atmos Energy Corp. (a) | | 66,036 | 7,200,565 |
| Independent Power and Renewable Electricity Producers - 0.1% | | | |
| NRG Energy, Inc. | | 150,799 | 5,148,278 |
| The AES Corp. (a) | | 374,652 | 6,290,407 |
| | | | 11,438,685 |
| Multi-Utilities - 1.0% | | | |
| Ameren Corp. | | 138,631 | 10,492,980 |
| CenterPoint Energy, Inc. | | 283,461 | 8,223,204 |
| CMS Energy Corp. | | 160,170 | 9,325,097 |
| Consolidated Edison, Inc. | | 184,638 | 15,686,844 |
| Dominion Resources, Inc. | | 452,908 | 33,646,535 |
| DTE Energy Co. | | 103,417 | 13,145,335 |
| NiSource, Inc. | | 210,604 | 6,252,833 |
| Public Service Enterprise Group, Inc. | | 285,298 | 16,304,781 |
| Sempra Energy (a) | | 154,883 | 20,975,805 |
| WEC Energy Group, Inc. (a) | | 178,054 | 15,216,495 |
| | | | 149,269,909 |
| Water Utilities - 0.1% | | | |
| American Water Works Co., Inc. | | 101,897 | 11,695,738 |
|
| TOTAL UTILITIES | | | 456,024,996 |
|
| TOTAL COMMON STOCKS | | | |
| (Cost $10,944,273,508) | | | 14,002,997,197 |
| | | Principal Amount | Value |
|
| U.S. Treasury Obligations - 0.0% | | | |
| U.S. Treasury Bills, yield at date of purchase 1.91% 2/27/20 (c) | | | |
| (Cost $1,978,049) | | 2,000,000 | 1,976,908 |
| | | Shares | Value |
|
| Money Market Funds - 6.1% | | | |
| Fidelity Cash Central Fund 2.43% (d) | | 27,681,779 | $27,687,315 |
| Fidelity Securities Lending Cash Central Fund 2.43% (d)(e) | | 833,611,231 | 833,694,593 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $861,381,908) | | | 861,381,908 |
| TOTAL INVESTMENT IN SECURITIES - 105.8% | | | |
| (Cost $11,807,633,465) | | | 14,866,356,013 |
| NET OTHER ASSETS (LIABILITIES) - (5.8)% | | | (819,379,703) |
| NET ASSETS - 100% | | | $14,046,976,310 |
| 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) | 293 | Sept. 2019 | $43,690,695 | $84,403 | $84,403 |
The notional amount of futures purchased as a percentage of Net Assets is 0.3%
Legend
(a) Security or a portion of the security is on loan at period end.
(b) Non-income producing
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,716,944.
(d) 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.
(e) 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 | $651,495 |
| Fidelity Securities Lending Cash Central Fund | 551,372 |
| Total | $1,202,867 |
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. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of July 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 | $1,461,450,523 | $1,461,450,523 | $-- | $-- |
| Consumer Discretionary | 1,419,360,478 | 1,419,360,478 | -- | -- |
| Consumer Staples | 1,025,840,375 | 1,025,840,375 | -- | -- |
| Energy | 682,756,888 | 682,756,888 | -- | -- |
| Financials | 1,850,186,134 | 1,850,186,134 | -- | -- |
| Health Care | 1,936,584,962 | 1,936,584,962 | -- | -- |
| Industrials | 1,300,693,624 | 1,300,693,624 | -- | -- |
| Information Technology | 3,071,581,037 | 3,071,581,037 | -- | -- |
| Materials | 370,336,276 | 370,336,276 | -- | -- |
| Real Estate | 428,181,904 | 428,181,904 | -- | -- |
| Utilities | 456,024,996 | 456,024,996 | -- | -- |
| U.S. Government and Government Agency Obligations | 1,976,908 | -- | 1,976,908 | -- |
| Money Market Funds | 861,381,908 | 861,381,908 | -- | -- |
| Total Investments in Securities: | $14,866,356,013 | $14,864,379,105 | $1,976,908 | $-- |
| Derivative Instruments: | | | | |
| Assets | | | | |
| Futures Contracts | $84,403 | $84,403 | $-- | $-- |
| Total Assets | $84,403 | $84,403 | $-- | $-- |
| Total Derivative Instruments: | $84,403 | $84,403 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 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) | $84,403 | $0 |
| Total Equity Risk | 84,403 | 0 |
| Total Value of Derivatives | $84,403 | $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 distributable earnings.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | July 31, 2019 |
| Assets | | |
Investment in securities, at value (including securities loaned of $803,595,479) — See accompanying schedule:
Unaffiliated issuers (cost $10,946,251,557) | $14,004,974,105 | |
| Fidelity Central Funds (cost $861,381,908) | 861,381,908 | |
| Total Investment in Securities (cost $11,807,633,465) | | $14,866,356,013 |
| Receivable for fund shares sold | | 40,966,079 |
| Dividends receivable | | 11,822,476 |
| Distributions receivable from Fidelity Central Funds | | 165,698 |
| Receivable from investment adviser for expense reductions | | 857,430 |
| Total assets | | 14,920,167,696 |
| Liabilities | | |
| Payable for investments purchased | $23,010,401 | |
| Payable for fund shares redeemed | 15,031,905 | |
| Accrued management fee | 171,962 | |
| Payable for daily variation margin on futures contracts | 407,040 | |
| Other affiliated payables | 859,811 | |
| Other payables and accrued expenses | 75 | |
| Collateral on securities loaned | 833,710,192 | |
| Total liabilities | | 873,191,386 |
| Net Assets | | $14,046,976,310 |
| Net Assets consist of: | | |
| Paid in capital | | $11,072,932,671 |
| Total distributable earnings (loss) | | 2,974,043,639 |
| Net Assets, for 873,246,120 shares outstanding | | $14,046,976,310 |
| Net Asset Value, offering price and redemption price per share ($14,046,976,310 ÷ 873,246,120 shares) | | $16.09 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended July 31, 2019 |
| Investment Income | | |
| Dividends | | $264,442,963 |
| Interest | | 34,997 |
| Income from Fidelity Central Funds (including $551,372 from security lending) | | 1,202,867 |
| Total income | | 265,680,827 |
| Expenses | | |
| Management fee | $1,973,630 | |
| Transfer agent fees | 9,868,151 | |
| Independent trustees' fees and expenses | 58,821 | |
| Interest | 254,008 | |
| Commitment fees | 35,358 | |
| Total expenses before reductions | 12,189,968 | |
| Expense reductions | (9,868,036) | |
| Total expenses after reductions | | 2,321,932 |
| Net investment income (loss) | | 263,358,895 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | (1,982,768) | |
| Fidelity Central Funds | (21,779) | |
| Futures contracts | 4,245,979 | |
| Total net realized gain (loss) | | 2,241,432 |
| Change in net unrealized appreciation (depreciation) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 789,865,301 | |
| Fidelity Central Funds | 418 | |
| Futures contracts | (592,943) | |
| Total change in net unrealized appreciation (depreciation) | | 789,272,776 |
| Net gain (loss) | | 791,514,208 |
| Net increase (decrease) in net assets resulting from operations | | $1,054,873,103 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended July 31, 2019 | Year ended July 31, 2018 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $263,358,895 | $215,616,535 |
| Net realized gain (loss) | 2,241,432 | (127,279,636) |
| Change in net unrealized appreciation (depreciation) | 789,272,776 | 1,519,169,151 |
| Net increase (decrease) in net assets resulting from operations | 1,054,873,103 | 1,607,506,050 |
| Distributions to shareholders | (252,730,587) | – |
| Distributions to shareholders from net investment income | – | (136,549,550) |
| Distributions to shareholders from net realized gain | – | (23,422,833) |
| Total distributions | (252,730,587) | (159,972,383) |
| Share transactions | | |
| Proceeds from sales of shares | 8,580,156,047 | 9,669,819,809 |
| Reinvestment of distributions | 50,761,849 | 48,068,781 |
| Cost of shares redeemed | (9,078,580,860) | (5,627,955,396) |
| Net increase (decrease) in net assets resulting from share transactions | (447,662,964) | 4,089,933,194 |
| Total increase (decrease) in net assets | 354,479,552 | 5,537,466,861 |
| Net Assets | | |
| Beginning of period | 13,692,496,758 | 8,155,029,897 |
| End of period | $14,046,976,310 | $13,692,496,758 |
| Other Information | | |
| Undistributed net investment income end of period | | $128,914,646 |
| Shares | | |
| Sold | 572,376,419 | 681,582,077 |
| Issued in reinvestment of distributions | 3,587,315 | 3,460,525 |
| Redeemed | (603,215,389) | (397,909,303) |
| Net increase (decrease) | (27,251,655) | 287,133,299 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI U.S. Large Cap Index Fund
| | | | | |
| Years ended July 31, | 2019 | 2018 | 2017 | 2016 A |
| Selected Per–Share Data | | | | |
| Net asset value, beginning of period | $15.21 | $13.30 | $11.55 | $10.00 |
| Income from Investment Operations | | | | |
| Net investment income (loss)B | .30 | .27 | .25 | .07 |
| Net realized and unrealized gain (loss) | .87 | 1.86 | 1.59 | 1.48 |
| Total from investment operations | 1.17 | 2.13 | 1.84 | 1.55 |
| Distributions from net investment income | (.28) | (.19) | (.09) | – |
| Distributions from net realized gain | (.01) | (.03) | –C | – |
| Total distributions | (.29) | (.22) | (.09) | – |
| Net asset value, end of period | $16.09 | $15.21 | $13.30 | $11.55 |
| Total ReturnD,E | 7.97% | 16.22% | 16.03% | 15.50% |
| Ratios to Average Net AssetsF,G | | | | |
| Expenses before reductions | .09% | .09% | .09% | .22%H |
| Expenses net of fee waivers, if any | .02% | .02% | .02% | .02%H |
| Expenses net of all reductions | .02% | .02% | .02% | .02%H |
| Net investment income (loss) | 2.00% | 1.87% | 2.05% | 1.33%H |
| Supplemental Data | | | | |
| Net assets, end of period (000 omitted) | $14,046,976 | $13,692,497 | $8,155,030 | $2,439,831 |
| Portfolio turnover rateI | 41% | 26% | 17% | 0 %J |
A For the period February 2, 2016 (commencement of operations) to July 31, 2016.
B Calculated based on average shares outstanding during the period.
C Amount represents less than $.005 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F 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.
G 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.
H 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 July 31, 2019
1. Organization.
Fidelity SAI U.S. Large Cap Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company (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 ranged from less than .005% to .01%.
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:
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.
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. U.S. government and government agency obligations 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.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 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. 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 July 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. 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 certain deemed distributions, futures contracts, market discount, capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $3,437,696,754 |
| Gross unrealized depreciation | (531,078,177) |
| Net unrealized appreciation (depreciation) | $2,906,618,577 |
| Tax Cost | $11,959,737,436 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $123,424,532 |
| Capital loss carryforward | $(55,999,470) |
| Net unrealized appreciation (depreciation) on securities and other investment | $2,906,618,577 |
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 | $(31,184,972) |
| Long-term | (24,814,498) |
| Total no expiration | $(55,999,470) |
The tax character of distributions paid was as follows:
| | July 31, 2019 | July 31, 2018 |
| Ordinary Income | $252,730,587 | $ 150,062,483 |
| Long-term Capital Gains | – | 9,909,900 |
| Total | $252,730,587 | $159,972,383 |
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. 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. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $5,388,772,022 and $5,799,047,746, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. 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 that is based on an annual rate of .015% of the Fund's average net assets. Under the expense contract, total expenses of the Fund are limited to an annual rate of .09% of the Fund's average net assets, with certain exceptions.
During July 2019, the Board approved the elimination of the expense contract effective August 1, 2019.
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.
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 an asset-based fee of .075% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
During July 2019, the Board approved that effective August 1, 2019 transfer agent fees will not be paid by the Fund and will instead be paid by the investment adviser or an affiliate.
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 | $42,481,171 | 2.63% | $254,008 |
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 $35,358 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 from time to time in order to earn additional income. For equity securities, lending agents are used, including National Financial Services (NFS), an affiliate of the Fund. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of daily lending revenue, for its services as lending agent. The Fund may lend securities to certain qualified borrowers, including NFS. 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 NFS, as affiliated borrower. Total fees paid by the Fund to NFS, as lending agent, amounted to $8,845. 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, and includes $3,210 from securities loaned to NFS, as affiliated borrower.
9. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .015% of average net assets. This reimbursement will remain in place through November 30, 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 $9,866,737.
In addition, 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 $1,299.
10. 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 U.S. Large Cap Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Large Cap Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 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 three years in the period then ended and for the period from February 2, 2016 (commencement of operations) to July 31, 2016, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 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 three years in the period then ended and for the period from February 2, 2016 (commencement of operations) to July 31, 2016 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 13, 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 276 funds. Mr. Chiel oversees 170 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[s] 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 (February 1, 2019 to July 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
February 1, 2019 | Ending
Account Value
July 31, 2019 | Expenses Paid
During Period-B
February 1, 2019
to July 31, 2019 |
| Actual | .02% | $1,000.00 | $1,113.50 | $.10 |
| Hypothetical-C | | $1,000.00 | $1,024.70 | $.10 |
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 181/365 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
The fund designates 98% and 96% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 100% of dividends distributed during the fiscal year as amounts which may be taken into account as a dividend for 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.
SV9-ANN-0919
1.9870993.103
Fidelity® SAI Real Estate Index Fund Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Annual Report July 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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 July 31, 2019 | Past 1 year | Life of fundA |
| Fidelity® SAI Real Estate Index Fund | 10.79% | 8.27% |
A From February 2, 2016
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® SAI Real Estate Index Fund on February 2, 2016, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Dow Jones U.S. Select Real Estate Securities Index℠ performed over the same period.
| Period Ending Values |
| $13,200 | Fidelity® SAI Real Estate Index Fund |
| $13,223 | Dow Jones U.S. Select Real Estate Securities Index℠ |
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500
® index gained 7.99% for the 12 months ending July 31, 2019, beginning the new year on a high note after enduring a historically volatile final quarter of 2018. Upbeat company earnings/outlooks and signs the Federal Reserve may pause on rates boosted stocks to an all-time high on April 30. In May, however, volatility spiked and stocks returned -6.35% for the month amid the Fed’s decision to hold interest rates steady and signal that it had little appetite to adjust them any time soon, as well as retaliatory tariffs imposed on the U.S. by China. The downtrend was similar to late 2018, when many investors fled from risk assets on elevated concerns about future economic growth, global trade and tighter monetary policy. The bull market roared back in June, with the S&P 500
® rising 7.05%, and recorded a series of all-time highs in a productive July (+1.44%). For the full 12 months, growth stocks outpaced value, while large-caps handily bested small-caps. By sector, information technology (+19%) led the way, boosted by continued strength in software & services (+26%), the market’s largest industry segment. Three defensive groups also stood out – real estate (+18%), utilities (+17%) and consumer staples (+15%) – followed by consumer discretionary (+10%) and communication services (+8%). In contrast, energy (-16%) was by far the weakest sector. Other notable laggards included materials (0%), financials (+3%), industrials (+4%) and health care (+4%).
Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year, the fund gained 10.79%, performing roughly in line with the 10.89% increase in the Dow Jones U.S. Select Real Estate Securities Index℠. In what was a generally strong year of performance for the real estate investment trust (REIT) asset class, it was the health care (+26%) and residential (+24%) groups that led the way. On the other hand, hotel (-13%) and retail REITs (-3%) struggled due to mounting investor concerns about a slowing U.S. economy. On an individual basis, Prologis (+26%) was a significant contributor as this, and other industrial REITs, continued to benefit from strong demand for specialized distribution facilities serving the needs of e-commerce companies. Shares of Welltower, the largest health care REIT in the index, rose about 39% the past 12 months, easily outpacing the broader health care segment. Meanwhile, apartment REITs Equity Residential (+24%) and AvalonBay Communities (+22%) continued to benefit from industry trends boosting demand for apartments, while the stock of self-storage REIT Public Storage (+16%) gained on investors' hopes for improving industry fundamentals. In contrast, retail REITs struggled amid continued concern about competition from e-commerce outlets. In particular, mall owners Macerich (-40%) and Simon Property Group (-4%) were large detractors within this group. Another notable laggard was Senior Housing Properties Trust (-50%), an owner of retirement communities that was hurt by the company's large amount of debt and significant financial trouble for one of its major tenants during the period.
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 March 22, 2019, Pat Waddell retired and is no longer a portfolio manager with Geode Capital Management.
Investment Summary (Unaudited)
Top Ten Stocks as of July 31, 2019
| | % of fund's net assets |
| Prologis, Inc. | 7.3 |
| Simon Property Group, Inc. | 7.2 |
| Public Storage | 5.2 |
| Welltower, Inc. | 4.8 |
| Equity Residential (SBI) | 4.2 |
| AvalonBay Communities, Inc. | 4.2 |
| Ventas, Inc. | 3.5 |
| Digital Realty Trust, Inc. | 3.4 |
| Boston Properties, Inc. | 2.9 |
| Essex Property Trust, Inc. | 2.8 |
| | 45.5 |
Top Five REIT Sectors as of July 31, 2019
| | % of fund's net assets |
| REITs - Apartments | 21.2 |
| REITs - Health Care | 11.9 |
| REITs - Office Property | 11.3 |
| REITs - Diversified | 10.0 |
| REITs - Warehouse/Industrial | 9.6 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2019 |
| | Stocks and Equity Futures | 100.0% |
Schedule of Investments July 31, 2019
Showing Percentage of Net Assets
| Common Stocks - 99.7% | | | |
| | | Shares | Value |
| Equity Real Estate Investment Trusts (REITs) - 99.6% | | | |
| REITs - Apartments - 21.2% | | | |
| American Campus Communities, Inc. | | 20,584 | $962,302 |
| American Homes 4 Rent Class A | | 38,775 | 938,743 |
| Apartment Investment & Management Co. Class A | | 22,303 | 1,104,891 |
| AvalonBay Communities, Inc. | | 20,888 | 4,361,206 |
| Camden Property Trust (SBI) | | 14,511 | 1,504,936 |
| Equity Residential (SBI) | | 55,591 | 4,385,574 |
| Essex Property Trust, Inc. | | 9,839 | 2,973,543 |
| Front Yard Residential Corp. Class B | | 7,339 | 88,141 |
| Independence Realty Trust, Inc. | | 13,430 | 165,861 |
| Invitation Homes, Inc. | | 63,049 | 1,731,956 |
| Mid-America Apartment Communities, Inc. | | 17,068 | 2,011,293 |
| UDR, Inc. | | 42,241 | 1,945,620 |
| | | | 22,174,066 |
| REITs - Diversified - 10.0% | | | |
| Apple Hospitality (REIT), Inc. | | 31,656 | 497,316 |
| CorePoint Lodging, Inc. | | 5,773 | 67,717 |
| Cousins Properties, Inc. | | 21,726 | 764,321 |
| Digital Realty Trust, Inc. | | 31,252 | 3,573,979 |
| Duke Realty Corp. | | 53,882 | 1,795,887 |
| Liberty Property Trust (SBI) | | 22,265 | 1,164,460 |
| NorthStar Realty Europe Corp. | | 7,525 | 127,925 |
| PS Business Parks, Inc. | | 2,999 | 524,825 |
| Vornado Realty Trust | | 26,077 | 1,677,273 |
| Washington REIT (SBI) | | 11,969 | 322,565 |
| | | | 10,516,268 |
| REITs - Health Care - 11.9% | | | |
| HCP, Inc. | | 71,693 | 2,289,157 |
| Healthcare Realty Trust, Inc. | | 19,418 | 620,988 |
| LTC Properties, Inc. | | 5,942 | 273,867 |
| Senior Housing Properties Trust (SBI) | | 35,552 | 291,526 |
| Universal Health Realty Income Trust (SBI) | | 1,891 | 174,275 |
| Ventas, Inc. | | 55,411 | 3,728,606 |
| Welltower, Inc. | | 60,719 | 5,046,963 |
| | | | 12,425,382 |
| REITs - Hotels - 6.4% | | | |
| Ashford Hospitality Trust, Inc. | | 13,223 | 35,834 |
| Chatham Lodging Trust | | 6,963 | 124,359 |
| Chesapeake Lodging Trust | | 9,087 | 249,620 |
| DiamondRock Hospitality Co. | | 30,126 | 303,369 |
| Hersha Hospitality Trust | | 5,411 | 84,520 |
| Hospitality Properties Trust (SBI) | | 24,733 | 611,152 |
| Host Hotels & Resorts, Inc. | | 111,257 | 1,934,759 |
| Park Hotels & Resorts, Inc. | | 30,296 | 800,117 |
| Pebblebrook Hotel Trust | | 19,585 | 548,184 |
| RLJ Lodging Trust | | 26,142 | 451,734 |
| Ryman Hospitality Properties, Inc. | | 7,727 | 579,525 |
| Summit Hotel Properties, Inc. | | 15,714 | 174,583 |
| Sunstone Hotel Investors, Inc. | | 34,391 | 454,305 |
| Xenia Hotels & Resorts, Inc. | | 16,846 | 361,010 |
| | | | 6,713,071 |
| REITs - Management/Investment - 1.0% | | | |
| American Assets Trust, Inc. | | 7,012 | 325,357 |
| Empire State Realty Trust, Inc. | | 21,328 | 298,805 |
| Retail Properties America, Inc. | | 32,175 | 391,248 |
| | | | 1,015,410 |
| REITs - Manufactured Homes - 3.3% | | | |
| Equity Lifestyle Properties, Inc. | | 13,449 | 1,671,038 |
| Sun Communities, Inc. | | 13,468 | 1,788,685 |
| | | | 3,459,723 |
| REITs - Office Buildings - 0.2% | | | |
| Government Properties Income Trust | | 7,192 | 202,599 |
| REITs - Office Property - 11.3% | | | |
| Boston Properties, Inc. | | 23,171 | 3,080,584 |
| Brandywine Realty Trust (SBI) | | 26,420 | 389,695 |
| Columbia Property Trust, Inc. | | 17,480 | 383,336 |
| Corporate Office Properties Trust (SBI) | | 16,832 | 469,949 |
| Douglas Emmett, Inc. | | 24,182 | 987,109 |
| Easterly Government Properties, Inc. | | 10,172 | 191,946 |
| Equity Commonwealth | | 18,302 | 614,581 |
| Franklin Street Properties Corp. | | 16,034 | 129,234 |
| Highwoods Properties, Inc. (SBI) | | 15,589 | 706,649 |
| Hudson Pacific Properties, Inc. | | 23,082 | 814,795 |
| JBG SMITH Properties | | 18,088 | 707,783 |
| Kilroy Realty Corp. | | 15,135 | 1,202,627 |
| Mack-Cali Realty Corp. | | 13,510 | 321,268 |
| Paramount Group, Inc. | | 30,174 | 417,306 |
| Piedmont Office Realty Trust, Inc. Class A | | 18,938 | 394,100 |
| SL Green Realty Corp. | | 12,671 | 1,027,365 |
| | | | 11,838,327 |
| REITs - Regional Malls - 8.3% | | | |
| CBL & Associates Properties, Inc. | | 25,539 | 26,816 |
| Pennsylvania Real Estate Investment Trust (SBI) (a) | | 8,926 | 53,377 |
| Simon Property Group, Inc. | | 46,388 | 7,524,134 |
| Tanger Factory Outlet Centers, Inc. (a) | | 14,072 | 223,463 |
| Taubman Centers, Inc. | | 9,202 | 372,865 |
| The Macerich Co. (a) | | 15,924 | 526,288 |
| | | | 8,726,943 |
| REITs - Shopping Centers - 7.3% | | | |
| Acadia Realty Trust (SBI) | | 12,378 | 347,450 |
| Brixmor Property Group, Inc. | | 44,776 | 849,848 |
| DDR Corp. | | 21,330 | 303,953 |
| Federal Realty Investment Trust (SBI) | | 11,216 | 1,480,624 |
| Kimco Realty Corp. | | 63,387 | 1,217,664 |
| Kite Realty Group Trust | | 12,548 | 199,639 |
| Ramco-Gershenson Properties Trust (SBI) | | 12,014 | 147,172 |
| Regency Centers Corp. | | 25,007 | 1,667,967 |
| Retail Opportunity Investments Corp. | | 17,095 | 310,103 |
| Seritage Growth Properties | | 4,163 | 173,889 |
| Urban Edge Properties | | 18,007 | 301,257 |
| Washington Prime Group, Inc. | | 27,886 | 101,226 |
| Weingarten Realty Investors (SBI) | | 17,998 | 502,324 |
| | | | 7,603,116 |
| REITs - Storage - 9.1% | | | |
| CubeSmart | | 28,228 | 958,341 |
| Extra Space Storage, Inc. | | 19,104 | 2,147,099 |
| Life Storage, Inc. | | 6,994 | 681,845 |
| National Storage Affiliates Trust | | 8,507 | 257,677 |
| Public Storage | | 22,531 | 5,469,626 |
| | | | 9,514,588 |
| REITs - Warehouse/Industrial - 9.6% | | | |
| EastGroup Properties, Inc. | | 5,475 | 659,628 |
| First Industrial Realty Trust, Inc. | | 18,887 | 721,295 |
| Prologis, Inc. | | 94,612 | 7,626,673 |
| QTS Realty Trust, Inc. Class A | | 8,290 | 383,661 |
| Rexford Industrial Realty, Inc. | | 15,441 | 639,257 |
| | | | 10,030,514 |
|
| TOTAL EQUITY REAL ESTATE INVESTMENT TRUSTS (REITS) | | | 104,220,007 |
|
| Real Estate Management & Development - 0.1% | | | |
| Real Estate Services - 0.1% | | | |
| Retail Value, Inc. | | 2,363 | 88,943 |
| TOTAL COMMON STOCKS | | | |
| (Cost $102,303,728) | | | 104,308,950 |
|
| Money Market Funds - 1.1% | | | |
| Fidelity Cash Central Fund 2.43% (b) | | 353,863 | 353,934 |
| Fidelity Securities Lending Cash Central Fund 2.43% (b)(c) | | 823,772 | 823,854 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $1,177,807) | | | 1,177,788 |
| TOTAL INVESTMENT IN SECURITIES - 100.8% | | | |
| (Cost $103,481,535) | | | 105,486,738 |
| NET OTHER ASSETS (LIABILITIES) - (0.8)% | | | (790,542) |
| NET ASSETS - 100% | | | $104,696,196 |
| 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) | 2 | Sept. 2019 | $298,230 | $7,094 | $7,094 |
The notional amount of futures purchased as a percentage of Net Assets is 0.3%
Legend
(a) Security or a portion of the security is on loan at period end.
(b) 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.
(c) 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 | $2,567 |
| Fidelity Securities Lending Cash Central Fund | 2,401 |
| Total | $4,968 |
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. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of July 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: | | | | |
| Common Stocks | $104,308,950 | $104,308,950 | $-- | $-- |
| Money Market Funds | 1,177,788 | 1,177,788 | -- | -- |
| Total Investments in Securities: | $105,486,738 | $105,486,738 | $-- | $-- |
| Derivative Instruments: | | | | |
| Assets | | | | |
| Futures Contracts | $7,094 | $7,094 | $-- | $-- |
| Total Assets | $7,094 | $7,094 | $-- | $-- |
| Total Derivative Instruments: | $7,094 | $7,094 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 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) | $7,094 | $0 |
| Total Equity Risk | 7,094 | 0 |
| Total Value of Derivatives | $7,094 | $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 distributable earnings.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | July 31, 2019 |
| Assets | | |
Investment in securities, at value (including securities loaned of $784,773) — See accompanying schedule:
Unaffiliated issuers (cost $102,303,728) | $104,308,950 | |
| Fidelity Central Funds (cost $1,177,807) | 1,177,788 | |
| Total Investment in Securities (cost $103,481,535) | | $105,486,738 |
| Segregated cash with brokers for derivative instruments | | 12,600 |
| Dividends receivable | | 29,848 |
| Distributions receivable from Fidelity Central Funds | | 460 |
| Receivable from investment adviser for expense reductions | | 6,540 |
| Total assets | | 105,536,186 |
| Liabilities | | |
| Accrued management fee | $6,126 | |
| Payable for daily variation margin on futures contracts | 3,000 | |
| Other affiliated payables | 6,565 | |
| Collateral on securities loaned | 824,299 | |
| Total liabilities | | 839,990 |
| Net Assets | | $104,696,196 |
| Net Assets consist of: | | |
| Paid in capital | | $101,808,808 |
| Total distributable earnings (loss) | | 2,887,388 |
| Net Assets, for 8,809,664 shares outstanding | | $104,696,196 |
| Net Asset Value, offering price and redemption price per share ($104,696,196 ÷ 8,809,664 shares) | | $11.88 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended July 31, 2019 |
| Investment Income | | |
| Dividends | | $3,307,761 |
| Income from Fidelity Central Funds (including $2,401 from security lending) | | 4,968 |
| Total income | | 3,312,729 |
| Expenses | | |
| Management fee | $68,673 | |
| Transfer agent fees | 73,578 | |
| Independent trustees' fees and expenses | 434 | |
| Commitment fees | 261 | |
| Total expenses before reductions | 142,946 | |
| Expense reductions | (73,789) | |
| Total expenses after reductions | | 69,157 |
| Net investment income (loss) | | 3,243,572 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 520,616 | |
| Fidelity Central Funds | (20) | |
| Futures contracts | 5,467 | |
| Total net realized gain (loss) | | 526,063 |
| Change in net unrealized appreciation (depreciation) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 6,495,038 | |
| Fidelity Central Funds | (19) | |
| Futures contracts | 3,216 | |
| Total change in net unrealized appreciation (depreciation) | | 6,498,235 |
| Net gain (loss) | | 7,024,298 |
| Net increase (decrease) in net assets resulting from operations | | $10,267,870 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended July 31, 2019 | Year ended July 31, 2018 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $3,243,572 | $2,892,281 |
| Net realized gain (loss) | 526,063 | 187,990 |
| Change in net unrealized appreciation (depreciation) | 6,498,235 | 516,530 |
| Net increase (decrease) in net assets resulting from operations | 10,267,870 | 3,596,801 |
| Distributions to shareholders | (3,330,211) | – |
| Distributions to shareholders from net investment income | – | (2,828,662) |
| Distributions to shareholders from net realized gain | – | (465,294) |
| Total distributions | (3,330,211) | (3,293,956) |
| Share transactions | | |
| Reinvestment of distributions | 2,428,308 | 931,830 |
| Cost of shares redeemed | (106,293) | (4,020,000) |
| Net increase (decrease) in net assets resulting from share transactions | 2,322,015 | (3,088,170) |
| Total increase (decrease) in net assets | 9,259,674 | (2,785,325) |
| Net Assets | | |
| Beginning of period | 95,436,522 | 98,221,847 |
| End of period | $104,696,196 | $95,436,522 |
| Other Information | | |
| Undistributed net investment income end of period | | $572,999 |
| Shares | | |
| Sold | – | – |
| Issued in reinvestment of distributions | 226,848 | 84,561 |
| Redeemed | (9,533) | (359,584) |
| Net increase (decrease) | 217,315 | (275,023) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI Real Estate Index Fund
| | | | | |
| Years ended July 31, | 2019 | 2018 | 2017 | 2016 A |
| Selected Per–Share Data | | | | |
| Net asset value, beginning of period | $11.11 | $11.08 | $12.05 | $10.00 |
| Income from Investment Operations | | | | |
| Net investment income (loss)B | .37 | .33 | .28 | .06 |
| Net realized and unrealized gain (loss) | .79 | .08 | (.96) | 2.08 |
| Total from investment operations | 1.16 | .41 | (.68) | 2.14 |
| Distributions from net investment income | (.37) | (.33) | (.24) | (.09) |
| Distributions from net realized gain | (.02) | (.05) | (.05) | – |
| Total distributions | (.39) | (.38) | (.29) | (.09) |
| Net asset value, end of period | $11.88 | $11.11 | $11.08 | $12.05 |
| Total ReturnC,D | 10.79% | 3.87% | (5.60)% | 21.52% |
| Ratios to Average Net AssetsE,F | | | | |
| Expenses before reductions | .15% | .15% | .15% | .77%G |
| Expenses net of fee waivers, if any | .07% | .07% | .09% | .09%G |
| Expenses net of all reductions | .07% | .07% | .09% | .09%G |
| Net investment income (loss) | 3.31% | 3.11% | 2.55% | 1.06%G |
| Supplemental Data | | | | |
| Net assets, end of period (000 omitted) | $104,696 | $95,437 | $98,222 | $105,295 |
| Portfolio turnover rateH | 9% | 8% | 6% | 1%I |
A For the period February 2, 2016 (commencement of operations) to July 31, 2016.
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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
I Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended July 31, 2019
1. Organization.
Fidelity SAI Real Estate Index Fund (the Fund) is a non-diversified 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 ranged from less than .005% to .01%.
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.
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.
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 July 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to the short-term gain distributions from the Underlying Funds, futures contracts and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $11,727,375 |
| Gross unrealized depreciation | (10,062,650) |
| Net unrealized appreciation (depreciation) | $1,664,725 |
| Tax Cost | $103,822,013 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $657,735 |
| Undistributed long-term capital gain | $564,928 |
| Net unrealized appreciation (depreciation) on securities and other investments | $1,664,725 |
The tax character of distributions paid was as follows:
| | July 31, 2019 | July 31, 2018 |
| Ordinary Income | $3,192,733 | $ 2,828,662 |
| Long-term Capital Gains | 137,478 | 465,294 |
| Total | $3,330,211 | $ 3,293,956 |
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. 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 $12,469,797 and $8,437,627, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. 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 that is based on an annual rate of .07% of the Fund's average net assets. Under the expense contract, total expenses of the Fund are limited to an annual rate of .145% of the Fund's average net assets, with certain exceptions.
During July 2019, the Board approved the elimination of the expense contract effective August 1, 2019.
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.
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 an asset-based fee of .075% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
During July 2019, the Board approved that effective August 1, 2019 transfer agent fees will not be paid by the Fund and will instead be paid by the investment adviser or an affiliate.
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 $261 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 from time to time in order to earn additional income. For equity securities, lending agents are used, including National Financial Services (NFS), an affiliate of the Fund. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of daily lending revenue, for its services as lending agent. The Fund may lend securities to certain qualified borrowers, including NFS. 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. The value of securities loaned to NFS, as affiliated borrower, at period end was $52,026. Total fees paid by the Fund to NFS, as lending agent, amounted to $19. 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, and includes $21 from securities loaned to NFS, as affiliated borrower.
9. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .07% of average net assets. This reimbursement will remain in place through November 30, 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 $73,588.
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 expenses by $201.
10. 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, Strategic Advisers Small-Mid Cap Fund was the owner of record of approximately 99% of the total outstanding shares of the Fund.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI Real Estate Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI Real Estate Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 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 three years in the period then ended and for the period from February 2, 2016 (commencement of operations) to July 31, 2016, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 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 three years in the period then ended and for the period from February 2, 2016 (commencement of operations) to July 31, 2016 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 12, 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 276 funds. Mr. Chiel oversees 170 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 Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2019 to July 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
February 1, 2019 | Ending
Account Value
July 31, 2019 | Expenses Paid
During Period-B
February 1, 2019
to July 31, 2019 |
| Actual | .07% | $1,000.00 | $1,063.60 | $.36 |
| Hypothetical-C | | $1,000.00 | $1,024.45 | $.35 |
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 181/365 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity SAI Real Estate Index Fund voted to pay on September 9, 2019, to shareholders of record at the opening of business on September 6, 2019, a distribution of $.071 per share derived from capital gains realized from sales of portfolio securities and a dividend of $.101 per share from net investment income.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2019, $564,929, or, if subsequently determined to be different, the net capital gain of such year.
A total of 0.02% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates 100% of the dividends distributed during the fiscal year as a section 199A dividend.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
Board Approval of Investment Advisory Contracts
Fidelity SAI Real Estate Index Fund
At its July 2019 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve an amended and restated sub-advisory agreement with Geode Capital Management, LLC (Geode) for the fund (the Amended Contract) to decrease the sub-advisory fee rate paid by Fidelity Management & Research Company (FMR) to Geode, on behalf of the fund, by 0.2 basis points. 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 noted that it previously received and considered materials relating to the nature, extent and quality of services provided by FMR and Geode to the fund, including the resources dedicated to investment management and support services, shareholder and administrative services, the benefits to shareholders of investment in a large fund family, and the investment performance of the fund in connection with the annual renewal of the fund's current management contract and sub-advisory agreements (Advisory Contracts). At its September 2018 meeting, the Board concluded that the nature, extent and quality of the services provided to the fund under the existing Advisory Contracts should benefit the fund's shareholders. The Board noted that approval of the Amended Contract would not change the fund's portfolio manager, the investment processes, the level or nature of services provided, the resources and personnel allocated or trading and compliance operations. The Board concluded that the nature, extent, and quality of services to be provided to the fund under the Amended Contract will continue to benefit the fund's shareholders.
Competitiveness of Management Fee and Total Expense Ratio. The Board considered that it received and reviewed information regarding the fund's current management fee and total expense ratio compared to "mapped groups" of competitive funds and classes in connection with the annual renewal of the Advisory Contracts.
Based on its review, the Board concluded at its September 2018 meeting that the fund's current management fee and total expenses are fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of the proposed sub-advisory fee rate under the Amended Contract, the Board considered that the proposed sub-advisory fee rate is lower by 0.2 basis points than the current sub-advisory fee rate. The Board noted that FMR, and not the fund, pays the sub-advisory fee out of its management fee. The Board also considered that the Amended Contract would not result in any changes to the fund's management fee rate, and that the management fee rate would continue to rank below the total mapped group median of its competitor funds based on the competitive mapped group data provided to the Board in connection with the annual renewal of the existing management contract.
Based on its review, the Board concluded that the management fee and the total expenses continue to be fair and reasonable in light of the services that the fund receives and the other factors considered.
Costs of the Services and Profitability. The Board considered that it previously reviewed information regarding the revenues earned and the expenses incurred by FMR in providing services to the fund and the level of FMR's profitability. At its September 2018 meeting, the Board concluded that it was satisfied that FMR's profitability in connection with the operation of the fund was not excessive under the circumstances. Because the Board was approving an arrangement that would not result in any changes to the management fee rate, the Board did not consider the costs of the services provided by and the profits realized by FMR to be significant factors in its decision to approve the Amended Contract.
Economies of Scale. The Board considered that it previously received and reviewed information regarding 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 and that it concluded, at its September 2018 meeting, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity. The Board did not consider economies of scale to be a significant factor in its decision to approve the Amended Contract because the proposed sub-advisory fee rate will be lower than the current sub-advisory fee rate.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the fund's advisory fee structures are fair and reasonable, and that the Amended Contract should be approved.
SV8-ANN-0919
1.9870987.103
Fidelity® SAI U.S. Momentum Index Fund Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Annual Report July 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.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 July 31, 2019 | Past 1 year | Life of fundA |
| Fidelity® SAI U.S. Momentum Index Fund | 6.94% | 15.78% |
A From February 9, 2017
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Momentum Index Fund on February 9, 2017, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the MSCI USA Custom Momentum Composite Index performed over the same period.
| Period Ending Values |
| $14,363 | Fidelity® SAI U.S. Momentum Index Fund |
| $14,416 | MSCI USA Custom Momentum Composite Index |
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500
® index gained 7.99% for the 12 months ending July 31, 2019, beginning the new year on a high note after enduring a historically volatile final quarter of 2018. Upbeat company earnings/outlooks and signs the Federal Reserve may pause on rates boosted stocks to an all-time high on April 30. In May, however, volatility spiked and stocks returned -6.35% for the month amid the Fed’s decision to hold interest rates steady and signal that it had little appetite to adjust them any time soon, as well as retaliatory tariffs imposed on the U.S. by China. The downtrend was similar to late 2018, when many investors fled from risk assets on elevated concerns about future economic growth, global trade and tighter monetary policy. The bull market roared back in June, with the S&P 500
® rising 7.05%, and recorded a series of all-time highs in a productive July (+1.44%). For the full 12 months, growth stocks outpaced value, while large-caps handily bested small-caps. By sector, information technology (+19%) led the way, boosted by continued strength in software & services (+26%), the market’s largest industry segment. Three defensive groups also stood out – real estate (+18%), utilities (+17%) and consumer staples (+15%) – followed by consumer discretionary (+10%) and communication services (+8%). In contrast, energy (-16%) was by far the weakest sector. Other notable laggards included materials (0%), financials (+3%), industrials (+4%) and health care (+4%).
Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year, the fund gained 6.94%, slightly underperforming the 7.07% advance of the MSCI USA Momentum Composite Index. Many of the portfolio's top individual contributors, in absolute terms, came from the strongest-performing sector in the index: information technology. Leading the way was Microsoft (+31%), largely due to continued growth in the company's cloud-computing business. Other key contributors within technology included Visa (+29%) and Mastercard (+34%), two leaders in electronic-payment processing. Elsewhere, Procter & Gamble (+28%) aided performance, as the consumer branded-goods company produced better-than-expected sales gains during the period. Lastly, coffee retailer Starbucks (+48%), which entered the index mid-period, benefited from strong sales and earnings growth, particularly in China. Conversely, several of the portfolio's most notable detractors were stocks that began the fiscal year in the index, but left it before period end. These included consumer electronics and personal computer manufacturer Apple (-26%), graphics-chip maker NVIDIA (-33%), and streaming-video provider Netflix (-1%). Also weighing on performance was pharmaceutical company Pfizer (-8%), added to the index during the period. Pfizer shares declined on weaker-than-expected revenue estimates and investors' apparent dissatisfaction with the company's plans to merge one of its business units with Mylan.
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 March 22, 2019, Pat Waddell retired and is no longer a portfolio manager with Geode Capital Management.
Investment Summary (Unaudited)
Top Five Stocks as of July 31, 2019
| | % of fund's net assets |
| Procter & Gamble Co. | 5.2 |
| Microsoft Corp. | 4.3 |
| MasterCard, Inc. Class A | 3.8 |
| Visa, Inc. Class A | 3.8 |
| Merck & Co., Inc. | 3.5 |
| | 20.6 |
Top Five Market Sectors as of July 31, 2019
| | % of fund's net assets |
| Information Technology | 28.8 |
| Health Care | 17.2 |
| Consumer Staples | 10.1 |
| Consumer Discretionary | 8.7 |
| Industrials | 8.6 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2019* |
| | Stocks and Equity Futures | 100.0% |
* Foreign investments - 2.5%
Schedule of Investments July 31, 2019
Showing Percentage of Net Assets
| Common Stocks - 99.4% | | | |
| | | Shares | Value |
| COMMUNICATION SERVICES - 5.8% | | | |
| Diversified Telecommunication Services - 1.4% | | | |
| Verizon Communications, Inc. | | 950,236 | $52,519,544 |
| Entertainment - 2.2% | | | |
| Live Nation Entertainment, Inc. (a)(b) | | 84,328 | 6,076,676 |
| The Walt Disney Co. | | 519,873 | 74,347,038 |
| | | | 80,423,714 |
| Interactive Media & Services - 0.3% | | | |
| IAC/InterActiveCorp (a) | | 29,698 | 7,099,307 |
| Snap, Inc. Class A (a)(b) | | 215,052 | 3,612,874 |
| TripAdvisor, Inc. (a)(b) | | 16,690 | 736,864 |
| | | | 11,449,045 |
| Media - 1.7% | | | |
| Altice U.S.A., Inc. Class A (a) | | 80,817 | 2,085,887 |
| Charter Communications, Inc. Class A (a)(b) | | 20,754 | 7,998,177 |
| Comcast Corp. Class A | | 1,051,668 | 45,400,508 |
| Fox Corp.: | | | |
| Class A | | 43,280 | 1,615,210 |
| Class B | | 18,474 | 687,233 |
| Liberty Broadband Corp. Class C (a) | | 24,249 | 2,413,018 |
| | | | 60,200,033 |
| Wireless Telecommunication Services - 0.2% | | | |
| T-Mobile U.S., Inc. (a) | | 87,772 | 6,998,062 |
|
| TOTAL COMMUNICATION SERVICES | | | 211,590,398 |
|
| CONSUMER DISCRETIONARY - 8.7% | | | |
| Hotels, Restaurants & Leisure - 5.6% | | | |
| Chipotle Mexican Grill, Inc. (a) | | 18,787 | 14,945,622 |
| Darden Restaurants, Inc. | | 10,266 | 1,247,935 |
| Domino's Pizza, Inc. | | 4,325 | 1,057,592 |
| Hilton Worldwide Holdings, Inc. | | 25,795 | 2,490,507 |
| McDonald's Corp. | | 338,397 | 71,307,016 |
| Starbucks Corp. | | 972,474 | 92,083,563 |
| Yum! Brands, Inc. | | 183,555 | 20,653,609 |
| | | | 203,785,844 |
| Household Durables - 0.1% | | | |
| Garmin Ltd. | | 53,193 | 4,180,438 |
| Internet & Direct Marketing Retail - 0.3% | | | |
| MercadoLibre, Inc. (a) | | 15,263 | 9,484,733 |
| Wayfair LLC Class A (a) | | 19,900 | 2,610,084 |
| | | | 12,094,817 |
| Multiline Retail - 0.5% | | | |
| Dollar General Corp. | | 110,341 | 14,787,901 |
| Dollar Tree, Inc. (a) | | 35,652 | 3,627,591 |
| | | | 18,415,492 |
| Specialty Retail - 1.9% | | | |
| Advance Auto Parts, Inc. | | 18,795 | 2,831,279 |
| AutoZone, Inc. (a) | | 19,870 | 22,314,805 |
| Burlington Stores, Inc. (a) | | 13,769 | 2,488,747 |
| Lowe's Companies, Inc. | | 38,071 | 3,860,399 |
| O'Reilly Automotive, Inc. (a) | | 37,592 | 14,313,530 |
| Ross Stores, Inc. | | 53,574 | 5,680,451 |
| Tractor Supply Co. | | 58,829 | 6,401,183 |
| Ulta Beauty, Inc. (a) | | 28,906 | 10,095,421 |
| | | | 67,985,815 |
| Textiles, Apparel & Luxury Goods - 0.3% | | | |
| lululemon athletica, Inc. (a) | | 64,364 | 12,299,317 |
| Under Armour, Inc. Class C (non-vtg.) (a) | | 21,806 | 443,534 |
| | | | 12,742,851 |
|
| TOTAL CONSUMER DISCRETIONARY | | | 319,205,257 |
|
| CONSUMER STAPLES - 10.1% | | | |
| Beverages - 0.7% | | | |
| PepsiCo, Inc. | | 209,330 | 26,754,467 |
| Food & Staples Retailing - 1.5% | | | |
| Costco Wholesale Corp. | | 93,928 | 25,889,375 |
| Walmart, Inc. | | 268,131 | 29,596,300 |
| | | | 55,485,675 |
| Food Products - 1.8% | | | |
| General Mills, Inc. | | 45,248 | 2,403,121 |
| Hormel Foods Corp. (b) | | 94,956 | 3,892,246 |
| Lamb Weston Holdings, Inc. | | 37,400 | 2,510,288 |
| McCormick & Co., Inc. (non-vtg.) (b) | | 56,733 | 8,994,450 |
| Mondelez International, Inc. | | 541,685 | 28,974,731 |
| The Hershey Co. | | 81,255 | 12,329,634 |
| Tyson Foods, Inc. Class A | | 53,430 | 4,247,685 |
| | | | 63,352,155 |
| Household Products - 6.0% | | | |
| Church & Dwight Co., Inc. | | 170,345 | 12,850,827 |
| Clorox Co. | | 41,845 | 6,803,997 |
| Kimberly-Clark Corp. | | 80,113 | 10,867,328 |
| Procter & Gamble Co. | | 1,598,191 | 188,650,458 |
| | | | 219,172,610 |
| Personal Products - 0.1% | | | |
| Coty, Inc. Class A | | 26,643 | 290,675 |
| Estee Lauder Companies, Inc. Class A | | 20,747 | 3,821,390 |
| | | | 4,112,065 |
|
| TOTAL CONSUMER STAPLES | | | 368,876,972 |
|
| ENERGY - 0.1% | | | |
| Oil, Gas & Consumable Fuels - 0.1% | | | |
| Kinder Morgan, Inc. | | 160,437 | 3,308,211 |
| FINANCIALS - 4.0% | | | |
| Capital Markets - 0.8% | | | |
| CME Group, Inc. | | 45,881 | 8,920,184 |
| FactSet Research Systems, Inc. (b) | | 13,244 | 3,672,561 |
| MarketAxess Holdings, Inc. | | 13,293 | 4,480,273 |
| Moody's Corp. | | 18,399 | 3,943,642 |
| MSCI, Inc. | | 44,568 | 10,127,632 |
| | | | 31,144,292 |
| Insurance - 3.2% | | | |
| AFLAC, Inc. | | 342,051 | 18,005,565 |
| Alleghany Corp. (a) | | 892 | 611,671 |
| Aon PLC | | 141,873 | 26,849,465 |
| Arch Capital Group Ltd. (a) | | 97,953 | 3,789,802 |
| Arthur J. Gallagher & Co. | | 90,116 | 8,149,190 |
| Cincinnati Financial Corp. | | 95,850 | 10,287,581 |
| Erie Indemnity Co. Class A (b) | | 13,954 | 3,108,533 |
| Marsh & McLennan Companies, Inc. | | 45,733 | 4,518,420 |
| Progressive Corp. | | 323,837 | 26,224,320 |
| RenaissanceRe Holdings Ltd. (b) | | 24,052 | 4,357,020 |
| W.R. Berkley Corp. (b) | | 64,941 | 4,506,256 |
| Willis Group Holdings PLC | | 25,165 | 4,912,711 |
| | | | 115,320,534 |
|
| TOTAL FINANCIALS | | | 146,464,826 |
|
| HEALTH CARE - 17.2% | | | |
| Biotechnology - 0.2% | | | |
| Exact Sciences Corp. (a) | | 11,172 | 1,286,009 |
| Regeneron Pharmaceuticals, Inc. (a) | | 18,083 | 5,510,975 |
| Seattle Genetics, Inc. (a)(b) | | 11,862 | 898,072 |
| | | | 7,695,056 |
| Health Care Equipment & Supplies - 6.0% | | | |
| Abbott Laboratories | | 936,355 | 81,556,521 |
| Boston Scientific Corp. (a) | | 663,239 | 28,161,128 |
| Danaher Corp. | | 388,030 | 54,518,215 |
| Dentsply Sirona, Inc. | | 48,250 | 2,627,213 |
| DexCom, Inc. (a)(b) | | 32,243 | 5,057,959 |
| Edwards Lifesciences Corp. (a) | | 69,049 | 14,697,080 |
| Hologic, Inc. (a) | | 53,862 | 2,760,428 |
| IDEXX Laboratories, Inc. (a) | | 7,670 | 2,163,324 |
| Intuitive Surgical, Inc. (a) | | 25,940 | 13,476,089 |
| STERIS PLC (b) | | 27,002 | 4,019,518 |
| The Cooper Companies, Inc. | | 21,390 | 7,216,986 |
| Varian Medical Systems, Inc. (a) | | 15,950 | 1,872,052 |
| | | | 218,126,513 |
| Health Care Providers & Services - 1.1% | | | |
| Anthem, Inc. | | 77,148 | 22,728,572 |
| Cigna Corp. | | 29,227 | 4,966,252 |
| HCA Holdings, Inc. | | 78,328 | 10,457,571 |
| Wellcare Health Plans, Inc. (a) | | 3,248 | 932,988 |
| | | | 39,085,383 |
| Health Care Technology - 0.5% | | | |
| Veeva Systems, Inc. Class A (a) | | 105,927 | 17,573,289 |
| Life Sciences Tools & Services - 2.6% | | | |
| Agilent Technologies, Inc. | | 110,917 | 7,698,749 |
| IQVIA Holdings, Inc. (a) | | 97,633 | 15,540,245 |
| Mettler-Toledo International, Inc. (a) | | 10,095 | 7,639,391 |
| Thermo Fisher Scientific, Inc. | | 215,374 | 59,805,052 |
| Waters Corp. (a) | | 24,291 | 5,114,713 |
| | | | 95,798,150 |
| Pharmaceuticals - 6.8% | | | |
| Eli Lilly & Co. | | 559,301 | 60,935,844 |
| Merck & Co., Inc. | | 1,559,883 | 129,454,690 |
| Pfizer, Inc. | | 1,011,233 | 39,276,290 |
| Zoetis, Inc. Class A | | 183,321 | 21,061,750 |
| | | | 250,728,574 |
|
| TOTAL HEALTH CARE | | | 629,006,965 |
|
| INDUSTRIALS - 8.6% | | | |
| Aerospace & Defense - 1.9% | | | |
| Harris Corp. | | 45,658 | 9,478,601 |
| HEICO Corp. | | 19,030 | 2,602,353 |
| HEICO Corp. Class A | | 31,319 | 3,300,709 |
| Lockheed Martin Corp. | | 25,378 | 9,191,150 |
| The Boeing Co. | | 90,760 | 30,965,497 |
| TransDigm Group, Inc. (a) | | 26,145 | 12,691,829 |
| | | | 68,230,139 |
| Airlines - 0.0% | | | |
| United Continental Holdings, Inc. (a) | | 11,504 | 1,057,333 |
| Building Products - 0.2% | | | |
| Allegion PLC | | 17,380 | 1,799,525 |
| Lennox International, Inc. (b) | | 20,334 | 5,215,264 |
| | | | 7,014,789 |
| Commercial Services & Supplies - 1.8% | | | |
| Cintas Corp. | | 16,439 | 4,281,373 |
| Copart, Inc. (a) | | 67,066 | 5,199,627 |
| Republic Services, Inc. | | 126,454 | 11,210,147 |
| Rollins, Inc. | | 20,747 | 695,647 |
| Waste Connection, Inc. (United States) | | 138,733 | 12,585,858 |
| Waste Management, Inc. | | 279,272 | 32,674,824 |
| | | | 66,647,476 |
| Construction & Engineering - 0.0% | | | |
| Jacobs Engineering Group, Inc. | | 13,781 | 1,137,070 |
| Electrical Equipment - 0.1% | | | |
| AMETEK, Inc. | | 48,341 | 4,331,837 |
| Industrial Conglomerates - 1.2% | | | |
| Honeywell International, Inc. | | 154,738 | 26,686,115 |
| Roper Technologies, Inc. | | 43,889 | 15,960,235 |
| | | | 42,646,350 |
| Machinery - 0.9% | | | |
| Deere & Co. | | 67,766 | 11,225,438 |
| Dover Corp. | | 33,252 | 3,220,456 |
| IDEX Corp. | | 7,696 | 1,294,621 |
| Ingersoll-Rand PLC | | 134,675 | 16,653,911 |
| | | | 32,394,426 |
| Professional Services - 0.7% | | | |
| CoStar Group, Inc. (a) | | 13,103 | 8,063,586 |
| IHS Markit Ltd. (a) | | 36,386 | 2,343,986 |
| Verisk Analytics, Inc. | | 97,221 | 14,750,370 |
| | | | 25,157,942 |
| Road & Rail - 1.6% | | | |
| CSX Corp. | | 166,412 | 11,715,405 |
| Norfolk Southern Corp. | | 136,033 | 25,998,627 |
| Union Pacific Corp. | | 115,774 | 20,833,531 |
| | | | 58,547,563 |
| Trading Companies & Distributors - 0.2% | | | |
| Fastenal Co. | | 190,937 | 5,880,860 |
|
| TOTAL INDUSTRIALS | | | 313,045,785 |
|
| INFORMATION TECHNOLOGY - 28.8% | | | |
| Communications Equipment - 2.2% | | | |
| Cisco Systems, Inc. | | 1,200,230 | 66,492,742 |
| Motorola Solutions, Inc. | | 94,022 | 15,603,891 |
| | | | 82,096,633 |
| Electronic Equipment & Components - 0.9% | | | |
| CDW Corp. | | 73,307 | 8,661,955 |
| Corning, Inc. | | 56,176 | 1,727,412 |
| Dell Technologies, Inc. (a) | | 121,693 | 7,026,554 |
| Keysight Technologies, Inc. (a) | | 158,453 | 14,184,713 |
| | | | 31,600,634 |
| IT Services - 12.5% | | | |
| Automatic Data Processing, Inc. | | 141,995 | 23,645,007 |
| EPAM Systems, Inc. (a) | | 18,942 | 3,670,770 |
| Fiserv, Inc. (a)(b) | | 226,003 | 23,827,496 |
| FleetCor Technologies, Inc. (a) | | 18,292 | 5,198,038 |
| Gartner, Inc. (a) | | 4,742 | 660,703 |
| Global Payments, Inc. | | 58,281 | 9,786,546 |
| Leidos Holdings, Inc. | | 28,857 | 2,369,160 |
| MasterCard, Inc. Class A | | 506,623 | 137,938,244 |
| MongoDB, Inc. Class A (a)(b) | | 17,359 | 2,486,156 |
| Okta, Inc. (a) | | 55,625 | 7,277,419 |
| Paychex, Inc. | | 104,022 | 8,639,027 |
| PayPal Holdings, Inc. (a) | | 527,093 | 58,191,067 |
| Square, Inc. (a) | | 56,128 | 4,513,252 |
| Total System Services, Inc. | | 48,649 | 6,602,642 |
| Twilio, Inc. Class A (a)(b) | | 57,743 | 8,032,629 |
| VeriSign, Inc. (a) | | 83,836 | 17,696,941 |
| Visa, Inc. Class A (b) | | 770,771 | 137,197,238 |
| | | | 457,732,335 |
| Semiconductors & Semiconductor Equipment - 3.0% | | | |
| Advanced Micro Devices, Inc. (a)(b) | | 536,424 | 16,334,111 |
| Analog Devices, Inc. | | 44,143 | 5,185,037 |
| Broadcom, Inc. | | 155,700 | 45,151,443 |
| KLA-Tencor Corp. | | 16,816 | 2,292,357 |
| Marvell Technology Group Ltd. (b) | | 63,927 | 1,678,723 |
| Microchip Technology, Inc. (b) | | 26,639 | 2,515,254 |
| Qualcomm, Inc. | | 130,691 | 9,561,354 |
| Xilinx, Inc. | | 223,000 | 25,468,830 |
| | | | 108,187,109 |
| Software - 10.2% | | | |
| Adobe, Inc. (a) | | 35,511 | 10,612,817 |
| Autodesk, Inc. (a) | | 23,708 | 3,702,478 |
| Cadence Design Systems, Inc. (a) | | 212,208 | 15,684,293 |
| DocuSign, Inc. (a)(b) | | 20,271 | 1,048,416 |
| Fortinet, Inc. (a) | | 63,005 | 5,059,932 |
| Intuit, Inc. | | 125,744 | 34,870,069 |
| Microsoft Corp. | | 1,150,220 | 156,740,479 |
| Palo Alto Networks, Inc. (a) | | 9,961 | 2,256,565 |
| Paycom Software, Inc. (a)(b) | | 23,693 | 5,704,090 |
| Salesforce.com, Inc. (a) | | 325,162 | 50,237,529 |
| ServiceNow, Inc. (a)(b) | | 128,797 | 35,727,000 |
| Splunk, Inc. (a) | | 29,822 | 4,035,215 |
| SS&C Technologies Holdings, Inc. | | 23,371 | 1,120,639 |
| Synopsys, Inc. (a) | | 74,277 | 9,861,015 |
| Tableau Software, Inc. (a) | | 23,773 | 4,030,237 |
| VMware, Inc. Class A | | 57,967 | 10,114,662 |
| Workday, Inc. Class A (a) | | 104,851 | 20,968,103 |
| | | | 371,773,539 |
| Technology Hardware, Storage & Peripherals - 0.0% | | | |
| Xerox Corp. | | 26,753 | 858,771 |
|
| TOTAL INFORMATION TECHNOLOGY | | | 1,052,249,021 |
|
| MATERIALS - 2.6% | | | |
| Chemicals - 1.9% | | | |
| Air Products & Chemicals, Inc. | | 108,736 | 24,821,167 |
| Ecolab, Inc. | | 178,795 | 36,068,315 |
| Linde PLC | | 49,951 | 9,554,627 |
| | | | 70,444,109 |
| Containers & Packaging - 0.7% | | | |
| Amcor PLC (a) | | 157,367 | 1,668,090 |
| Ball Corp. (b) | | 304,116 | 21,738,212 |
| Crown Holdings, Inc. (a)(b) | | 42,207 | 2,701,670 |
| Sealed Air Corp. | | 16,513 | 690,078 |
| | | | 26,798,050 |
|
| TOTAL MATERIALS | | | 97,242,159 |
|
| REAL ESTATE - 5.7% | | | |
| Equity Real Estate Investment Trusts (REITs) - 5.7% | | | |
| Alexandria Real Estate Equities, Inc. | | 9,714 | 1,421,741 |
| American Tower Corp. | | 347,259 | 73,486,950 |
| AvalonBay Communities, Inc. | | 38,684 | 8,076,832 |
| Crown Castle International Corp. | | 33,956 | 4,524,977 |
| Equinix, Inc. | | 16,176 | 8,121,970 |
| Equity Lifestyle Properties, Inc. | | 30,107 | 3,740,795 |
| Equity Residential (SBI) | | 114,695 | 9,048,289 |
| Essex Property Trust, Inc. | | 26,473 | 8,000,670 |
| HCP, Inc. | | 202,485 | 6,465,346 |
| Invitation Homes, Inc. | | 32,768 | 900,137 |
| Liberty Property Trust (SBI) | | 28,043 | 1,466,649 |
| National Retail Properties, Inc. | | 88,570 | 4,626,897 |
| Prologis, Inc. | | 59,436 | 4,791,136 |
| Realty Income Corp. | | 180,994 | 12,526,595 |
| SBA Communications Corp. Class A | | 33,749 | 8,282,342 |
| Simon Property Group, Inc. | | 43,591 | 7,070,460 |
| Sun Communities, Inc. | | 30,543 | 4,056,416 |
| UDR, Inc. | | 131,550 | 6,059,193 |
| Ventas, Inc. | | 69,708 | 4,690,651 |
| VEREIT, Inc. | | 155,375 | 1,417,020 |
| Welltower, Inc. | | 245,659 | 20,419,176 |
| WP Carey, Inc. | | 107,705 | 9,320,791 |
| | | | 208,515,033 |
| UTILITIES - 7.8% | | | |
| Electric Utilities - 5.2% | | | |
| American Electric Power Co., Inc. | | 259,445 | 22,781,865 |
| Duke Energy Corp. | | 206,627 | 17,918,693 |
| Entergy Corp. | | 106,782 | 11,278,315 |
| Eversource Energy | | 182,147 | 13,817,671 |
| Exelon Corp. | | 498,204 | 22,449,072 |
| FirstEnergy Corp. | | 108,120 | 4,754,036 |
| NextEra Energy, Inc. | | 225,468 | 46,710,206 |
| OGE Energy Corp. | | 112,181 | 4,818,174 |
| Pinnacle West Capital Corp. | | 54,363 | 4,958,993 |
| Southern Co. | | 379,744 | 21,341,613 |
| Vistra Energy Corp. | | 86,501 | 1,856,311 |
| Xcel Energy, Inc. | | 321,194 | 19,146,374 |
| | | | 191,831,323 |
| Gas Utilities - 0.2% | | | |
| Atmos Energy Corp. | | 33,975 | 3,704,634 |
| UGI Corp. | | 47,138 | 2,408,280 |
| | | | 6,112,914 |
| Independent Power and Renewable Electricity Producers - 0.3% | | | |
| NRG Energy, Inc. | | 89,542 | 3,056,964 |
| The AES Corp. | | 414,644 | 6,961,873 |
| | | | 10,018,837 |
| Multi-Utilities - 1.7% | | | |
| Ameren Corp. | | 147,071 | 11,131,804 |
| CMS Energy Corp. | | 136,109 | 7,924,266 |
| Dominion Resources, Inc. | | 97,056 | 7,210,290 |
| DTE Energy Co. | | 85,782 | 10,903,750 |
| NiSource, Inc. | | 30,517 | 906,050 |
| Public Service Enterprise Group, Inc. (b) | | 91,367 | 5,221,624 |
| Sempra Energy | | 24,011 | 3,251,810 |
| WEC Energy Group, Inc. | | 194,722 | 16,640,942 |
| | | | 63,190,536 |
| Water Utilities - 0.4% | | | |
| American Water Works Co., Inc. | | 119,511 | 13,717,473 |
|
| TOTAL UTILITIES | | | 284,871,083 |
|
| TOTAL COMMON STOCKS | | | |
| (Cost $3,128,833,301) | | | 3,634,375,710 |
|
| Money Market Funds - 7.1% | | | |
| Fidelity Cash Central Fund 2.43% (c) | | 6,575,390 | 6,576,705 |
| Fidelity Securities Lending Cash Central Fund 2.43% (c)(d) | | 252,939,831 | 252,965,125 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $259,541,830) | | | 259,541,830 |
| TOTAL INVESTMENT IN SECURITIES - 106.5% | | | |
| (Cost $3,388,375,131) | | | 3,893,917,540 |
| NET OTHER ASSETS (LIABILITIES) - (6.5)% | | | (238,426,948) |
| NET ASSETS - 100% | | | $3,655,490,592 |
| 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) | 148 | Sept. 2019 | $22,069,020 | $116,308 | $116,308 |
The notional amount of futures purchased as a percentage of Net Assets is 0.6%
Legend
(a) Non-income producing
(b) Security or a portion of the security is on loan at period end.
(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 | $299,036 |
| Fidelity Securities Lending Cash Central Fund | 574,931 |
| Total | $873,967 |
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. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of July 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 | $211,590,398 | $211,590,398 | $-- | $-- |
| Consumer Discretionary | 319,205,257 | 319,205,257 | -- | -- |
| Consumer Staples | 368,876,972 | 368,876,972 | -- | -- |
| Energy | 3,308,211 | 3,308,211 | -- | -- |
| Financials | 146,464,826 | 146,464,826 | -- | -- |
| Health Care | 629,006,965 | 629,006,965 | -- | -- |
| Industrials | 313,045,785 | 313,045,785 | -- | -- |
| Information Technology | 1,052,249,021 | 1,052,249,021 | -- | -- |
| Materials | 97,242,159 | 97,242,159 | -- | -- |
| Real Estate | 208,515,033 | 208,515,033 | -- | -- |
| Utilities | 284,871,083 | 284,871,083 | -- | -- |
| Money Market Funds | 259,541,830 | 259,541,830 | -- | -- |
| Total Investments in Securities: | $3,893,917,540 | $3,893,917,540 | $-- | $-- |
| Derivative Instruments: | | | | |
| Assets | | | | |
| Futures Contracts | $116,308 | $116,308 | $-- | $-- |
| Total Assets | $116,308 | $116,308 | $-- | $-- |
| Total Derivative Instruments: | $116,308 | $116,308 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 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) | $116,308 | $0 |
| Total Equity Risk | 116,308 | 0 |
| Total Value of Derivatives | $116,308 | $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 distributable earnings.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | July 31, 2019 |
| Assets | | |
Investment in securities, at value (including securities loaned of $242,538,517) — See accompanying schedule:
Unaffiliated issuers (cost $3,128,833,301) | $3,634,375,710 | |
| Fidelity Central Funds (cost $259,541,830) | 259,541,830 | |
| Total Investment in Securities (cost $3,388,375,131) | | $3,893,917,540 |
| Segregated cash with brokers for derivative instruments | | 982,800 |
| Cash | | 761 |
| Receivable for investments sold | | 285,513,679 |
| Receivable for fund shares sold | | 603,589 |
| Dividends receivable | | 3,112,121 |
| Distributions receivable from Fidelity Central Funds | | 31,496 |
| Prepaid expenses | | 9,169 |
| Receivable from investment adviser for expense reductions | | 157,771 |
| Total assets | | 4,184,328,926 |
| Liabilities | | |
| Payable for investments purchased | $274,216,232 | |
| Payable for fund shares redeemed | 681,408 | |
| Accrued management fee | 307,823 | |
| Payable for daily variation margin on futures contracts | 229,483 | |
| Other affiliated payables | 299,488 | |
| Other payables and accrued expenses | 137,816 | |
| Collateral on securities loaned | 252,966,084 | |
| Total liabilities | | 528,838,334 |
| Net Assets | | $3,655,490,592 |
| Net Assets consist of: | | |
| Paid in capital | | $3,132,646,126 |
| Total distributable earnings (loss) | | 522,844,466 |
| Net Assets, for 265,464,701 shares outstanding | | $3,655,490,592 |
| Net Asset Value, offering price and redemption price per share ($3,655,490,592 ÷ 265,464,701 shares) | | $13.77 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended July 31, 2019 |
| Investment Income | | |
| Dividends | | $54,924,602 |
| Interest | | 10,240 |
| Income from Fidelity Central Funds (including $574,931 from security lending) | | 873,967 |
| Total income | | 55,808,809 |
| Expenses | | |
| Management fee | $3,304,446 | |
| Transfer agent fees | 2,478,335 | |
| Accounting and security lending fees | 760,962 | |
| Custodian fees and expenses | 61,364 | |
| Independent trustees' fees and expenses | 13,863 | |
| Registration fees | 126,944 | |
| Audit | 54,946 | |
| Legal | 6,723 | |
| Interest | 13,635 | |
| Miscellaneous | 17,457 | |
| Total expenses before reductions | 6,838,675 | |
| Expense reductions | (1,859,195) | |
| Total expenses after reductions | | 4,979,480 |
| Net investment income (loss) | | 50,829,329 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 1,330,291 | |
| Fidelity Central Funds | 123 | |
| Futures contracts | 1,064,044 | |
| Total net realized gain (loss) | | 2,394,458 |
| Change in net unrealized appreciation (depreciation) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | 231,043,156 | |
| Futures contracts | (26,959) | |
| Total change in net unrealized appreciation (depreciation) | | 231,016,197 |
| Net gain (loss) | | 233,410,655 |
| Net increase (decrease) in net assets resulting from operations | | $284,239,984 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended July 31, 2019 | Year ended July 31, 2018 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $50,829,329 | $20,587,897 |
| Net realized gain (loss) | 2,394,458 | 63,527,251 |
| Change in net unrealized appreciation (depreciation) | 231,016,197 | 238,950,976 |
| Net increase (decrease) in net assets resulting from operations | 284,239,984 | 323,066,124 |
| Distributions to shareholders | (89,188,479) | – |
| Distributions to shareholders from net investment income | – | (9,140,729) |
| Distributions to shareholders from net realized gain | – | (5,788,789) |
| Total distributions | (89,188,479) | (14,929,518) |
| Share transactions | | |
| Proceeds from sales of shares | 1,499,718,974 | 2,419,094,288 |
| Reinvestment of distributions | 49,465,140 | 4,036,858 |
| Cost of shares redeemed | (601,491,539) | (962,697,840) |
| Net increase (decrease) in net assets resulting from share transactions | 947,692,575 | 1,460,433,306 |
| Total increase (decrease) in net assets | 1,142,744,080 | 1,768,569,912 |
| Net Assets | | |
| Beginning of period | 2,512,746,512 | 744,176,600 |
| End of period | $3,655,490,592 | $2,512,746,512 |
| Other Information | | |
| Undistributed net investment income end of period | | $10,614,230 |
| Shares | | |
| Sold | 118,738,023 | 197,459,770 |
| Issued in reinvestment of distributions | 3,757,326 | 339,178 |
| Redeemed | (45,864,276) | (76,713,283) |
| Net increase (decrease) | 76,631,073 | 121,085,665 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI U.S. Momentum Index Fund
| | | | |
| Years ended July 31, | 2019 | 2018 | 2017 A |
| Selected Per–Share Data | | | |
| Net asset value, beginning of period | $13.31 | $10.98 | $10.00 |
| Income from Investment Operations | | | |
| Net investment income (loss)B | .20 | .15 | .07 |
| Net realized and unrealized gain (loss) | .71C | 2.29 | .91 |
| Total from investment operations | .91 | 2.44 | .98 |
| Distributions from net investment income | (.12) | (.06) | – |
| Distributions from net realized gain | (.33) | (.04) | – |
| Total distributions | (.45) | (.11)D | – |
| Net asset value, end of period | $13.77 | $13.31 | $10.98 |
| Total ReturnE,F | 6.94%C | 22.33% | 9.80% |
| Ratios to Average Net AssetsG,H | | | |
| Expenses before reductions | .21% | .23% | .35%I |
| Expenses net of fee waivers, if any | .15% | .15% | .15%I |
| Expenses net of all reductions | .15% | .15% | .15%I |
| Net investment income (loss) | 1.54% | 1.19% | 1.40%I |
| Supplemental Data | | | |
| Net assets, end of period (000 omitted) | $3,655,491 | $2,512,747 | $744,177 |
| Portfolio turnover rateJ | 161% | 153% | 47%K |
A For the period February 9, 2017 (commencement of operations) to July 31, 2017.
B Calculated based on average shares outstanding during the period.
C Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 6.91%.
D Total distributions of $.11 per share is comprised of distributions from net investment income of $.064 and distributions from net realized gain of $.043 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G 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.
H 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.
I Annualized
J Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended July 31, 2019
1. Organization.
Fidelity SAI U.S. Momentum Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company (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 ranged from less than .005% to .01%.
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 July 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. 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 July 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, market discount and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $525,716,236 |
| Gross unrealized depreciation | (26,139,835) |
| Net unrealized appreciation (depreciation) | $499,576,401 |
| Tax Cost | $3,394,341,139 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $33,258,739 |
| Net unrealized appreciation (depreciation) on securities and other investments | $499,576,401 |
The Fund intends to elect to defer to its next fiscal year $9,990,673 of capital losses recognized during the period November 1, 2018 to July 31, 2019.
The tax character of distributions paid was as follows:
| | July 31, 2019 | July 31, 2018 |
| Ordinary Income | $80,137,946 | $ 14,667,644 |
| Long-term Capital Gains | 9,050,533 | 261,874 |
| Total | $89,188,479 | $ 14,929,518 |
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. 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 $6,210,724,868 and $5,293,397,190, 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 pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
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 an asset-based fee of .075% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
During July 2019, the Board approved that effective August 1, 2019 transfer agent fees will not be paid by the Fund and will instead be paid by the investment adviser or an affiliate.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Prior to April 1, 2019, FSC had a separate agreement with the Fund for administration of the security lending program, based on the number and duration of lending transactions. For the period, the total fees paid for accounting and administration of securities lending were equivalent to an annual rate of .02%.
During July 2019, the Board approved that effective August 1, 2019 accounting fees will not be paid by the Fund and will instead be paid by the investment adviser or an affiliate.
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 | $16,666,545 | 2.68% | $13,635 |
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.
Other. During the period, the investment adviser reimbursed the Fund $1,064,903 for an operational error which is included in Net Realized Gain (Loss) in the accompanying Statement of Operations.
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 $8,529 and is reflected in Miscellaneous expenses 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 from time to time in order to earn additional income. For equity securities, lending agents are used, including National Financial Services (NFS), an affiliate of the Fund. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of daily lending revenue, for its services as lending agent. The Fund may lend securities to certain qualified borrowers, including NFS. 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 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. Total fees paid by the Fund to NFS, as lending agent, amounted to $1,193. 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. During the period, there were no securities loaned to NFS.
9. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .15% of average net assets. This reimbursement will remain in place through November 30, 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 $1,855,003.
In addition, 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 $4,192.
10. 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, Strategic Advisers Growth Fund and Strategic Advisers Fidelity U.S. Total Stock Fund were the owners of record of approximately 11% and 43%, respectively, of the total outstanding shares of the Fund.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI U.S. Momentum Index Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity SAI U.S. Momentum Index Fund (the "Fund"), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of July 31, 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 two years in the period then ended and for the period from February 9, 2017 (commencement of operations) to July 31, 2017, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 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 two years in the period then ended and for the period from February 9, 2017 (commencement of operations) to July 31, 2017 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 13, 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 274 funds. Mr. Chiel oversees 170 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 Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2019 to July 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
February 1, 2019 | Ending
Account Value
July 31, 2019 | Expenses Paid
During Period-B
February 1, 2019
to July 31, 2019 |
| Actual | .15% | $1,000.00 | $1,126.80 | $.79** |
| Hypothetical-C | | $1,000.00 | $1,024.05 | $.75** |
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 181/365 (to reflect the one-half year period).
C 5% return per year before expenses
**If fees and changes to the Fund level expense contract and/ or expense cap, effective August 1, 2019, had been in effect during the current period, the restated annualized expense ratio would have been .10% and the expenses paid in the actual and hypothetical examples above would have been $.53 and $.50, respectively.
Distributions (Unaudited)
The fund hereby designates as a capital gain dividend with respect to the taxable year ended July 31, 2019, $6,278,092, or, if subsequently determined to be different, the net capital gain of such year.
The fund designates 21% and 100% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 22% and 100% of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
SY1-ANN-0919
1.9878817.102
Fidelity® SAI U.S. Value Index Fund Offered exclusively to certain clients of the Adviser or its affiliates - not available for sale to the general public. Fidelity SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers LLC.
Annual Report July 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-PORT. Forms N-PORT are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
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 July 31, 2019 | Past 1 year | Life of fundA |
| Fidelity® SAI U.S. Value Index Fund | 0.62% | 2.65% |
A From December 19, 2017
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® SAI U.S. Value Index Fund on December 19, 2017, when the fund started.
The chart shows how the value of your investment would have changed, and also shows how the Fidelity® U.S. Value Focus Index performed over the same period.
| Period Ending Values |
| $10,431 | Fidelity® SAI U.S. Value Index Fund |
| $10,441 | Fidelity® U.S. Value Focus Index |
Management's Discussion of Fund Performance
Market Recap: The U.S. equity bellwether S&P 500
® index gained 7.99% for the 12 months ending July 31, 2019, beginning the new year on a high note after enduring a historically volatile final quarter of 2018. Upbeat company earnings/outlooks and signs the Federal Reserve may pause on rates boosted stocks to an all-time high on April 30. In May, however, volatility spiked and stocks returned -6.35% for the month amid the Fed’s decision to hold interest rates steady and signal that it had little appetite to adjust them any time soon, as well as retaliatory tariffs imposed on the U.S. by China. The downtrend was similar to late 2018, when many investors fled from risk assets on elevated concerns about future economic growth, global trade and tighter monetary policy. The bull market roared back in June, with the S&P 500
® rising 7.05%, and recorded a series of all-time highs in a productive July (+1.44%). For the full 12 months, growth stocks outpaced value, while large-caps handily bested small-caps. By sector, information technology (+19%) led the way, boosted by continued strength in software & services (+26%), the market’s largest industry segment. Three defensive groups also stood out – real estate (+18%), utilities (+17%) and consumer staples (+15%) – followed by consumer discretionary (+10%) and communication services (+8%). In contrast, energy (-16%) was by far the weakest sector. Other notable laggards included materials (0%), financials (+3%), industrials (+4%) and health care (+4%).
Comments from the Geode Capital Management, LLC, passive equity index team: For the fiscal year, the fund gained 0.62%, performing roughly in line with the Fidelity U.S. Value Focus Index, which increased 0.57%. The strongest-performing sector in the index by far the past 12 months was communication services. Here, Comcast was a strong individual contributor for the fund as shares of this cable, broadband and media company rose 24% during the period, due to growth in its broadband subscriptions which compensated for a slowdown in its legacy cable business. Also bolstering the fund's performance were stakes in financial services company Goldman Sachs (+39%) and bank company Citigroup (+10%), both of which gained ground after joining the index mid-period. Telecommunication services providers AT&T (+13%) and Verizon Communications (+12%) were contributors as well. In contrast, the portfolio's biggest individual detractor was California utility PG&E (-85%), whose shares plunged in late 2018 and early 2019 as the company faced substantial financial liability following last year's wildfires in the state, ultimately causing the firm to declare bankruptcy in January at which point the stock was no longer part of the index. Also weighing on the fund's result was Food producer Kraft Heinz (-42%), which was added to the index mid-period but struggled amid an accounting scandal, management turnover and slumping sales. Lastly, several energy stocks, including Marathon Petroleum (-28%) – added to the index mid-period – as well as ConocoPhillips (-16%) and Valero Energy (-25%), were weak performers as the price of oil remained depressed for much of the period.
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 March 22, 2019, Pat Waddell retired and is no longer a portfolio manager with Geode Capital Management.
Investment Summary (Unaudited)
Top Five Stocks as of July 31, 2019
| | % of fund's net assets |
| Bank of America Corp. | 4.1 |
| Intel Corp. | 3.9 |
| AT&T, Inc. | 3.9 |
| Chevron Corp. | 3.8 |
| Comcast Corp. Class A | 3.6 |
| | 19.3 |
Top Five Market Sectors as of July 31, 2019
| | % of fund's net assets |
| Financials | 23.6 |
| Information Technology | 15.3 |
| Health Care | 13.8 |
| Energy | 13.5 |
| Communication Services | 10.5 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2019 * |
| | Stock and Equity Futures | 100.0% |
* Foreign investments - 5.2%
Schedule of Investments July 31, 2019
Showing Percentage of Net Assets
| Common Stocks - 99.7% | | | |
| | | Shares | Value |
| COMMUNICATION SERVICES - 10.5% | | | |
| Diversified Telecommunication Services - 5.3% | | | |
| AT&T, Inc. | | 2,025,750 | $68,976,788 |
| CenturyLink, Inc. (a) | | 422,802 | 5,111,676 |
| Verizon Communications, Inc. | | 374,244 | 20,684,466 |
| | | | 94,772,930 |
| Entertainment - 0.3% | | | |
| Viacom, Inc. Class B (non-vtg.) | | 160,318 | 4,865,651 |
| Media - 4.9% | | | |
| Comcast Corp. Class A | | 1,507,995 | 65,100,144 |
| Discovery Communications, Inc. Class A (a)(b) | | 215,253 | 6,524,318 |
| DISH Network Corp. Class A (b) | | 101,675 | 3,442,716 |
| Interpublic Group of Companies, Inc. | | 170,556 | 3,909,144 |
| News Corp. Class A | | 226,263 | 2,977,621 |
| Nexstar Broadcasting Group, Inc. Class A | | 20,310 | 2,066,949 |
| Sinclair Broadcast Group, Inc. Class A | | 29,072 | 1,460,868 |
| Tegna, Inc. | | 95,570 | 1,451,708 |
| Tribune Media Co. Class A | | 35,796 | 1,663,440 |
| | | | 88,596,908 |
|
| TOTAL COMMUNICATION SERVICES | | | 188,235,489 |
|
| CONSUMER DISCRETIONARY - 7.5% | | | |
| Auto Components - 0.6% | | | |
| Autoliv, Inc. (a) | | 38,388 | 2,769,694 |
| BorgWarner, Inc. | | 91,414 | 3,455,449 |
| Lear Corp. | | 27,400 | 3,473,772 |
| The Goodyear Tire & Rubber Co. | | 102,785 | 1,411,238 |
| | | | 11,110,153 |
| Automobiles - 2.4% | | | |
| Ford Motor Co. | | 1,726,826 | 16,456,652 |
| General Motors Co. | | 581,280 | 23,448,835 |
| Harley-Davidson, Inc. (a) | | 69,927 | 2,501,988 |
| | | | 42,407,475 |
| Distributors - 0.2% | | | |
| LKQ Corp. (b) | | 138,340 | 3,725,496 |
| Hotels, Restaurants & Leisure - 0.4% | | | |
| Norwegian Cruise Line Holdings Ltd. (b) | | 94,901 | 4,691,905 |
| Wyndham Destinations, Inc. | | 41,403 | 1,948,425 |
| | | | 6,640,330 |
| Household Durables - 1.6% | | | |
| D.R. Horton, Inc. | | 148,939 | 6,840,768 |
| Lennar Corp. Class A | | 131,389 | 6,250,175 |
| Mohawk Industries, Inc. (b) | | 27,126 | 3,382,341 |
| Newell Brands, Inc. (a) | | 171,523 | 2,433,911 |
| PulteGroup, Inc. | | 112,348 | 3,540,085 |
| Toll Brothers, Inc. | | 58,316 | 2,097,627 |
| Whirlpool Corp. | | 27,885 | 4,056,710 |
| | | | 28,601,617 |
| Internet & Direct Marketing Retail - 0.1% | | | |
| Liberty Interactive Corp. QVC Group Series A (a)(b) | | 176,367 | 2,493,829 |
| Multiline Retail - 0.5% | | | |
| Kohl's Corp. (a) | | 71,395 | 3,845,335 |
| Macy's, Inc. (a) | | 136,092 | 3,093,371 |
| Nordstrom, Inc. (a) | | 46,334 | 1,534,119 |
| | | | 8,472,825 |
| Specialty Retail - 0.9% | | | |
| Aaron's, Inc. Class A | | 29,816 | 1,879,899 |
| Best Buy Co., Inc. | | 102,375 | 7,834,759 |
| Foot Locker, Inc. | | 49,479 | 2,031,608 |
| Gap, Inc. (a) | | 93,621 | 1,825,610 |
| L Brands, Inc. | | 100,086 | 2,597,232 |
| | | | 16,169,108 |
| Textiles, Apparel & Luxury Goods - 0.8% | | | |
| Capri Holdings Ltd. (b) | | 66,486 | 2,366,237 |
| PVH Corp. | | 33,014 | 2,935,605 |
| Ralph Lauren Corp. | | 22,981 | 2,395,310 |
| Skechers U.S.A., Inc. Class A (sub. vtg.) (b) | | 58,495 | 2,219,300 |
| Tapestry, Inc. | | 127,856 | 3,954,586 |
| | | | 13,871,038 |
|
| TOTAL CONSUMER DISCRETIONARY | | | 133,491,871 |
|
| CONSUMER STAPLES - 2.9% | | | |
| Beverages - 0.2% | | | |
| Molson Coors Brewing Co. Class B | | 82,746 | 4,467,457 |
| Food & Staples Retailing - 1.5% | | | |
| Kroger Co. | | 355,475 | 7,521,851 |
| Walgreens Boots Alliance, Inc. | | 342,462 | 18,660,754 |
| | | | 26,182,605 |
| Food Products - 1.2% | | | |
| Ingredion, Inc. | | 29,220 | 2,258,414 |
| The Kraft Heinz Co. | | 274,161 | 8,775,894 |
| Tyson Foods, Inc. Class A | | 129,410 | 10,288,095 |
| | | | 21,322,403 |
|
| TOTAL CONSUMER STAPLES | | | 51,972,465 |
|
| ENERGY - 13.5% | | | |
| Oil, Gas & Consumable Fuels - 13.5% | | | |
| Apache Corp. | | 165,618 | 4,044,392 |
| Chevron Corp. | | 551,389 | 67,881,500 |
| Cimarex Energy Co. | | 44,768 | 2,268,395 |
| ConocoPhillips Co. | | 498,003 | 29,422,017 |
| Devon Energy Corp. | | 182,923 | 4,938,921 |
| EQT Corp. | | 112,664 | 1,702,353 |
| Exxon Mobil Corp. | | 661,261 | 49,171,368 |
| HollyFrontier Corp. | | 69,212 | 3,444,681 |
| Marathon Oil Corp. | | 360,341 | 5,069,998 |
| Marathon Petroleum Corp. | | 291,979 | 16,464,696 |
| Murphy Oil Corp. (a) | | 71,987 | 1,730,567 |
| Occidental Petroleum Corp. | | 329,612 | 16,928,872 |
| Parsley Energy, Inc. Class A (b) | | 116,402 | 1,931,109 |
| PBF Energy, Inc. Class A | | 52,799 | 1,474,676 |
| Phillips 66 Co. | | 184,045 | 18,875,655 |
| Valero Energy Corp. | | 183,855 | 15,673,639 |
| | | | 241,022,839 |
| FINANCIALS - 23.6% | | | |
| Banks - 12.7% | | | |
| Associated Banc-Corp. (a) | | 72,029 | 1,560,868 |
| Bank of America Corp. | | 2,388,839 | 73,289,578 |
| Bank OZK | | 53,517 | 1,636,550 |
| BankUnited, Inc. | | 43,453 | 1,495,218 |
| Citigroup, Inc. | | 896,799 | 63,816,217 |
| Citizens Financial Group, Inc. | | 201,787 | 7,518,584 |
| Comerica, Inc. | | 67,936 | 4,972,915 |
| Fifth Third Bancorp | | 320,451 | 9,514,190 |
| First Horizon National Corp. | | 138,536 | 2,271,990 |
| FNB Corp., Pennsylvania | | 143,528 | 1,729,512 |
| Hancock Whitney Corp. | | 37,760 | 1,567,795 |
| IBERIABANK Corp. | | 23,974 | 1,883,637 |
| KeyCorp | | 444,335 | 8,162,434 |
| PacWest Bancorp | | 52,349 | 2,022,242 |
| Popular, Inc. | | 42,581 | 2,450,962 |
| Regions Financial Corp. | | 446,062 | 7,105,768 |
| Sterling Bancorp | | 92,337 | 2,017,563 |
| SunTrust Banks, Inc. | | 194,277 | 12,938,848 |
| Synovus Financial Corp. | | 69,326 | 2,646,173 |
| Umpqua Holdings Corp. | | 97,491 | 1,702,193 |
| Wells Fargo & Co. | | 325,915 | 15,777,545 |
| | | | 226,080,782 |
| Capital Markets - 4.1% | | | |
| Goldman Sachs Group, Inc. | | 149,928 | 33,003,651 |
| Invesco Ltd. (a) | | 176,497 | 3,386,977 |
| Janus Henderson Group PLC (a) | | 72,313 | 1,451,322 |
| Morgan Stanley | | 563,389 | 25,104,614 |
| State Street Corp. | | 164,441 | 9,552,378 |
| | | | 72,498,942 |
| Consumer Finance - 2.7% | | | |
| Ally Financial, Inc. | | 175,021 | 5,759,941 |
| Capital One Financial Corp. | | 206,941 | 19,125,487 |
| Discover Financial Services | | 134,300 | 12,052,082 |
| SLM Corp. | | 189,865 | 1,729,670 |
| Synchrony Financial | | 279,474 | 10,027,527 |
| | | | 48,694,707 |
| Diversified Financial Services - 0.1% | | | |
| AXA Equitable Holdings, Inc. | | 110,441 | 2,482,714 |
| Insurance - 3.4% | | | |
| Assured Guaranty Ltd. | | 44,745 | 1,954,909 |
| Athene Holding Ltd. (b) | | 54,858 | 2,241,498 |
| Lincoln National Corp. | | 89,156 | 5,825,453 |
| MetLife, Inc. | | 418,792 | 20,696,701 |
| Old Republic International Corp. | | 125,460 | 2,861,743 |
| Principal Financial Group, Inc. | | 113,445 | 6,584,348 |
| Prudential Financial, Inc. | | 178,907 | 18,125,068 |
| Unum Group | | 93,357 | 2,982,756 |
| | | | 61,272,476 |
| Mortgage Real Estate Investment Trusts - 0.3% | | | |
| Chimera Investment Corp. | | 81,984 | 1,580,652 |
| MFA Financial, Inc. | | 199,511 | 1,432,489 |
| New Residential Investment Corp. | | 182,915 | 2,869,936 |
| | | | 5,883,077 |
| Thrifts & Mortgage Finance - 0.3% | | | |
| Essent Group Ltd. | | 43,079 | 1,988,527 |
| MGIC Investment Corp. | | 156,893 | 2,016,075 |
| Radian Group, Inc. | | 91,648 | 2,089,574 |
| | | | 6,094,176 |
|
| TOTAL FINANCIALS | | | 423,006,874 |
|
| HEALTH CARE - 13.8% | | | |
| Biotechnology - 7.2% | | | |
| AbbVie, Inc. | | 651,448 | 43,399,466 |
| Biogen, Inc. (b) | | 85,441 | 20,319,579 |
| Celgene Corp. (b) | | 310,782 | 28,548,435 |
| Gilead Sciences, Inc. | | 560,323 | 36,712,363 |
| | | | 128,979,843 |
| Health Care Providers & Services - 4.7% | | | |
| AmerisourceBergen Corp. | | 68,465 | 5,966,725 |
| Cardinal Health, Inc. | | 131,363 | 6,007,230 |
| Cigna Corp. | | 167,220 | 28,414,022 |
| CVS Health Corp. | | 572,482 | 31,984,569 |
| McKesson Corp. | | 83,718 | 11,632,616 |
| | | | 84,005,162 |
| Pharmaceuticals - 1.9% | | | |
| Allergan PLC | | 135,783 | 21,793,172 |
| Jazz Pharmaceuticals PLC (b) | | 25,007 | 3,485,476 |
| Mylan NV (b) | | 227,125 | 4,746,913 |
| Perrigo Co. PLC (a) | | 55,123 | 2,977,193 |
| | | | 33,002,754 |
|
| TOTAL HEALTH CARE | | | 245,987,759 |
|
| INDUSTRIALS - 7.0% | | | |
| Air Freight & Logistics - 1.2% | | | |
| FedEx Corp. | | 105,643 | 18,015,301 |
| XPO Logistics, Inc. (a)(b) | | 40,426 | 2,727,946 |
| | | | 20,743,247 |
| Airlines - 2.3% | | | |
| Alaska Air Group, Inc. | | 54,421 | 3,448,115 |
| Delta Air Lines, Inc. | | 262,521 | 16,024,282 |
| JetBlue Airways Corp. (b) | | 132,612 | 2,550,129 |
| Southwest Airlines Co. | | 215,382 | 11,098,634 |
| United Continental Holdings, Inc. (b) | | 97,401 | 8,952,126 |
| | | | 42,073,286 |
| Building Products - 0.1% | | | |
| Owens Corning | | 47,760 | 2,770,080 |
| Commercial Services & Supplies - 0.1% | | | |
| KAR Auction Services, Inc. | | 58,716 | 1,570,066 |
| Construction & Engineering - 0.5% | | | |
| AECOM (b) | | 69,314 | 2,491,838 |
| Fluor Corp. | | 61,648 | 2,004,176 |
| MasTec, Inc. (b) | | 27,219 | 1,396,879 |
| Quanta Services, Inc. | | 62,588 | 2,342,043 |
| | | | 8,234,936 |
| Electrical Equipment - 0.1% | | | |
| Regal Beloit Corp. | | 18,940 | 1,508,003 |
| Machinery - 1.7% | | | |
| AGCO Corp. | | 28,169 | 2,169,013 |
| Allison Transmission Holdings, Inc. | | 52,966 | 2,433,788 |
| Cummins, Inc. | | 63,829 | 10,467,956 |
| Oshkosh Corp. | | 30,882 | 2,580,809 |
| PACCAR, Inc. | | 151,965 | 10,658,825 |
| Timken Co. | | 30,201 | 1,380,488 |
| | | | 29,690,879 |
| Professional Services - 0.3% | | | |
| Manpower, Inc. | | 26,298 | 2,402,322 |
| Nielsen Holdings PLC | | 156,652 | 3,628,060 |
| | | | 6,030,382 |
| Road & Rail - 0.1% | | | |
| Knight-Swift Transportation Holdings, Inc. Class A (a) | | 55,024 | 1,972,060 |
| Trading Companies & Distributors - 0.5% | | | |
| AerCap Holdings NV (b) | | 53,529 | 2,918,936 |
| Air Lease Corp. Class A | | 45,592 | 1,905,290 |
| United Rentals, Inc. (b) | | 34,639 | 4,383,565 |
| | | | 9,207,791 |
| Transportation Infrastructure - 0.1% | | | |
| Macquarie Infrastructure Co. LLC | | 34,113 | 1,413,643 |
|
| TOTAL INDUSTRIALS | | | 125,214,373 |
|
| INFORMATION TECHNOLOGY - 15.3% | | | |
| Communications Equipment - 0.2% | | | |
| Juniper Networks, Inc. | | 151,703 | 4,099,015 |
| Electronic Equipment & Components - 0.8% | | | |
| Arrow Electronics, Inc. (b) | | 37,443 | 2,718,736 |
| Avnet, Inc. | | 46,793 | 2,125,338 |
| Dell Technologies, Inc. (b) | | 65,598 | 3,787,629 |
| Jabil, Inc. | | 61,215 | 1,890,319 |
| SYNNEX Corp. | | 18,339 | 1,807,125 |
| Tech Data Corp. (b) | | 16,066 | 1,628,128 |
| | | | 13,957,275 |
| IT Services - 3.9% | | | |
| Alliance Data Systems Corp. | | 19,851 | 3,115,019 |
| DXC Technology Co. | | 118,217 | 6,592,962 |
| IBM Corp. | | 390,715 | 57,919,592 |
| KBR, Inc. (a) | | 62,406 | 1,646,270 |
| Perspecta, Inc. | | 61,639 | 1,438,038 |
| | | | 70,711,881 |
| Semiconductors & Semiconductor Equipment - 7.2% | | | |
| Intel Corp. | | 1,378,772 | 69,696,925 |
| Lam Research Corp. | | 66,066 | 13,782,028 |
| Micron Technology, Inc. (b) | | 487,677 | 21,891,821 |
| MKS Instruments, Inc. | | 23,947 | 2,038,608 |
| NXP Semiconductors NV | | 130,215 | 13,462,929 |
| ON Semiconductor Corp. (a)(b) | | 181,714 | 3,908,668 |
| Qorvo, Inc. (b) | | 52,502 | 3,847,872 |
| | | | 128,628,851 |
| Software - 0.8% | | | |
| LogMeIn, Inc. | | 21,953 | 1,667,769 |
| Microsoft Corp. | | 95,205 | 12,973,585 |
| | | | 14,641,354 |
| Technology Hardware, Storage & Peripherals - 2.4% | | | |
| Apple, Inc. | | 14,793 | 3,151,501 |
| Hewlett Packard Enterprise Co. | | 590,095 | 8,479,665 |
| HP, Inc. | | 663,764 | 13,965,595 |
| NCR Corp. (b) | | 52,915 | 1,789,056 |
| Seagate Technology LLC | | 111,013 | 5,141,012 |
| Western Digital Corp. | | 129,114 | 6,957,953 |
| Xerox Corp. | | 86,103 | 2,763,906 |
| | | | 42,248,688 |
|
| TOTAL INFORMATION TECHNOLOGY | | | 274,287,064 |
|
| MATERIALS - 5.2% | | | |
| Chemicals - 3.0% | | | |
| Celanese Corp. Class A | | 55,776 | 6,256,394 |
| DowDuPont, Inc. | | 329,950 | 23,809,192 |
| Eastman Chemical Co. | | 61,029 | 4,598,535 |
| Huntsman Corp. | | 92,799 | 1,907,019 |
| LyondellBasell Industries NV Class A | | 133,794 | 11,197,220 |
| Olin Corp. (a) | | 72,974 | 1,464,588 |
| The Chemours Co. LLC | | 72,228 | 1,377,388 |
| The Mosaic Co. | | 156,364 | 3,938,809 |
| | | | 54,549,145 |
| Construction Materials - 0.1% | | | |
| nVent Electric PLC | | 69,988 | 1,735,003 |
| Containers & Packaging - 0.7% | | | |
| International Paper Co. | | 175,067 | 7,687,192 |
| WestRock Co. | | 113,252 | 4,082,735 |
| | | | 11,769,927 |
| Metals & Mining - 1.3% | | | |
| Alcoa Corp. (b) | | 81,739 | 1,838,310 |
| Allegheny Technologies, Inc. (b) | | 55,527 | 1,208,823 |
| Freeport-McMoRan, Inc. | | 639,236 | 7,069,950 |
| Nucor Corp. | | 134,304 | 7,303,452 |
| Reliance Steel & Aluminum Co. | | 29,620 | 2,960,519 |
| Steel Dynamics, Inc. | | 97,929 | 3,085,743 |
| | | | 23,466,797 |
| Paper & Forest Products - 0.1% | | | |
| Louisiana-Pacific Corp. | | 54,375 | 1,421,363 |
|
| TOTAL MATERIALS | | | 92,942,235 |
|
| REAL ESTATE - 0.2% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.2% | | | |
| Medical Properties Trust, Inc. | | 173,769 | 3,040,958 |
| UTILITIES - 0.2% | | | |
| Electric Utilities - 0.2% | | | |
| Vistra Energy Corp. | | 165,883 | 3,559,849 |
| TOTAL COMMON STOCKS | | | |
| (Cost $1,774,483,653) | | | 1,782,761,776 |
|
| Money Market Funds - 2.4% | | | |
| Fidelity Cash Central Fund 2.43% (c) | | 2,912,972 | 2,913,555 |
| Fidelity Securities Lending Cash Central Fund 2.43% (c)(d) | | 39,522,827 | 39,526,779 |
| TOTAL MONEY MARKET FUNDS | | | |
| (Cost $42,440,334) | | | 42,440,334 |
| TOTAL INVESTMENT IN SECURITIES - 102.1% | | | |
| (Cost $1,816,923,987) | | | 1,825,202,110 |
| NET OTHER ASSETS (LIABILITIES) - (2.1)% | | | (37,062,538) |
| NET ASSETS - 100% | | | $1,788,139,572 |
| 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) | 37 | Sept. 2019 | $5,517,255 | $77,103 | $77,103 |
The notional amount of futures purchased as a percentage of Net Assets is 0.3%
Legend
(a) Security or a portion of the security is on loan at period end.
(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 | $119,047 |
| Fidelity Securities Lending Cash Central Fund | 21,434 |
| Total | $140,481 |
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. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Investment Valuation
The following is a summary of the inputs used, as of July 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 | $188,235,489 | $188,235,489 | $-- | $-- |
| Consumer Discretionary | 133,491,871 | 133,491,871 | -- | -- |
| Consumer Staples | 51,972,465 | 51,972,465 | -- | -- |
| Energy | 241,022,839 | 241,022,839 | -- | -- |
| Financials | 423,006,874 | 423,006,874 | -- | -- |
| Health Care | 245,987,759 | 245,987,759 | -- | -- |
| Industrials | 125,214,373 | 125,214,373 | -- | -- |
| Information Technology | 274,287,064 | 274,287,064 | -- | -- |
| Materials | 92,942,235 | 92,942,235 | -- | -- |
| Real Estate | 3,040,958 | 3,040,958 | -- | -- |
| Utilities | 3,559,849 | 3,559,849 | -- | -- |
| Money Market Funds | 42,440,334 | 42,440,334 | -- | -- |
| Total Investments in Securities: | $1,825,202,110 | $1,825,202,110 | $-- | $-- |
| Derivative Instruments: | | | | |
| Assets | | | | |
| Futures Contracts | $77,103 | $77,103 | $-- | $-- |
| Total Assets | $77,103 | $77,103 | $-- | $-- |
| Total Derivative Instruments: | $77,103 | $77,103 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 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) | $77,103 | $0 |
| Total Equity Risk | 77,103 | 0 |
| Total Value of Derivatives | $77,103 | $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 distributable earnings.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| | | July 31, 2019 |
| Assets | | |
Investment in securities, at value (including securities loaned of $38,324,635) — See accompanying schedule:
Unaffiliated issuers (cost $1,774,483,653) | $1,782,761,776 | |
| Fidelity Central Funds (cost $42,440,334) | 42,440,334 | |
| Total Investment in Securities (cost $1,816,923,987) | | $1,825,202,110 |
| Segregated cash with brokers for derivative instruments | | 239,400 |
| Receivable for fund shares sold | | 436,147 |
| Dividends receivable | | 2,699,207 |
| Distributions receivable from Fidelity Central Funds | | 11,680 |
| Prepaid expenses | | 4,016 |
| Receivable from investment adviser for expense reductions | | 85,099 |
| Total assets | | 1,828,677,659 |
| Liabilities | | |
| Payable for fund shares redeemed | $599,252 | |
| Accrued management fee | 149,047 | |
| Payable for daily variation margin on futures contracts | 55,306 | |
| Other affiliated payables | 150,221 | |
| Other payables and accrued expenses | 57,409 | |
| Collateral on securities loaned | 39,526,852 | |
| Total liabilities | | 40,538,087 |
| Net Assets | | $1,788,139,572 |
| Net Assets consist of: | | |
| Paid in capital | | $1,811,157,318 |
| Total distributable earnings (loss) | | (23,017,746) |
| Net Assets, for 177,701,021 shares outstanding | | $1,788,139,572 |
| Net Asset Value, offering price and redemption price per share ($1,788,139,572 ÷ 177,701,021 shares) | | $10.06 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| | | Year ended July 31, 2019 |
| Investment Income | | |
| Dividends | | $53,195,807 |
| Interest | | 5,368 |
| Income from Fidelity Central Funds (including $21,434 from security lending) | | 140,481 |
| Total income | | 53,341,656 |
| Expenses | | |
| Management fee | $1,936,085 | |
| Transfer agent fees | 1,452,064 | |
| Accounting and security lending fees | 492,165 | |
| Custodian fees and expenses | 43,297 | |
| Independent trustees' fees and expenses | 8,762 | |
| Registration fees | 56,705 | |
| Audit | 55,779 | |
| Legal | 2,168 | |
| Interest | 21,807 | |
| Miscellaneous | 12,971 | |
| Total expenses before reductions | 4,081,803 | |
| Expense reductions | (1,143,539) | |
| Total expenses after reductions | | 2,938,264 |
| Net investment income (loss) | | 50,403,392 |
| Realized and Unrealized Gain (Loss) | | |
| Net realized gain (loss) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | (18,889,238) | |
| Fidelity Central Funds | (92) | |
| Futures contracts | 987,301 | |
| Total net realized gain (loss) | | (17,902,029) |
| Change in net unrealized appreciation (depreciation) on: | | |
| Investment securities: | | |
| Unaffiliated issuers | (290,999) | |
| Fidelity Central Funds | 10 | |
| Futures contracts | (3,919) | |
| Total change in net unrealized appreciation (depreciation) | | (294,908) |
| Net gain (loss) | | (18,196,937) |
| Net increase (decrease) in net assets resulting from operations | | $32,206,455 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| | Year ended July 31, 2019 | For the period
December 19, 2017 (commencement of operations) to July 31, 2018 |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $50,403,392 | $19,379,496 |
| Net realized gain (loss) | (17,902,029) | (7,947,534) |
| Change in net unrealized appreciation (depreciation) | (294,908) | 8,650,134 |
| Net increase (decrease) in net assets resulting from operations | 32,206,455 | 20,082,096 |
| Distributions to shareholders | (66,034,772) | – |
| Distributions to shareholders from net investment income | – | (700) |
| Total distributions | (66,034,772) | (700) |
| Share transactions | | |
| Proceeds from sales of shares | 812,292,938 | 2,468,109,589 |
| Reinvestment of distributions | 26,777,127 | 700 |
| Cost of shares redeemed | (975,258,724) | (530,035,137) |
| Net increase (decrease) in net assets resulting from share transactions | (136,188,659) | 1,938,075,152 |
| Total increase (decrease) in net assets | (170,016,976) | 1,958,156,548 |
| Net Assets | | |
| Beginning of period | 1,958,156,548 | – |
| End of period | $1,788,139,572 | $1,958,156,548 |
| Other Information | | |
| Undistributed net investment income end of period | | $17,155,588 |
| Shares | | |
| Sold | 86,804,375 | 241,696,338 |
| Issued in reinvestment of distributions | 2,944,380 | 70 |
| Redeemed | (100,973,131) | (52,771,011) |
| Net increase (decrease) | (11,224,376) | 188,925,397 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity SAI U.S. Value Index Fund
| | | |
| Years ended July 31, | 2019 | 2018 A |
| Selected Per–Share Data | | |
| Net asset value, beginning of period | $10.36 | $10.00 |
| Income from Investment Operations | | |
| Net investment income (loss)B | .25 | .14 |
| Net realized and unrealized gain (loss) | (.22) | .23 |
| Total from investment operations | .03 | .37 |
| Distributions from net investment income | (.19) | (.01) |
| Distributions from net realized gain | (.14) | – |
| Total distributions | (.33) | (.01) |
| Net asset value, end of period | $10.06 | $10.36 |
| Total ReturnC,D | .62% | 3.67% |
| Ratios to Average Net AssetsE,F | | |
| Expenses before reductions | .21% | .28%G |
| Expenses net of fee waivers, if any | .15% | .15%G |
| Expenses net of all reductions | .15% | .15%G |
| Net investment income (loss) | 2.61% | 2.20%G |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $1,788,140 | $1,958,157 |
| Portfolio turnover rateH | 99% | 113%G |
A For the period December 19, 2017 (commencement of operations) to July 31, 2018.
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 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 July 31, 2019
1. Organization.
Fidelity SAI U.S. Value Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company (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 ranged from less than .005% to .01%.
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:
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 July 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. 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 July 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. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, market discounts and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $117,275,204 |
| Gross unrealized depreciation | (133,872,653) |
| Net unrealized appreciation (depreciation) | $(16,597,449) |
| Tax Cost | $1,841,799,559 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $24,155,981 |
| Net unrealized appreciation (depreciation) on securities and other investments | $(16,597,449) |
The Fund intends to elect to defer to its next fiscal year $30,576,278 of capital losses recognized during the period November 1, 2018 to July 31, 2019.
The tax character of distributions paid was as follows:
| | July 31, 2019 | July 31, 2018(a) |
| Ordinary Income | $66,034,772 | $ 700 |
(a) For the period December 19, 2017 (commencement of operations) to July 31, 2018.
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. 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 $1,904,645,576 and $2,046,525,789, 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 pays a monthly management fee that is based on an annual rate of .10% of the Fund's average net assets.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
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 an asset-based fee of .075% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
During July 2019, the Board approved that effective August 1, 2019 transfer agent fees will not be paid by the Fund and will instead be paid by the investment adviser or an affiliate.
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Prior to April 1, 2019, FSC had a separate agreement with the Fund for administration of the security lending program, based on the number and duration of lending transactions. For the period, the total fees paid for accounting and administration of securities lending were equivalent to an annual rate of .03%.
During July 2019, the Board approved that effective August 1, 2019 accounting fees will not be paid by the Fund and will instead be paid by the investment adviser or an affiliate.
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 | $9,948,300 | 2.63% | $21,807 |
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 $5,251 and is reflected in Miscellaneous expenses 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 from time to time in order to earn additional income. For equity securities, lending agents are used, including National Financial Services (NFS), an affiliate of the Fund. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of daily lending revenue, for its services as lending agent. The Fund may lend securities to certain qualified borrowers, including NFS. 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 NFS, as affiliated borrower. Total fees paid by the Fund to NFS, as lending agent, amounted to $772. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, 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, and includes $208 from securities loaned to NFS, as affiliated borrower.
9. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of the Fund to the extent annual operating expenses exceeded .15% of average net assets. This reimbursement will remain in place through November 30, 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 $1,143,539.
10. 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, Strategic Advisers Fidelity U.S. Total Stock Fund was the owner of record of approximately 34% of the total outstanding shares of the Fund.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity SAI U.S. Value Index Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity SAI U.S. Value Index Fund (one of the funds constituting Fidelity Salem Street Trust, referred to hereafter as the “Fund”) as of July 31, 2019, the related statement of operations for the year ended July 31, 2019 and the statement of changes in net assets and the financial highlights for the year ended July 31, 2019 and for the period December 19, 2017 (commencement of operations) through July 31, 2018, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of July 31, 2019, the results of its operations for the year ended July 31, 2019, and the changes in its net assets and the financial highlights for the year ended July 31, 2019 and for the period December 19, 2017 (commencement of operations) through July 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of July 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
September 13, 2019
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
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 298 funds. Mr. Chiel oversees 170 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 Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2019 to July 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
February 1, 2019 | Ending
Account Value
July 31, 2019 | Expenses Paid
During Period-B
February 1, 2019
to July 31, 2019 |
| Actual | .15% | $1,000.00 | $1,055.60 | $.76** |
| Hypothetical-C | | $1,000.00 | $1,024.05 | $.75** |
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 181/365 (to reflect the one-half year period).
C 5% return per year before expenses
**If fees and changes to the Fund level expense contract and/ or expense cap, effective August 1, 2019, had been in effect during the current period, the restated annualized expense ratio would have been .11% and the expenses paid in the actual and hypothetical examples above would have been $.56 and $.55, respectively.
Distributions (Unaudited)
The fund designates 60% and 55% of the dividends distributed in September and December, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.
The fund designates 63% and 59% of the dividends distributed in September and December, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2020 of amounts for use in preparing 2019 income tax returns.
USV-ANN-0919
1.9885515.101
Item 2.
Code of Ethics
As of the end of the period, July 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 Real Estate Index Fund, Fidelity SAI Real Estate Index Fund, Fidelity SAI Small-Mid Cap 500 Index Fund, Fidelity SAI U.S. Large Cap Index Fund, Fidelity SAI U.S. Momentum Index Fund and Fidelity SAI U.S. Quality Index Fund (the “Funds”):
Services Billed by Deloitte Entities
July 31, 2019 FeesA
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Real Estate Index Fund | $38,000 | $100 | $6,000 | $1,200 |
Fidelity SAI Real Estate Index Fund | $40,000 | $100 | $5,700 | $1,200 |
Fidelity SAI Small-Mid Cap 500 Index Fund | $43,000 | $100 | $5,100 | $1,300 |
Fidelity SAI U.S. Large Cap Index Fund | $42,000 | $100 | $6,300 | $1,200 |
Fidelity SAI U.S. Momentum Index Fund | $43,000 | $100 | $4,800 | $1,200 |
Fidelity SAI U.S. Quality Index Fund | $43,000 | $100 | $5,100 | $1,200 |
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Real Estate Index Fund | $41,000 | $100 | $6,300 | $1,200 |
Fidelity SAI Real Estate Index Fund | $40,000 | $100 |
$6,000 | $1,200 |
Fidelity SAI Small-Mid Cap 500 Index Fund | $44,000 | $100 | $5,100 | $1,300 |
Fidelity SAI U.S. Large Cap Index Fund | $42,000 | $100 | $6,000 | $1,200 |
Fidelity SAI U.S. Momentum Index Fund | $44,000 | $100 | $4,800 | $1,200 |
Fidelity SAI U.S. Quality Index Fund | $44,000 | $100 | $5,100 | $1,200 |
AAmounts may reflect rounding.
The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity SAI U.S. Value Index Fund (the “Fund”):
Services Billed by PwC
July 31, 2019 FeesA
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity SAI U.S. Value Index Fund | $46,000 | $3,500 | $3,500 | $2,000 |
| | | | |
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity SAI U.S. Value Index Fund | $38,000 | $2,000 | $3,500 | $1,200 |
AAmounts may reflect rounding.
BFidelity SAI U.S. Value Index Fund commenced operations on December 19, 2017.
The following table presents fees billed by Deloitte Entities and PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the 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
| | |
| July 31, 2019A | July 31, 2018A |
Audit-Related Fees | $290,000 | $5,000 |
Tax Fees | $- | $5,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
Services Billed by PwC
| | |
| July 31, 2019A | July 31, 2018 A,B |
Audit-Related Fees | $7,775,000 | $7,745,000 |
Tax Fees | $10,000 | $20,000 |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
BMay include amounts billed prior to the Fidelity SAI U.S. Value Index 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 and PwC 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 | July 31, 2019A | July 31, 2018A,B |
Deloitte Entities | $740,000 | $390,000 |
PwC | $12,265,000 | $10,905,000 |
A Amounts may reflect rounding.
BMay include amounts billed prior to the Fidelity SAI U.S. Value Index 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 and PwC to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities and PwC in their audits of the Funds, taking into account representations from Deloitte Entities and PwC, in accordance with Public Company Accounting Oversight Board rules, regarding their 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: | September 24, 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: | September 24, 2019 |
| |
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer |
| |
Date: | September 24, 2019 |
